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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-21714 |
MML Series Investment Fund II |
(Exact name of registrant as specified in charter) |
100 Bright Meadow Blvd., Enfield, CT 06082 | ||
(Address of principal executive offices) | (Zip code) | |
Tina Wilson 100 Bright Meadow Blvd, Enfield, CT 06082 | ||
(Name and address of agent for service) |
Registrant’s telephone number, including area code: | (860) 562-1000 |
Date of fiscal year end: | 12/31/17 |
Date of reporting period: | 6/30/17 |
Table of Contents
Item 1. Reports to Stockholders.
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Table of Contents
1 | ||||
3 | ||||
Portfolio of Investments (Unaudited) | ||||
7 | ||||
31 | ||||
35 | ||||
56 | ||||
58 | ||||
60 | ||||
62 | ||||
64 | ||||
68 | ||||
Other Information (Unaudited) | ||||
89 | ||||
89 | ||||
89 | ||||
91 |
This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MML Series Investment Fund II. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
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MML Series Investment Fund II – President’s Letter to Shareholders (Unaudited)
To Our Shareholders
Tina Wilson
“The diversified suite of investment options we provide in our MML Series Investment Fund II taps into the deep expertise of seasoned asset managers who are committed to helping you prepare for a stronger financial future.”
June 30, 2017
Welcome to the MML Series Investment Fund II Semiannual Report, covering the six months from January 1, 2017 to June 30, 2017.
Market Highlights
• | During the period, U.S. stocks and bonds delivered some of the best first-half-year results investors have seen since 2009. |
• | Market momentum surged throughout the first five months of the period, but lagged in June. |
• | Large-cap stocks outperformed small caps, and growth stocks beat their value counterparts. |
• | All market sectors except energy delivered positive returns for the period. |
• | The U.S. Federal Reserve (the “Fed”) raised short-term interest rates twice during the period, a move some investors viewed as the end of ultra-cheap money. |
• | Factors to watch during the last half of 2017 include the Republican administration’s ability to implement policy, corporate earnings, and continued global market momentum. |
Market Environment
Stocks and bonds delivered some of the best first-half-year results investors have seen since 2009. Most of the major domestic and global indexes logged positive returns for the period. However, enthusiasm that powered the market early in the first half of 2017 flattened out as the period ended. The S&P 500® Index* tells the story for the U.S. equity markets. The index returned 9.34 percent for the period and crossed multiple record-high closings on the way. Nearly two-thirds of that growth occurred in the first three months of the year, building on a strong fourth quarter in 2016. However, growth slowed to add just 3.27 percent during the last three months of the period, with the month of June adding only 0.06 percent to the total.
Multiple secular factors affected domestic markets during the reporting period. The new Republican administration picked health care reform as its first policy target, but failed on multiple tries to garner enough votes for passage. As a result, investor optimism about the administration’s ability to implement meaningful policy change has weakened. The Fed raised short-term interest rates twice – in March and June. Neither hike caused undue turbulence, but concerns about how many more and how fast continues to nag investors. Corporate earnings reports for the fourth quarter of 2016 and the first quarter of 2017 offered investors hope that valuations – already deemed high – still had room to run. Oil prices remained above $50 per barrel for much of the period, but dropped in June on concerns of oversupply and of OPEC’s inability to rein in production being offset by U.S. domestic shale fields.
Outside of the U.S., central bankers in Europe and Asia continue to keep a tight hand on fiscal stimulus levers as economies around the globe showed signs of gaining traction. British Prime Minister Theresa May failed in her attempt to gain more seats in Parliament, casting a shadow over
* | Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment. |
(Continued)
1
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MML Series Investment Fund II – President’s Letter to Shareholders (Unaudited) (Continued)
the looming Brexit proceedings. (“Brexit” – an abbreviation for “British exit” – was the United Kingdom’s surprising June 23, 2016 referendum to leave the EU.) While Great Britain saw a spike in uncertainty after June’s snap election (a “snap election” is an election called earlier than expected), European markets gained momentum during the first half of 2017. Asian markets were notable for their lack of volatility and headlines during the period. Emerging markets, as measured by the MSCI Emerging Markets Index*, delivered an 18.43 percent return for the reporting period.
As is often the case, markets rise unevenly. If 2016 was the year for value stocks, 2017 is so far proving to favor growth stocks. Large- and small-cap growth stocks have outperformed their value counterparts by nearly 10 percent for the period. Similarly, the markets favored large-cap stocks over their small-cap brethren. At the S&P 500 sector level, returns across all market sectors except energy and telecommunications were positive for the first half of 2017. Information technology and health care outperformed, gaining 17.1 percent and 16.1 percent, respectively. The energy sector, dragged down by falling oil prices, underperformed, losing 12.6 percent year to date.
Along with investors’ “risk on” attitude toward equity markets, the Fed rate hikes exerted pressure on bond prices. As the Fed raised short-term rates in June, investors began realizing that the era of ultra-cheap money may be ending, which triggered a late June sell-off that pushed yields higher. (Bond yields rise inversely to bond prices.) The yield on the bellwether 10-year U.S. Treasury ended the period at 2.35 percent. Investment-grade and high-yield corporate bonds diverged significantly, as U.S. high-yield corporate bonds bucked the investment-grade bond market trend and posted gains for the reporting period.
For the second half of 2017, we will be watching for signs that the Republican administration’s infrastructure policies are gaining traction and that corporate earnings continue to point toward sustainable corporate growth. We will also pay attention to inflation, interest rates, and continued economic momentum around the globe.
Review and maintain your strategy
MassMutual renewed its commitment to helping people secure their financial future and protect the ones they love in May 2017 with a new brand presence. Please visit MassMutual.com to learn more about MassMutual and how we can help you.
Because we are people helping people, we would like to remind you that, as a long-term investor, it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. The diversified suite of investment options we provide in our MML Series Investment Fund II taps into the deep expertise of seasoned asset managers who are committed to helping you prepare for a stronger financial future.
Many of our clients find that working with a personal financial professional can help them define an investment strategy that aligns with how comfortable they are with market volatility, how long they have to save and invest, and their specific financial goals. You may find it valuable to seek out a financial advisor to help you. If you are already working with such an advisor, this may be a good time to re-evaluate your current investment strategy and investment allocations – and to make any adjustments you feel may be needed.
As always, we thank you for your confidence in MassMutual.
Sincerely,
Tina Wilson
President
The information provided is the opinion of MassMutual U.S. Product and Marketing as of 7/1/17 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
2
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MML Blend Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Blend Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve as high a level of total rate of return over an extended period of time as is considered consistent with prudent investment risk and the preservation of capital. The Fund invests across different asset classes (equity securities, fixed income securities, including bank loans and Rule 144A securities, and money market instruments), each represented by a different segment of the Fund’s portfolio. The subadviser typically adjusts the allocation among the three segments, based on its judgment about each segment’s potential for returns in comparison with those of other segments and corresponding risk. The Fund’s subadviser is Barings LLC (Barings).
MML Blend Fund Portfolio Characteristics (% of Net Assets) on 6/30/17 | ||||
Common Stock | 69.1 | % | ||
Corporate Debt | 10.1 | % | ||
Non-U.S. Government Agency Obligations | 8.2 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 7.2 | % | ||
U.S. Treasury Obligations | 4.4 | % | ||
Sovereign Debt Obligations | 0.3 | % | ||
Municipal Obligations | 0.2 | % | ||
Preferred Stock | 0.1 | % | ||
Purchased Options | 0.1 | % | ||
Rights | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 99.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
3
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MML Equity Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Equity Fund, and who are the Fund’s subadvisers?
The Fund’s primary objective is to achieve a superior total rate of return over an extended period of time from both capital appreciation and current income. Its secondary objective is the preservation of capital when business and economic conditions indicate that investing for defensive purposes is appropriate. The Fund invests primarily in common stocks of companies that the subadvisers believe are undervalued in the marketplace, with a focus on securities of larger size companies. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in common stocks, preferred stocks, securities convertible into common or preferred stocks, and other securities, such as warrants and stock rights, whose value is based on stock prices. The Fund’s two subadvisers are OppenheimerFunds, Inc. (OFI), which managed approximately 59% of the Fund’s portfolio; and Loomis, Sayles & Company, L.P. (Loomis Sayles), which was responsible for approximately 41% of the Fund’s portfolio, as of June 30, 2017.
MML Equity Fund Largest Holdings (% of Net Assets) on 6/30/17 | ||||
JP Morgan Chase & Co. | 4.3 | % | ||
Bank of America Corp. | 4.2 | % | ||
Chevron Corp. | 2.4 | % | ||
UnitedHealth Group, Inc. | 2.2 | % | ||
Comcast Corp. Class A | 2.1 | % | ||
American International Group, Inc. | 1.9 | % | ||
Johnson Controls International PLC | 1.9 | % | ||
Citigroup, Inc. | 1.9 | % | ||
Pfizer, Inc. | 1.9 | % | ||
Edison International | 1.8 | % | ||
|
| |||
24.6 | % | |||
|
|
MML Equity Fund Sector Table (% of Net Assets) on 6/30/17 | ||||
Financial | 30.1 | % | ||
Consumer, Non-cyclical | 16.0 | % | ||
Industrial | 14.5 | % | ||
Energy | 9.2 | % | ||
Technology | 8.2 | % | ||
Consumer, Cyclical | 7.2 | % | ||
Communications | 6.7 | % | ||
Utilities | 4.1 | % | ||
Basic Materials | 2.6 | % | ||
Mutual Funds | 1.5 | % | ||
|
| |||
Total Long-Term Investments | 100.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.1 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
4
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MML Managed Bond Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Managed Bond Fund, and who is the Fund’s subadviser?
The Fund’s investment objective is to achieve as high a total rate of return on an annual basis as is considered consistent with the preservation of capital. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s, BBB- or higher by Standard & Poor’s or the equivalent by any NRSRO, or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Barings LLC (Barings).
MML Managed Bond Fund Portfolio Characteristics (% of Net Assets) on 6/30/17 | ||||
Corporate Debt | 34.4 | % | ||
Non-U.S. Government Agency Obligations | 28.4 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 24.4 | % | ||
U.S. Treasury Obligations | 8.9 | % | ||
Sovereign Debt Obligations | 0.8 | % | ||
Municipal Obligations | 0.7 | % | ||
Preferred Stock | 0.2 | % | ||
Purchased Options | 0.2 | % | ||
|
| |||
Total Long-Term Investments | 98.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
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5
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MML U.S. Government Money Market Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML U.S. Government Money Market Fund, and who is the Fund’s subadviser?
The Fund’s investment objective is to achieve current income consistent with preservation of capital and liquidity. The Fund normally invests at least 99.5% of its total assets in cash, U.S. Government securities, and/or repurchase agreements fully collateralized by cash or U.S. Government securities. It is important to note that this Fund seeks to maintain, but does not guarantee, a stable $1.00 share price. Under normal circumstances, the Fund invests at least 80% of its net assets in U.S. Government securities and repurchase agreements that are fully collateralized by U.S. Government securities. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. The Fund’s subadviser is Barings LLC (Barings).
MML U.S. Government Money Market Fund Portfolio Characteristics (% of Net Assets) on 6/30/17 | ||||
Discount Notes | 86.9 | % | ||
Repurchase Agreement | 13.0 | % | ||
Time Deposits | 0.1 | % | ||
|
| |||
Total Short-Term Investments | 100.0 | % | ||
Other Assets and Liabilities | 0.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
6
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MML Blend Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 69.2% | ||||||||
COMMON STOCK — 69.1% | ||||||||
Basic Materials — 1.3% | ||||||||
Chemicals — 1.1% | ||||||||
Air Products & Chemicals, Inc. | 5 | $ | 715 | |||||
Albemarle Corp. | 17,560 | 1,853,283 | ||||||
CF Industries Holdings, Inc. | 90 | 2,516 | ||||||
The Dow Chemical Co. | 20,073 | 1,266,004 | ||||||
E.I. du Pont de Nemours & Co. | 15,560 | 1,255,848 | ||||||
Eastman Chemical Co. | 13,970 | 1,173,340 | ||||||
LyondellBasell Industries NV Class A | 8,600 | 725,754 | ||||||
Monsanto Co. | 6,694 | 792,302 | ||||||
The Mosaic Co. | 5,900 | 134,697 | ||||||
PPG Industries, Inc. | 8 | 880 | ||||||
Praxair, Inc. | 6 | 795 | ||||||
The Sherwin-Williams Co. | 3 | 1,053 | ||||||
|
| |||||||
7,207,187 | ||||||||
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| |||||||
Forest Products & Paper — 0.0% | ||||||||
International Paper Co. | 3,587 | 203,060 | ||||||
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| |||||||
Iron & Steel — 0.1% | ||||||||
Nucor Corp. | 4,756 | 275,230 | ||||||
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| |||||||
Mining — 0.1% | ||||||||
Freeport-McMoRan, Inc. (a) | 64 | 769 | ||||||
Newmont Mining Corp. | 23,670 | 766,671 | ||||||
|
| |||||||
767,440 | ||||||||
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| |||||||
8,452,917 | ||||||||
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| |||||||
Communications — 9.6% | ||||||||
Advertising — 0.1% | ||||||||
The Interpublic Group of Cos., Inc. | 6,922 | 170,281 | ||||||
Omnicom Group, Inc. | 3,747 | 310,626 | ||||||
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| |||||||
480,907 | ||||||||
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| |||||||
Internet — 4.7% | ||||||||
Alphabet, Inc. Class A (a) | 6,710 | 6,238,153 | ||||||
Alphabet, Inc. Class C (a) | 6,611 | 6,007,614 | ||||||
Amazon.com, Inc. (a) | 6,740 | 6,524,320 | ||||||
Cars.com, Inc. (a) | 6,737 | 179,406 | ||||||
eBay, Inc. (a) | 49,277 | 1,720,753 | ||||||
Expedia, Inc. | 5,157 | 768,135 | ||||||
F5 Networks, Inc. (a) | 6,200 | 787,772 | ||||||
Facebook, Inc. Class A (a) | 31,600 | 4,770,968 | ||||||
Netflix, Inc. (a) | 3 | 448 | ||||||
The Priceline Group, Inc. (a) | 961 | 1,797,570 | ||||||
Symantec Corp. | 28,255 | 798,204 | ||||||
TripAdvisor, Inc. (a) | 37 | 1,414 | ||||||
VeriSign, Inc. (a) | 15,791 | 1,467,931 | ||||||
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| |||||||
31,062,688 | ||||||||
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Number of Shares | Value | |||||||
Media — 2.7% | ||||||||
CBS Corp. Class B | 11,457 | $ | 730,727 | |||||
Charter Communications, Inc. Class A (a) | 2,321 | 781,829 | ||||||
Comcast Corp. Class A | 203,224 | 7,909,478 | ||||||
Discovery Communications, Inc. Class A (a) | 27,900 | 720,657 | ||||||
Discovery Communications, Inc. Class C (a) | 6,900 | 173,949 | ||||||
News Corp. Class A | 6,866 | 94,064 | ||||||
Scripps Networks Interactive, Inc. Class A | 25,372 | 1,733,161 | ||||||
TEGNA, Inc. | 20,212 | 291,255 | ||||||
Time Warner, Inc. | 7,515 | 754,581 | ||||||
Twenty-First Century Fox, Inc. Class A | 19,567 | 554,529 | ||||||
Twenty-First Century Fox, Inc. Class B | 7,900 | 220,173 | ||||||
Viacom, Inc. Class B | 26,310 | 883,227 | ||||||
The Walt Disney Co. | 28,652 | 3,044,275 | ||||||
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17,891,905 | ||||||||
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Telecommunications — 2.1% | ||||||||
AT&T, Inc. | 154,353 | 5,823,739 | ||||||
CenturyLink, Inc. | 16,828 | 401,853 | ||||||
Cisco Systems, Inc. | 103,542 | 3,240,865 | ||||||
Juniper Networks, Inc. | 34,289 | 955,977 | ||||||
Motorola Solutions, Inc. | 19,437 | 1,685,965 | ||||||
Verizon Communications, Inc. | 34,655 | 1,547,692 | ||||||
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13,656,091 | ||||||||
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63,091,591 | ||||||||
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Consumer, Cyclical — 7.4% | ||||||||
Airlines — 1.2% | ||||||||
Alaska Air Group, Inc. | 27,300 | 2,450,448 | ||||||
American Airlines Group, Inc. | 28,200 | 1,419,024 | ||||||
Delta Air Lines, Inc. | 23,200 | 1,246,768 | ||||||
Southwest Airlines Co. | 10,383 | 645,200 | ||||||
United Continental Holdings, Inc. (a) | 32,000 | 2,408,000 | ||||||
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8,169,440 | ||||||||
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Apparel — 0.5% | ||||||||
Hanesbrands, Inc. | 40,400 | 935,664 | ||||||
Michael Kors Holdings Ltd. (a) | 29,700 | 1,076,625 | ||||||
NIKE, Inc. Class B | 22,984 | 1,356,056 | ||||||
Ralph Lauren Corp. | 850 | 62,730 | ||||||
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3,431,075 | ||||||||
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Auto Manufacturers — 0.4% | ||||||||
Ford Motor Co. | 128,513 | 1,438,060 | ||||||
General Motors Co. | 29,600 | 1,033,928 | ||||||
PACCAR, Inc. | 5,322 | 351,465 | ||||||
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2,823,453 | ||||||||
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The accompanying notes are an integral part of the financial statements.
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MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Auto Parts & Equipment — 0.5% | ||||||||
BorgWarner, Inc. | 22,100 | $ | 936,156 | |||||
Delphi Automotive PLC | 9,300 | 815,145 | ||||||
The Goodyear Tire & Rubber Co. | 42,151 | 1,473,599 | ||||||
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3,224,900 | ||||||||
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Distribution & Wholesale — 0.0% | ||||||||
Fastenal Co. | 82 | 3,570 | ||||||
W.W. Grainger, Inc. | 2 | 361 | ||||||
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3,931 | ||||||||
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Home Builders — 0.2% | ||||||||
D.R. Horton, Inc. | 1,947 | 67,308 | ||||||
PulteGroup, Inc. | 59,373 | 1,456,419 | ||||||
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1,523,727 | ||||||||
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Home Furnishing — 0.1% | ||||||||
Leggett & Platt, Inc. | 86 | 4,518 | ||||||
Whirlpool Corp. | 1,573 | 301,418 | ||||||
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305,936 | ||||||||
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Leisure Time — 0.2% | ||||||||
Carnival Corp. | 15,800 | 1,036,006 | ||||||
Harley-Davidson, Inc. | 8,702 | 470,082 | ||||||
Royal Caribbean Cruises Ltd. | 100 | 10,923 | ||||||
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1,517,011 | ||||||||
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Lodging — 0.5% | ||||||||
Marriott International, Inc. Class A | 7,321 | 734,369 | ||||||
Wyndham Worldwide Corp. | 13,209 | 1,326,316 | ||||||
Wynn Resorts Ltd. | 9,618 | 1,289,966 | ||||||
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3,350,651 | ||||||||
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Retail — 3.7% | ||||||||
AutoNation, Inc. (a) | 10,799 | 455,286 | ||||||
AutoZone, Inc. (a) | 494 | 281,807 | ||||||
Bed Bath & Beyond, Inc. | 18,164 | 552,186 | ||||||
Best Buy Co., Inc. | 41,392 | 2,373,003 | ||||||
Coach, Inc. | 6,220 | 294,455 | ||||||
Costco Wholesale Corp. | 1,460 | 233,498 | ||||||
CVS Health Corp. | 21,694 | 1,745,499 | ||||||
Darden Restaurants, Inc. | 2,654 | 240,028 | ||||||
Dollar General Corp. | 3,200 | 230,688 | ||||||
Dollar Tree, Inc. (a) | 48 | 3,356 | ||||||
Foot Locker, Inc. | 9,100 | 448,448 | ||||||
The Gap, Inc. | 70,590 | 1,552,274 | ||||||
Genuine Parts Co. | 2,834 | 262,882 | ||||||
The Home Depot, Inc. | 10,327 | 1,584,162 | ||||||
Kohl’s Corp. | 29,230 | 1,130,324 | ||||||
L Brands, Inc. | 2,200 | 118,558 | ||||||
Lowe’s Cos., Inc. | 14,295 | 1,108,291 | ||||||
Macy’s, Inc. | 24,751 | 575,213 | ||||||
McDonald’s Corp. | 7,350 | 1,125,726 | ||||||
Nordstrom, Inc. | 2,308 | 110,392 | ||||||
O’Reilly Automotive, Inc. (a) | 333 | 72,840 | ||||||
PVH Corp. | 16,520 | 1,891,540 |
Number of Shares | Value | |||||||
Ross Stores, Inc. | 14,044 | $ | 810,760 | |||||
Staples, Inc. | 81,365 | 819,345 | ||||||
Starbucks Corp. | 8,654 | 504,615 | ||||||
Target Corp. | 15,086 | 788,847 | ||||||
Tiffany & Co. | 802 | 75,284 | ||||||
The TJX Cos., Inc. | 14,106 | 1,018,030 | ||||||
Wal-Mart Stores, Inc. | 34,922 | 2,642,897 | ||||||
Walgreens Boots Alliance, Inc. | 16,557 | 1,296,579 | ||||||
Yum! Brands, Inc. | 435 | 32,086 | ||||||
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24,378,899 | ||||||||
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Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 3,861 | 430,540 | ||||||
Mattel, Inc. | 2,090 | 44,998 | ||||||
|
| |||||||
475,538 | ||||||||
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| |||||||
49,204,561 | ||||||||
|
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Consumer, Non-cyclical — 13.8% | ||||||||
Agriculture — 1.1% | ||||||||
Altria Group, Inc. | 43,859 | 3,266,180 | ||||||
Archer-Daniels-Midland Co. | 11,392 | 471,401 | ||||||
Philip Morris International, Inc. | 30,926 | 3,632,258 | ||||||
Reynolds American, Inc. | 3,576 | 232,583 | ||||||
|
| |||||||
7,602,422 | ||||||||
|
| |||||||
Beverages — 0.8% | ||||||||
Brown-Forman Corp. Class B | 12 | 583 | ||||||
The Coca-Cola Co. | 41,930 | 1,880,561 | ||||||
Constellation Brands, Inc. Class A | 262 | 50,757 | ||||||
Dr. Pepper Snapple Group, Inc. | 4,404 | 401,248 | ||||||
PepsiCo, Inc. | 23,400 | 2,702,466 | ||||||
|
| |||||||
5,035,615 | ||||||||
|
| |||||||
Biotechnology — 1.6% | ||||||||
Amgen, Inc. | 24,721 | 4,257,698 | ||||||
Biogen, Inc. (a) | 3,662 | 993,720 | ||||||
Celgene Corp. (a) | 11,216 | 1,456,622 | ||||||
Gilead Sciences, Inc. | 54,610 | 3,865,296 | ||||||
|
| |||||||
10,573,336 | ||||||||
|
| |||||||
Commercial Services — 1.3% | ||||||||
Automatic Data Processing, Inc. | 4,809 | 492,730 | ||||||
Cintas Corp. | 1,878 | 236,703 | ||||||
Ecolab, Inc. | 2 | 266 | ||||||
Equifax, Inc. | 132 | 18,140 | ||||||
H&R Block, Inc. | 69,563 | 2,150,192 | ||||||
Moody’s Corp. | 3,330 | 405,194 | ||||||
PayPal Holdings, Inc. (a) | 77 | 4,133 | ||||||
Quanta Services, Inc. (a) | 13,913 | 458,016 | ||||||
Robert Half International, Inc. | 26 | 1,246 | ||||||
S&P Global, Inc. | 14,688 | 2,144,301 | ||||||
Total System Services, Inc. | 2,707 | 157,683 | ||||||
United Rentals, Inc. (a) | 13,880 | 1,564,415 | ||||||
The Western Union Co. | 41,488 | 790,346 | ||||||
|
| |||||||
8,423,365 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
8
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Cosmetics & Personal Care — 0.9% | ||||||||
Colgate-Palmolive Co. | 5,906 | $ | 437,812 | |||||
The Estee Lauder Cos., Inc. Class A | 7,910 | 759,202 | ||||||
The Procter & Gamble Co. | 59,029 | 5,144,377 | ||||||
|
| |||||||
6,341,391 | ||||||||
|
| |||||||
Foods — 0.6% | ||||||||
Campbell Soup Co. | 1,624 | 84,692 | ||||||
Conagra Brands, Inc. | 28,474 | 1,018,230 | ||||||
General Mills, Inc. | 1,962 | 108,695 | ||||||
The Hershey Co. | 1,647 | 176,838 | ||||||
Hormel Foods Corp. | 15,732 | 536,619 | ||||||
The J.M. Smucker Co. | 845 | 99,989 | ||||||
Kellogg Co. | 8,428 | 585,409 | ||||||
The Kraft Heinz Co. | 4,958 | 424,603 | ||||||
The Kroger Co. | 58 | 1,353 | ||||||
McCormick & Co., Inc. | 161 | 15,699 | ||||||
Mondelez International, Inc. Class A | 4,075 | 175,999 | ||||||
Sysco Corp. | 5,334 | 268,460 | ||||||
Tyson Foods, Inc. Class A | 4,301 | 269,372 | ||||||
Whole Foods Market, Inc. | 550 | 23,160 | ||||||
|
| |||||||
3,789,118 | ||||||||
|
| |||||||
Health Care – Products — 1.6% | ||||||||
Abbott Laboratories | 29,601 | 1,438,905 | ||||||
Baxter International, Inc. | 47,461 | 2,873,289 | ||||||
Becton, Dickinson & Co. | 7,690 | 1,500,396 | ||||||
Boston Scientific Corp. (a) | 5,300 | 146,916 | ||||||
C.R. Bard, Inc. | 202 | 63,854 | ||||||
Danaher Corp. | 4,756 | 401,359 | ||||||
DENTSPLY SIRONA, Inc. | 256 | 16,599 | ||||||
Edwards Lifesciences Corp. (a) | 980 | 115,875 | ||||||
Hologic, Inc. (a) | 7,400 | 335,812 | ||||||
Intuitive Surgical, Inc. (a) | 96 | 89,796 | ||||||
Medtronic PLC | 23,600 | 2,094,500 | ||||||
Patterson Cos., Inc. | 86 | 4,038 | ||||||
Stryker Corp. | 480 | 66,614 | ||||||
Thermo Fisher Scientific, Inc. | 3,971 | 692,820 | ||||||
Varian Medical Systems, Inc. (a) | 2,097 | 216,389 | ||||||
Zimmer Biomet Holdings, Inc. | 2,455 | 315,222 | ||||||
|
| |||||||
10,372,384 | ||||||||
|
| |||||||
Health Care – Services — 2.0% | ||||||||
Aetna, Inc. | 6,227 | 945,445 | ||||||
Anthem, Inc. | 5,796 | 1,090,402 | ||||||
Centene Corp. (a) | 22,100 | 1,765,348 | ||||||
Cigna Corp. | 712 | 119,182 | ||||||
DaVita, Inc. (a) | 13,930 | 902,107 | ||||||
Envision Healthcare Corp. (a) | 100 | 6,267 | ||||||
HCA Healthcare, Inc. (a) | 13,600 | 1,185,920 | ||||||
Humana, Inc. | 1,084 | 260,832 | ||||||
Laboratory Corp. of America Holdings (a) | 2 | 308 | ||||||
Quest Diagnostics, Inc. | 3,309 | 367,828 |
Number of Shares | Value | |||||||
UnitedHealth Group, Inc. | 37,104 | $ | 6,879,824 | |||||
Universal Health Services, Inc. Class B | 50 | 6,104 | ||||||
|
| |||||||
13,529,567 | ||||||||
|
| |||||||
Household Products & Wares — 0.2% | ||||||||
Avery Dennison Corp. | 1,915 | 169,229 | ||||||
The Clorox Co. | 723 | 96,332 | ||||||
Kimberly-Clark Corp. | 7,345 | 948,313 | ||||||
|
| |||||||
1,213,874 | ||||||||
|
| |||||||
Pharmaceuticals — 3.7% | ||||||||
AbbVie, Inc. | 32,022 | 2,321,915 | ||||||
Allergan PLC | 5,570 | 1,354,011 | ||||||
AmerisourceBergen Corp. | 3,907 | 369,329 | ||||||
Bristol-Myers Squibb Co. | 11,567 | 644,513 | ||||||
Cardinal Health, Inc. | 78 | 6,078 | ||||||
Eli Lilly & Co. | 3,614 | 297,432 | ||||||
Express Scripts Holding Co. (a) | 18,801 | 1,200,256 | ||||||
Johnson & Johnson | 59,552 | 7,878,134 | ||||||
Mallinckrodt PLC (a) | 27,700 | 1,241,237 | ||||||
McKesson Corp. | 7,525 | 1,238,164 | ||||||
Merck & Co., Inc. | 51,583 | 3,305,954 | ||||||
Mylan NV (a) | 10,147 | 393,907 | ||||||
Pfizer, Inc. | 128,141 | 4,304,256 | ||||||
|
| |||||||
24,555,186 | ||||||||
|
| |||||||
91,436,258 | ||||||||
|
| |||||||
Diversified — 0.0% | ||||||||
Holding Company – Diversified — 0.0% | ||||||||
Leucadia National Corp. | 37 | 968 | ||||||
|
| |||||||
Energy — 3.1% | ||||||||
Oil & Gas — 2.8% | ||||||||
Anadarko Petroleum Corp. | 48 | 2,176 | ||||||
Apache Corp. | 21 | 1,006 | ||||||
Cabot Oil & Gas Corp. | 48 | 1,204 | ||||||
Chesapeake Energy Corp. (a) | 90 | 447 | ||||||
Chevron Corp. | 40,508 | 4,226,200 | ||||||
ConocoPhillips | 12,739 | 560,006 | ||||||
Devon Energy Corp. | 447 | 14,291 | ||||||
EOG Resources, Inc. | 8 | 724 | ||||||
EQT Corp. | 97 | 5,683 | ||||||
Exxon Mobil Corp. | 73,797 | 5,957,632 | ||||||
Helmerich & Payne, Inc. | 60 | 3,260 | ||||||
Hess Corp. | 32 | 1,404 | ||||||
Marathon Oil Corp. | 9,427 | 111,710 | ||||||
Marathon Petroleum Corp. | 43,506 | 2,276,669 | ||||||
Murphy Oil Corp. | 11 | 282 | ||||||
Newfield Exploration Co. (a) | 14,500 | 412,670 | ||||||
Noble Energy, Inc. | 56 | 1,585 | ||||||
Occidental Petroleum Corp. | 15 | 898 | ||||||
Phillips 66 | 11,669 | 964,910 | ||||||
Pioneer Natural Resources Co. | 1 | 160 | ||||||
Range Resources Corp. | 99 | 2,294 |
The accompanying notes are an integral part of the financial statements.
9
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Tesoro Corp. | 4,787 | $ | 448,063 | |||||
Transocean Ltd. (a) | 122,500 | 1,008,175 | ||||||
Valero Energy Corp. | 33,500 | 2,259,910 | ||||||
|
| |||||||
18,261,359 | ||||||||
|
| |||||||
Oil & Gas Services — 0.3% | ||||||||
Baker Hughes, Inc. | 13,131 | 715,771 | ||||||
Halliburton Co. | 14,467 | 617,886 | ||||||
National Oilwell Varco, Inc. | 5,594 | 184,266 | ||||||
Schlumberger Ltd. | 5,131 | 337,825 | ||||||
TechnipFMC PLC (a) | 8,340 | 226,848 | ||||||
|
| |||||||
2,082,596 | ||||||||
|
| |||||||
Pipelines — 0.0% | ||||||||
Kinder Morgan, Inc. | 38 | 728 | ||||||
The Williams Cos., Inc. | 48 | 1,453 | ||||||
|
| |||||||
2,181 | ||||||||
|
| |||||||
20,346,136 | ||||||||
|
| |||||||
Financial — 14.5% | ||||||||
Banks — 7.7% | ||||||||
Bank of America Corp. | 354,698 | 8,604,974 | ||||||
The Bank of New York Mellon Corp. | 29,707 | 1,515,651 | ||||||
BB&T Corp. | 18,566 | 843,082 | ||||||
Capital One Financial Corp. | 9,142 | 755,312 | ||||||
Citigroup, Inc. | 104,951 | 7,019,123 | ||||||
Citizens Financial Group, Inc. | 34,500 | 1,230,960 | ||||||
Comerica, Inc. | 21,421 | 1,568,874 | ||||||
Fifth Third Bancorp | 27,021 | 701,465 | ||||||
The Goldman Sachs Group, Inc. | 9,350 | 2,074,765 | ||||||
Huntington Bancshares, Inc. | 6,800 | 91,936 | ||||||
JP Morgan Chase & Co. | 114,222 | 10,439,891 | ||||||
KeyCorp | 79,564 | 1,491,029 | ||||||
M&T Bank Corp. | 1,355 | 219,442 | ||||||
Morgan Stanley | 54,097 | 2,410,562 | ||||||
Northern Trust Corp. | 5,059 | 491,785 | ||||||
The PNC Financial Services Group, Inc. | 12,918 | 1,613,071 | ||||||
Regions Financial Corp. | 79,415 | 1,162,636 | ||||||
State Street Corp. | 8,176 | 733,632 | ||||||
SunTrust Banks, Inc. | 12,100 | 686,312 | ||||||
US Bancorp | 29,202 | 1,516,168 | ||||||
Wells Fargo & Co. | 80,916 | 4,483,556 | ||||||
Zions Bancorp | 27,141 | 1,191,761 | ||||||
|
| |||||||
50,845,987 | ||||||||
|
| |||||||
Diversified Financial Services — 2.5% | ||||||||
Alliance Data Systems Corp. | 3,460 | 888,147 | ||||||
Altaba, Inc. (a) | 15,529 | 846,020 | ||||||
American Express Co. | 22,449 | 1,891,104 | ||||||
Ameriprise Financial, Inc. | 11,356 | 1,445,505 | ||||||
BlackRock, Inc. | 880 | 371,721 | ||||||
The Charles Schwab Corp. | 18,112 | 778,092 | ||||||
Discover Financial Services | 17,783 | 1,105,925 | ||||||
E*TRADE Financial Corp. (a) | 54,061 | 2,055,940 |
Number of Shares | Value | |||||||
Franklin Resources, Inc. | 38,387 | $ | 1,719,354 | |||||
Intercontinental Exchange, Inc. | 15 | 989 | ||||||
Invesco Ltd. | 45,112 | 1,587,491 | ||||||
Mastercard, Inc. Class A | 9,020 | 1,095,479 | ||||||
Nasdaq, Inc. | 45 | 3,217 | ||||||
Navient Corp. | 34,591 | 575,940 | ||||||
Raymond James Financial, Inc. | 14,700 | 1,179,234 | ||||||
Synchrony Financial | 20,100 | 599,382 | ||||||
T. Rowe Price Group, Inc. | 8,406 | 623,809 | ||||||
Visa, Inc. Class A | 12 | 1,125 | ||||||
|
| |||||||
16,768,474 | ||||||||
|
| |||||||
Insurance — 3.4% | ||||||||
Aflac, Inc. | 14,472 | 1,124,185 | ||||||
The Allstate Corp. | 12,035 | 1,064,375 | ||||||
American International Group, Inc. | 13,046 | 815,636 | ||||||
Aon PLC | 3,445 | 458,013 | ||||||
Assurant, Inc. | 396 | 41,061 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 20,616 | 3,491,732 | ||||||
Chubb Ltd. | 9,818 | 1,427,341 | ||||||
Cincinnati Financial Corp. | 4,419 | 320,157 | ||||||
The Hartford Financial Services Group, Inc. | 8,152 | 428,551 | ||||||
Lincoln National Corp. | 30,851 | 2,084,911 | ||||||
Loews Corp. | 30,283 | 1,417,547 | ||||||
Marsh & McLennan Cos., Inc. | 5,813 | 453,181 | ||||||
MetLife, Inc. | 18,190 | 999,359 | ||||||
Principal Financial Group, Inc. | 22,229 | 1,424,212 | ||||||
The Progressive Corp. | 18,114 | 798,646 | ||||||
Prudential Financial, Inc. | 16,827 | 1,819,672 | ||||||
Torchmark Corp. | 2,582 | 197,523 | ||||||
The Travelers Cos., Inc. | 2,287 | 289,374 | ||||||
Unum Group | 49,331 | 2,300,304 | ||||||
XL Group Ltd. | 33,388 | 1,462,394 | ||||||
|
| |||||||
22,418,174 | ||||||||
|
| |||||||
Real Estate — 0.0% | ||||||||
CBRE Group, Inc. Class A (a) | 6,287 | 228,847 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.8% | ||||||||
American Tower Corp. | 589 | 77,937 | ||||||
Apartment Investment & Management Co. Class A | 685 | 29,434 | ||||||
AvalonBay Communities, Inc. | 2,081 | 399,906 | ||||||
Boston Properties, Inc. | 3 | 369 | ||||||
Equity Residential | 56 | 3,686 | ||||||
Essex Property Trust, Inc. | 1,500 | 385,905 | ||||||
Extra Space Storage, Inc. | 7,000 | 546,000 | ||||||
GGP, Inc. | 19,700 | 464,132 | ||||||
HCP, Inc. | 21,335 | 681,867 | ||||||
Host Hotels & Resorts, Inc. | 27,837 | 508,582 | ||||||
Iron Mountain, Inc. | 48 | 1,649 | ||||||
Kimco Realty Corp. | 2,767 | 50,774 | ||||||
The Macerich Co. | 100 | 5,806 | ||||||
Prologis, Inc. | 15,338 | 899,420 |
The accompanying notes are an integral part of the financial statements.
10
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Public Storage | 203 | $ | 42,332 | |||||
Simon Property Group, Inc. | 645 | 104,335 | ||||||
SL Green Realty Corp. | 2,300 | 243,340 | ||||||
Ventas, Inc. | 8,825 | 613,161 | ||||||
Vornado Realty Trust | 1,373 | 128,925 | ||||||
Welltower, Inc. | 2,100 | 157,185 | ||||||
Weyerhaeuser Co. | 26 | 871 | ||||||
|
| |||||||
5,345,616 | ||||||||
|
| |||||||
Savings & Loans — 0.1% | ||||||||
People’s United Financial, Inc. | 25,351 | 447,699 | ||||||
|
| |||||||
96,054,797 | ||||||||
|
| |||||||
Industrial — 6.7% | ||||||||
Aerospace & Defense — 1.5% | ||||||||
Arconic, Inc. | 31,208 | 706,861 | ||||||
The Boeing Co. | 23,342 | 4,615,881 | ||||||
General Dynamics Corp. | 602 | 119,256 | ||||||
Harris Corp. | 770 | 83,992 | ||||||
L3 Technologies, Inc. | 5,290 | 883,853 | ||||||
Lockheed Martin Corp. | 1,530 | 424,743 | ||||||
Northrop Grumman Corp. | 3,968 | 1,018,625 | ||||||
Raytheon Co. | 5,149 | 831,461 | ||||||
Rockwell Collins, Inc. | 68 | 7,145 | ||||||
United Technologies Corp. | 9,620 | 1,174,698 | ||||||
|
| |||||||
9,866,515 | ||||||||
|
| |||||||
Building Materials — 0.0% | ||||||||
Johnson Controls International PLC | 65 | 2,819 | ||||||
Martin Marietta Materials, Inc. | 490 | 109,064 | ||||||
Masco Corp. | 25 | 955 | ||||||
Vulcan Materials Co. | 5 | 633 | ||||||
|
| |||||||
113,471 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.1% | ||||||||
Emerson Electric Co. | 15,169 | 904,376 | ||||||
|
| |||||||
Electronics — 1.6% | ||||||||
Agilent Technologies, Inc. | 7,963 | 472,286 | ||||||
Allegion PLC | 33 | 2,677 | ||||||
Amphenol Corp. Class A | 14,364 | 1,060,351 | ||||||
Corning, Inc. | 63,267 | 1,901,173 | ||||||
FLIR Systems, Inc. | 2,852 | 98,850 | ||||||
Fortive Corp. | 5,878 | 372,371 | ||||||
Garmin Ltd. | 2,100 | 107,163 | ||||||
Honeywell International, Inc. | 27,812 | 3,707,062 | ||||||
PerkinElmer, Inc. | 2,720 | 185,341 | ||||||
TE Connectivity Ltd. | 22,500 | 1,770,300 | ||||||
Waters Corp. (a) | 5,060 | 930,230 | ||||||
|
| |||||||
10,607,804 | ||||||||
|
| |||||||
Engineering & Construction — 0.3% | ||||||||
Fluor Corp. | 2,709 | 124,018 | ||||||
Jacobs Engineering Group, Inc. | 32,420 | 1,763,324 | ||||||
|
| |||||||
1,887,342 | ||||||||
|
|
Number of Shares | Value | |||||||
Environmental Controls — 0.0% | ||||||||
Republic Services, Inc. | 337 | $ | 21,477 | |||||
Stericycle, Inc. (a) | 97 | 7,403 | ||||||
Waste Management, Inc. | 3,073 | 225,405 | ||||||
|
| |||||||
254,285 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.1% | ||||||||
Snap-on, Inc. | 1,671 | 264,018 | ||||||
Stanley Black & Decker, Inc. | 4,499 | 633,144 | ||||||
|
| |||||||
897,162 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.3% | ||||||||
Caterpillar, Inc. | 17,475 | 1,877,864 | ||||||
|
| |||||||
Machinery – Diversified — 0.5% | ||||||||
Cummins, Inc. | 12,485 | 2,025,317 | ||||||
Deere & Co. | 5,870 | 725,473 | ||||||
Flowserve Corp. | 70 | 3,250 | ||||||
Rockwell Automation, Inc. | 2,793 | 452,354 | ||||||
Roper Technologies, Inc. | 663 | 153,504 | ||||||
Xylem, Inc. | 3,355 | 185,968 | ||||||
|
| |||||||
3,545,866 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.3% | ||||||||
3M Co. | 13,312 | 2,771,425 | ||||||
Dover Corp. | 15,273 | 1,225,200 | ||||||
Eaton Corp. PLC | 12,566 | 978,012 | ||||||
General Electric Co. | 21,086 | 569,533 | ||||||
Illinois Tool Works, Inc. | 5,425 | 777,131 | ||||||
Ingersoll-Rand PLC | 9,600 | 877,344 | ||||||
Parker-Hannifin Corp. | 5,228 | 835,539 | ||||||
Pentair PLC | 23 | 1,531 | ||||||
Textron, Inc. | 6,372 | 300,121 | ||||||
|
| |||||||
8,335,836 | ||||||||
|
| |||||||
Packaging & Containers — 0.2% | ||||||||
Ball Corp. | 4 | 169 | ||||||
Sealed Air Corp. | 53 | 2,372 | ||||||
WestRock Co. | 19,567 | 1,108,666 | ||||||
|
| |||||||
1,111,207 | ||||||||
|
| |||||||
Transportation — 0.8% | ||||||||
C.H. Robinson Worldwide, Inc. | 7,720 | 530,210 | ||||||
CSX Corp. | 17,207 | 938,814 | ||||||
Expeditors International of Washington, Inc. | 126 | 7,116 | ||||||
FedEx Corp. | 800 | 173,864 | ||||||
Norfolk Southern Corp. | 7,813 | 950,842 | ||||||
Ryder System, Inc. | 338 | 24,329 | ||||||
Union Pacific Corp. | 16,712 | 1,820,104 | ||||||
United Parcel Service, Inc. Class B | 4,880 | 539,679 | ||||||
|
| |||||||
4,984,958 | ||||||||
|
| |||||||
44,386,686 | ||||||||
|
| |||||||
Technology — 11.0% | ||||||||
Computers — 4.4% | ||||||||
Accenture PLC Class A | 11,530 | 1,426,030 |
The accompanying notes are an integral part of the financial statements.
11
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Apple, Inc. | 109,467 | $ | 15,765,437 | |||||
Cognizant Technology Solutions Corp. Class A | 56 | 3,718 | ||||||
CSRA, Inc. | 1,926 | 61,151 | ||||||
DXC Technology Co. | 5,779 | 443,365 | ||||||
Hewlett Packard Enterprise Co. | 67,274 | 1,116,076 | ||||||
HP, Inc. | 83,774 | 1,464,370 | ||||||
International Business Machines Corp. | 20,350 | 3,130,441 | ||||||
NetApp, Inc. | 19,898 | 796,915 | ||||||
Seagate Technology PLC | 49,200 | 1,906,500 | ||||||
Teradata Corp. (a) | 53,286 | 1,571,404 | ||||||
Western Digital Corp. | 18,647 | 1,652,124 | ||||||
|
| |||||||
29,337,531 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Xerox Corp. | 18,536 | 532,539 | ||||||
|
| |||||||
Semiconductors — 2.8% | ||||||||
Analog Devices, Inc. | 27,872 | 2,168,442 | ||||||
Applied Materials, Inc. | 34,239 | 1,414,413 | ||||||
Broadcom Ltd. | 1,959 | 456,545 | ||||||
Intel Corp. | 69,523 | 2,345,706 | ||||||
KLA-Tencor Corp. | 19,689 | 1,801,740 | ||||||
Lam Research Corp. | 10,423 | 1,474,125 | ||||||
Microchip Technology, Inc. | 21 | 1,621 | ||||||
Micron Technology, Inc. (a) | 65,717 | 1,962,310 | ||||||
NVIDIA Corp. | 8,126 | 1,174,694 | ||||||
QUALCOMM, Inc. | 24,000 | 1,325,280 | ||||||
Skyworks Solutions, Inc. | 90 | 8,635 | ||||||
Texas Instruments, Inc. | 41,274 | 3,175,209 | ||||||
Xilinx, Inc. | 19,256 | 1,238,546 | ||||||
|
| |||||||
18,547,266 | ||||||||
|
| |||||||
Software — 3.7% | ||||||||
Activision Blizzard, Inc. | 4,700 | 270,579 | ||||||
Adobe Systems, Inc. (a) | 17,910 | 2,533,191 | ||||||
Akamai Technologies, Inc. (a) | 26 | 1,295 | ||||||
Autodesk, Inc. (a) | 37 | 3,730 | ||||||
CA, Inc. | 5,673 | 195,548 | ||||||
Citrix Systems, Inc. (a) | 7,677 | 610,936 | ||||||
Electronic Arts, Inc. (a) | 9,037 | 955,392 | ||||||
Fidelity National Information Services, Inc. | 1,200 | 102,480 | ||||||
Fiserv, Inc. (a) | 1,676 | 205,042 | ||||||
Intuit, Inc. | 1,490 | 197,887 | ||||||
Microsoft Corp. | 222,495 | 15,336,580 | ||||||
Oracle Corp. | 64,157 | 3,216,832 | ||||||
Paychex, Inc. | 5,164 | 294,038 | ||||||
Red Hat, Inc. (a) | 3,721 | 356,286 | ||||||
salesforce.com, Inc. (a) | 44 | 3,810 | ||||||
|
| |||||||
24,283,626 | ||||||||
|
| |||||||
72,700,962 | ||||||||
|
|
Number of Shares | Value | |||||||
Utilities — 1.7% | ||||||||
Electric — 1.6% | ||||||||
The AES Corp. | 9,087 | $ | 100,957 | |||||
Ameren Corp. | 660 | 36,082 | ||||||
American Electric Power Co., Inc. | 8,385 | 582,506 | ||||||
CenterPoint Energy, Inc. | 6,431 | 176,081 | ||||||
CMS Energy Corp. | 7,903 | 365,514 | ||||||
Consolidated Edison, Inc. | 2,182 | 176,349 | ||||||
Dominion Energy, Inc. | 1,716 | 131,497 | ||||||
DTE Energy Co. | 8,860 | 937,299 | ||||||
Duke Energy Corp. | 15,190 | 1,269,732 | ||||||
Edison International | 8,226 | 643,191 | ||||||
Entergy Corp. | 1,198 | 91,970 | ||||||
Eversource Energy | 812 | 49,297 | ||||||
Exelon Corp. | 22,140 | 798,590 | ||||||
FirstEnergy Corp. | 2,880 | 83,981 | ||||||
NextEra Energy, Inc. | 14,450 | 2,024,879 | ||||||
PG&E Corp. | 13,916 | 923,605 | ||||||
Pinnacle West Capital Corp. | 1,396 | 118,883 | ||||||
PPL Corp. | 11,618 | 449,152 | ||||||
Public Service Enterprise Group, Inc. | 17,624 | 758,008 | ||||||
SCANA Corp. | 3,647 | 244,386 | ||||||
The Southern Co. | 7,922 | 379,305 | ||||||
WEC Energy Group, Inc. | 4,542 | 278,788 | ||||||
Xcel Energy, Inc. | 5,472 | 251,055 | ||||||
|
| |||||||
10,871,107 | ||||||||
|
| |||||||
Gas — 0.1% | ||||||||
NiSource, Inc. | 713 | 18,081 | ||||||
Sempra Energy | 4,261 | 480,428 | ||||||
|
| |||||||
498,509 | ||||||||
|
| |||||||
11,369,616 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $316,611,464) | 457,044,492 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Insurance — 0.1% | ||||||||
The Allstate Corp. 5.100%, 3 mo. LIBOR US + 3.165%, VRN | 20,000 | 560,000 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $500,000) | 560,000 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $317,111,464) | 457,604,492 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
12
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
BONDS & NOTES — 30.4% | ||||||||
CORPORATE DEBT — 10.1% | ||||||||
Advertising — 0.0% | ||||||||
WPP Finance 2010 | $ | 204,000 | $ | 234,683 | ||||
|
| |||||||
Aerospace & Defense — 0.0% | ||||||||
United Technologies Corp. | 80,000 | 104,789 | ||||||
|
| |||||||
Agriculture — 0.1% | ||||||||
Bunge Ltd. Finance Corp. | 165,000 | 157,655 | ||||||
Bunge Ltd. Finance Corp. | 160,000 | 164,034 | ||||||
Philip Morris International, Inc. | 35,000 | 46,163 | ||||||
Reynolds American, Inc. | 120,000 | 146,976 | ||||||
|
| |||||||
514,828 | ||||||||
|
| |||||||
Airlines — 0.3% | ||||||||
American Airlines Group, Inc. (b) | 681,000 | 717,161 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class A | 90,072 | 92,324 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 35,060 | 35,805 | ||||||
Delta Air Lines, Inc. | 290,000 | 297,710 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | 316,120 | 328,765 | ||||||
United Airlines Pass-Through Trust, Series 2014-1, Class A | 115,406 | 120,455 | ||||||
WestJet Airlines Ltd. (b) | 117,000 | 119,568 | ||||||
|
| |||||||
1,711,788 | ||||||||
|
| |||||||
Auto Manufacturers — 0.2% | ||||||||
Ford Motor Co. | 80,000 | 82,105 | ||||||
General Motors Financial Co., Inc. | 289,000 | 292,949 | ||||||
General Motors Financial Co., Inc. | 390,000 | 390,604 | ||||||
General Motors Financial Co., Inc. | 330,000 | 336,242 | ||||||
Hyundai Capital America (b) | 170,000 | 170,638 |
Principal Amount | Value | |||||||
Hyundai Capital America (b) | $ | 135,000 | $ | 136,110 | ||||
|
| |||||||
1,408,648 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.0% | ||||||||
Lear Corp. | 198,000 | 204,859 | ||||||
Lear Corp. | 85,000 | 90,286 | ||||||
|
| |||||||
295,145 | ||||||||
|
| |||||||
Banks — 1.5% | ||||||||
Associated Banc-Corp. | 460,000 | 463,410 | ||||||
Associated Banc-Corp. | 494,000 | 503,845 | ||||||
Banco Santander SA | 200,000 | 207,568 | ||||||
Bancolombia SA | 205,000 | 226,341 | ||||||
Bank of America Corp. | 465,000 | 472,945 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + 1.814%, VRN | 240,000 | 249,565 | ||||||
Bank of America Corp. | 220,000 | 236,267 | ||||||
Bank of America Corp. | 100,000 | 122,395 | ||||||
Bank of America Corp. | 95,000 | 136,619 | ||||||
The Bank of Nova Scotia | 200,000 | 210,201 | ||||||
Barclays PLC | 260,000 | 267,284 | ||||||
BNP Paribas SA (b) | 210,000 | 212,091 | ||||||
Capital One Financial Corp. | 275,000 | 276,191 | ||||||
Citigroup, Inc. | 562,000 | 565,473 | ||||||
Citigroup, Inc. | 90,000 | 138,180 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | 265,000 | 275,330 | ||||||
First Horizon National Corp. | 625,000 | 641,026 | ||||||
First Republic Bank | 685,000 | 671,627 | ||||||
Fulton Financial Corp. | 230,000 | 232,717 | ||||||
The Goldman Sachs Group, Inc. | 225,000 | 242,897 |
The accompanying notes are an integral part of the financial statements.
13
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
The Goldman Sachs Group, Inc. | $ | 212,000 | $ | 247,450 | ||||
The Goldman Sachs Group, Inc. | 60,000 | 78,377 | ||||||
The Goldman Sachs Group, Inc. | 75,000 | 97,353 | ||||||
HSBC Holdings PLC 3 mo. USD LIBOR + 1.055%, VRN | 255,000 | 259,832 | ||||||
ICICI Bank Ltd. (b) | 395,000 | 401,220 | ||||||
JP Morgan Chase & Co. | 140,000 | 142,066 | ||||||
JP Morgan Chase & Co. | 380,000 | 376,110 | ||||||
JP Morgan Chase & Co. | 50,000 | 53,624 | ||||||
JP Morgan Chase & Co. | 195,000 | 241,826 | ||||||
Regions Bank | 130,000 | 136,093 | ||||||
SVB Financial Group | 460,000 | 451,504 | ||||||
SVB Financial Group | 75,000 | 81,627 | ||||||
Synchrony Bank | 275,000 | 273,759 | ||||||
Turkiye Garanti Bankasi AS (b) | 445,000 | 454,915 | ||||||
UBS Group Funding Switzerland AG (b) | 260,000 | 266,007 | ||||||
Valley National Bancorp | 245,000 | 263,713 | ||||||
|
| |||||||
10,177,448 | ||||||||
|
| |||||||
Beverages — 0.1% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 575,000 | 648,968 | ||||||
Molson Coors Brewing Co. | 90,000 | 88,756 | ||||||
|
| |||||||
737,724 | ||||||||
|
| |||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc. | 115,000 | 128,186 | ||||||
Baxalta, Inc. | 105,000 | 108,731 | ||||||
Baxalta, Inc. | 140,000 | 164,313 | ||||||
|
| |||||||
401,230 | ||||||||
|
| |||||||
Building Materials — 0.2% | ||||||||
James Hardie International Finance Ltd. (b) | 375,000 | 392,812 |
Principal Amount | Value | |||||||
Owens Corning | $ | 55,000 | $ | 61,701 | ||||
Standard Industries, Inc. (b) | 471,000 | 480,420 | ||||||
Standard Industries, Inc. (b) | 246,000 | 259,223 | ||||||
Standard Industries, Inc. (b) | 178,000 | 187,790 | ||||||
|
| |||||||
1,381,946 | ||||||||
|
| |||||||
Chemicals — 0.2% | ||||||||
Celanese US Holdings LLC | 175,000 | 188,503 | ||||||
CF Industries, Inc. | 450,000 | 467,438 | ||||||
Incitec Pivot Finance LLC (b) | 110,000 | 117,557 | ||||||
Monsanto Co. | 100,000 | 101,706 | ||||||
RPM International, Inc. | 110,000 | 111,782 | ||||||
RPM International, Inc. | 100,000 | 108,499 | ||||||
The Sherwin-Williams Co. | 105,000 | 110,022 | ||||||
The Sherwin-Williams Co. (b) | 125,000 | 136,996 | ||||||
|
| |||||||
1,342,503 | ||||||||
|
| |||||||
Commercial Services — 0.1% | ||||||||
The ADT Corp. | 440,000 | 479,050 | ||||||
ERAC USA Finance LLC (b) | 78,000 | 96,869 | ||||||
|
| |||||||
575,919 | ||||||||
|
| |||||||
Computers — 0.3% | ||||||||
Dell International LLC/ EMC Corp. (b) | 450,000 | 460,519 | ||||||
Dell International LLC/EMC Corp. (b) | 380,000 | 400,603 | ||||||
Dell International LLC/EMC Corp. (b) | 76,000 | 83,715 | ||||||
DXC Technology Co. (b) | 90,000 | 91,132 | ||||||
DXC Technology Co. (b) | 140,000 | 144,848 | ||||||
DXC Technology Co. (b) | 275,000 | 286,738 | ||||||
Leidos Holdings, Inc. | 835,000 | 872,575 | ||||||
|
| |||||||
2,340,130 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
14
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Diversified Financial Services — 0.9% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | $ | 590,000 | $ | 625,981 | ||||
Affiliated Managers Group, Inc. | 290,000 | 289,339 | ||||||
Air Lease Corp. | 465,000 | 462,325 | ||||||
Air Lease Corp. | 375,000 | 381,976 | ||||||
Ally Financial, Inc. | 485,000 | 490,917 | ||||||
Ally Financial, Inc. | 129,000 | 130,451 | ||||||
Ally Financial, Inc. | 260,000 | 267,150 | ||||||
Ares Finance Co. LLC (b) | 355,000 | 340,847 | ||||||
Brookfield Finance LLC | 455,000 | 466,727 | ||||||
CIT Group, Inc. | 287,000 | 294,175 | ||||||
CIT Group, Inc. (b) | 54,000 | 56,700 | ||||||
Discover Financial Services | 265,000 | 265,458 | ||||||
Genpact Luxembourg Sarl (b) | 360,000 | 364,528 | ||||||
International Lease Finance Corp. | 270,000 | 274,109 | ||||||
International Lease Finance Corp. | 15,000 | 16,089 | ||||||
Lazard Group LLC | 184,000 | 181,744 | ||||||
Lazard Group LLC | 600,000 | 633,007 | ||||||
Legg Mason, Inc. | 175,000 | 185,872 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (b) | 170,000 | 177,942 | ||||||
|
| |||||||
5,905,337 | ||||||||
|
| |||||||
Electric — 0.6% | ||||||||
Duke Energy Corp. | 195,000 | 185,245 | ||||||
EDP Finance BV (b) | 420,000 | 416,825 | ||||||
Entergy Louisiana LLC | 165,000 | 170,170 | ||||||
Florida Power & Light Co. | 125,000 | 144,910 | ||||||
IPALCO Enterprises, Inc. | 615,000 | 622,687 |
Principal Amount | Value | |||||||
Israel Electric Corp. Ltd. (b) | $ | 200,000 | $ | 214,478 | ||||
Majapahit Holding BV (b) | 195,000 | 217,912 | ||||||
Nevada Power Co., Series N | 135,000 | 182,054 | ||||||
Oncor Electric Delivery Co. | 40,000 | 58,878 | ||||||
Pacific Gas & Electric Co. | 120,000 | 153,066 | ||||||
Pennsylvania Electric Co. (b) | 295,000 | 300,166 | ||||||
Progress Energy, Inc. | 25,000 | 33,100 | ||||||
Puget Energy, Inc. | 350,000 | 350,636 | ||||||
Puget Energy, Inc. | 271,000 | 302,933 | ||||||
Transelec SA (b) | 175,000 | 185,794 | ||||||
Tri-State Pass-Through Trust, Series 2003, Class A (b) | 16,620 | 16,911 | ||||||
Wisconsin Public Service Corp. | 225,000 | 227,844 | ||||||
|
| |||||||
3,783,609 | ||||||||
|
| |||||||
Electronics — 0.2% | ||||||||
Arrow Electronics, Inc. | 255,000 | 260,504 | ||||||
Arrow Electronics, Inc. | 145,000 | 143,793 | ||||||
Arrow Electronics, Inc. | 80,000 | 84,612 | ||||||
Avnet, Inc. | 30,000 | 30,485 | ||||||
Avnet, Inc. | 123,000 | 130,296 | ||||||
FLIR Systems, Inc. | 195,000 | 196,553 | ||||||
Ingram Micro, Inc. STEP | 203,000 | 208,592 | ||||||
Tech Data Corp. | 130,000 | 132,653 | ||||||
|
| |||||||
1,187,488 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
SBA Tower Trust (b) | 200,000 | 199,590 | ||||||
SBA Tower Trust (b) | 210,000 | 214,104 | ||||||
SBA Tower Trust (b) | 260,000 | 261,083 | ||||||
|
| |||||||
674,777 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
15
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Foods — 0.1% | ||||||||
Kraft Heinz Foods Co. | $ | 315,000 | $ | 301,471 | ||||
Tyson Foods, Inc. | 105,000 | 114,880 | ||||||
The WhiteWave Foods Co. | 332,000 | 374,491 | ||||||
|
| |||||||
790,842 | ||||||||
|
| |||||||
Gas — 0.1% | ||||||||
NiSource Finance Corp. | 175,000 | 209,991 | ||||||
Spire, Inc. | 290,000 | 298,068 | ||||||
|
| |||||||
508,059 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.0% | ||||||||
Kennametal, Inc. | 150,000 | 150,728 | ||||||
|
| |||||||
Health Care – Products — 0.2% | ||||||||
Abbott Laboratories | 205,000 | 207,290 | ||||||
Abbott Laboratories | 125,000 | 127,601 | ||||||
Abbott Laboratories | 115,000 | 126,665 | ||||||
Becton Dickinson & Co. | 240,000 | 240,549 | ||||||
Becton Dickinson & Co. | 295,000 | 295,933 | ||||||
Becton Dickinson & Co. | 125,000 | 128,733 | ||||||
|
| |||||||
1,126,771 | ||||||||
|
| |||||||
Health Care – Services — 0.1% | ||||||||
Humana, Inc. | 250,000 | 260,539 | ||||||
Humana, Inc. | 125,000 | 137,746 | ||||||
UnitedHealth Group, Inc. | 55,000 | 55,743 | ||||||
UnitedHealth Group, Inc. | 110,000 | 156,244 | ||||||
|
| |||||||
610,272 | ||||||||
|
| |||||||
Home Builders — 0.1% | ||||||||
Lennar Corp. | 516,000 | 535,350 | ||||||
|
| |||||||
Insurance — 0.8% | ||||||||
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN | 345,000 | 377,775 | ||||||
Arch Capital Group US, Inc. | 170,000 | 191,842 |
Principal Amount | Value | |||||||
AXIS Specialty Finance PLC | $ | 95,000 | $ | 95,549 | ||||
Brown & Brown, Inc. | 272,000 | 285,343 | ||||||
The Chubb Corp. 3 mo. USD LIBOR + 2.250%, VRN | 50,000 | 49,625 | ||||||
CNA Financial Corp. | 180,000 | 201,148 | ||||||
CNO Financial Group, Inc. | 465,000 | 492,435 | ||||||
Enstar Group Ltd. | 140,000 | 144,438 | ||||||
Five Corners Funding Trust (b) | 215,000 | 230,886 | ||||||
MetLife Capital Trust IV (b) | 345,000 | 465,784 | ||||||
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.040%, VRN | 134,000 | 142,040 | ||||||
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.920%, VRN | 245,000 | 269,194 | ||||||
QBE Insurance Group Ltd. (b) | 115,000 | 115,067 | ||||||
Reinsurance Group of America, Inc. | 360,000 | 365,895 | ||||||
Reinsurance Group of America, Inc. | 220,000 | 240,681 | ||||||
Trinity Acquisition PLC | 270,000 | 276,488 | ||||||
Trinity Acquisition PLC | 70,000 | 73,095 | ||||||
Unum Group | 150,000 | 151,429 | ||||||
USF&G Capital I (b) | 150,000 | 213,759 | ||||||
Willis North America, Inc. | 155,000 | 156,562 | ||||||
Willis North America, Inc. | 97,000 | 106,634 | ||||||
Willis Towers Watson PLC | 230,000 | 253,739 | ||||||
XLIT Ltd. | 170,000 | 175,256 | ||||||
XLIT Ltd. | 115,000 | 128,715 | ||||||
XLIT Ltd. | 325,000 | 381,617 | ||||||
|
| |||||||
5,584,996 | ||||||||
|
| |||||||
Internet — 0.1% | ||||||||
Expedia, Inc. | 425,000 | 449,305 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
16
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Investment Companies — 0.1% | ||||||||
Ares Capital Corp. | $ | 505,000 | $ | 514,906 | ||||
FS Investment Corp. | 390,000 | 393,939 | ||||||
|
| |||||||
908,845 | ||||||||
|
| |||||||
Iron & Steel — 0.2% | ||||||||
ArcelorMittal | 320,000 | 338,400 | ||||||
ArcelorMittal STEP | 368,000 | 396,060 | ||||||
Reliance Steel & Aluminum Co. | 145,000 | 153,166 | ||||||
Vale Overseas Ltd. | 475,000 | 501,125 | ||||||
Vale Overseas Ltd. | 150,000 | 161,025 | ||||||
Vale Overseas Ltd. | 95,000 | 101,888 | ||||||
|
| |||||||
1,651,664 | ||||||||
|
| |||||||
Machinery – Diversified — 0.1% | ||||||||
CNH Industrial Capital LLC | 230,000 | 233,737 | ||||||
CNH Industrial Capital LLC | 116,000 | 117,021 | ||||||
CNH Industrial Capital LLC | 500,000 | 513,125 | ||||||
|
| |||||||
863,883 | ||||||||
|
| |||||||
Media — 0.2% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 270,000 | 279,011 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 225,000 | 270,048 | ||||||
Comcast Corp. | 220,000 | 200,332 | ||||||
Time Warner Cable, Inc. | 110,000 | 134,640 | ||||||
Time Warner Cable, Inc. | 45,000 | 49,642 | ||||||
Time Warner Cable, Inc. | 65,000 | 71,494 | ||||||
Time Warner, Inc. | 25,000 | 30,542 | ||||||
|
| |||||||
1,035,709 | ||||||||
|
| |||||||
Mining — 0.1% | ||||||||
Glencore Funding LLC (b) | 355,000 | 371,117 |
Principal Amount | Value | |||||||
Kinross Gold Corp. (b) | $ | 103,000 | $ | 102,743 | ||||
|
| |||||||
473,860 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.1% | ||||||||
General Electric Co. | 270,000 | 284,148 | ||||||
Textron, Inc. | 105,000 | 105,410 | ||||||
|
| |||||||
389,558 | ||||||||
|
| |||||||
Office & Business Equipment — 0.1% | ||||||||
Pitney Bowes, Inc. | 485,000 | 481,750 | ||||||
Pitney Bowes, Inc. | 20,000 | 20,492 | ||||||
Pitney Bowes, Inc. | 31,000 | 31,219 | ||||||
|
| |||||||
533,461 | ||||||||
|
| |||||||
Office Furnishings — 0.0% | ||||||||
Steelcase, Inc. | 100,000 | 110,647 | ||||||
|
| |||||||
Oil & Gas — 0.5% | ||||||||
Anadarko Petroleum Corp. | 165,000 | 184,388 | ||||||
Anadarko Petroleum Corp. | 250,000 | 294,273 | ||||||
Cimarex Energy Co. | 85,000 | 85,465 | ||||||
ConocoPhillips Co. | 140,000 | 137,614 | ||||||
Encana Corp. | 205,000 | 208,954 | ||||||
Encana Corp. | 125,000 | 133,321 | ||||||
Encana Corp. | 80,000 | 90,978 | ||||||
Helmerich & Payne International Drilling Co. | 190,000 | 199,241 | ||||||
Marathon Petroleum Corp. | 170,000 | 196,331 | ||||||
Nabors Industries, Inc. (b) | 215,000 | 203,712 | ||||||
Newfield Exploration Co. | 200,000 | 210,500 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. STEP | 175,000 | 172,375 | ||||||
Petroleos Mexicanos | 50,000 | 50,350 | ||||||
Petroleos Mexicanos | 285,000 | 298,965 |
The accompanying notes are an integral part of the financial statements.
17
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Petroleos Mexicanos | $ | 80,000 | $ | 78,000 | ||||
Petroleos Mexicanos (b) | 60,000 | 64,455 | ||||||
Petroleos Mexicanos | 37,000 | 37,463 | ||||||
Phillips 66 | 60,000 | 72,493 | ||||||
Pioneer Natural Resources Co. | 320,000 | 336,465 | ||||||
QEP Resources, Inc. | 260,000 | 269,750 | ||||||
|
| |||||||
3,325,093 | ||||||||
|
| |||||||
Oil & Gas Services — 0.1% | ||||||||
National Oilwell Varco, Inc. | 199,000 | 192,412 | ||||||
National Oilwell Varco, Inc. | 216,000 | 178,203 | ||||||
Weatherford International Ltd. | 75,000 | 75,563 | ||||||
|
| |||||||
446,178 | ||||||||
|
| |||||||
Packaging & Containers — 0.2% | ||||||||
Amcor Finance USA, Inc. (b) | 490,000 | 490,063 | ||||||
Brambles USA, Inc. (b) | 134,000 | 137,437 | ||||||
Brambles USA, Inc. (b) | 90,000 | 96,558 | ||||||
Crown Americas LLC/Crown Americas Capital Corp. IV | 460,000 | 481,850 | ||||||
Graphic Packaging International, Inc. | 100,000 | 105,125 | ||||||
Graphic Packaging International, Inc. | 60,000 | 63,600 | ||||||
|
| |||||||
1,374,633 | ||||||||
|
| |||||||
Pharmaceuticals — 0.2% | ||||||||
AbbVie, Inc. | 285,000 | 302,853 | ||||||
Allergan Funding SCS | 190,000 | 205,099 | ||||||
Express Scripts Holding Co. | 180,000 | 190,766 | ||||||
Johnson & Johnson | 40,000 | 53,103 | ||||||
McKesson Corp. | 60,000 | 65,271 | ||||||
McKesson Corp. | 125,000 | 152,781 | ||||||
Merck Sharp & Dohme Corp. | 45,000 | 58,744 |
Principal Amount | Value | |||||||
Shire Acquisitions Investments Ireland DAC | $ | 95,000 | $ | 94,162 | ||||
Teva Pharmaceutical Finance Netherlands III BV | 75,000 | 69,081 | ||||||
|
| |||||||
1,191,860 | ||||||||
|
| |||||||
Pipelines — 0.5% | ||||||||
Energy Transfer LP | 165,000 | 164,949 | ||||||
EnLink Midstream Partners LP | 135,000 | 140,456 | ||||||
Enterprise Products Operating LLC | 5,000 | 5,853 | ||||||
Enterprise Products Operating LLC | 150,000 | 177,699 | ||||||
Enterprise Products Operating LLC | 4,000 | 4,795 | ||||||
Kinder Morgan Energy Partners LP | 65,000 | 73,294 | ||||||
Kinder Morgan Energy Partners LP | 120,000 | 132,864 | ||||||
Kinder Morgan Energy Partners LP | 90,000 | 102,942 | ||||||
Kinder Morgan Energy Partners LP | 10,000 | 11,943 | ||||||
Kinder Morgan Finance Co. LLC (b) | 150,000 | 153,115 | ||||||
Magellan Midstream Partners LP | 170,000 | 184,545 | ||||||
MPLX LP | 105,000 | 105,358 | ||||||
MPLX LP | 502,000 | 535,215 | ||||||
MPLX LP | 372,000 | 394,468 | ||||||
MPLX LP | 35,000 | 36,046 | ||||||
MPLX LP | 136,000 | 139,641 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 210,000 | 212,383 | ||||||
Sabine Pass Liquefaction LLC (b) | 240,000 | 242,475 | ||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 260,000 | 276,250 | ||||||
Western Gas Partners LP | 481,000 | 493,068 | ||||||
|
| |||||||
3,587,359 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
18
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Real Estate Investment Trusts (REITS) — 0.3% | ||||||||
American Tower Corp. | $ | 140,000 | $ | 146,735 | ||||
Brandywine Operating Partners LP | 200,000 | 204,349 | ||||||
Crown Castle International Corp. | 120,000 | 123,514 | ||||||
DDR Corp. | 60,000 | 61,174 | ||||||
Federal Realty Investment Trust | 55,000 | 60,298 | ||||||
Healthcare Trust of America Holdings LP | 105,000 | 105,031 | ||||||
Healthcare Trust of America Holdings LP | 200,000 | 195,575 | ||||||
Highwoods Realty LP | 265,000 | 275,816 | ||||||
Host Hotels & Resorts LP | 40,000 | 40,787 | ||||||
Host Hotels & Resorts LP | 245,000 | 249,217 | ||||||
Mid-America Apartments LP | 155,000 | 154,581 | ||||||
UDR, Inc. | 220,000 | 217,043 | ||||||
Weingarten Realty Investors | 85,000 | 81,027 | ||||||
|
| |||||||
1,915,147 | ||||||||
|
| |||||||
Retail — 0.4% | ||||||||
AutoNation, Inc. | 120,000 | 125,210 | ||||||
CVS Health Corp. | 175,000 | 219,159 | ||||||
CVS Pass-Through Trust (b) | 279,039 | 319,889 | ||||||
Dollar Tree, Inc. | 470,000 | 495,991 | ||||||
El Puerto de Liverpool SAB de CV (b) | 445,000 | 447,781 | ||||||
The Home Depot, Inc. | 150,000 | 198,324 | ||||||
QVC, Inc. | 155,000 | 156,718 | ||||||
QVC, Inc. | 150,000 | 151,717 | ||||||
QVC, Inc. | 245,000 | 241,744 | ||||||
QVC, Inc. | 30,000 | 31,719 | ||||||
Tiffany & Co. | 165,000 | 158,388 | ||||||
|
| |||||||
2,546,640 | ||||||||
|
|
Principal Amount | Value | |||||||
Semiconductors — 0.1% | ||||||||
Lam Research Corp. | $ | 215,000 | $ | 217,737 | ||||
QUALCOMM, Inc. | 205,000 | 209,412 | ||||||
|
| |||||||
427,149 | ||||||||
|
| |||||||
Software — 0.1% | ||||||||
Broadridge Financial Solutions, Inc. | 110,000 | 115,203 | ||||||
CA, Inc. | 125,000 | 126,403 | ||||||
Microsoft Corp. | 330,000 | 367,181 | ||||||
Oracle Corp. | 270,000 | 272,671 | ||||||
|
| |||||||
881,458 | ||||||||
|
| |||||||
Telecommunications — 0.3% | ||||||||
AT&T, Inc. | 255,000 | 260,765 | ||||||
AT&T, Inc. | 260,000 | 254,957 | ||||||
AT&T, Inc. | 190,000 | 202,422 | ||||||
CenturyLink, Inc. | 140,000 | 149,100 | ||||||
Cisco Systems, Inc. | 55,000 | 68,589 | ||||||
Crown Castle Towers LLC (b) | 170,000 | 182,766 | ||||||
Hughes Satellite Systems Corp. | 175,000 | 189,000 | ||||||
Telefonaktiebolaget LM Ericsson | 100,000 | 101,882 | ||||||
Verizon Communications, Inc. | 175,000 | 180,736 | ||||||
Verizon Communications, Inc. | 197,000 | 197,033 | ||||||
Verizon Communications, Inc. | 120,000 | 133,294 | ||||||
Verizon Communications, Inc. | 149,000 | 184,800 | ||||||
|
| |||||||
2,105,344 | ||||||||
|
| |||||||
Transportation — 0.1% | ||||||||
Asciano Finance Ltd. (b) | 105,000 | 109,278 | ||||||
Asciano Finance Ltd. (b) | 250,000 | 254,561 | ||||||
Autoridad del Canal de Panama (b) | 210,000 | 228,900 | ||||||
|
| |||||||
592,739 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $64,924,321) | 66,895,542 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
19
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
MUNICIPAL OBLIGATIONS — 0.2% | ||||||||
JobsOhio Beverage System Series B | $ | 325,000 | $ | 348,654 | ||||
Orange County Local Transportation Authority BAB | 230,000 | 316,988 | ||||||
Panhandle-Plains Student Finance Corp., Series 2001-A2, FRN | 300,000 | 288,203 | ||||||
State of California BAB | 120,000 | 183,206 | ||||||
State of California BAB | 105,000 | 163,444 | ||||||
|
| |||||||
1,300,495 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $1,241,286) | 1,300,495 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.2% | ||||||||
Auto Floor Plan ABS — 0.0% | ||||||||
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (b) | 230,000 | 230,000 | ||||||
|
| |||||||
Automobile ABS — 0.4% | ||||||||
CPS Auto Trust, Series 2016-C, Class A (b) | 85,333 | 85,207 | ||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (b) | 160,000 | 160,524 | ||||||
First Investors Auto Owner Trust, Series 2016-2A, Class B (b) | 450,000 | 447,642 | ||||||
GLS Auto Receivables Trust, Series 2015-1A, Class A (b) | 37,000 | 36,953 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (b) | 350,000 | 347,371 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (b) | 151,393 | 151,779 | ||||||
Oscar US Funding Trust V, Series 2016-2A, Class A4 (b) | 630,000 | 627,612 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (b) | 150,000 | 151,191 |
Principal Amount | Value | |||||||
Santander Drive Auto Receivables Trust, Series 2015-4, Class C | $ | 250,000 | $ | 253,068 | ||||
|
| |||||||
2,261,347 | ||||||||
|
| |||||||
Commercial MBS — 0.6% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM, VRN | 72,174 | 72,802 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN | 197,967 | 199,401 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN | 215,000 | 217,895 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4, VRN | 69,899 | 69,976 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 5.700% 6/11/50 | 194,345 | 195,449 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class B (b) | 195,000 | 197,759 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class A5 | 319,000 | 336,585 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN | 140,000 | 133,188 | ||||||
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (b) | 165,000 | 172,435 | ||||||
DBUBS Mortgage Trust, Series 2011-LC1A, Class B, VRN (b) | 110,000 | 120,378 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN | 185,961 | 186,395 | ||||||
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (b) | 100,000 | 109,807 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM, VRN | 91,306 | 91,281 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN | 260,000 | 262,273 |
The accompanying notes are an integral part of the financial statements.
20
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Morgan Stanley Capital I Trust, Series 2011-C2, Class B, VRN (b) | $ | 250,000 | $ | 267,604 | ||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN | 28,205 | 28,172 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN | 293,382 | 293,416 | ||||||
VNO Mortgage Trust, Series 2013-PENN, Class A (b) | 240,000 | 251,402 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN | 235,000 | 235,000 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (b) | 26,027 | 26,561 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B | 190,000 | 199,007 | ||||||
|
| |||||||
3,666,786 | ||||||||
|
| |||||||
Home Equity ABS — 0.0% | ||||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN | 141,436 | 141,516 | ||||||
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D, 1 mo. LIBOR + .740%, FRN | 40,897 | 40,881 | ||||||
Residential Asset Securities Corp., Series 2005-EMX4, Class M1, 1 mo. USD LIBOR + .430%, FRN | 599 | 600 | ||||||
|
| |||||||
182,997 | ||||||||
|
| |||||||
Other ABS — 4.3% | ||||||||
321 Henderson Receivables I LLC, Series 2015-1A, Class A (b) | 53,415 | 50,121 | ||||||
321 Henderson Receivables LLC, Series 2005-1A, Class A1, 1 mo. USD LIBOR + .230%, FRN (b) | 88,714 | 84,381 | ||||||
Aames Mortgage Investment Trust, Series 2005-1, Class M4, 1 mo. USD LIBOR + 1.125%, FRN | 75,050 | 74,794 | ||||||
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN | 148,696 | 148,150 |
Principal Amount | Value | |||||||
AIMCO CLO, Series 2014-AA, Class AR, 3 mo. USD LIBOR + 1.100%, FRN (b) | $ | 250,000 | $ | 249,992 | ||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (b) | 410,000 | 412,551 | ||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE (b) | 47,088 | 46,617 | ||||||
Alterna Funding II LLC, Series 2015-1A, Class A (b) | 136,943 | 136,601 | ||||||
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (b) | 250,000 | 250,771 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (b) | 315,200 | 315,791 | ||||||
ARL Second LLC, Series 2014-1A, Class A1 (b) | 621,400 | 612,036 | ||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + | 250,000 | 250,061 | ||||||
Avery Point V CLO Ltd., Series 2014-5A, Class A, 3 mo. USD LIBOR + 1.460%, FRN (b) | 350,000 | 350,021 | ||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) | 570,000 | 573,076 | ||||||
Bain Capital Credit CLO, Series 2017-1A, Class A1, 3 mo. USD LIBOR + 1.250%, FRN (b) (c) | 400,000 | 400,000 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (b) | 4,545 | 4,545 | ||||||
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (b) | 345,000 | 345,196 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (b) | 274,896 | 273,881 | ||||||
BlueMountain CLO Ltd., Series 2013-2A, Class A, 3 mo. USD LIBOR + 1.200%, FRN (b) | 250,000 | 249,999 |
The accompanying notes are an integral part of the financial statements.
21
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (b) | $ | 380,000 | $ | 381,688 | ||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (b) | 292,604 | 294,269 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (b) | 198,303 | 198,377 | ||||||
Capital Automotive REIT, Series 2014-1A, Class A (b) | 160,000 | 161,087 | ||||||
Capital Automotive REIT, Series 2017-1A, Class A2 (b) | 139,767 | 141,051 | ||||||
Carlyle Global Market Strategies, Series 2014-4A, Class A1R, 3 mo. USD LIBOR + 1.200%, FRN (b) | 250,000 | 250,142 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (b) | 67,326 | 66,905 | ||||||
Citigroup Mortgage Loan Trust, Series 2006-SHL1, Class A1, 1 mo. USD LIBOR + .200%, FRN (b) | 8,403 | 8,407 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (b) | 159,600 | 159,569 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 42,294 | 42,246 | ||||||
Cronos Containers Program I Ltd., Series 2014-2A, Class A (b) | 213,889 | 213,561 | ||||||
DB Master Finance LLC, Series 2015-1A, Class A2I (b) | 342,125 | 343,660 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (b) | 385,349 | 383,315 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class A (b) | 57,637 | 57,615 | ||||||
Diamond Resorts Owner Trust, Series 2016-1, Class A (b) | 644,438 | 639,891 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (b) | 503,625 | 507,161 |
Principal Amount | Value | |||||||
Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23 (b) (c) | $ | 110,000 | $ | 110,000 | ||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (b) | 533,250 | 549,332 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (b) | 18,718 | 18,827 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (b) | 73,095 | 71,964 | ||||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (b) | 197,568 | 199,756 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27 | 95,738 | 96,685 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (b) | 386,024 | 385,779 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN | 13,779 | 13,773 | ||||||
First Franklin Mortgage Loan Trust, Series 2004-FFH4, Class M6, 1 mo. USD LIBOR + 1.725%, FRN | 420,000 | 420,830 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN | 10,738 | 10,729 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) | 425,000 | 425,031 | ||||||
Global SC Finance II SRL, Series 2014-1A, Class A1 (b) | 177,083 | 173,755 | ||||||
Global SC Finance II SRL, Series 2013-2A, Class A (b) | 167,745 | 166,698 | ||||||
Global SC Funding One Ltd., Series 2015-1, Class B1 (b) | 24,925 | 24,866 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (b) | 565,000 | 564,997 | ||||||
Goodgreen Trust, Series 2016-1A, Class A (b) | 448,969 | 436,973 |
The accompanying notes are an integral part of the financial statements.
22
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Goodgreen Trust, Series 2017-1A, Class A (b) | $ | 198,570 | $ | 200,748 | ||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + ..645%, FRN | 33,957 | 34,135 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A (b) | 250,000 | 249,744 | ||||||
HERO Funding Trust, Series 2016-3A, Class A1 (b) | 284,266 | 288,264 | ||||||
HERO Funding Trust, Series 2016-4A, Class A1 (b) | 282,433 | 288,414 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (b) | 54,112 | 53,769 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN | 4,669 | 4,673 | ||||||
J.G. Wentworth XXXV LLC, Series 2015-2A, Class A (b) | 96,815 | 95,875 | ||||||
KKR Financial CLO Ltd., Series 2018, Class A, 3 mo. USD LIBOR + 1.270%, FRN (b) (c) | 1,000,000 | 1,000,000 | ||||||
Lendmark Funding Trust, Series 2017-1A, Class A (b) | 200,000 | 199,959 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN | 84,404 | 84,610 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | 124,681 | 123,801 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (b) | 215,544 | 215,185 | ||||||
Marlette Funding Trust, Series 2017-2A, Class B (b) | 140,000 | 139,988 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (b) | 158,704 | 158,008 | ||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A (b) | 92,995 | 94,378 |
Principal Amount | Value | |||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (b) | $ | 22,134 | $ | 22,121 | ||||
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (b) | 1,650,000 | 1,631,386 | ||||||
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (b) | 450,000 | 443,869 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (b) | 355,000 | 355,055 | ||||||
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (b) | 130,000 | 129,387 | ||||||
Oportun Funding VI LLC, Series 2017-A, Class A (b) | 280,000 | 281,309 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (b) | 45,632 | 45,001 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class B (b) | 208,331 | 206,462 | ||||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (b) | 220,000 | 218,259 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN | 8,139 | 8,146 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (b) | 250,000 | 250,561 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (b) | 43,732 | 43,920 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (b) | 291,337 | 293,574 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (b) | 1,391,564 | 1,406,141 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (b) | 456,447 | 460,531 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (b) | 625,041 | 633,172 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (b) | 523,427 | 521,453 |
The accompanying notes are an integral part of the financial statements.
23
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Spirit Master Funding LLC, Series 2014-4A, Class A1 (b) | $ | 160,000 | $ | 159,411 | ||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (b) | 231,001 | 232,362 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (b) | 670,000 | 671,195 | ||||||
Structured Receivables Finance LLC, Series 2010-B, Class A (b) | 98,320 | 98,625 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A (b) | 347,837 | 340,972 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (b) | 430,000 | 431,318 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (b) | 387,075 | 394,847 | ||||||
TAL Advantage VI LLC, Series 2017-1A, Class A (b) | 404,127 | 424,515 | ||||||
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (b) | 340,000 | 342,520 | ||||||
Textainer Marine Containers Ltd., Series 2017-2A, Class A (b) | 250,000 | 249,955 | ||||||
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (b) | 490,000 | 491,945 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (b) | 72,677 | 72,261 | ||||||
Triton Container Finance VI LLC, Series 2017-1A, Class A (b) | 170,000 | 169,737 | ||||||
VSE VOI Mortgage LLC, Series 2016-A, Class A (b) | 343,436 | 341,857 | ||||||
Welk Resorts LLC, Series 2015-AA, Class A (b) | 138,385 | 137,067 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2I (b) | 466,688 | 468,541 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2II (b) | 304,575 | 309,058 |
Principal Amount | Value | |||||||
Wendys Funding LLC, Series 2015-1A, Class A23 (b) | $ | 417,563 | $ | 428,885 | ||||
|
| |||||||
28,294,492 | ||||||||
|
| |||||||
Student Loans ABS — 2.8% | ||||||||
Academic Loan Funding Trust, Series 2012-1A, Class A2, 1 mo. USD LIBOR + 1.100%, FRN (b) | 495,000 | 493,170 | ||||||
AccessLex Institute, Series 2004-A, Class A3, 28 day ARS, FRN | 400,000 | 393,532 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 163,543 | 154,643 | ||||||
CIT Education Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .210%, FRN | 542,885 | 501,975 | ||||||
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS, FRN | 130,000 | 99,230 | ||||||
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (b) | 293,364 | 293,539 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A2 (b) | 830,505 | 833,411 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (b) | 55,596 | 56,614 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (b) | 826,890 | 829,784 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (b) | 189,529 | 190,483 | ||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (b) | 331,535 | 332,036 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A2 (b) | 231,255 | 232,851 | ||||||
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (b) | 541,158 | 541,157 | ||||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (b) | 431,761 | 432,145 |
The accompanying notes are an integral part of the financial statements.
24
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (b) | $ | 633,660 | $ | 637,022 | ||||
EdLinc Student Loan Funding Trust, Series 2012-1, Class B, 1 mo. USD LIBOR + 4.240%, FRN (b) | 270,000 | 311,083 | ||||||
Goal Capital Funding Trust, Series 2006-1, Class B, 3 mo. USD LIBOR + .450%, FRN | 170,868 | 157,989 | ||||||
KnowledgeWorks Foundation, Series 2010-1, Class A, 3 mo. USD LIBOR + .950%, FRN | 180,619 | 180,897 | ||||||
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN | 12,785 | 12,760 | ||||||
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (b) | 501,375 | 495,716 | ||||||
Navient Student Loan Trust, Series 2017-3A, Class A3, 1 mo. USD LIBOR + 1.050%, FRN (b) | 300,000 | 303,175 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (b) | 750,000 | 749,999 | ||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (b) | 494,090 | 501,884 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (b) | 2,150,000 | 2,195,927 | ||||||
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 150,000 | 139,618 | ||||||
Navient Student Loan Trust, Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 220,000 | 192,084 | ||||||
Navient Student Loan Trust, Series 2014-8, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 155,000 | 152,284 |
Principal Amount | Value | |||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (b) | $ | 233,111 | $ | 233,007 | ||||
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN | 321,226 | 313,633 | ||||||
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN | 120,396 | 103,532 | ||||||
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (b) | 197,831 | 197,175 | ||||||
Nelnet Student Loan Trust, Series 2005-4, Class A4R2, 28 day ARS, FRN | 200,000 | 187,608 | ||||||
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (b) | 150,000 | 134,163 | ||||||
North Carolina State Education Assistance Authority, Series 2011-2, Class A3, 3 mo. USD LIBOR + .800%, FRN | 250,000 | 246,743 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (b) | 555,165 | 556,173 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN | 30,604 | 30,604 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN | 230,000 | 210,511 | ||||||
SLC Student Loan Trust, Series 2006-A, Class B, 3 mo. USD LIBOR + .300%, FRN | 125,000 | 122,873 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A11, 28 Day ARS, FRN | 160,000 | 160,000 | ||||||
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN | 330,000 | 326,196 | ||||||
SLM Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .150%, FRN | 189,902 | 173,477 |
The accompanying notes are an integral part of the financial statements.
25
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2002-7, Class A10, 28 Day ARS, FRN | $ | 136,000 | $ | 136,000 | ||||
SLM Student Loan Trust, Series 2003-5, Class A9, 28 Day ARS, FRN | 350,000 | 350,000 | ||||||
SLM Student Loan Trust, Series 2005-5, Class A5, 3 mo. USD LIBOR + .750%, FRN | 300,000 | 293,268 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 Day ARS, FRN | 50,000 | 50,000 | ||||||
SLM Student Loan Trust, Series 2002-7, Class B, 28 Day ARS, FRN | 550,000 | 544,663 | ||||||
SMB Private Education Loan Trust, Series 2015-B, Class A2B, 1 mo. USD LIBOR + 1.200%, FRN (b) | 200,000 | 201,678 | ||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2A (b) | 245,000 | 243,235 | ||||||
SMB Private Education Loan Trust, Series 2016-A, Class A2A (b) | 450,000 | 451,396 | ||||||
SMB Private Education Loan Trust, Series 2017-A, Class B (b) | 300,000 | 291,852 | ||||||
SoFi Professional Loan Program LLC, Series 2015-A, Class RC, (Acquired 4/19/17, Cost $281,375) (b) (d) | 100 | 255,000 | ||||||
SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1 mo. USD LIBOR + .950%, FRN (b) | 133,962 | 135,380 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (b) | 322,737 | 326,139 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (b) | 300,000 | 299,676 | ||||||
SoFi Professional Loan Program LLC, Series 2017-A, Class B, VRN (b) | 180,000 | 178,425 | ||||||
South Carolina Student Loan Corp., Series 2010-1, Class A3, 3 mo. USD LIBOR + 1.050%, FRN | 170,000 | 170,128 |
Principal Amount | Value | |||||||
South Carolina Student Loan Corp., Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000%, FRN | $ | 290,000 | $ | 286,902 | ||||
|
| |||||||
18,624,445 | ||||||||
|
| |||||||
WL Collateral CMO — 0.1% | ||||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN | 19,777 | 20,016 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN | 7,621 | 7,301 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN | 11,530 | 11,919 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN | 54,480 | 52,359 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (b) | 536,194 | 540,081 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN | 5,488 | 5,281 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN | 3,742 | 3,853 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN | 242 | 258 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN | 31,473 | 32,488 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | 80,192 | 82,161 | ||||||
|
| |||||||
755,717 | ||||||||
|
| |||||||
WL Collateral PAC — 0.0% | ||||||||
Structured Asset Securities Corp., Series 2002-11A, Class 2A1, VRN | 23,022 | 23,146 | ||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $53,782,761) | 54,038,930 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.3% | ||||||||
Colombia Government International Bond | 620,000 | 714,860 |
The accompanying notes are an integral part of the financial statements.
26
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Mexico Government International Bond | $ | 200,000 | $ | 215,800 | ||||
Mexico Government International Bond | 160,000 | 203,963 | ||||||
Mexico Government International Bond | 624,000 | 624,624 | ||||||
|
| |||||||
1,759,247 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,673,273) | 1,759,247 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 7.2% | ||||||||
Collateralized Mortgage Obligations — 0.4% | ||||||||
Federal Home Loan Mortgage Corp. | 486,025 | 496,360 | ||||||
Series 4290, Class CA | 330,870 | 343,784 | ||||||
Series 2617, Class Z | 251,335 | 278,814 | ||||||
Series 2693, Class Z | 460,246 | 502,657 | ||||||
Series 3423, Class PB | 95,820 | 105,622 | ||||||
Federal National Mortgage Association Series 2014-7, Class VA | 224,222 | 235,377 | ||||||
Series 2014-48, Class AB | 448,395 | 470,934 | ||||||
Series 2007-32, Class Z | 147,169 | 162,086 | ||||||
Series 2010-60, Class HJ | 99,219 | 107,508 | ||||||
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA | 122,998 | 134,507 | ||||||
|
| |||||||
2,837,649 | ||||||||
|
| |||||||
Pass-Through Securities — 6.8% | ||||||||
Federal Home Loan Mortgage Corp. | 1,051,577 | 1,083,618 | ||||||
Pool #Q41916 3.500% | 324,297 | 335,698 | ||||||
Pool #Q42045 3.500% | 130,128 | 134,702 | ||||||
Pool #Q44275 3.500% | 250,610 | 259,421 | ||||||
Pool #Q44277 3.500% | 118,404 | 122,307 | ||||||
Pool #Q45741 3.500% | 780,640 | 806,499 |
Principal Amount | Value | |||||||
Pool #Q46465 3.500% | $ | 1,290,212 | $ | 1,326,499 | ||||
Pool #Q47742 4.000% | 198,016 | 210,554 | ||||||
Pool #Q47730 4.000% | 249,084 | 264,857 | ||||||
Pool #C03537 4.500% | 255,920 | 276,983 | ||||||
Pool #G06057 4.500% | 180,988 | 195,205 | ||||||
Pool #G60485 4.500% | 230,372 | 248,541 | ||||||
Pool #G60469 4.500% | 144,090 | 155,409 | ||||||
Pool #G60172 4.500% | 239,215 | 258,978 | ||||||
Pool #G11431 6.000% | 11 | 11 | ||||||
Pool #C55867 7.500% | 53,635 | 61,478 | ||||||
Pool #C01079 7.500% | 7,914 | 9,350 | ||||||
Pool #C01135 7.500% | 23,102 | 27,250 | ||||||
Pool #C00470 8.000% | 16,706 | 19,412 | ||||||
Pool #G00924 8.000% | 16,828 | 19,553 | ||||||
Federal Home Loan Mortgage Corp. TBA | 2,150,000 | 2,208,369 | ||||||
Pool #5992 4.000% | 2,000,000 | 2,098,750 | ||||||
Pool #7718 4.500% | 950,000 | 1,017,687 | ||||||
Federal National Mortgage Association | 61,164 | 64,184 | ||||||
Pool #888586 2.831% | 89,383 | 93,930 | ||||||
Pool #AS1304 3.500% | 313,408 | 326,985 | ||||||
Pool #AV1897 3.500% | 48,203 | 50,321 | ||||||
Pool #AV2325 3.500% | 179,749 | 187,536 | ||||||
Pool #AS6187 3.500% | 2,447,960 | 2,520,729 | ||||||
Pool #AS6306 3.500% | 829,664 | 856,531 | ||||||
Pool #AS6475 3.500% | 664,340 | 686,684 |
The accompanying notes are an integral part of the financial statements.
27
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #AS6476 3.500% | $ | 710,387 | $ | 733,391 | ||||
Pool #AS6477 3.500% | 836,682 | 861,554 | ||||||
Pool #BE4046 3.500% | 732,142 | 752,533 | ||||||
Pool #BE5162 3.500% | 738,375 | 758,939 | ||||||
Pool #BH4875 3.500% | 475,000 | 488,304 | ||||||
Pool #AZ7917 4.000% | 85,733 | 90,783 | ||||||
Pool #AL8422 4.000% | 80,667 | 85,444 | ||||||
Pool #MA3027 4.000% | 4,333,822 | 4,562,702 | ||||||
Pool #BF0094 4.000% | 1,141,472 | 1,197,476 | ||||||
Pool #BF0105 4.000% | 289,496 | 304,332 | ||||||
Pool #AB1466 4.500% | 103,177 | 111,319 | ||||||
Pool #AH6787 4.500% | 193,267 | 209,362 | ||||||
Pool #AL7566 4.500% | 194,618 | 210,005 | ||||||
Pool #AL6997 4.500% | 393,804 | 426,601 | ||||||
Pool #AL6608 4.500% | 147,542 | 160,060 | ||||||
Pool #AD6437 5.000% | 107,175 | 118,048 | ||||||
Pool #AD6996 5.000% | 731,402 | 802,057 | ||||||
Pool #AL8173 5.000% | 288,567 | 316,353 | ||||||
Pool #564594 7.000% | 10,770 | 12,433 | ||||||
Pool #572844 7.000% | 23,930 | 28,002 | ||||||
Pool #253795 7.000% | 65,229 | 76,062 | ||||||
Pool #499386 7.500% | 1,413 | 1,663 | ||||||
Pool #522769 7.500% | 67 | 79 | ||||||
Pool #521006 7.500% | 658 | 774 | ||||||
Pool #252981 7.500% | 8,420 | 9,891 | ||||||
Pool #531196 7.500% | 1,002 | 1,182 |
Principal Amount | Value | |||||||
Pool #524874 7.500% | $ | 120 | $ | 122 | ||||
Pool #530299 7.500% | 271 | 311 | ||||||
Pool #530520 7.500% | 11,633 | 13,601 | ||||||
Pool #524317 7.500% | 1,092 | 1,293 | ||||||
Pool #253183 7.500% | 3,435 | 4,037 | ||||||
Pool #253265 7.500% | 2,109 | 2,451 | ||||||
Pool #536949 8.000% | 1,492 | 1,795 | ||||||
Pool #526380 8.000% | 5,991 | 7,178 | ||||||
Pool #535351 8.000% | 3,131 | 3,736 | ||||||
Pool #253481 8.000% | 2,547 | 3,052 | ||||||
Pool #190317 8.000% | 992 | 1,184 | ||||||
Pool #602008 8.000% | 2,667 | 3,184 | ||||||
Pool #596656 8.000% | 868 | 931 | ||||||
Federal National Mortgage Association TBA | 5,475,000 | 5,622,141 | ||||||
Pool #15801 4.500% | 825,000 | 884,812 | ||||||
Government National Mortgage Association | 818,170 | 850,449 | ||||||
Pool #359587 7.000% | 165 | 173 | ||||||
Pool #337539 7.000% | 585 | 646 | ||||||
Pool #363066 7.000% | 4,310 | 4,777 | ||||||
Pool #368814 7.000% | 987 | 1,036 | ||||||
Pool #362651 7.000% | 5,334 | 5,661 | ||||||
Pool #354674 7.000% | 4,758 | 5,232 | ||||||
Pool #352021 7.000% | 2,483 | 2,739 | ||||||
Government National Mortgage Association II | 87,876 | 90,281 |
The accompanying notes are an integral part of the financial statements.
28
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #82488 2.375% | $ | 117,808 | $ | 121,473 | ||||
Pool #784026 3.500% | 229,556 | 238,325 | ||||||
Pool #MA4382 3.500% | 6,468,241 | 6,708,273 | ||||||
Government National Mortgage Association II TBA (c) | 1,800,000 | 1,893,797 | ||||||
|
| |||||||
44,720,070 | ||||||||
|
| |||||||
Whole Loans — 0.0% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1, 1 mo. USD LIBOR + 1.450%, FRN | 106,708 | 107,105 | ||||||
Vendee Mortgage Trust, Series 1992-1, Class 2Z | 97,941 | 107,410 | ||||||
�� |
| |||||||
214,515 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $47,972,055) | 47,772,234 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 4.4% | ||||||||
U.S. Treasury Bonds & Notes — 4.4% | ||||||||
U.S. Treasury Bond | 4,180,000 | 3,890,078 | ||||||
U.S. Treasury Bond (e) | 3,270,000 | 3,695,100 | ||||||
U.S. Treasury Note | 1,230,000 | 1,233,959 | ||||||
U.S. Treasury Note | 2,660,000 | 2,663,450 | ||||||
U.S. Treasury Note | 9,330,000 | 9,334,810 | ||||||
U.S. Treasury Note | 8,410,000 | 8,201,130 | ||||||
|
| |||||||
29,018,527 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $29,118,428) | 29,018,527 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $198,712,124) | 200,784,975 | |||||||
|
|
Notional Amount | Value | |||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
3-Month USD LIBOR BBA 30 Year Swaption, Call, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52 | $ | 1,116,000 | $ | 125,282 | ||||
3-Month USD LIBOR BBA 30 Year Swaption, Put, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52 | 1,860,000 | 232,234 | ||||||
|
| |||||||
357,516 | ||||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $387,922) | 357,516 | |||||||
|
| |||||||
Number of Shares | ||||||||
RIGHTS — 0.0% | ||||||||
Consumer, Cyclical — 0.0% | ||||||||
Retail — 0.0% | ||||||||
Safeway Casa Ley Contingent Value (a) (f) | 18,800 | 18,988 | ||||||
Safeway PDC LLC Contingent Value (a) (f) | 18,800 | 940 | ||||||
|
| |||||||
19,928 | ||||||||
|
| |||||||
TOTAL RIGHTS (Cost $19,608) | 19,928 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $516,231,118) | 658,766,911 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.5% | ||||||||
Commercial Paper — 3.4% | ||||||||
Anheuser-Busch Cos., Inc. (b) | $ | 1,625,000 | 1,619,539 | |||||
BAT International Finance (b) | 1,000,000 | 999,883 | ||||||
BAT International Finance (b) | 1,000,000 | 999,191 | ||||||
Bell Canada (b) | 1,700,000 | 1,693,932 | ||||||
Bell Canada (b) | 2,000,000 | 1,992,687 | ||||||
CRH America Finance, Inc. (b) | 2,000,000 | 1,998,958 |
The accompanying notes are an integral part of the financial statements.
29
Table of Contents
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Dollar General Corp. (b) | $ | 1,500,000 | $ | 1,498,831 | ||||
FMC Technologies, Inc. (b) | 1,365,000 | 1,363,839 | ||||||
Hyundai Capital America (b) | 1,500,000 | 1,499,218 | ||||||
Molex Electronic Technologies (b) | 1,350,000 | 1,349,074 | ||||||
Monsanto Co. (b) | 2,000,000 | 1,999,041 | ||||||
ONEOK Partners LP (b) | 1,100,000 | 1,098,588 | ||||||
Spectra Energy Partners LP (b) | 1,500,000 | 1,499,218 | ||||||
Suncor Energy, Inc. (b) | 1,800,000 | 1,799,211 | ||||||
Xcel Energy, Inc. (b) | 1,500,000 | 1,491,745 | ||||||
|
| |||||||
22,902,955 | ||||||||
|
| |||||||
Repurchase Agreement — 0.0% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/17, 0.050%, due 7/03/17 (g) | 166,994 | 166,994 | ||||||
|
| |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | 427,720 | 427,720 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $23,496,963) | 23,497,669 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.2% (Cost $539,728,081) (h) | 682,264,580 | |||||||
Other Assets/(Liabilities) — (3.2)% | (21,056,153 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 661,208,427 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
PAC | Planned Amortization Class |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | Non-income producing security. |
(b) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $80,006,634 or 12.1% of net assets. |
(c) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(d) | Restricted security. Certain securities are restricted as to resale. At June 30, 2017, these securities amounted to a value of $255,000 or 0.04% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(e) | A portion of this security is pledged/held as collateral for open futures contracts and open swaps agreements. (Note 2). |
(f) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2017, these securities amounted to a value of $19,928 or 0.00% of net assets. |
(g) | Maturity value of $166,995. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 12/25/42, and an aggregate market value, including accrued interest, of $171,172. |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
30
Table of Contents
MML Equity Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.6% | ||||||||
COMMON STOCK — 98.6% | ||||||||
Basic Materials — 2.6% | ||||||||
Chemicals — 1.6% | ||||||||
E.I. du Pont de Nemours & Co. | 65,352 | $ | 5,274,560 | |||||
Eastman Chemical Co. | 92,020 | 7,728,760 | ||||||
|
| |||||||
13,003,320 | ||||||||
|
| |||||||
Iron & Steel — 0.5% | ||||||||
Nucor Corp. | 71,800 | 4,155,065 | ||||||
|
| |||||||
Mining — 0.5% | ||||||||
Goldcorp, Inc. | 356,650 | 4,604,351 | ||||||
|
| |||||||
21,762,736 | ||||||||
|
| |||||||
Communications — 6.7% | ||||||||
Internet — 0.9% | ||||||||
Alphabet, Inc. Class A (a) | 5,050 | 4,694,884 | ||||||
Symantec Corp. | 102,558 | 2,897,264 | ||||||
|
| |||||||
7,592,148 | ||||||||
|
| |||||||
Media — 3.1% | ||||||||
Comcast Corp. Class A | 457,660 | 17,812,127 | ||||||
DISH Network Corp. Class A (a) | 58,040 | 3,642,590 | ||||||
The Walt Disney Co. | 36,010 | 3,826,063 | ||||||
|
| |||||||
25,280,780 | ||||||||
|
| |||||||
Telecommunications — 2.7% | ||||||||
CenturyLink, Inc. (b) | 75,620 | 1,805,806 | ||||||
Cisco Systems, Inc. | 178,093 | 5,574,311 | ||||||
T-Mobile US, Inc. (a) | 124,810 | 7,565,982 | ||||||
Verizon Communications, Inc. | 100,613 | 4,493,376 | ||||||
Vodafone Group PLC Sponsored ADR | 107,520 | 3,089,050 | ||||||
|
| |||||||
22,528,525 | ||||||||
|
| |||||||
55,401,453 | ||||||||
|
| |||||||
Consumer, Cyclical — 7.2% | ||||||||
Airlines — 0.8% | ||||||||
Delta Air Lines, Inc. | 77,700 | 4,175,598 | ||||||
Southwest Airlines Co. | 44,660 | 2,775,173 | ||||||
|
| |||||||
6,950,771 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% | ||||||||
PACCAR, Inc. | 36,280 | 2,395,931 | ||||||
|
| |||||||
Home Furnishing — 0.5% | ||||||||
Whirlpool Corp. | 20,000 | 3,832,400 | ||||||
|
| |||||||
Housewares — 0.6% | ||||||||
Newell Brands, Inc. | 85,449 | 4,581,775 | ||||||
|
| |||||||
Leisure Time — 1.0% | ||||||||
Carnival Corp. | 79,900 | 5,239,043 | ||||||
Harley-Davidson, Inc. (b) | 57,106 | 3,084,866 | ||||||
|
| |||||||
8,323,909 | ||||||||
|
|
Number of Shares | Value | |||||||
Lodging — 0.5% | ||||||||
Wyndham Worldwide Corp. | 42,750 | $ | 4,292,528 | |||||
|
| |||||||
Retail — 3.5% | ||||||||
Advance Auto Parts, Inc. | 31,801 | 3,707,679 | ||||||
Coach, Inc. | 88,020 | 4,166,867 | ||||||
CVS Health Corp. | 41,129 | 3,309,239 | ||||||
Dollar General Corp. | 31,707 | 2,285,758 | ||||||
Liberty Interactive Corp. QVC Group Class A (a) | 163,058 | 4,001,443 | ||||||
Wal-Mart Stores, Inc. | 65,080 | 4,925,254 | ||||||
Walgreens Boots Alliance, Inc. | 87,620 | 6,861,522 | ||||||
|
| |||||||
29,257,762 | ||||||||
|
| |||||||
59,635,076 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 16.0% | ||||||||
Agriculture — 1.4% | ||||||||
Philip Morris International, Inc. | 98,975 | 11,624,614 | ||||||
|
| |||||||
Beverages — 1.0% | ||||||||
Coca-Cola European Partners PLC | 72,670 | 2,955,489 | ||||||
PepsiCo, Inc. | 43,435 | 5,016,308 | ||||||
|
| |||||||
7,971,797 | ||||||||
|
| |||||||
Biotechnology — 0.8% | ||||||||
Amgen, Inc. | 27,310 | 4,703,601 | ||||||
Gilead Sciences, Inc. | 27,980 | 1,980,425 | ||||||
|
| |||||||
6,684,026 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.5% | ||||||||
The Procter & Gamble Co. | 51,220 | 4,463,823 | ||||||
|
| |||||||
Foods — 0.6% | ||||||||
Mondelez International, Inc. Class A | 105,477 | 4,555,551 | ||||||
|
| |||||||
Health Care – Products — 3.6% | ||||||||
Abbott Laboratories | 118,710 | 5,770,493 | ||||||
Danaher Corp. | 72,378 | 6,107,979 | ||||||
Medtronic PLC | 111,586 | 9,903,258 | ||||||
Thermo Fisher Scientific, Inc. | 18,660 | 3,255,610 | ||||||
Zimmer Biomet Holdings, Inc. | 40,780 | 5,236,152 | ||||||
|
| |||||||
30,273,492 | ||||||||
|
| |||||||
Health Care – Services — 3.6% | ||||||||
Aetna, Inc. | 24,573 | 3,730,918 | ||||||
Humana, Inc. | 15,951 | 3,838,130 | ||||||
Laboratory Corp. of America Holdings (a) | 29,184 | 4,498,422 | ||||||
UnitedHealth Group, Inc. | 97,662 | 18,108,488 | ||||||
|
| |||||||
30,175,958 | ||||||||
|
| |||||||
Pharmaceuticals — 4.5% | ||||||||
Allergan PLC | 20,236 | 4,919,169 | ||||||
Bristol-Myers Squibb Co. | 40,520 | 2,257,774 | ||||||
Eli Lilly & Co. | 39,149 | 3,221,963 | ||||||
GlaxoSmithKline PLC Sponsored ADR (b) | 96,670 | 4,168,411 |
The accompanying notes are an integral part of the financial statements.
31
Table of Contents
MML Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Merck & Co., Inc. | 67,619 | $ | 4,333,702 | |||||
Pfizer, Inc. | 473,885 | 15,917,797 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR | 74,220 | 2,465,588 | ||||||
|
| |||||||
37,284,404 | ||||||||
|
| |||||||
133,033,665 | ||||||||
|
| |||||||
Energy — 9.2% | ||||||||
Oil & Gas — 6.3% | ||||||||
Anadarko Petroleum Corp. | 90,438 | 4,100,459 | ||||||
Chevron Corp. | 189,210 | 19,740,279 | ||||||
ConocoPhillips | 49,281 | 2,166,393 | ||||||
Hess Corp. | 102,467 | 4,495,227 | ||||||
Marathon Petroleum Corp. | 90,142 | 4,717,131 | ||||||
Phillips 66 | 37,669 | 3,114,850 | ||||||
Royal Dutch Shell PLC A Shares Sponsored ADR | 62,533 | 3,326,130 | ||||||
Suncor Energy, Inc. | 368,780 | 10,768,376 | ||||||
|
| |||||||
52,428,845 | ||||||||
|
| |||||||
Oil & Gas Services — 2.3% | ||||||||
Baker Hughes, Inc. | 77,596 | 4,229,758 | ||||||
Halliburton Co. | 195,221 | 8,337,889 | ||||||
Schlumberger Ltd. | 45,940 | 3,024,690 | ||||||
Weatherford International PLC (a) (b) | 926,680 | 3,586,251 | ||||||
|
| |||||||
19,178,588 | ||||||||
|
| |||||||
Pipelines — 0.6% | ||||||||
Enbridge, Inc. | 121,307 | 4,829,232 | ||||||
|
| |||||||
76,436,665 | ||||||||
|
| |||||||
Financial — 30.1% | ||||||||
Banks — 16.0% | ||||||||
Bank of America Corp. | 1,422,500 | 34,509,850 | ||||||
The Bank of New York Mellon Corp. | 105,030 | 5,358,631 | ||||||
Citigroup, Inc. | 238,961 | 15,981,712 | ||||||
Fifth Third Bancorp | 149,611 | 3,883,902 | ||||||
JP Morgan Chase & Co. | 389,841 | 35,631,467 | ||||||
KeyCorp | 351,440 | 6,585,986 | ||||||
Morgan Stanley | 109,300 | 4,870,408 | ||||||
The PNC Financial Services Group, Inc. | 60,842 | 7,597,340 | ||||||
State Street Corp. | 49,521 | 4,443,519 | ||||||
Wells Fargo & Co. | 169,828 | 9,410,169 | ||||||
Zions Bancorp | 102,290 | 4,491,554 | ||||||
|
| |||||||
132,764,538 | ||||||||
|
| |||||||
Diversified Financial Services — 4.8% | ||||||||
Alliance Data Systems Corp. | 20,623 | 5,293,718 | ||||||
American Express Co. | 45,005 | 3,791,221 | ||||||
Ameriprise Financial, Inc. | 69,636 | 8,863,966 | ||||||
BlackRock, Inc. | 11,740 | 4,959,093 | ||||||
Discover Financial Services | 64,540 | 4,013,743 |
Number of Shares | Value | |||||||
FNF Group | 113,316 | $ | 5,079,956 | |||||
Nasdaq, Inc. | 110,150 | 7,874,624 | ||||||
|
| |||||||
39,876,321 | ||||||||
|
| |||||||
Insurance — 5.6% | ||||||||
American International Group, Inc. | 257,755 | 16,114,843 | ||||||
Aon PLC | 41,910 | 5,571,934 | ||||||
MetLife, Inc. | 248,997 | 13,679,895 | ||||||
The Travelers Cos., Inc. | 39,166 | 4,955,674 | ||||||
XL Group Ltd. | 138,650 | 6,072,870 | ||||||
|
| |||||||
46,395,216 | ||||||||
|
| |||||||
Real Estate — 0.4% | ||||||||
CBRE Group, Inc. Class A (a) | 97,355 | 3,543,722 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 3.3% | ||||||||
Boston Properties, Inc. | 23,390 | 2,877,438 | ||||||
Crown Castle International Corp. | 53,750 | 5,384,675 | ||||||
Digital Realty Trust, Inc. | 26,570 | 3,001,082 | ||||||
HCP, Inc. | 154,070 | 4,924,077 | ||||||
Invitation Homes, Inc. | 95,100 | 2,057,013 | ||||||
Outfront Media, Inc. (b) | 80,947 | 1,871,495 | ||||||
Prologis, Inc. | 51,770 | 3,035,793 | ||||||
Weyerhaeuser Co. | 136,035 | 4,557,172 | ||||||
|
| |||||||
27,708,745 | ||||||||
|
| |||||||
250,288,542 | ||||||||
|
| |||||||
Industrial — 14.5% | ||||||||
Aerospace & Defense — 3.3% | ||||||||
Harris Corp. | 51,027 | 5,566,025 | ||||||
Lockheed Martin Corp. | 31,261 | 8,678,366 | ||||||
Northrop Grumman Corp. | 21,124 | 5,422,742 | ||||||
United Technologies Corp. | 60,689 | 7,410,734 | ||||||
|
| |||||||
27,077,867 | ||||||||
|
| |||||||
Building Materials — 2.4% | ||||||||
Johnson Controls International PLC | 369,166 | 16,007,038 | ||||||
Vulcan Materials Co. | 28,400 | 3,597,712 | ||||||
|
| |||||||
19,604,750 | ||||||||
|
| |||||||
Electronics — 1.4% | ||||||||
Honeywell International, Inc. | 40,023 | 5,334,665 | ||||||
TE Connectivity Ltd. | 76,010 | 5,980,467 | ||||||
|
| |||||||
11,315,132 | ||||||||
|
| |||||||
Environmental Controls — 0.3% | ||||||||
Waste Management, Inc. | 39,840 | 2,922,264 | ||||||
|
| |||||||
Machinery – Construction & Mining — 0.3% | ||||||||
Caterpillar, Inc. | 26,430 | 2,840,168 | ||||||
|
| |||||||
Machinery – Diversified — 0.2% | ||||||||
Zebra Technologies Corp. Class A (a) | 20,650 | 2,075,738 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 3.1% | ||||||||
Eaton Corp. PLC | 186,678 | 14,529,149 | ||||||
Parker-Hannifin Corp. | 39,903 | 6,377,297 | ||||||
Pentair PLC | 69,809 | 4,645,091 | ||||||
|
| |||||||
25,551,537 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
32
Table of Contents
MML Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Packaging & Containers — 1.2% | ||||||||
Sealed Air Corp. | 117,557 | $ | 5,261,851 | |||||
WestRock Co. | 84,160 | 4,768,506 | ||||||
|
| |||||||
10,030,357 | ||||||||
|
| |||||||
Transportation — 2.3% | ||||||||
FedEx Corp. | 12,760 | 2,773,131 | ||||||
Kansas City Southern | 22,340 | 2,337,881 | ||||||
Norfolk Southern Corp. | 41,105 | 5,002,478 | ||||||
XPO Logistics, Inc. (a) | 138,860 | 8,974,522 | ||||||
|
| |||||||
19,088,012 | ||||||||
|
| |||||||
120,505,825 | ||||||||
|
| |||||||
Technology — 8.2% | ||||||||
Computers — 2.3% | ||||||||
Apple, Inc. | 68,726 | 9,897,919 | ||||||
Check Point Software Technologies Ltd. (a) | 20,190 | 2,202,325 | ||||||
Diebold Nixdorf, Inc. (b) | 95,715 | 2,680,020 | ||||||
HP, Inc. | 233,030 | 4,073,364 | ||||||
|
| |||||||
18,853,628 | ||||||||
|
| |||||||
Semiconductors — 2.3% | ||||||||
Broadcom Ltd. | 30,212 | 7,040,907 | ||||||
NXP Semiconductor NV (a) | 34,370 | 3,761,796 | ||||||
QUALCOMM, Inc. | 79,744 | 4,403,464 | ||||||
Texas Instruments, Inc. | 52,480 | 4,037,286 | ||||||
|
| |||||||
19,243,453 | ||||||||
|
| |||||||
Software — 3.6% | ||||||||
First Data Corp. Class A (a) | 231,400 | 4,211,480 | ||||||
Microsoft Corp. | 180,122 | 12,415,809 | ||||||
Oracle Corp. | 146,297 | 7,335,332 | ||||||
Synopsys, Inc. (a) | 87,750 | 6,399,608 | ||||||
|
| |||||||
30,362,229 | ||||||||
|
| |||||||
68,459,310 | ||||||||
|
| |||||||
Utilities — 4.1% | ||||||||
Electric — 4.1% | ||||||||
Edison International | 189,100 | 14,785,729 | ||||||
Entergy Corp. | 76,260 | 5,854,480 | ||||||
NextEra Energy, Inc. | 57,261 | 8,023,984 | ||||||
PG&E Corp. | 76,820 | 5,098,544 | ||||||
|
| |||||||
33,762,737 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $608,067,108) | 819,286,009 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $608,067,108) | 819,286,009 | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 1.5% | ||||||||
Diversified Financial Services — 1.5% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 12,761,187 | $ | 12,761,187 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $12,761,187) | 12,761,187 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $620,828,295) | 832,047,196 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.3% | ||||||||
Repurchase Agreement — 1.3% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/17, 0.050%, due 7/03/17 (d) | $ | 10,696,055 | 10,696,055 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 75,762 | 75,762 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,771,817) | 10,771,817 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.4% (Cost $631,600,112) (e) | 842,819,013 | |||||||
Other Assets/(Liabilities) — (1.4)% | (11,412,458 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 831,406,555 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2017, was $12,421,240 or 1.49% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Represents investment of security lending collateral. (Note 2). |
(d) | Maturity value of $10,696,100. Collateralized by U.S. Government Agency obligations with rates ranging from 2.000% – 2.125%, maturity dates ranging from 8/31/21 – 9/30/21, and an aggregate market value, including accrued interest, of $10,915,222. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
33
Table of Contents
MML Equity Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
Country weightings, as a percentage of net assets, is as follows:
United States | 84.7 | % | ||
Ireland | 6.5 | % | ||
Canada | 2.4 | % | ||
United Kingdom | 2.3 | % | ||
Singapore | 0.8 | % | ||
Netherlands | 0.8 | % | ||
Bermuda | 0.7 | % | ||
Switzerland | 0.7 | % | ||
Panama | 0.6 | % | ||
Israel | 0.6 | % | ||
|
| |||
Total Long-Term Investments | 100.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.1 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
34
Table of Contents
MML Managed Bond Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 0.2% | ||||||||
PREFERRED STOCK — 0.2% | ||||||||
Financial — 0.2% | ||||||||
Insurance — 0.2% | ||||||||
The Allstate Corp. 5.100%, 3 mo. LIBOR US + 3.165%, VRN | 95,000 | $ | 2,660,000 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $2,375,000) | 2,660,000 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $2,375,000) | 2,660,000 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 97.6% | ||||||||
CORPORATE DEBT — 34.4% | ||||||||
Advertising — 0.1% | ||||||||
WPP Finance 2010 | $ | 1,205,000 | 1,386,240 | |||||
|
| |||||||
Aerospace & Defense — 0.0% | ||||||||
United Technologies Corp. | 350,000 | 458,453 | ||||||
|
| |||||||
Agriculture — 0.3% | ||||||||
Bunge Ltd. Finance Corp. | 1,050,000 | 1,003,261 | ||||||
Bunge Ltd. Finance Corp. | 955,000 | 979,076 | ||||||
Philip Morris International, Inc. | 160,000 | 211,032 | ||||||
Reynolds American, Inc. | 760,000 | 930,848 | ||||||
|
| |||||||
3,124,217 | ||||||||
|
| |||||||
Airlines — 0.8% | ||||||||
American Airlines Group, Inc. (a) | 4,545,000 | 4,786,340 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 214,256 | 218,809 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class A | 544,722 | 558,340 | ||||||
Delta Air Lines, Inc. | 1,940,000 | 1,991,578 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | 1,817,692 | 1,890,399 | ||||||
WestJet Airlines Ltd. (a) | 735,000 | 751,127 | ||||||
|
| |||||||
10,196,593 | ||||||||
|
|
Principal Amount | Value | |||||||
Auto Manufacturers — 1.1% | ||||||||
Ford Motor Co. | $ | 530,000 | $ | 543,950 | ||||
Ford Motor Credit Co. LLC | 1,340,000 | 1,349,002 | ||||||
General Motors Financial Co., Inc. | 5,964,000 | 6,045,498 | ||||||
General Motors Financial Co., Inc. | 2,420,000 | 2,423,746 | ||||||
General Motors Financial Co., Inc. | 1,895,000 | 1,930,844 | ||||||
Hyundai Capital America (a) | 1,045,000 | 1,048,920 | ||||||
Hyundai Capital America (a) | 800,000 | 806,579 | ||||||
|
| |||||||
14,148,539 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.1% | ||||||||
Lear Corp. | 1,222,000 | 1,264,329 | ||||||
Lear Corp. | 535,000 | 568,270 | ||||||
|
| |||||||
1,832,599 | ||||||||
|
| |||||||
Banks — 4.9% | ||||||||
Associated Banc-Corp. | 2,805,000 | 2,825,793 | ||||||
Associated Banc-Corp. | 2,991,000 | 3,050,611 | ||||||
Banco Santander SA | 1,800,000 | 1,868,110 | ||||||
Bancolombia SA | 1,280,000 | 1,413,248 | ||||||
Bank of America Corp. | 3,015,000 | 3,066,511 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + 1.814%, VRN | 1,625,000 | 1,689,761 | ||||||
Bank of America Corp. | 1,540,000 | 1,653,866 | ||||||
Bank of America Corp. | 470,000 | 588,990 | ||||||
Bank of America Corp. | 400,000 | 575,239 | ||||||
The Bank of Nova Scotia | 1,295,000 | 1,361,050 | ||||||
Barclays PLC | 1,720,000 | 1,768,184 | ||||||
BNP Paribas SA (a) | 1,445,000 | 1,459,388 | ||||||
Capital One Financial Corp. | 1,870,000 | 1,878,101 |
The accompanying notes are an integral part of the financial statements.
35
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Credit Suisse Group AG (a) | $ | 1,325,000 | $ | 1,369,627 | ||||
Credit Suisse Group Funding Guernsey Ltd. | 390,000 | 405,203 | ||||||
First Horizon National Corp. | 3,580,000 | 3,671,795 | ||||||
First Republic Bank | 4,360,000 | 4,274,884 | ||||||
Fulton Financial Corp. | 1,565,000 | 1,583,484 | ||||||
The Goldman Sachs Group, Inc. | 950,000 | 1,025,565 | ||||||
The Goldman Sachs Group, Inc. | 950,000 | 1,069,580 | ||||||
The Goldman Sachs Group, Inc. | 1,410,000 | 1,645,777 | ||||||
The Goldman Sachs Group, Inc. | 335,000 | 418,817 | ||||||
The Goldman Sachs Group, Inc. | 345,000 | 447,824 | ||||||
HSBC Holdings PLC 3 mo. USD LIBOR + 1.055%, VRN | 1,695,000 | 1,727,119 | ||||||
ICICI Bank Ltd. (a) | 1,250,000 | 1,269,685 | ||||||
JP Morgan Chase & Co. | 2,460,000 | 2,434,815 | ||||||
JP Morgan Chase & Co. | 1,655,000 | 1,774,953 | ||||||
JP Morgan Chase & Co. | 1,125,000 | 1,395,148 | ||||||
SVB Financial Group | 2,960,000 | 2,905,329 | ||||||
SVB Financial Group | 475,000 | 516,971 | ||||||
Synchrony Bank | 1,705,000 | 1,697,307 | ||||||
Turkiye Garanti Bankasi AS (a) | 3,010,000 | 3,077,069 | ||||||
UBS Group Funding Switzerland AG (a) | 1,760,000 | 1,800,661 | ||||||
UBS Group Funding Switzerland AG (a) | 1,330,000 | 1,389,491 | ||||||
Valley National Bancorp | 1,530,000 | 1,646,863 | ||||||
|
| |||||||
60,746,819 | ||||||||
|
| |||||||
Beverages — 0.4% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 3,825,000 | 4,317,052 |
Principal Amount | Value | |||||||
Molson Coors Brewing Co. | $ | 620,000 | $ | 611,429 | ||||
|
| |||||||
4,928,481 | ||||||||
|
| |||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc. | 475,000 | 529,465 | ||||||
Baxalta, Inc. | 885,000 | 1,038,690 | ||||||
|
| |||||||
1,568,155 | ||||||||
|
| |||||||
Building Materials — 0.8% | ||||||||
James Hardie International Finance Ltd. (a) | 2,881,000 | 3,017,848 | ||||||
Owens Corning | 590,000 | 661,883 | ||||||
Standard Industries, Inc. (a) | 3,037,000 | 3,097,740 | ||||||
Standard Industries, Inc. (a) | 1,636,000 | 1,723,935 | ||||||
Standard Industries, Inc. (a) | 1,238,000 | 1,306,090 | ||||||
|
| |||||||
9,807,496 | ||||||||
|
| |||||||
Chemicals — 0.7% | ||||||||
Ashland, Inc. | 302,000 | 327,670 | ||||||
Celanese US Holdings LLC | 1,150,000 | 1,238,736 | ||||||
CF Industries, Inc. | 2,890,000 | 3,001,988 | ||||||
Incitec Pivot Finance LLC (a) | 640,000 | 683,969 | ||||||
Monsanto Co. | 650,000 | 661,088 | ||||||
RPM International, Inc. | 725,000 | 736,741 | ||||||
RPM International, Inc. | 550,000 | 596,745 | ||||||
The Sherwin-Williams Co. | 700,000 | 733,480 | ||||||
The Sherwin-Williams Co. (a) | 315,000 | 345,231 | ||||||
|
| |||||||
8,325,648 | ||||||||
|
| |||||||
Commercial Services — 0.3% | ||||||||
The ADT Corp. | 2,875,000 | 3,130,156 | ||||||
ERAC USA Finance LLC (a) | 395,000 | 399,114 | ||||||
ERAC USA Finance LLC (a) | 125,000 | 155,239 | ||||||
|
| |||||||
3,684,509 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
36
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Computers — 1.3% | ||||||||
Dell International LLC/ EMC Corp. (a) | $ | 2,975,000 | $ | 3,044,544 | ||||
Dell International LLC/EMC Corp. (a) | 2,435,000 | 2,567,021 | ||||||
Dell International LLC/EMC Corp. (a) | 487,000 | 536,435 | ||||||
DXC Technology Co. (a) | 610,000 | 617,669 | ||||||
DXC Technology Co. (a) | 920,000 | 951,859 | ||||||
DXC Technology Co. (a) | 1,845,000 | 1,923,752 | ||||||
Electronic Data Systems LLC | 300,000 | 365,464 | ||||||
Leidos Holdings, Inc. | 5,665,000 | 5,919,925 | ||||||
|
| |||||||
15,926,669 | ||||||||
|
| |||||||
Diversified Financial Services — 2.9% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 4,035,000 | 4,281,074 | ||||||
Affiliated Managers Group, Inc. | 2,080,000 | 2,075,260 | ||||||
Air Lease Corp. | 2,980,000 | 2,962,856 | ||||||
Ally Financial, Inc. | 3,060,000 | 3,097,332 | ||||||
Ally Financial, Inc. | 810,000 | 819,112 | ||||||
Ally Financial, Inc. | 1,690,000 | 1,736,475 | ||||||
Ares Finance Co. LLC (a) | 2,080,000 | 1,997,077 | ||||||
Brookfield Finance LLC | 3,030,000 | 3,108,092 | ||||||
CIT Group, Inc. | 1,858,000 | 1,904,450 | ||||||
CIT Group, Inc. (a) | 356,000 | 373,800 | ||||||
Discover Financial Services | 1,750,000 | 1,753,024 | ||||||
Genpact Luxembourg Sarl (a) | 2,400,000 | 2,430,185 | ||||||
International Lease Finance Corp. | 1,515,000 | 1,538,057 | ||||||
Lazard Group LLC | 1,253,000 | 1,237,639 | ||||||
Lazard Group LLC | 3,710,000 | 3,914,095 | ||||||
Legg Mason, Inc. | 1,195,000 | 1,269,242 |
Principal Amount | Value | |||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (a) | $ | 1,150,000 | $ | 1,203,726 | ||||
|
| |||||||
35,701,496 | ||||||||
|
| |||||||
Electric — 1.9% | ||||||||
Duke Energy Corp. | 1,235,000 | 1,173,220 | ||||||
EDP Finance BV (a) | 2,665,000 | 2,644,853 | ||||||
Entergy Louisiana LLC | 1,005,000 | 1,036,489 | ||||||
Florida Power & Light Co. | 630,000 | 730,347 | ||||||
IPALCO Enterprises, Inc. | 4,160,000 | 4,212,000 | ||||||
Israel Electric Corp. Ltd. (a) | 1,250,000 | 1,340,490 | ||||||
Majapahit Holding BV (a) | 1,220,000 | 1,363,350 | ||||||
Nevada Power Co., Series N | 550,000 | 741,704 | ||||||
Oncor Electric Delivery Co. | 495,000 | 728,612 | ||||||
Pacific Gas & Electric Co. | 543,000 | 692,625 | ||||||
Pennsylvania Electric Co. (a) | 1,860,000 | 1,892,572 | ||||||
Progress Energy, Inc. | 485,000 | 642,131 | ||||||
Puget Energy, Inc. | 2,345,000 | 2,349,261 | ||||||
Puget Energy, Inc. | 1,580,000 | 1,766,176 | ||||||
Tri-State Pass-Through Trust, Series 2003, Class A (a) | 20,291 | 20,647 | ||||||
Tri-State Pass-Through Trust, Series 2003, Class B (a) | 480,000 | 579,926 | ||||||
Virginia Electric and Power Co. | 640,000 | 850,968 | ||||||
Wisconsin Public Service Corp. | 380,000 | 384,803 | ||||||
|
| |||||||
23,150,174 | ||||||||
|
| |||||||
Electronics — 0.6% | ||||||||
Arrow Electronics, Inc. | 1,680,000 | 1,716,260 | ||||||
Arrow Electronics, Inc. | 985,000 | 976,799 | ||||||
Avnet, Inc. | 405,000 | 411,542 |
The accompanying notes are an integral part of the financial statements.
37
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
FLIR Systems, Inc. | $ | 1,235,000 | $ | 1,244,837 | ||||
Ingram Micro, Inc. STEP | 1,288,000 | 1,323,483 | ||||||
Tech Data Corp. | 855,000 | 872,452 | ||||||
Tech Data Corp. | 885,000 | 887,688 | ||||||
Tyco Electronics Group SA | 335,000 | 459,686 | ||||||
|
| |||||||
7,892,747 | ||||||||
|
| |||||||
Engineering & Construction — 0.4% | ||||||||
SBA Tower Trust (a) | 1,200,000 | 1,223,448 | ||||||
SBA Tower Trust (a) | 1,200,000 | 1,197,540 | ||||||
SBA Tower Trust (a) | 1,930,000 | 1,938,040 | ||||||
|
| |||||||
4,359,028 | ||||||||
|
| |||||||
Foods — 0.4% | ||||||||
Kraft Heinz Foods Co. | 1,915,000 | 1,832,753 | ||||||
Tyson Foods, Inc. | 660,000 | 722,104 | ||||||
The WhiteWave Foods Co. | 2,236,000 | 2,522,172 | ||||||
|
| |||||||
5,077,029 | ||||||||
|
| |||||||
Gas — 0.2% | ||||||||
NiSource Finance Corp. | 950,000 | 1,139,951 | ||||||
Spire, Inc. | 1,840,000 | 1,891,191 | ||||||
|
| |||||||
3,031,142 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.1% | ||||||||
Kennametal, Inc. | 800,000 | 803,885 | ||||||
|
| |||||||
Health Care – Products — 0.6% | ||||||||
Abbott Laboratories | 1,320,000 | 1,334,744 | ||||||
Abbott Laboratories | 810,000 | 826,857 | ||||||
Abbott Laboratories | 755,000 | 831,586 | ||||||
Becton Dickinson & Co. | 1,625,000 | 1,628,715 | ||||||
Becton Dickinson & Co. | 1,705,000 | 1,710,390 | ||||||
Becton Dickinson & Co. | 825,000 | 849,639 | ||||||
|
| |||||||
7,181,931 | ||||||||
|
|
Principal Amount | Value | |||||||
Health Care – Services — 0.3% | ||||||||
Humana, Inc. | $ | 1,660,000 | $ | 1,729,979 | ||||
Humana, Inc. | 830,000 | 914,633 | ||||||
UnitedHealth Group, Inc. | 350,000 | 354,728 | ||||||
UnitedHealth Group, Inc. | 580,000 | 823,830 | ||||||
|
| |||||||
3,823,170 | ||||||||
|
| |||||||
Home Builders — 0.3% | ||||||||
Lennar Corp. | 3,390,000 | 3,517,125 | ||||||
Lennar Corp. | 45,000 | 46,836 | ||||||
|
| |||||||
3,563,961 | ||||||||
|
| |||||||
Insurance — 2.9% | ||||||||
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN | 2,260,000 | 2,474,700 | ||||||
Arch Capital Group US, Inc. | 1,040,000 | 1,173,619 | ||||||
AXIS Specialty Finance PLC | 590,000 | 593,408 | ||||||
Brown & Brown, Inc. | 1,781,000 | 1,868,367 | ||||||
The Chubb Corp. 3 mo. USD LIBOR + 2.250%, VRN | 374,000 | 371,195 | ||||||
CNA Financial Corp. | 670,000 | 748,716 | ||||||
CNO Financial Group, Inc. | 1,602,000 | 1,662,075 | ||||||
CNO Financial Group, Inc. | 2,321,000 | 2,457,939 | ||||||
Enstar Group Ltd. | 920,000 | 949,165 | ||||||
Five Corners Funding Trust (a) | 1,315,000 | 1,412,161 | ||||||
MetLife Capital Trust IV (a) | 1,960,000 | 2,646,196 | ||||||
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.040%, VRN | 787,000 | 834,220 | ||||||
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.920%, VRN | 1,680,000 | 1,845,900 | ||||||
QBE Insurance Group Ltd. (a) | 655,000 | 655,383 | ||||||
Reinsurance Group of America, Inc. | 2,260,000 | 2,297,008 |
The accompanying notes are an integral part of the financial statements.
38
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Reinsurance Group of America, Inc. | $ | 1,305,000 | $ | 1,427,674 | ||||
Trinity Acquisition PLC | 1,540,000 | 1,577,005 | ||||||
Trinity Acquisition PLC | 445,000 | 464,677 | ||||||
Unum Group | 985,000 | 994,384 | ||||||
USF&G Capital I (a) | 885,000 | 1,261,177 | ||||||
Willis North America, Inc. | 1,070,000 | 1,080,781 | ||||||
Willis North America, Inc. | 566,000 | 622,216 | ||||||
Willis Towers Watson PLC | 1,690,000 | 1,864,433 | ||||||
XLIT Ltd. | 1,260,000 | 1,410,273 | ||||||
XLIT Ltd. | 2,590,000 | 3,041,194 | ||||||
|
| |||||||
35,733,866 | ||||||||
|
| |||||||
Internet — 0.4% | ||||||||
Baidu, Inc. | 1,690,000 | 1,710,150 | ||||||
Expedia, Inc. | 2,550,000 | 2,695,832 | ||||||
|
| |||||||
4,405,982 | ||||||||
|
| |||||||
Investment Companies — 0.5% | ||||||||
Ares Capital Corp. | 3,250,000 | 3,313,755 | ||||||
FS Investment Corp. | 2,450,000 | 2,474,743 | ||||||
|
| |||||||
5,788,498 | ||||||||
|
| |||||||
Iron & Steel — 0.5% | ||||||||
ArcelorMittal | 2,165,000 | 2,289,487 | ||||||
ArcelorMittal STEP | 2,034,000 | 2,189,093 | ||||||
Vale Overseas Ltd. | 1,000,000 | 1,073,500 | ||||||
Vale Overseas Ltd. | 630,000 | 675,675 | ||||||
|
| |||||||
6,227,755 | ||||||||
|
| |||||||
Machinery – Diversified — 0.5% | ||||||||
CNH Industrial Capital LLC | 1,530,000 | 1,554,862 | ||||||
CNH Industrial Capital LLC | 655,000 | 660,764 | ||||||
CNH Industrial Capital LLC | 3,280,000 | 3,366,100 | ||||||
|
| |||||||
5,581,726 | ||||||||
|
|
Principal Amount | Value | |||||||
Media — 0.6% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | $ | 1,560,000 | $ | 1,612,065 | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 1,285,000 | 1,542,274 | ||||||
Comcast Corp. | 645,000 | 587,338 | ||||||
Comcast Corp. | 515,000 | 726,537 | ||||||
Time Warner Cable, Inc. | 985,000 | 1,205,641 | ||||||
Time Warner Cable, Inc. | 75,000 | 82,736 | ||||||
Time Warner Cable, Inc. | 325,000 | 357,470 | ||||||
Time Warner, Inc. | 650,000 | 698,091 | ||||||
Time Warner, Inc. | 210,000 | 256,551 | ||||||
|
| |||||||
7,068,703 | ||||||||
|
| |||||||
Mining — 0.3% | ||||||||
Glencore Funding LLC (a) | 2,365,000 | 2,472,371 | ||||||
Kinross Gold Corp. (a) | 628,000 | 626,430 | ||||||
|
| |||||||
3,098,801 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.2% | ||||||||
General Electric Co. | 1,430,000 | 1,504,932 | ||||||
General Electric Corp. | 298,000 | 431,957 | ||||||
Textron, Inc. | 700,000 | 702,733 | ||||||
|
| |||||||
2,639,622 | ||||||||
|
| |||||||
Office & Business Equipment — 0.3% | ||||||||
Pitney Bowes, Inc. | 166,000 | 167,171 | ||||||
Pitney Bowes, Inc. | 250,000 | 256,149 | ||||||
Pitney Bowes, Inc. | 3,005,000 | 2,984,866 | ||||||
|
| |||||||
3,408,186 | ||||||||
|
| |||||||
Office Furnishings — 0.0% | ||||||||
Steelcase, Inc. | 100,000 | 110,647 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
39
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Oil & Gas — 1.5% | ||||||||
Anadarko Petroleum Corp. | $ | 1,050,000 | $ | 1,173,380 | ||||
Cimarex Energy Co. | 585,000 | 588,202 | ||||||
ConocoPhillips Co. | 910,000 | 894,488 | ||||||
Encana Corp. | 1,350,000 | 1,376,037 | ||||||
Encana Corp. | 805,000 | 858,589 | ||||||
Encana Corp. | 545,000 | 619,786 | ||||||
Marathon Petroleum Corp. | 1,120,000 | 1,293,476 | ||||||
Nabors Industries, Inc. (a) | 1,415,000 | 1,340,712 | ||||||
Newfield Exploration Co. | 1,200,000 | 1,263,000 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. STEP | 1,175,000 | 1,157,375 | ||||||
Petroleos Mexicanos | 325,000 | 327,275 | ||||||
Petroleos Mexicanos | 1,190,000 | 1,248,310 | ||||||
Petroleos Mexicanos | 595,000 | 580,125 | ||||||
Petroleos Mexicanos (a) | 585,000 | 628,436 | ||||||
Petroleos Mexicanos | 140,000 | 144,725 | ||||||
Phillips 66 | 535,000 | 646,392 | ||||||
Pioneer Natural Resources Co. | 2,000,000 | 2,102,908 | ||||||
Pioneer Natural Resources Co. | 350,000 | 393,908 | ||||||
QEP Resources, Inc. | 1,750,000 | 1,815,625 | ||||||
|
| |||||||
18,452,749 | ||||||||
|
| |||||||
Oil & Gas Services — 0.2% | ||||||||
National Oilwell Varco, Inc. | 1,338,000 | 1,293,708 | ||||||
National Oilwell Varco, Inc. | 1,451,000 | 1,197,092 | ||||||
Weatherford International Ltd. | 525,000 | 528,938 | ||||||
|
| |||||||
3,019,738 | ||||||||
|
| |||||||
Packaging & Containers — 0.8% | ||||||||
Amcor Finance USA, Inc. (a) | 3,105,000 | 3,105,397 |
Principal Amount | Value | |||||||
Brambles USA, Inc. (a) | $ | 772,000 | $ | 791,803 | ||||
Brambles USA, Inc. (a) | 490,000 | 525,705 | ||||||
Crown Americas LLC/Crown Americas Capital Corp. IV | 3,017,000 | 3,160,308 | ||||||
Graphic Packaging International, Inc. | 590,000 | 620,238 | ||||||
Graphic Packaging International, Inc. | 400,000 | 424,000 | ||||||
The WestRock MWV LLC | 1,000,000 | 1,271,711 | ||||||
|
| |||||||
9,899,162 | ||||||||
|
| |||||||
Pharmaceuticals — 0.7% | ||||||||
AbbVie, Inc. | 1,860,000 | 1,976,512 | ||||||
Allergan Funding SCS | 1,270,000 | 1,370,924 | ||||||
Express Scripts Holding Co. | 1,180,000 | 1,250,573 | ||||||
Johnson & Johnson | 175,000 | 232,326 | ||||||
McKesson Corp. | 625,000 | 679,911 | ||||||
McKesson Corp. | 550,000 | 672,237 | ||||||
Merck Sharp & Dohme Corp. | 180,000 | 234,977 | ||||||
Pfizer, Inc. | 395,000 | 590,898 | ||||||
Shire Acquisitions Investments Ireland DAC | 1,085,000 | 1,075,423 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 460,000 | 423,697 | ||||||
Wyeth | 360,000 | 458,213 | ||||||
|
| |||||||
8,965,691 | ||||||||
|
| |||||||
Pipelines — 1.8% | ||||||||
Energy Transfer LP | 1,085,000 | 1,084,667 | ||||||
EnLink Midstream Partners LP | 857,000 | 891,638 | ||||||
Enterprise Products Operating LLC | 336,000 | 393,292 | ||||||
Enterprise Products Operating LLC | 455,000 | 539,021 | ||||||
Enterprise Products Operating LLC | 249,000 | 298,492 | ||||||
Kinder Morgan Energy Partners LP | 376,000 | 423,975 |
The accompanying notes are an integral part of the financial statements.
40
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Kinder Morgan Energy Partners LP | $ | 150,000 | $ | 166,079 | ||||
Kinder Morgan Energy Partners LP | 500,000 | 571,901 | ||||||
Kinder Morgan Energy Partners LP | 175,000 | 209,002 | ||||||
Kinder Morgan Finance Co. LLC (a) | 2,700,000 | 2,756,066 | ||||||
Magellan Midstream Partners LP | 1,115,000 | 1,210,399 | ||||||
MPLX LP | 685,000 | 687,332 | ||||||
MPLX LP | 3,295,000 | 3,513,017 | ||||||
MPLX LP | 2,418,000 | 2,564,042 | ||||||
MPLX LP | 245,000 | 252,320 | ||||||
MPLX LP | 912,000 | 936,414 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 1,360,000 | 1,375,435 | ||||||
Sabine Pass Liquefaction LLC (a) | 1,585,000 | 1,601,345 | ||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 1,750,000 | 1,859,375 | ||||||
Western Gas Partners LP | 1,189,000 | 1,218,832 | ||||||
|
| |||||||
22,552,644 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.0% | ||||||||
American Tower Corp. | 860,000 | 901,374 | ||||||
American Tower Corp. | 1,375,000 | 1,393,835 | ||||||
Boston Properties LP | 475,000 | 484,884 | ||||||
Brandywine Operating Partners LP | 800,000 | 817,396 | ||||||
Crown Castle International Corp. | 790,000 | 813,133 | ||||||
DDR Corp. | 1,000,000 | 1,019,571 | ||||||
Federal Realty Investment Trust | 330,000 | 361,787 | ||||||
Healthcare Trust of America Holdings LP | 710,000 | 710,211 | ||||||
Healthcare Trust of America Holdings LP | 1,265,000 | 1,237,011 |
Principal Amount | Value | |||||||
Highwoods Realty LP | $ | 195,000 | $ | 202,959 | ||||
Host Hotels & Resorts LP | 215,000 | 219,232 | ||||||
Host Hotels & Resorts LP | 1,675,000 | 1,703,828 | ||||||
Mid-America Apartments LP | 1,115,000 | 1,111,989 | ||||||
UDR, Inc. | 1,435,000 | 1,415,711 | ||||||
Weingarten Realty Investors | 535,000 | 509,990 | ||||||
|
| |||||||
12,902,911 | ||||||||
|
| |||||||
Retail — 1.2% | ||||||||
AutoNation, Inc. | 700,000 | 730,392 | ||||||
CVS Health Corp. | 560,000 | 701,309 | ||||||
CVS Pass-Through Trust (a) | 1,202,016 | 1,377,984 | ||||||
CVS Pass-Through Trust (a) | 1,061,752 | 1,311,751 | ||||||
Dollar Tree, Inc. | 2,945,000 | 3,107,858 | ||||||
El Puerto de Liverpool SAB de CV (a) | 2,620,000 | 2,636,375 | ||||||
The Home Depot, Inc. | 600,000 | 793,295 | ||||||
QVC, Inc. | 960,000 | 970,638 | ||||||
QVC, Inc. | 1,380,000 | 1,361,661 | ||||||
QVC, Inc. | 545,000 | 576,231 | ||||||
Tiffany & Co. | 990,000 | 950,329 | ||||||
|
| |||||||
14,517,823 | ||||||||
|
| |||||||
Semiconductors — 0.2% | ||||||||
Lam Research Corp. | 1,290,000 | 1,306,422 | ||||||
QUALCOMM, Inc. | 1,400,000 | 1,430,129 | ||||||
|
| |||||||
2,736,551 | ||||||||
|
| |||||||
Software — 0.5% | ||||||||
Broadridge Financial Solutions, Inc. | 655,000 | 685,982 | ||||||
CA, Inc. | 830,000 | 839,313 | ||||||
Microsoft Corp. | 2,064,000 | 2,296,553 |
The accompanying notes are an integral part of the financial statements.
41
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Oracle Corp. | $ | 1,820,000 | $ | 1,838,007 | ||||
|
| |||||||
5,659,855 | ||||||||
|
| |||||||
Telecommunications — 1.2% | ||||||||
AT&T, Inc. | 1,680,000 | 1,717,980 | ||||||
AT&T, Inc. | 1,775,000 | 1,740,572 | ||||||
AT&T, Inc. | 1,295,000 | 1,379,663 | ||||||
CenturyLink, Inc. | 560,000 | 596,400 | ||||||
Cisco Systems, Inc. | 345,000 | 430,242 | ||||||
Crown Castle Towers LLC (a) | 1,700,000 | 1,741,378 | ||||||
Embarq Corp. | 145,000 | 146,450 | ||||||
Hughes Satellite Systems Corp. | 1,125,000 | 1,215,000 | ||||||
Telefonaktiebolaget LM Ericsson | 600,000 | 611,292 | ||||||
Turk Telekomunikasyon AS (a) | 240,000 | 242,144 | ||||||
Verizon Communications, Inc. | 1,205,000 | 1,244,499 | ||||||
Verizon Communications, Inc. | 1,503,000 | 1,503,256 | ||||||
Verizon Communications, Inc. | 830,000 | 921,953 | ||||||
Verizon Communications, Inc. | 885,000 | 1,097,635 | ||||||
|
| |||||||
14,588,464 | ||||||||
|
| |||||||
Transportation — 0.4% | ||||||||
Asciano Finance Ltd. (a) | 610,000 | 634,856 | ||||||
Asciano Finance Ltd. (a) | 1,150,000 | 1,170,978 | ||||||
Autoridad del Canal de Panama (a) | 1,050,000 | 1,144,500 | ||||||
Burlington Northern Santa Fe LLC | 720,000 | 949,082 | ||||||
Union Pacific Corp. | 520,000 | 611,595 | ||||||
|
| |||||||
4,511,011 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
GATX Corp. | 865,000 | 868,230 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $409,943,029) | 423,457,596 | |||||||
|
|
Principal Amount | Value | |||||||
MUNICIPAL OBLIGATIONS — 0.7% | ||||||||
JobsOhio Beverage System Series B | $ | 3,950,000 | $ | 4,237,481 | ||||
New York City Water & Sewer System | 105,000 | 144,623 | ||||||
Orange County Local Transportation Authority BAB | 1,350,000 | 1,860,584 | ||||||
Panhandle-Plains Student Finance Corp., Series 2001-A2, FRN | 1,200,000 | 1,152,812 | ||||||
State of California BAB | 120,000 | 183,206 | ||||||
State of California BAB | 1,115,000 | 1,735,620 | ||||||
|
| |||||||
9,314,326 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $8,870,308) | 9,314,326 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.4% | ||||||||
Auto Floor Plan ABS — 0.1% | ||||||||
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (a) | 1,500,000 | 1,499,998 | ||||||
|
| |||||||
Automobile ABS — 1.1% | ||||||||
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) | 226,689 | 226,790 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 239,795 | 239,625 | ||||||
CPS Auto Trust, Series 2014-D, Class A (a) | 94,289 | 94,286 | ||||||
CPS Auto Trust, Series 2016-C, Class A (a) | 511,999 | 511,240 | ||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) | 1,070,000 | 1,073,505 | ||||||
First Investors Auto Owner Trust, Series 2016-2A, Class B (a) | 2,990,000 | 2,974,331 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) | 2,250,000 | 2,233,100 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 951,614 | 954,043 |
The accompanying notes are an integral part of the financial statements.
42
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Oscar US Funding Trust V, Series 2016-2A, Class A4 (a) | $ | 4,000,000 | $ | 3,984,836 | ||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) | 950,000 | 957,545 | ||||||
|
| |||||||
13,249,301 | ||||||||
|
| |||||||
Commercial MBS — 2.2% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN | 1,178,452 | 1,186,992 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN | 1,310,000 | 1,327,640 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM, VRN | 860,391 | 860,015 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 | 989,393 | 995,010 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AM, VRN | 1,395,000 | 1,399,691 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM, VRN | 2,870,000 | 2,875,101 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class B (a) | 1,060,000 | 1,075,000 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class AM | 1,375,000 | 1,452,965 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A4, VRN | 1,410,000 | 1,515,135 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN | 1,000,000 | 951,345 | ||||||
DBCCRE Mortgage Trust, | 995,000 | 1,039,833 |
Principal Amount | Value | |||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN | $ | 1,295,460 | $ | 1,298,479 | ||||
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (a) | 488,000 | 535,856 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM, VRN | 558,173 | 558,022 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class A4 | 1,179,169 | 1,182,814 | ||||||
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN | 616,049 | 622,863 | ||||||
Morgan Stanley Capital I Trust, Series 2011-C2, Class B, VRN (a) | 1,325,000 | 1,418,301 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN | 137,499 | 137,337 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN | 2,027,005 | 2,027,238 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN | 1,525,000 | 1,525,000 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class AM, VRN | 2,667,000 | 2,691,970 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (a) | 117,122 | 119,526 | ||||||
|
| |||||||
26,796,133 | ||||||||
|
| |||||||
Home Equity ABS — 0.2% | ||||||||
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN | 212,888 | 212,721 | ||||||
Bayview Financial Mortgage Pass-Through Trust, Series 2005-C, Class M1, 1 mo. USD LIBOR + .500%, FRN | 277,891 | 278,216 | ||||||
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN | 541,680 | 490,702 |
The accompanying notes are an integral part of the financial statements.
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MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN | $ | 855,810 | $ | 856,294 | ||||
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP | 8 | 8 | ||||||
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D, 1 mo. LIBOR + .740%, FRN | 254,470 | 254,372 | ||||||
Residential Asset Securities Corp., Series 2005-EMX4, Class M1, 1 mo. USD LIBOR + .430%, FRN | 3,481 | 3,482 | ||||||
|
| |||||||
2,095,795 | ||||||||
|
| |||||||
Other ABS — 15.0% | ||||||||
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 627,645 | 600,220 | ||||||
321 Henderson Receivables I LLC, Series 2015-1A, Class A (a) | 1,281,965 | 1,202,900 | ||||||
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN | 514,718 | 512,827 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) | 2,620,000 | 2,636,304 | ||||||
ALM VIII Ltd., Series 2013-8A, Class A1R, 3 mo. USD LIBOR + 1.490%, FRN (a) | 1,240,000 | 1,252,226 | ||||||
ALM XIV Ltd., Series 2014-14A, Class A1R, 3 mo. USD LIBOR + 1.150%, FRN (a) | 2,450,000 | 2,456,370 | ||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) | 313,921 | 310,782 | ||||||
Alterna Funding II LLC, Series 2015-1A, Class A (a) | 849,992 | 847,867 | ||||||
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (a) | 770,000 | 772,375 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (a) | 1,871,500 | 1,875,009 |
Principal Amount | Value | |||||||
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | $ | 1,117,611 | $ | 1,087,601 | ||||
AVANT Loans Funding Trust, Series 2016-C, Class A (a) | 94,605 | 94,639 | ||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (a) | 1,250,000 | 1,250,305 | ||||||
Avery Point V CLO Ltd., Series 2014-5A, Class A, 3 mo. USD LIBOR + 1.460%, FRN (a) | 2,200,000 | 2,200,130 | ||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) | 3,825,000 | 3,845,644 | ||||||
Bain Capital Credit CLO, Series 2017-1A, Class A1, 3 mo. USD LIBOR + 1.250%, FRN (a) (b) | 1,990,000 | 1,990,000 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (a) | 25,096 | 25,096 | ||||||
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 2,180,000 | 2,181,238 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) | 1,782,083 | 1,775,504 | ||||||
BlueMountain CLO Ltd., Series 2013-2A, Class A, 3 mo. USD LIBOR + 1.200%, FRN (a) | 930,000 | 929,995 | ||||||
BlueMountain CLO Ltd., Series 2013-3A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) | 650,000 | 650,174 | ||||||
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) | 2,595,000 | 2,606,527 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) | 1,726,844 | 1,736,670 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (a) | 1,293,691 | 1,294,174 |
The accompanying notes are an integral part of the financial statements.
44
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MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Capital Automotive REIT, Series 2014-1A, Class A (a) | $ | 900,000 | $ | 906,112 | ||||
Capital Automotive REIT, Series 2017-1A, Class A2 (a) | 998,333 | 1,007,508 | ||||||
Carlyle Global Market Strategies, Series 2013-1A, Class A1, 3 mo. USD LIBOR +1.300%, FRN (a) | 506,727 | 506,728 | ||||||
Citigroup Mortgage Loan Trust, Series 2006-SHL1, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 49,408 | 49,431 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) | 1,140,001 | 1,139,782 | ||||||
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) | 803,717 | 809,436 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 180,089 | 179,885 | ||||||
Cronos Containers Program I Ltd., Series 2014-2A, Class A (a) | 427,778 | 427,123 | ||||||
DB Master Finance LLC, | 2,575,713 | 2,587,268 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) | 345,819 | 345,692 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) | 803,573 | 798,377 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) | 882,032 | 879,512 | ||||||
Diamond Resorts Owner Trust, Series 2016-1, Class A (a) | 4,307,556 | 4,277,170 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) | 2,863,750 | 2,883,855 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23 (a) (b) | 780,000 | 780,000 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (a) | 3,061,250 | 3,153,573 |
Principal Amount | Value | |||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) | $ | 708,333 | $ | 703,527 | ||||
Drug Royalty Corp., Inc., Series 2014-1, Class A2 (a) | 383,884 | 380,389 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (a) | 74,872 | 75,310 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (a) | 2,036,797 | 2,019,993 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) | 498,372 | 490,664 | ||||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) | 1,317,117 | 1,331,709 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27 | 561,943 | 567,496 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (a) | 1,995,181 | 1,993,914 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN | 95,814 | 95,777 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN | 44,383 | 44,344 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) | 2,875,000 | 2,875,207 | ||||||
Global SC Finance II SRL, Series 2014-1A, Class A1 (a) | 354,167 | 347,511 | ||||||
Global SC Finance II SRL, Series 2013-2A, Class A (a) | 1,028,625 | 1,022,202 | ||||||
Global SC Finance IV Ltd., Series 2017-1A, Class A (a) | 1,825,075 | 1,849,471 | ||||||
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) | 83,749 | 83,548 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 3,600,000 | 3,599,978 |
The accompanying notes are an integral part of the financial statements.
45
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MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Goodgreen Trust, Series 2016-1A, Class A (a) | $ | 2,970,840 | $ | 2,891,460 | ||||
Goodgreen Trust, Series 2017-1A, Class A (a) | 1,320,493 | 1,334,972 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + ..645%, FRN | 135,829 | 136,539 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A (a) | 1,750,000 | 1,748,208 | ||||||
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) | 678,094 | 679,578 | ||||||
HERO Funding Trust, Series 2016-3A, Class A1 (a) | 1,847,730 | 1,873,715 | ||||||
HERO Funding Trust, Series 2016-4A, Class A1 (a) | 1,977,030 | 2,018,901 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) | 710,223 | 705,716 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN | 19,842 | 19,860 | ||||||
KKR Financial CLO Ltd., Series 2018, Class A, 3 mo. USD LIBOR + 1.270%, FRN (a) (b) | 1,200,000 | 1,200,000 | ||||||
Labrador Aviation Finance Ltd., Series 2016-1A, Class A1 (a) | 2,746,563 | 2,736,825 | ||||||
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 1,100,000 | 1,098,847 | ||||||
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400%, FRN (a) | 3,030,000 | 3,053,446 | ||||||
Lendmark Funding Trust, Series 2017-1A, Class A (a) | 1,270,000 | 1,269,740 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN | 349,260 | 350,109 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | 754,678 | 749,353 |
Principal Amount | Value | |||||||
Magnetite CLO Ltd., Series 2016-18A, Class A, 3 mo. USD LIBOR + 1.140%, FRN (a) | $ | 760,000 | $ | 768,301 | ||||
Marlette Funding Trust, Series 2016-1A, Class A (a) | 1,320,204 | 1,318,007 | ||||||
Marlette Funding Trust, Series 2017-2A, Class B (a) | 1,000,000 | 999,915 | ||||||
Marriott Vacation Club Owner Trust, Series 2012-1A, Class A (a) | 245,621 | 246,259 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (a) | 1,105,260 | 1,100,412 | ||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A (a) | 642,513 | 652,067 | ||||||
MVW Owner Trust, Series 2015-1A, Class A (a) | 850,246 | 842,956 | ||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) | 125,427 | 125,352 | ||||||
Nomad CLO Ltd., Series 2013-1A, Class A1, 3 mo. USD LIBOR + 1.200%, FRN (a) | 983,822 | 984,510 | ||||||
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (a) | 10,600,000 | 10,480,417 | ||||||
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (a) | 3,000,000 | 2,959,128 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (a) | 2,100,000 | 2,100,326 | ||||||
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) | 870,000 | 865,896 | ||||||
Oportun Funding VI LLC, Series 2017-A, Class A (a) | 1,880,000 | 1,888,787 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) | 285,200 | 281,257 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) | 1,626,589 | 1,621,350 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class B (a) | 1,362,162 | 1,349,941 |
The accompanying notes are an integral part of the financial statements.
46
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MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) | $ | 1,400,000 | $ | 1,388,924 | ||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 508,376 | 507,223 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN | 47,208 | 47,252 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (a) | 700,000 | 701,570 | ||||||
Residential Asset Mortgage Products, Inc., Series 2005-EFC5, Class M1, 1 mo. USD LIBOR + ..400%, FRN | 186,896 | 186,754 | ||||||
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A, VRN (a) | 863,271 | 861,831 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) | 278,296 | 279,488 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) | 1,871,839 | 1,886,213 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) | 9,122,478 | 9,218,036 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) | 2,895,179 | 2,921,084 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) | 3,958,594 | 4,010,091 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) | 3,489,515 | 3,476,355 | ||||||
Specialty Underwriting & Residential Finance Trust, Series 2005-AB2, Class M1, 1 mo. USD LIBOR + .450%, FRN | 542,441 | 542,886 | ||||||
Spirit Master Funding LLC, Series 2014-4A, Class A1 (a) | 1,000,000 | 996,320 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) | 1,489,560 | 1,498,333 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (a) | 4,490,000 | 4,498,010 |
Principal Amount | Value | |||||||
Structured Receivables Finance LLC, Series 2010-B, Class A (a) | $ | 275,296 | $ | 276,150 | ||||
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A (a) | 2,027,392 | 1,987,378 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 2,900,000 | 2,908,886 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) | 2,481,250 | 2,531,071 | ||||||
TAL Advantage VI LLC, Series 2017-1A, Class A (a) | 2,671,182 | 2,805,943 | ||||||
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) | 2,150,000 | 2,165,938 | ||||||
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (a) | 1,750,000 | 1,756,948 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) | 272,540 | 270,978 | ||||||
Triton Container Finance VI LLC, Series 2017-1A, Class A (a) | 960,000 | 958,514 | ||||||
VSE VOI Mortgage LLC, Series 2016-A, Class A (a) | 2,255,753 | 2,245,380 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2I (a) | 3,905,438 | 3,920,947 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2II (a) | 1,797,975 | 1,824,439 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A23 (a) | 2,161,500 | 2,220,108 | ||||||
Westgate Resorts LLC, Series 2015-1A, Class A (a) | 1,056,865 | 1,054,239 | ||||||
Westgate Resorts LLC, Series 2017-1A, Class A (a) | 1,660,312 | 1,657,576 | ||||||
|
| |||||||
184,404,084 | ||||||||
|
| |||||||
Student Loans ABS — 9.5% | ||||||||
AccessLex Institute, Series 2004-A, Class A3, 28 day ARS, FRN 7/01/39 | 2,950,000 | 2,902,299 |
The accompanying notes are an integral part of the financial statements.
47
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MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | $ | 539,691 | $ | 510,323 | ||||
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS, FRN 1/25/47 | 900,000 | 686,974 | ||||||
Collegiate Funding Services Education Loan Trust, Series 2005-B, Class A4, 3 mo. USD LIBOR + .160%, FRN | 1,500,000 | 1,428,447 | ||||||
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) | 1,955,758 | 1,956,928 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) | 277,978 | 283,071 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) | 5,328,846 | 5,347,497 | ||||||
DRB Prime Student Loan Trust, Series 2015-D, Class A2 (a) | 1,030,624 | 1,042,957 | ||||||
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) | 874,734 | 872,384 | ||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (a) | 2,176,230 | 2,179,516 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A2 (a) | 1,506,659 | 1,517,062 | ||||||
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) | 3,595,852 | 3,595,847 | ||||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) | 3,262,192 | 3,265,099 | ||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) | 4,123,130 | 4,145,006 | ||||||
Education Services of America, Series 2014-4, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 1,200,000 | 1,032,337 |
Principal Amount | Value | |||||||
Education Services of America, Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | $ | 1,100,000 | $ | 956,061 | ||||
Educational Funding of the South, Inc., Series 2011-1, Class B, 3 mo. USD LIBOR + 3.700%, FRN | 625,000 | 680,014 | ||||||
Higher Education Funding I, Series 2004-1, Class B1, 28 day ARS, FRN (a) 1/01/44 | 450,000 | 392,891 | ||||||
Higher Education Funding I, Series 2004-1, Class B2, 28 day ARS, FRN (a) 1/01/44 | 450,000 | 365,611 | ||||||
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN | 772,673 | 766,165 | ||||||
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN | 79,907 | 79,751 | ||||||
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (a) | 3,008,247 | 2,974,294 | ||||||
Navient Student Loan Trust, Series 2014-1, Class A4, 1 mo. USD LIBOR + .750%, FRN | 3,000,000 | 2,884,867 | ||||||
Navient Student Loan Trust, Series 2017-3A, Class A3, 1 mo. USD LIBOR + 1.050%, FRN (a) | 2,500,000 | 2,526,455 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (a) | 6,000,000 | 5,999,995 | ||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) | 3,092,634 | 3,141,420 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) | 13,750,000 | 14,043,716 | ||||||
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 940,000 | 874,941 | ||||||
Navient Student Loan Trust, Series 2016-2, Class A3, 1 mo. USD LIBOR + 1.500%, FRN (a) | 2,370,000 | 2,436,310 |
The accompanying notes are an integral part of the financial statements.
48
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MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (a) | $ | 1,515,221 | $ | 1,514,545 | ||||
Nelnet Student Loan Trust, Series 2005-4, Class A4A, 7 Day ARS, FRN 3/22/32 | 325,000 | 304,832 | ||||||
Nelnet Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .120%, FRN | 1,220,000 | 1,221,870 | ||||||
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN | 1,193,125 | 1,164,922 | ||||||
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN | 872,870 | 750,604 | ||||||
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (a) | 2,176,137 | 2,168,921 | ||||||
North Carolina State Education Assistance Authority, Series 2011-2, Class A3, 3 mo. USD LIBOR + .800%, FRN | 1,600,000 | 1,579,157 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (a) | 3,573,872 | 3,580,365 | ||||||
SLC Student Loan Trust, Series 2006-A, Class B, 3 mo. USD LIBOR + .300%, FRN | 378,000 | 371,569 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A11, 28 Day ARS, FRN 3/15/28 | 768,000 | 768,000 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A10, 28 Day ARS, FRN 3/15/28 | 347,000 | 347,000 | ||||||
SLM Student Loan Trust, Series 2003-2, Class A7, 28 Day ARS, FRN 9/15/28 | 650,000 | 650,000 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 Day ARS, FRN 6/17/30 | 250,000 | 250,000 | ||||||
SLM Student Loan Trust, Series 2002-7, Class B, 28 Day ARS, FRN 12/15/39 | 3,950,000 | 3,911,668 | ||||||
SLM Student Loan Trust, Series 2007-3, Class B, 3 mo. USD LIBOR + .150%, FRN | 2,400,000 | 1,787,074 |
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .150%, FRN | $ | 1,068,198 | $ | 975,811 | ||||
SLM Student Loan Trust, Series 2005-5, Class A5, 3 mo. USD LIBOR + .750%, FRN | 1,056,000 | 1,032,303 | ||||||
SLM Student Loan Trust, Series 2013-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 1,420,000 | 1,392,033 | ||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2A (a) | 1,575,000 | 1,563,652 | ||||||
SMB Private Education Loan Trust, Series 2016-A, Class A2A (a) | 3,000,000 | 3,009,310 | ||||||
SoFi Professional Loan Program, Series 2017-C, Class C, VRN (a) | 990,000 | 965,870 | ||||||
SoFi Professional Loan Program LLC, Series 2015-A, Class RC (Acquired 4/19/17, Cost $3,376,500) (a) (c) 3/25/33 | 1,200 | 3,060,000 | ||||||
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B (a) | 1,300,000 | 1,288,446 | ||||||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B (a) | 570,000 | 569,514 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) | 2,079,863 | 2,101,784 | ||||||
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (a) | 1,610,000 | 1,607,084 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (a) | 2,300,000 | 2,297,515 | ||||||
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | 1,039,779 | �� | 1,069,640 | |||||
SoFi Professional Loan Program LLC, Series 2017-A, Class B, VRN (a) | 1,220,000 | 1,209,323 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000%, FRN | 1,800,000 | 1,780,771 |
The accompanying notes are an integral part of the financial statements.
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MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
South Carolina Student Loan Corp., Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN | $ | 3,050,000 | $ | 2,823,173 | ||||
South Texas Higher Education Authority, Inc., Series 2012-1, Class A3, 3 mo. USD LIBOR + .850%, FRN | 1,700,000 | 1,694,485 | ||||||
|
| |||||||
117,699,479 | ||||||||
|
| |||||||
WL Collateral CMO — 0.3% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN | 51,449 | 51,372 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN | 18,646 | 18,873 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN | 7,506 | 7,191 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN | 11,321 | 11,703 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN | 53,172 | 51,102 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (a) | 3,509,634 | 3,535,078 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN | 5,279 | 5,080 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN | 3,526 | 3,631 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN | 232 | 247 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN | 30,781 | 31,774 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | 80,834 | 82,818 | ||||||
|
| |||||||
3,798,869 | ||||||||
|
|
Principal Amount | Value | |||||||
WL Collateral PAC — 0.0% | ||||||||
Structured Asset Securities Corp., Series 2002-11A, Class 2A1, VRN | $ | 23,195 | $ | 23,319 | ||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $349,141,791) | 349,566,978 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.8% | ||||||||
Colombia Government International Bond | 2,580,000 | 2,974,740 | ||||||
Mexico Government International Bond | 850,000 | 917,150 | ||||||
Mexico Government International Bond | 685,000 | 873,218 | ||||||
Mexico Government International Bond | 4,727,000 | 4,731,727 | ||||||
|
| |||||||
9,496,835 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $9,160,973) | 9,496,835 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 24.4% | ||||||||
Collateralized Mortgage Obligations — 1.4% | ||||||||
Federal Home Loan Mortgage Corp. | 3,060,773 | 3,125,855 | ||||||
Series 4290, Class CA | 2,032,940 | 2,112,287 | ||||||
Series 2617, Class Z | 1,590,264 | 1,764,132 | ||||||
Series 2693, Class Z | 2,880,962 | 3,146,443 | ||||||
Series 3423, Class PB | 613,250 | 675,984 | ||||||
Series 2178, Class PB | 65,226 | 72,398 | ||||||
Federal National Mortgage Association | ||||||||
Series 2014-7, Class VA | 1,411,498 | 1,481,717 | ||||||
Series 2014-48, Class AB | 2,818,481 | 2,960,155 | ||||||
Series 2007-32, Class Z 5.500% 4/25/37 | 910,858 | 1,003,180 | ||||||
Series 2010-60, Class HJ | 620,117 | 671,927 |
The accompanying notes are an integral part of the financial statements.
50
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Federal National Mortgage Association REMIC | $ | 780,399 | $ | 853,421 | ||||
|
| |||||||
17,867,499 | ||||||||
|
| |||||||
Pass-Through Securities — 22.1% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #G11630 3.500% | 46,156 | 48,080 | ||||||
Pool #J13972 3.500% | 66,718 | 69,541 | ||||||
Pool #C91344 3.500% | 175,329 | 182,870 | ||||||
Pool #C91424 3.500% | 116,996 | 122,028 | ||||||
Pool #Q37467 3.500% | 6,134,201 | 6,321,102 | ||||||
Pool #Q41916 3.500% | 2,098,389 | 2,172,161 | ||||||
Pool #Q42045 3.500% | 883,009 | 914,052 | ||||||
Pool #Q44275 3.500% | 1,638,604 | 1,696,211 | ||||||
Pool #Q44277 3.500% | 493,349 | 509,614 | ||||||
Pool #Q45741 3.500% | 4,586,259 | 4,738,179 | ||||||
Pool #Q46465 3.500% | 7,393,909 | 7,601,861 | ||||||
Pool #Q47742 4.000% | 1,435,613 | 1,526,516 | ||||||
Pool #Q47730 4.000% | 1,743,591 | 1,853,996 | ||||||
Pool #C91239 4.500% | 9,234 | 9,926 | ||||||
Pool #C91251 4.500% | 59,402 | 63,848 | ||||||
Pool #C03537 4.500% | 1,290,263 | 1,396,458 | ||||||
Pool #G06057 4.500% | 1,206,586 | 1,301,369 | ||||||
Pool #G60485 4.500% | 1,511,819 | 1,631,052 | ||||||
Pool #G60469 4.500% | 954,596 | 1,029,584 | ||||||
Pool #G60172 4.500% | 1,601,410 | 1,733,714 | ||||||
Pool #G05253 5.000% | 288,256 | 315,854 | ||||||
Pool #C90939 5.500% | 37,008 | 40,966 | ||||||
Pool #D97258 5.500% | 57,463 | 63,609 |
Principal Amount | Value | |||||||
Pool #C91026 5.500% | $ | 61,553 | $ | 68,136 | ||||
Pool #C91074 5.500% | 6,098 | 6,750 | ||||||
Pool #D97417 5.500% | 12,647 | 14,000 | ||||||
Pool #C91128 5.500% | 3,341 | 3,699 | ||||||
Pool #C91148 5.500% | 123,531 | 136,743 | ||||||
Pool #C91176 5.500% | 44,468 | 49,224 | ||||||
Pool #C91217 5.500% | 17,351 | 19,207 | ||||||
Pool #G11431 6.000% | 11 | 11 | ||||||
Pool #C01079 7.500% | 2,214 | 2,616 | ||||||
Pool #C01135 7.500% | 6,480 | 7,644 | ||||||
Federal Home Loan Mortgage Corp. TBA | ||||||||
Pool #292 3.500% | 13,100,000 | 13,455,644 | ||||||
Pool #5992 4.000% | 10,950,000 | 11,490,656 | ||||||
Pool #7718 4.500% | 5,300,000 | 5,677,625 | ||||||
Federal National Mortgage Association | ||||||||
Pool #725692 2.786% | 164,887 | 173,028 | ||||||
Pool #888586 2.831% | 144,339 | 151,683 | ||||||
Pool #AO8180 3.000% | 43,556 | 43,758 | ||||||
Pool #AB7397 3.000% | 201,680 | 202,555 | ||||||
Pool #AB7401 3.000% | 191,232 | 192,061 | ||||||
Pool #AP8668 3.000% | 242,314 | 243,364 | ||||||
Pool #AR1975 3.000% | 53,596 | 53,828 | ||||||
Pool #AR0306 3.000% | 16,361 | 16,432 | ||||||
Pool #AR5391 3.000% | 136,953 | 137,547 | ||||||
Pool #AL3215 3.000% | 180,661 | 181,444 |
The accompanying notes are an integral part of the financial statements.
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MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #AR4109 3.000% | $ | 173,138 | $ | 173,888 | ||||
Pool #AR4432 3.000% | 68,060 | 68,355 | ||||||
Pool #AT0169 3.000% | 293,407 | 294,679 | ||||||
Pool #AB8809 3.000% | 100,073 | 100,507 | ||||||
Pool #MA1368 3.000% | 331,178 | 332,614 | ||||||
Pool #AR2174 3.000% | 341,338 | 342,818 | ||||||
Pool #775539 3.475% | 48,602 | 51,129 | ||||||
Pool #AS1304 3.500% | 2,011,037 | 2,098,156 | ||||||
Pool #AV1897 3.500% | 337,418 | 352,246 | ||||||
Pool #AV2325 3.500% | 1,106,150 | 1,154,069 | ||||||
Pool #AS6187 3.500% | 14,075,767 | 14,494,192 | ||||||
Pool #AS6306 3.500% | 4,906,617 | 5,065,507 | ||||||
Pool #AS6475 3.500% | 4,304,925 | 4,449,712 | ||||||
Pool #AS6476 3.500% | 4,475,436 | 4,620,363 | ||||||
Pool #AS6477 3.500% | 5,152,202 | 5,305,360 | ||||||
Pool #BE4046 3.500% | 4,880,943 | 5,016,885 | ||||||
Pool #BE5162 3.500% | 5,020,947 | 5,160,789 | ||||||
Pool #BH4875 3.500% | 3,275,000 | 3,366,726 | ||||||
Pool #AZ7917 4.000% | 565,839 | 599,171 | ||||||
Pool #AL8422 4.000% | 504,170 | 534,026 | ||||||
Pool #MA3027 4.000% | 27,347,913 | 28,792,224 | ||||||
Pool #BF0094 4.000% | 7,609,816 | 7,983,172 | ||||||
Pool #BF0105 4.000% | 2,412,463 | 2,536,102 | ||||||
Pool #AA3980 4.500% | 83,037 | 90,809 | ||||||
Pool #AB1466 4.500% | 619,064 | 667,912 | ||||||
Pool #AH6787 4.500% | 1,159,601 | 1,256,174 |
Principal Amount | Value | |||||||
Pool #AL7566 4.500% | $ | 1,238,481 | $ | 1,336,398 | ||||
Pool #AL6997 4.500% | 2,469,618 | 2,675,291 | ||||||
Pool #AL6608 4.500% | 1,041,525 | 1,129,891 | ||||||
Pool #AD6437 5.000% | 682,026 | 751,214 | ||||||
Pool #AD6996 5.000% | 4,594,119 | 5,037,918 | ||||||
Pool #AL8173 5.000% | 1,875,685 | 2,056,293 | ||||||
Pool #AD0836 5.500% | 110,518 | 122,338 | ||||||
Pool #575667 7.000% | 12,973 | 15,217 | ||||||
Pool #529453 7.500% | 2,811 | 3,327 | ||||||
Pool #531196 7.500% | 358 | 423 | ||||||
Pool #530299 7.500% | 399 | 458 | ||||||
Pool #536386 7.500% | 496 | 585 | ||||||
Pool #535996 7.500% | 8,747 | 10,331 | ||||||
Pool #523499 8.000% | 289 | 341 | ||||||
Pool #252926 8.000% | 252 | 300 | ||||||
Pool #532819 8.000% | 140 | 168 | ||||||
Pool #534703 8.000% | 2,945 | 3,514 | ||||||
Pool #253437 8.000% | 196 | 234 | ||||||
Pool #253481 8.000% | 117 | 141 | ||||||
Pool #190317 8.000% | 4,254 | 5,076 | ||||||
Pool #596656 8.000% | 1,804 | 1,934 | ||||||
Pool #602008 8.000% | 4,611 | 5,505 | ||||||
Pool #597220 8.000% | 3,384 | 4,050 | ||||||
Federal National Mortgage Association TBA | 20,400,000 | 20,948,250 | ||||||
Pool #15801 4.500% | 6,100,000 | 6,542,250 |
The accompanying notes are an integral part of the financial statements.
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MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Government National Mortgage Association | $ | 5,127,738 | $ | 5,330,043 | ||||
Pool #371146 7.000% | 497 | 547 | ||||||
Pool #352022 7.000% | 7,874 | 8,736 | ||||||
Pool #374440 7.000% | 523 | 575 | ||||||
Pool #491089 7.000% | 10,046 | 11,383 | ||||||
Pool #480539 7.000% | 462 | 537 | ||||||
Pool #478658 7.000% | 2,343 | 2,746 | ||||||
Pool #488634 7.000% | 2,483 | 2,891 | ||||||
Pool #500928 7.000% | 4,630 | 5,412 | ||||||
Pool #499410 7.000% | 1,358 | 1,595 | ||||||
Pool #510083 7.000% | 1,287 | 1,497 | ||||||
Pool #493723 7.000% | 4,362 | 5,123 | ||||||
Pool #516706 7.000% | 107 | 114 | ||||||
Pool #581417 7.000% | 24,914 | 29,226 | ||||||
Government National Mortgage Association II | 5,527 | 5,634 | ||||||
Pool #080136 2.250% 11/20/27 1 Year CMT + 1.500%, FRN | 1,074 | 1,097 | ||||||
Pool #82462 2.375% 1/20/40 1 year CMT + 1.500%, FRN | 644,426 | 662,057 | ||||||
Pool #82488 2.375% 3/20/40 1 year CMT + 1.500%, FRN | 601,062 | 619,759 | ||||||
Pool #784026 3.500% | 1,807,062 | 1,876,097 | ||||||
Pool #MA4382 3.500% | 44,083,548 | 45,719,462 | ||||||
Government National Mortgage Association II TBA (b) | 13,750,000 | 14,466,504 | ||||||
|
| |||||||
271,980,313 | ||||||||
|
|
Principal Amount | Value | |||||||
Whole Loans — 0.9% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2016-DNA1, Class M1 1 mo. USD LIBOR + 1.450%, FRN | $ | 554,882 | $ | 556,946 | ||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, Class M1 1 mo. USD LIBOR + .800%, FRN | 773,601 | 775,056 | ||||||
Series 2016-HQA3, Class M2 1 mo. USD LIBOR + 1.350%, FRN | 790,000 | 800,351 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C06, Class 1M1 1 mo. USD LIBOR + 1.300%, FRN | 2,394,967 | 2,425,546 | ||||||
Series 2016-C05, Class 2M1 1 mo. USD LIBOR + 1.350%, FRN | 4,230,546 | 4,264,085 | ||||||
Series 2016-C04, Class 1M1 1 mo. USD LIBOR + 1.450%, FRN | 2,405,179 | 2,433,135 | ||||||
Vendee Mortgage Trust Series 1992-1, Class 2Z | 58,764 | 64,446 | ||||||
|
| |||||||
11,319,565 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $302,676,022) | 301,167,377 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 8.9% | ||||||||
U.S. Treasury Bonds & Notes — 8.9% | ||||||||
U.S. Treasury Bond | 27,350,000 | 25,453,020 | ||||||
U.S. Treasury Bond (d) | 19,800,000 | 22,374,000 | ||||||
U.S. Treasury Note | 20,400,000 | 20,410,518 |
The accompanying notes are an integral part of the financial statements.
53
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
U.S. Treasury Note | $ | 41,900,000 | $ | 40,859,376 | ||||
|
| |||||||
109,096,914 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $109,783,156) | 109,096,914 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $1,189,575,279) | 1,202,100,026 | |||||||
|
| |||||||
Notional Amount | ||||||||
PURCHASED OPTIONS — 0.2% | ||||||||
Financial — 0.2% | ||||||||
Diversified Financial Services — 0.2% | ||||||||
3-Month USD LIBOR 30 Year Swaption, Put, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52 | 12,180,000 | 1,520,754 | ||||||
3-Month USD LIBOR 30 Year Swaption, Call, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52 | 7,308,000 | 820,396 | ||||||
|
| |||||||
2,341,150 | ||||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $2,540,261) | 2,341,150 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,194,490,540) | 1,207,101,176 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 10.4% | ||||||||
Commercial Paper — 10.2% | ||||||||
BAT International Finance (a) | 8,700,000 | 8,698,981 | ||||||
BAT International Finance (a) | 2,500,000 | 2,497,976 | ||||||
Becton, Dickinson & Co. (a) | 12,000,000 | 11,997,647 | ||||||
Deutsche Telekom AG (a) | 10,000,000 | 9,986,816 | ||||||
Dollar General Corp. (a) | 8,000,000 | 7,996,569 | ||||||
Dollar General Corp. (a) | 4,000,000 | 3,998,112 |
Principal Amount | Value | |||||||
Dominion Resources, Inc. (a) | $ | 7,000,000 | $ | 6,968,822 | ||||
FMC Technologies, Inc. (a) | 6,000,000 | 5,996,873 | ||||||
Hewlett Packard Enterprise Co. (a) | 6,000,000 | 5,994,969 | ||||||
Hyundai Capital America (a) | 6,000,000 | 5,996,874 | ||||||
Monsanto Co. (a) | 9,300,000 | 9,295,539 | ||||||
National Grid USA (a) | 3,600,000 | 3,598,569 | ||||||
ONEOK Partners LP (a) | 2,000,000 | 1,999,041 | ||||||
ONEOK Partners LP (a) | 4,000,000 | 3,998,246 | ||||||
ONEOK Partners LP (a) | 6,000,000 | 5,997,615 | ||||||
Sempra Energy Holdings (a) | 3,500,000 | 3,492,093 | ||||||
Suncor Energy, Inc. (a) | 7,000,000 | 6,998,348 | ||||||
Suncor Energy, Inc. (a) | 5,000,000 | 4,997,808 | ||||||
WPP CP LLC (a) | 5,000,000 | 4,997,602 | ||||||
Xcel Energy, Inc. (a) | 10,000,000 | 9,996,025 | ||||||
|
| |||||||
125,504,525 | ||||||||
|
| |||||||
Time Deposit — 0.2% | ||||||||
Euro Time Deposit | 2,953,587 | 2,953,587 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $128,462,722) | 128,458,112 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 108.4% (Cost $1,322,953,262) (e) | 1,335,559,288 | |||||||
Other Assets/(Liabilities) — (8.4)% | (103,943,893 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,231,615,395 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
The accompanying notes are an integral part of the financial statements.
54
Table of Contents
MML Managed Bond Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
PAC | Planned Amortization Class |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $499,446,981 or 40.55% of net assets. |
(b) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(c) | Restricted security. Certain securities are restricted as to resale. At June 30, 2017, these securities amounted to a value of $3,060,000 or 0.25% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(d) | A portion of this security is pledged/held as collateral for open futures contracts and open swaps agreements. (Note 2). |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
55
Table of Contents
MML U.S. Government Money Market Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 100.0% | ||||||||
Discount Notes — 86.9% | ||||||||
Federal Farm Credit Bank | $ | 350,000 | $ | 349,766 | ||||
Federal Farm Credit Bank | 1,333,000 | 1,330,555 | ||||||
Federal Home Loan Bank | 5,000,000 | 4,999,875 | ||||||
Federal Home Loan Bank | 3,500,000 | 3,499,229 | ||||||
Federal Home Loan Bank | 900,000 | 899,375 | ||||||
Federal Home Loan Bank | 1,500,000 | 1,499,664 | ||||||
Federal Home Loan Bank | 635,000 | 634,858 | ||||||
Federal Home Loan Bank | 750,000 | 749,854 | ||||||
Federal Home Loan Bank | 5,500,000 | 5,497,368 | ||||||
Federal Home Loan Bank | 3,900,000 | 3,899,859 | ||||||
Federal Home Loan Bank | 194,000 | 193,954 | ||||||
Federal Home Loan Bank | 2,500,000 | 2,496,269 | ||||||
Federal Home Loan Bank | 500,000 | 499,679 | ||||||
Federal Home Loan Bank | 200,000 | 199,658 | ||||||
Federal Home Loan Bank | 3,000,000 | 2,994,883 | ||||||
Federal Home Loan Bank | 3,000,000 | 2,994,975 | ||||||
Federal Home Loan Bank | 5,995,000 | 5,992,900 | ||||||
Federal Home Loan Bank | 1,250,000 | 1,246,300 | ||||||
Federal Home Loan Bank | 1,100,000 | 1,099,850 | ||||||
Federal Home Loan Bank | 4,300,000 | 4,297,893 | ||||||
Federal Home Loan Bank | 1,000,000 | 999,452 | ||||||
Federal Home Loan Bank | 830,000 | 829,255 | ||||||
Federal Home Loan Bank | 1,000,000 | 999,250 | ||||||
Federal Home Loan Bank | 8,000,000 | 8,000,000 |
Principal Amount | Value | |||||||
Federal Home Loan Bank | $ | 10,000,000 | $ | 10,000,000 | ||||
Federal Home Loan Bank | 12,000,000 | 12,006,981 | ||||||
Federal Home Loan Bank | 5,000,000 | 4,993,407 | ||||||
Federal Home Loan Bank | 5,000,000 | 4,999,885 | ||||||
Federal Home Loan Bank | 14,000,000 | 13,999,450 | ||||||
Federal Home Loan Bank | 5,000,000 | 5,003,297 | ||||||
Federal Home Loan Bank | 5,000,000 | 4,983,950 | ||||||
Federal Home Loan Bank | 4,255,000 | 4,255,469 | ||||||
Federal Home Loan Bank | 5,000,000 | 5,001,734 | ||||||
Federal Home Loan Bank | 2,485,000 | 2,487,716 | ||||||
Federal Home Loan Bank | 7,500,000 | 7,500,000 | ||||||
Federal Home Loan Mortgage Corp. | 1,000,000 | 996,770 | ||||||
Federal Home Loan Mortgage Corp. | 1,100,000 | 1,101,885 | ||||||
Federal National Mortgage Association | 155,000 | 154,834 | ||||||
Federal National Mortgage Association | 100,000 | 99,871 | ||||||
|
| |||||||
133,789,970 | ||||||||
|
| |||||||
Repurchase Agreement — 13.0% | ||||||||
HSBC Securities (USA) Inc. Repurchase Agreement, dated 6/30/17, 1.030%, due 7/03/17 (a) | 20,000,000 | 20,000,000 | ||||||
|
| |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | 88,352 | 88,352 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $153,878,322) | 153,878,322 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (Cost $153,878,322) (b) | 153,878,322 | |||||||
Other Assets/(Liabilities) — 0.0% | 4,441 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 153,882,763 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
56
Table of Contents
MML U.S. Government Money Market Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Maturity value of $20,001,717. Collateralized by U.S. Government Agency obligations with rates ranging from 0.125% – 6.250%, maturity dates ranging from 4/15/19 – 5/15/30, and an aggregate market value, including accrued interest, of $20,403,650. |
(b) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
57
Table of Contents
MML Series Investment Fund II – Financial Statements
Statements of Assets and Liabilities
June 30, 2017 (Unaudited)
MML Blend Fund | MML Equity Fund | MML Managed Bond Fund | MML U.S. Government Money Market Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value (Note 2) (a) | $ | 658,766,911 | $ | 832,047,196 | $ | 1,207,101,176 | $ | - | ||||||||
Repurchase agreements, at value (Note 2) (b) | 166,994 | 10,696,055 | - | 20,000,000 | ||||||||||||
Other short-term investments, at value (Note 2) (c) | 23,330,675 | 75,762 | 128,458,112 | 133,878,322 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investments (d) | 682,264,580 | 842,819,013 | 1,335,559,288 | 153,878,322 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Receivables from: | ||||||||||||||||
Investments sold | 1,620,728 | 990,464 | 8,570,140 | - | ||||||||||||
Investments sold on a when-issued basis (Note 2) | 15,059,896 | - | 101,103,568 | - | ||||||||||||
Fund shares sold | 138,571 | 298,405 | 3,083,319 | 166,875 | ||||||||||||
Interest and dividends | 1,598,844 | 879,555 | 6,912,232 | 39,611 | ||||||||||||
Foreign taxes withheld | - | 42,804 | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 700,682,619 | 845,030,241 | 1,455,228,547 | 154,084,808 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payables for: | ||||||||||||||||
Investments purchased | 8,357,662 | - | 43,737,344 | - | ||||||||||||
Investments purchased on a when-issued basis (Note 2) | 30,311,807 | - | 177,674,303 | - | ||||||||||||
Fund shares repurchased | 89,546 | 208,509 | 254,575 | 60,968 | ||||||||||||
Securities on loan (Note 2) | - | 12,761,187 | - | - | ||||||||||||
Open swap agreements, at value (Note 2) | 127,274 | - | 777,656 | - | ||||||||||||
Trustees’ fees and expenses (Note 3) | 197,290 | 248,353 | 223,266 | 51,671 | ||||||||||||
Variation margin on open derivative instruments (Note 2) | 43,819 | - | 311,635 | - | ||||||||||||
Collateral held for when-issued securities (Note 2) | 5,000 | - | 50,000 | - | ||||||||||||
Affiliates (Note 3): | ||||||||||||||||
Investment advisory fees | 227,654 | 275,519 | 392,439 | 61,598 | ||||||||||||
Service fees | 42,573 | 52,894 | 171,958 | - | ||||||||||||
Due to custodian | - | - | 29 | - | ||||||||||||
Accrued expense and other liabilities | 71,567 | 77,224 | 19,947 | 27,808 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 39,474,192 | 13,623,686 | 223,613,152 | 202,045 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 661,208,427 | $ | 831,406,555 | $ | 1,231,615,395 | $ | 153,882,763 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 509,848,438 | $ | 576,845,534 | $ | 1,226,677,839 | $ | 153,923,557 | ||||||||
Undistributed (accumulated) net investment income (loss) | 3,078,519 | 22,372,980 | 9,314,716 | - | ||||||||||||
Distributions in excess of net investment income | - | - | - | (46,356 | ) | |||||||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 5,788,784 | 20,969,140 | (16,557,486 | ) | 5,562 | |||||||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 142,492,686 | 211,218,901 | 12,180,326 | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 661,208,427 | $ | 831,406,555 | $ | 1,231,615,395 | $ | 153,882,763 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments: | $ | 516,231,118 | $ | 620,828,295 | $ | 1,194,490,540 | $ | - | ||||||||
(b) Cost of repurchase agreements: | $ | 166,994 | $ | 10,696,055 | $ | - | $ | 20,000,000 | ||||||||
(c) Cost of other short-term investments: | $ | 23,329,969 | $ | 75,762 | $ | 128,462,722 | $ | 133,878,322 | ||||||||
(d) Securities on loan with market value of: | $ | - | $ | 12,421,240 | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
58
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Assets and Liabilities
June 30, 2017 (Unaudited)
MML Blend Fund | MML Equity Fund | MML Managed Bond Fund | MML U.S. Government Money Market Fund | |||||||||||||
Initial Class shares: | ||||||||||||||||
Net assets | $ | 589,613,031 | $ | 744,091,756 | $ | 952,489,363 | $ | 153,882,763 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding (a) | 26,998,124 | 24,809,540 | 76,149,350 | 153,881,281 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering price and redemption price per share | $ | 21.84 | $ | 29.99 | $ | 12.51 | $ | 1.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Service Class shares: | ||||||||||||||||
Net assets | $ | 71,595,396 | $ | 87,314,799 | $ | 279,126,032 | $ | - | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding (a) | 3,287,525 | 2,947,402 | 22,372,297 | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering price and redemption price per share | $ | 21.78 | $ | 29.62 | $ | 12.48 | $ | - | ||||||||
|
|
|
|
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
59
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Operations
For the Six Months Ended June 30, 2017 (Unaudited)
MML Blend Fund | MML Equity Fund | MML Managed Bond Fund | MML U.S. Government Money Market Fund | |||||||||||||
Investment income (Note 2): | ||||||||||||||||
Dividends (a) | $ | 4,966,393 | $ | 8,626,081 | $ | 60,563 | $ | - | ||||||||
Interest | 2,886,602 | 3,047 | 19,399,454 | 558,485 | ||||||||||||
Securities lending net income | - | 20,623 | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 7,852,995 | 8,649,751 | 19,460,017 | 558,485 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses (Note 3): | ||||||||||||||||
Investment advisory fees | 1,360,593 | 1,652,730 | 2,343,773 | 382,582 | ||||||||||||
Custody fees | 43,358 | 33,210 | - | * | 10,621 | |||||||||||
Audit fees | 18,176 | 17,814 | 18,712 | 15,502 | ||||||||||||
Legal fees | 2,555 | 3,091 | - | * | 3,370 | |||||||||||
Proxy fees | 485 | 485 | - | * | 485 | |||||||||||
Shareholder reporting fees | 30,808 | 38,010 | - | * | 9,055 | |||||||||||
Trustees’ fees | 16,944 | 20,999 | 24,440 | 4,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
1,472,919 | 1,766,339 | 2,386,925 | 425,984 | |||||||||||||
Service fees: | ||||||||||||||||
Service Class | 81,704 | 103,770 | 338,259 | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 1,554,623 | 1,870,109 | 2,725,184 | 425,984 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 6,298,372 | 6,779,642 | 16,734,833 | 132,501 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investment transactions | 11,356,956 | 19,922,544 | 4,375,897 | 119 | ||||||||||||
Futures contracts | (1,201,262 | ) | - | 2,026,682 | - | |||||||||||
Swap agreements | (4,941 | ) | - | (33,889 | ) | - | ||||||||||
Foreign currency transactions | - | 810 | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 10,150,753 | 19,923,354 | 6,368,690 | 119 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investment transactions | 22,691,349 | 27,397,701 | 12,613,112 | - | ||||||||||||
Futures contracts | 162,885 | - | 754,630 | - | ||||||||||||
Swap agreements | (71,279 | ) | - | (436,557 | ) | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 22,782,955 | 27,397,701 | 12,931,185 | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 32,933,708 | 47,321,055 | 19,299,875 | 119 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 39,232,080 | $ | 54,100,697 | $ | 36,034,708 | $ | 132,620 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Net of foreign withholding tax of: | $ | - | $ | 73,322 | $ | - | $ | - |
* | Paid by MassMutual pursuant to investment advisory agreement dated 12/15/11 for a period of at least three years. The agreement can only be amended or terminated after that period upon approval of a majority of the Independent Trustees. |
The accompanying notes are an integral part of the financial statements.
60
Table of Contents
THIS PAGE INTENTIONALLY LEFT BLANK
61
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Changes in Net Assets
MML Blend Fund | ||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 6,298,372 | $ | 12,544,719 | ||||
Net realized gain (loss) on investment transactions | 10,150,753 | 28,039,281 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 22,782,955 | 15,605,210 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 39,232,080 | 56,189,210 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Initial Class | (3,046,398 | ) | (12,269,213 | ) | ||||
Service Class | (303,166 | ) | (1,001,145 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (3,349,564 | ) | (13,270,358 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Initial Class | (23,720,611 | ) | (54,825,750 | ) | ||||
Service Class | (2,665,273 | ) | (4,650,473 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (26,385,884 | ) | (59,476,223 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | (1,011,349 | ) | 11,426,537 | |||||
Service Class | 10,733,321 | 13,484,118 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 9,721,972 | 24,910,655 | ||||||
|
|
|
| |||||
Capital Contribution | - | - | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 19,218,604 | 8,353,284 | ||||||
Net assets | ||||||||
Beginning of period | 641,989,823 | 633,636,539 | ||||||
|
|
|
| |||||
End of period | $ | 661,208,427 | $ | 641,989,823 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | 3,078,519 | $ | 129,711 | ||||
|
|
|
| |||||
Distributions in excess of net investment income included in net assets at end of period | $ | - | $ | - | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
62
Table of Contents
MML Equity Fund | MML Managed Bond Fund | MML U.S. Government Money Market Fund | ||||||||||||||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||||||||||||
$ | 6,779,642 | $ | 16,139,713 | $ | 16,734,833 | $ | 31,556,238 | $ | 132,501 | $ | 221 | |||||||||||
19,923,354 | 6,307,274 | 6,368,690 | (14,492,350 | ) | 119 | 3,790 | ||||||||||||||||
27,397,701 | 68,646,016 | 12,931,185 | 16,355,296 | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
54,100,697 | 91,093,003 | 36,034,708 | 33,419,184 | 132,620 | 4,011 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | (11,993,394 | ) | (7,762,658 | ) | (27,667,303 | ) | (132,522 | ) | (222 | ) | ||||||||||||
- | (1,123,086 | ) | (2,074,558 | ) | (6,650,943 | ) | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | (13,116,480 | ) | (9,837,216 | ) | (34,318,246 | ) | (132,522 | ) | (222 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | (43,851,037 | ) | - | (4,333,772 | ) | - | - | |||||||||||||||
- | (4,678,832 | ) | - | (1,095,099 | ) | - | - | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | (48,529,869 | ) | - | (5,428,871 | ) | - | - | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(32,149,223 | ) | (8,210,073 | ) | (9,639,806 | ) | (30,773,399 | ) | (12,253,337 | ) | (1,944,234 | ) | |||||||||||
(130,345 | ) | 9,935,719 | 12,702,231 | 17,106,810 | - | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(32,279,568 | ) | 1,725,646 | 3,062,425 | (13,666,589 | ) | (12,253,337 | ) | (1,944,234 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
- | - | - | - | - | 176,276 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
21,821,129 | 31,172,300 | 29,259,917 | (19,994,522 | ) | (12,253,239 | ) | (1,764,169 | ) | ||||||||||||||
809,585,426 | 778,413,126 | 1,202,355,478 | 1,222,350,000 | 166,136,002 | 167,900,171 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 831,406,555 | $ | 809,585,426 | $ | 1,231,615,395 | $ | 1,202,355,478 | $ | 153,882,763 | $ | 166,136,002 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 22,372,980 | $ | 15,593,338 | $ | 9,314,716 | $ | 2,417,099 | $ | - | $ | - | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | - | $ | - | $ | - | $ | - | $ | (46,356 | ) | $ | (46,335 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
63
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Blend Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 21.54 | $ | 0.21 | $ | 1.11 | $ | 1.32 | $ | (0.12 | ) | $ | (0.90 | ) | $ | (1.02 | ) | $ | 21.84 | 6.20% | b | $ | 589,613 | 0.45% | a | 1.96% | a | |||||||||||||||||||||
12/31/16 | 22.22 | 0.43 | 1.48 | 1.91 | (0.46 | ) | (2.13 | ) | (2.59 | ) | 21.54 | 9.42% | 581,972 | 0.46% | 2.03% | |||||||||||||||||||||||||||||||||
12/31/15 | 24.51 | 0.48 | (0.45 | ) | 0.03 | (0.50 | ) | (1.82 | ) | (2.32 | ) | 22.22 | 0.08% | 586,082 | 0.45% | 2.07% | ||||||||||||||||||||||||||||||||
12/31/14 | 22.78 | 0.45 | 2.01 | 2.46 | (0.49 | ) | (0.24 | ) | (0.73 | ) | 24.51 | 10.99% | 644,881 | 0.45% | 1.92% | |||||||||||||||||||||||||||||||||
12/31/13 | 19.33 | 0.41 | 3.48 | 3.89 | (0.44 | ) | - | (0.44 | ) | 22.78 | 20.31% | 639,537 | 0.46% | 1.94% | ||||||||||||||||||||||||||||||||||
12/31/12 | 17.52 | 0.39 | 1.82 | 2.21 | (0.40 | ) | - | (0.40 | ) | 19.33 | 12.65% | 584,660 | 0.46% | 2.09% | ||||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 21.50 | $ | 0.19 | $ | 1.09 | $ | 1.28 | $ | (0.10 | ) | $ | (0.90 | ) | $ | (1.00 | ) | $ | 21.78 | 6.07% | b | $ | 71,595 | 0.70% | a | 1.72% | a | |||||||||||||||||||||
12/31/16 | 22.18 | 0.37 | 1.48 | 1.85 | (0.40 | ) | (2.13 | ) | (2.53 | ) | 21.50 | 9.15% | 60,018 | 0.71% | 1.78% | |||||||||||||||||||||||||||||||||
12/31/15 | 24.48 | 0.42 | (0.46 | ) | (0.04 | ) | (0.44 | ) | (1.82 | ) | (2.26 | ) | 22.18 | (0.17% | ) | 47,555 | 0.70% | 1.83% | ||||||||||||||||||||||||||||||
12/31/14 | 22.75 | 0.39 | 2.01 | 2.40 | (0.43 | ) | (0.24 | ) | (0.67 | ) | 24.48 | 10.71% | 40,333 | 0.70% | 1.68% | |||||||||||||||||||||||||||||||||
12/31/13 | 19.30 | 0.36 | 3.47 | 3.83 | (0.38 | ) | - | (0.38 | ) | 22.75 | 20.01% | 30,932 | 0.71% | 1.70% | ||||||||||||||||||||||||||||||||||
12/31/12 | 17.50 | 0.35 | 1.80 | 2.15 | (0.35 | ) | - | (0.35 | ) | 19.30 | 12.36% | 22,114 | 0.71% | 1.85% |
Six months ended June 30, 2017b,r | Year ended December 31 | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Portfolio turnover rate | 51 | % | 175 | % | 209 | % | 183 | % | 235 | % | 251 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
64
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Equity Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 28.08 | $ | 0.24 | $ | 1.67 | $ | 1.91 | $ | - | $ | - | $ | - | $ | 29.99 | 6.82% | b | $ | 744,092 | 0.43% | a | 1.68% | a | ||||||||||||||||||||||||
12/31/16 | 27.08 | 0.58 | 2.69 | 3.27 | (0.49 | ) | (1.78 | ) | (2.27 | ) | 28.08 | 12.59% | 727,540 | 0.44% | 2.15% | |||||||||||||||||||||||||||||||||
12/31/15 | 30.28 | 0.50 | (1.67 | ) | (1.17 | ) | (0.64 | ) | (1.39 | ) | (2.03 | ) | 27.08 | (3.43% | ) | 709,315 | 0.43% | 1.69% | ||||||||||||||||||||||||||||||
12/31/14 | 27.55 | 0.61 | 2.57 | 3.18 | (0.45 | ) | - | (0.45 | ) | 30.28 | 11.57% | 799,222 | 0.43% | 2.12% | ||||||||||||||||||||||||||||||||||
12/31/13 | 21.07 | 0.41 | 6.54 | 6.95 | (0.47 | ) | - | (0.47 | ) | 27.55 | 33.27% | 787,449 | 0.44% | 1.69% | ||||||||||||||||||||||||||||||||||
12/31/12 | 18.51 | 0.38 | 2.58 | 2.96 | (0.40 | ) | - | (0.40 | ) | 21.07 | 16.05% | 709,969 | 0.44% | 1.92% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 27.77 | $ | 0.21 | $ | 1.64 | $ | 1.85 | $ | - | $ | - | $ | - | $ | 29.62 | 6.68% | b | $ | 87,315 | 0.68% | a | 1.44% | a | ||||||||||||||||||||||||
12/31/16 | 26.81 | 0.50 | 2.67 | 3.17 | (0.43 | ) | (1.78 | ) | (2.21 | ) | 27.77 | 12.31% | 82,045 | 0.69% | 1.90% | |||||||||||||||||||||||||||||||||
12/31/15 | 30.01 | 0.42 | (1.65 | ) | (1.23 | ) | (0.58 | ) | (1.39 | ) | (1.97 | ) | 26.81 | (3.67% | ) | 69,098 | 0.68% | 1.45% | ||||||||||||||||||||||||||||||
12/31/14 | 27.34 | 0.52 | 2.56 | 3.08 | (0.41 | ) | - | (0.41 | ) | 30.01 | 11.29% | 56,685 | 0.68% | 1.82% | ||||||||||||||||||||||||||||||||||
12/31/13 | 20.93 | 0.35 | 6.49 | 6.84 | (0.43 | ) | - | (0.43 | ) | 27.34 | 32.94% | 41,591 | 0.69% | 1.44% | ||||||||||||||||||||||||||||||||||
12/31/12 | 18.41 | 0.34 | 2.54 | 2.88 | (0.36 | ) | - | (0.36 | ) | 20.93 | 15.76% | 26,073 | 0.69% | 1.69% |
Six months ended June 30, 2017b,r | Year ended December 31 | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Portfolio turnover rate | 19 | % | 47 | % | 39 | % | 38 | % | 100 | % | 65 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
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MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Managed Bond Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 12.24 | $ | 0.17 | $ | 0.20 | $ | 0.37 | $ | (0.10 | ) | $ | - | $ | (0.10 | ) | $ | 12.51 | 3.00% | b | $ | 952,489 | 0.39% | a | 2.82% | a | ||||||||||||||||||||||
12/31/16 | 12.31 | 0.33 | 0.02 | 0.35 | (0.36 | ) | (0.06 | ) | (0.42 | ) | 12.24 | 2.75% | 941,621 | 0.39% | 2.61% | |||||||||||||||||||||||||||||||||
12/31/15 | 12.82 | 0.33 | (0.43 | ) | (0.10 | ) | (0.36 | ) | (0.05 | ) | (0.41 | ) | 12.31 | (0.75% | ) | 976,932 | 0.39% | 2.59% | ||||||||||||||||||||||||||||||
12/31/14 | 12.44 | 0.32 | 0.47 | 0.79 | (0.41 | ) | - | (0.41 | ) | 12.82 | 6.46% | 1,218,504 | 0.39% | 2.47% | ||||||||||||||||||||||||||||||||||
12/31/13 | 13.20 | 0.31 | (0.52 | ) | (0.21 | ) | (0.40 | ) | (0.15 | ) | (0.55 | ) | 12.44 | (1.64% | ) | 1,123,545 | 0.39% | 2.46% | ||||||||||||||||||||||||||||||
12/31/12 | 12.99 | 0.35 | 0.38 | 0.73 | (0.38 | ) | (0.14 | ) | (0.52 | ) | 13.20 | 5.77% | 1,027,945 | 0.40% | 2.66% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 12.22 | $ | 0.16 | $ | 0.19 | $ | 0.35 | $ | (0.09 | ) | $ | - | $ | (0.09 | ) | $ | 12.48 | 2.87% | b | $ | 279,126 | 0.64% | a | 2.57% | a | ||||||||||||||||||||||
12/31/16 | 12.29 | 0.29 | 0.03 | 0.32 | (0.33 | ) | (0.06 | ) | (0.39 | ) | 12.22 | 2.49% | 260,735 | 0.64% | 2.36% | |||||||||||||||||||||||||||||||||
12/31/15 | 12.80 | 0.30 | (0.43 | ) | (0.13 | ) | (0.33 | ) | (0.05 | ) | (0.38 | ) | 12.29 | (1.00% | ) | 245,418 | 0.64% | 2.36% | ||||||||||||||||||||||||||||||
12/31/14 | 12.42 | 0.28 | 0.48 | 0.76 | (0.38 | ) | - | (0.38 | ) | 12.80 | 6.19% | 217,495 | 0.64% | 2.22% | ||||||||||||||||||||||||||||||||||
12/31/13 | 13.18 | 0.28 | (0.52 | ) | (0.24 | ) | (0.37 | ) | (0.15 | ) | (0.52 | ) | 12.42 | (1.88% | ) | 178,346 | 0.64% | 2.21% | ||||||||||||||||||||||||||||||
12/31/12 | 12.97 | 0.32 | 0.38 | 0.70 | (0.35 | ) | (0.14 | ) | (0.49 | ) | 13.18 | 5.51% | 149,124 | 0.65% | 2.40% |
Six months ended June 30, 2017b,r | Year ended December 31 | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Portfolio turnover rate | 128 | % | 314 | % | 358 | % | 368 | % | 313 | % | 279 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
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MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML U. S. Government Money Market Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 1.00 | $ | 0.00 | d | $ | 0.00 | d | $ | 0.00 | d | $ | (0.00 | )d | $ | - | $ | (0.00 | )d | $ | 1.00 | 0.08% | b | $ | 153,883 | 0.54% | a | 0.54% | a | 0.17% | a | |||||||||||||||||||||
12/31/16 | 1.00 | 0.00 | d | 0.00 | d | 0.00 | d | (0.00 | )d | - | (0.00 | )d | 1.00 | 0.11% | 166,136 | 0.54% | 0.40% | 0.00% | e | |||||||||||||||||||||||||||||||||
12/31/15 | 1.00 | - | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | (0.00 | )d | 1.00 | 0.00% | e | 167,900 | 0.52% | 0.15% | - | |||||||||||||||||||||||||||||||||
12/31/14 | 1.00 | - | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | (0.00 | )d | 1.00 | 0.00% | e | 252,701 | 0.51% | 0.11% | - | |||||||||||||||||||||||||||||||||
12/31/13 | 1.00 | - | 0.00 | d | 0.00 | d | (0.00 | )d | - | (0.00 | )d | 1.00 | 0.00% | e | 272,401 | 0.51% | 0.14% | - | ||||||||||||||||||||||||||||||||||
12/31/12 | 1.00 | - | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | (0.00 | )d | 1.00 | 0.00% | e | 299,944 | 0.52% | 0.16% | - |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
e | Amount is less than 0.005%. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
67
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Notes to Financial Statements (Unaudited)
1. | The Funds |
MML Series Investment Fund II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated February 8, 2005, which was amended and restated as of February 28, 2005 and December 15, 2011, as it may be further amended from time to time. The following are four series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Blend Fund (“Blend Fund”)
MML Equity Fund (“Equity Fund”)
MML Managed Bond Fund (“Managed Bond Fund”)
MML U.S. Government Money Market Fund (“U.S. Government Money Market Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, C.M. Life Insurance Company, and the MML Allocation Funds, which are “funds of funds” series of MML Series Investment Fund, another open-end management investment company sponsored by MassMutual, are the record owners of all of the outstanding shares of the Funds.
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles 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.
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (with the exception of debt securities held by the U.S. Government Money Market Fund) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account
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Notes to Financial Statements (Unaudited) (Continued)
factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day. The U.S. Government Money Market Fund’s debt securities are typically valued at amortized cost, but may be valued using a vendor quote if the Fund’s investment adviser determines it more closely approximates current market value, in accordance with Rule 2a-7 under the 1940 Act pursuant to which the U.S. Government Money Market Fund must adhere to certain conditions. It is the intention of the U.S. Government Money Market Fund to maintain a stable net asset value per share of $1.00, although this cannot be assured.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee1 in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure
1 | The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Assistant Vice Presidents, Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general. |
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Notes to Financial Statements (Unaudited) (Continued)
purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. Government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The U.S. Government Money Market Fund characterized all investments at Level 2, as of June 30, 2017. The Equity Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of June 30, 2017. For each Fund noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
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Notes to Financial Statements (Unaudited) (Continued)
The following is the aggregate value by input level, as of June 30, 2017, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Blend Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 457,044,492 | $ | - | $ | - | $ | 457,044,492 | ||||||||
Preferred Stock | 560,000 | - | - | 560,000 | ||||||||||||
Corporate Debt | - | 66,895,542 | - | 66,895,542 | ||||||||||||
Municipal Obligations | - | 1,300,495 | - | 1,300,495 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 53,783,930 | 255,000 | * | 54,038,930 | |||||||||||
Sovereign Debt Obligations | - | 1,759,247 | - | 1,759,247 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 47,772,234 | - | 47,772,234 | ||||||||||||
U.S. Treasury Obligations | - | 29,018,527 | - | 29,018,527 | ||||||||||||
Purchased Options | - | 357,516 | - | 357,516 | ||||||||||||
Rights | - | - | 19,928 | * | 19,928 | |||||||||||
Short-Term Investments | - | 23,497,669 | - | 23,497,669 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 457,604,492 | $ | 224,385,160 | $ | 274,928 | $ | 682,264,580 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 66,746 | $ | - | $ | - | $ | 66,746 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (24,351 | ) | $ | - | $ | - | $ | (24,351 | ) | ||||||
Swap Agreements | - | (175,893 | ) | - | (175,893 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (24,351 | ) | $ | (175,893 | ) | $ | - | $ | (200,244 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Managed Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock | $ | 2,660,000 | $ | - | $ | - | $ | 2,660,000 | ||||||||
Corporate Debt | - | 423,457,596 | - | 423,457,596 | ||||||||||||
Municipal Obligations | - | 9,314,326 | - | 9,314,326 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 346,506,978 | 3,060,000 | * | 349,566,978 | |||||||||||
Sovereign Debt Obligations | - | 9,496,835 | - | 9,496,835 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 301,167,377 | - | 301,167,377 | ||||||||||||
U.S. Treasury Obligations | - | 109,096,914 | - | 109,096,914 | ||||||||||||
Purchased Options | - | 2,341,150 | - | 2,341,150 | ||||||||||||
Short-Term Investments | - | 128,458,112 | - | 128,458,112 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,660,000 | $ | 1,329,839,288 | $ | 3,060,000 | $ | 1,335,559,288 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 310,540 | $ | - | $ | - | $ | 310,540 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (195,734 | ) | $ | - | $ | - | $ | (195,734 | ) | ||||||
Swap Agreements | - | (1,083,104 | ) | - | (1,083,104 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (195,734 | ) | $ | (1,083,104 | ) | $ | - | $ | (1,278,838 | ) | |||||
|
|
|
|
|
|
|
|
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the period ended June 30, 2017 is not presented. |
71
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
The following table shows Fund(s) with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of June 30, 2017.
Statements of Asset and Liabilities location: | Blend | Equity | Managed | |||
Receivables from: | ||||||
Investments sold on a when-issued basis | X | X | ||||
Payables for: | ||||||
Investments purchased on a when-issued basis | X | X | ||||
Securities on loan | X | |||||
Due to custodian | X | |||||
Collateral held for when-issued securities | X | X |
The Funds had no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period ended June 30, 2017. The Funds recognize transfers between the Levels as of the beginning of the year.
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Gains or losses from derivatives can be substantially greater than their original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the period ended June 30, 2017, the following table shows how the Fund used these types of derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).
Type of Derivative and Objective for Use | Blend Fund | Managed Fund | ||
Futures Contracts* | ||||
Hedging/Risk Management | A | A | ||
Duration/Credit Quality Management | A | A | ||
Substitution for Direct Investment | A | A | ||
Intention to Create Investment Leverage in Portfolio | M | A | ||
Credit Default Swaps (Protection Buyer) | ||||
Hedging/Risk Management | A | A | ||
Duration/Credit Quality Management | A | A | ||
Income | A | A | ||
Substitution for Direct Investment | A | A | ||
Intention to Create Investment Leverage in Portfolio | M | M | ||
Credit Default Swaps (Protection Seller) | ||||
Hedging/Risk Management | A | A | ||
Duration/Credit Quality Management | A | A | ||
Income | A | A | ||
Substitution for Direct Investment | A | A | ||
Intention to Create Investment Leverage in Portfolio | M | M |
72
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Type of Derivative and Objective for Use | Blend Fund | Managed Fund | ||
Options (Purchased) | ||||
Hedging/Risk Management | A | A | ||
Duration/Credit Quality Management | A | A | ||
Substitution for Direct Investment | A | A | ||
Directional Investment | A | A | ||
Intention to Create Investment Leverage in Portfolio | M | A |
* | Includes any options purchased or written on futures contracts, if applicable. |
At June 30, 2017, and during the period then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Credit Risk | Equity Risk | Interest Rate Risk | Total | |||||||||||||
Blend Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 357,516 | $ | 357,516 | ||||||||
Futures Contracts^^ | - | - | 66,746 | 66,746 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | 424,262 | $ | 424,262 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | (24,351 | ) | $ | (24,351 | ) | ||||||
Swap Agreements^ | (127,274 | ) | - | - | (127,274 | ) | ||||||||||
Swap Agreements^^,^^^ | (48,619 | ) | - | - | (48,619 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (175,893 | ) | $ | - | $ | (24,351 | ) | $ | (200,244 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Futures Contracts | $ | - | $ | (1,469,980 | ) | $ | 268,718 | $ | (1,201,262 | ) | ||||||
Swap Agreements | (4,941 | ) | - | - | (4,941 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (4,941 | ) | $ | (1,469,980 | ) | $ | 268,718 | $ | (1,206,203 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (30,406 | ) | $ | (30,406 | ) | ||||||
Futures Contracts | - | - | 162,885 | 162,885 | ||||||||||||
Swap Agreements | (71,279 | ) | - | - | (71,279 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (71,279 | ) | $ | - | $ | 132,479 | $ | 61,200 | |||||||
|
|
|
|
|
|
|
| |||||||||
Managed Bond Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 2,341,150 | $ | 2,341,150 | ||||||||
Futures Contracts^^ | - | - | 310,540 | 310,540 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | 2,651,690 | $ | 2,651,690 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | (195,734 | ) | $ | (195,734 | ) | ||||||
Swap Agreements^ | (777,656 | ) | - | - | (777,656 | ) | ||||||||||
Swap Agreements^^,^^^ | (305,448 | ) | - | - | (305,448 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (1,083,104 | ) | $ | - | $ | (195,734 | ) | $ | (1,278,838 | ) | |||||
|
|
|
|
|
|
|
|
73
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Credit Risk | Equity Risk | Interest Rate Risk | Total | |||||||||||||
Realized Gain (Loss)# | ||||||||||||||||
Futures Contracts | $ | - | $ | - | $ | 2,026,682 | $ | 2,026,682 | ||||||||
Swap Agreements | (33,889 | ) | - | - | (33,889 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (33,889 | ) | $ | - | $ | 2,026,682 | $ | 1,992,793 | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (199,111 | ) | $ | (199,111 | ) | ||||||
Futures Contracts | - | - | 754,630 | 754,630 | ||||||||||||
Swap Agreements | (436,557 | ) | - | - | (436,557 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (436,557 | ) | $ | - | $ | 555,519 | $ | 118,962 | |||||||
|
|
|
|
|
|
|
|
* | Statements of Assets and Liabilities location: Investments, at value. |
^ | Statements of Assets and Liabilities location: Payables for: open swap agreements, at value. |
^^ | Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” below. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
^^^ | Represents centrally cleared swaps which are not subject to a master netting agreement. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: futures contracts or swap agreements, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts or swap agreements, as applicable. |
For the period ended June 30, 2017, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:
Number of Contracts, Notional Amounts, or Shares/Units† | ||||||||||||
Futures Contracts | Swap Agreements | Purchased Swaptions | ||||||||||
Blend Fund | 334 | $ | 3,710,000 | $ | 2,976,000 | |||||||
Managed Bond Fund | 1,540 | 23,120,000 | 19,488,000 |
† | Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for swap agreements and purchased swaptions, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the period ended June 30, 2017. |
74
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
The following table presents derivative liabilities by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral pledged by the Fund(s) as of June 30, 2017.
Liability Valuation Inputs
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Pledged** | Net Amount* | ||||||||||||
Blend Fund | ||||||||||||||||
Goldman Sachs International | $ | (127,274 | ) | $ | - | $ | - | $ | (127,274 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Managed Bond Fund | ||||||||||||||||
Goldman Sachs International | $ | (777,656 | ) | $ | - | $ | 716,850 | $ | (60,806 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents the net amount payable to the counterparty in the event of default. |
** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
† | The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements. |
Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.
Further details regarding the derivatives and other investments held by the Fund(s) during the period ended June 30, 2017, are discussed below.
Futures Contracts
A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.
Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
75
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
The Fund(s) listed in the following table had open futures contracts at June 30, 2017:
Expiration Date | Number of Contracts | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Blend Fund | ||||||||||||||||
Futures Contracts — Long | ||||||||||||||||
U.S. Ultra Bond | 09/20/17 | 29 | $ | 4,810,375 | $ | 66,746 | ||||||||||
U.S. Treasury Note 2 Year | 09/29/17 | 43 | 9,292,703 | (14,119 | ) | |||||||||||
U.S. Treasury Note 5 Year | 09/29/17 | 114 | 13,433,297 | (10,232 | ) | |||||||||||
|
| |||||||||||||||
$ | 42,395 | |||||||||||||||
|
| |||||||||||||||
Managed Bond Fund | ||||||||||||||||
Futures Contracts — Long | ||||||||||||||||
U.S. Ultra Bond | 09/20/17 | 135 | $ | 22,393,125 | $ | 310,540 | ||||||||||
U.S. Treasury Note 2 Year | 09/29/17 | 214 | 46,247,406 | (71,747 | ) | |||||||||||
U.S. Treasury Note 5 Year | 09/29/17 | 1,105 | 130,208,712 | (123,987 | ) | |||||||||||
|
| |||||||||||||||
$ | 114,806 | |||||||||||||||
|
|
Swap Agreements
Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
Credit Default Swaps. A Fund may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
76
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
The Fund(s) listed in the following table had open swap transactions at June 30, 2017. A Fund’s current exposure to a counterparty is the fair value of the transaction.
Counterparty | Currency | Notional Amount | Expiration Date | Receive (Pay) | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | ||||||||||||||||||
Blend Fund* | ||||||||||||||||||||||||||
Credit Default Swaps — Buy Protection |
| |||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||
USD | 2,620,000 | 6/20/22 | (1.000%) | CDX.NA.IG.28 | $ | (8,683 | ) | $ | (39,936 | ) | $ | (48,619 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Credit Default Swaps — Sell Protection† |
| |||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||
Goldman Sachs International | USD | 500,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | $ | (58,691 | ) | $ | 308 | $ | (58,383 | ) | |||||||||||||
Goldman Sachs International | USD | 430,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | (12,971 | ) | (37,238 | ) | (50,209 | ) | |||||||||||||||
Goldman Sachs International | USD | 160,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | (5,863 | ) | (12,819 | ) | (18,682 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (77,525 | ) | $ | (49,749 | ) | $ | (127,274 | ) | ||||||||||||||||||
|
|
|
|
|
|
77
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Counterparty | Currency | Notional Amount | Expiration Date | Receive (Pay) | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | ||||||||||||||||||
Managed Bond Fund** |
| |||||||||||||||||||||||||
Credit Default Swaps — Buy Protection |
| |||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||
USD | 16,460,000 | 6/20/22 | (1.000%) | CDX.NA.IG.28 | $ | (54,552 | ) | $ | (250,896 | ) | $ | (305,448 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Credit Default Swaps — Sell Protection† |
| |||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||
Goldman Sachs International | USD | 3,200,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | $ | (375,621 | ) | $ | 1,972 | $ | (373,649 | ) | |||||||||||||
Goldman Sachs International | USD | 2,540,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | (76,619 | ) | (219,964 | ) | (296,583 | ) | |||||||||||||||
Goldman Sachs International | USD | 920,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | (33,714 | ) | (73,710 | ) | (107,424 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (485,954 | ) | $ | (291,702 | ) | $ | (777,656 | ) | ||||||||||||||||||
|
|
|
|
|
|
* | Collateral for swap agreements held by Credit Suisse USA amounted to $36,058 in securities at June 30, 2017. |
** | Collateral for swap agreements held by Goldman Sachs International and Credit Suisse USA amounted to $716,850 and $180,291 in securities, respectively at June 30, 2017. |
† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings rating category. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection |
†† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
Options, Rights, and Warrants
A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.
Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.
Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.
Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its
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then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.
Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.
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Inflation-Indexed Bonds
The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.
The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.
When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds
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record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Dollar Roll Transactions
A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.
Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.
A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.
Securities Lending
The Blend Fund, Equity Fund, and Managed Bond Fund may lend their securities; however, lending cannot exceed 10% of the total assets of the Managed Bond Fund taken at current value, and 33% of the total assets of the Blend Fund and Equity Fund, respectively, taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“agent”). The Lending Agreement authorizes the agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each, a “Borrower”).
Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash or securities adjusted daily to have market value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At June 30, 2017, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.
Security loans can be terminated at the discretion of either the lending agent or the Fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. For all Funds, all securities on loan are classified as common stock in the Fund’s Portfolio of Investments at June 30, 2017.
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The Funds employ the agent to implement their securities lending program and the agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the securities lending agent or Borrower, respectively. For the period ended June 30, 2017, the Fund(s) earned securities lending net income as follows:
Securities Lending Gross Income | Securities Lending Fees and Expenses | Securities Lending Net Income | ||||||||||
Equity Fund | $ | 25,768 | $ | 5,145 | $ | 20,623 |
Accounting for Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among classes to which the expense relates based on relative net assets.
Foreign Securities
The Funds may invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
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Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income are declared and paid quarterly for the Blend Fund and Managed Bond Fund and annually for the Equity Fund and at other times as may be required to satisfy tax or regulatory requirements. Dividends from net investment income are declared daily and paid monthly for the U.S. Government Money Market Fund. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
3. | Advisory Fees and Other Transactions |
Investment Advisory Fees and Investment Subadvisers
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, at the following annual rates:
0.50% on the first $100 million; |
0.45% on the next $200 million; |
0.40% on the next $200 million; and |
0.35% on any excess over $500 million |
MML Advisers has entered into investment subadvisory agreements with Barings LLC (“Barings”), a wholly-owned subsidiary of MM Asset Management Holding LLC, itself a wholly-owned subsidiary of MassMutual Holding LLC, a controlled subsidiary of MassMutual, on behalf of certain Funds. These agreements provide that Barings manage the investment and reinvestment of assets of these Funds. Barings receives a subadvisory fee from MML Advisers, based upon each Fund’s average daily net assets at the following annual rates:
Blend Fund | 0.13% (Equity Segment) 0.09% (Money Market and Bond Segments) | |
Managed Bond Fund | 0.10% | |
U.S. Government Money Market Fund | 0.05% |
MML Advisers has entered into an investment subadvisory agreement with OppenheimerFunds, Inc. (“OFI”), a wholly-owned subsidiary of Oppenheimer Acquisition Corp., itself an indirect majority-owned subsidiary of MassMutual Holding LLC, pursuant to which OFI serves as one of the subadvisers to the Equity Fund. This agreement provides that OFI manage the investment and reinvestment of a portion of the assets of the Fund. OFI receives a subadvisory fee from MML Advisers, based upon the average daily net assets of the portion of the Fund that OFI manages, at the following annual rate:
Equity Fund | 0.23% |
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MML Advisers has entered into an investment subadvisory agreement with the unaffiliated investment subadviser, Loomis, Sayles & Company, L.P. (“Loomis Sayles”), pursuant to which Loomis Sayles serves as one of the subadvisers to the Equity Fund. This agreement provides that Loomis Sayles manage the investment and reinvestment of a portion of the assets of the Fund. Loomis Sayles receives a subadvisory fee from MassMutual based upon the average daily net assets of the portion of the Fund that Loomis Sayles manages.
The Funds’ subadvisory fees are paid by MML Advisers out of the advisory fees previously disclosed above.
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares, if available, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Expense Caps and Waivers
For the U.S. Government Money Market Fund, MML Advisers has agreed to voluntarily waive some or all of its advisory fees and, if necessary, reimburse some or all of the Fund’s other expenses, in an attempt to allow the Initial Class shares of the Fund to maintain a 1-day yield of at least approximately 0.00%. MML Advisers may amend or discontinue this waiver at any time without advance notice.
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
Elaine A. Sarsynski resigned as a Trustee of the Trust effective as of February 1, 2017. Teresa Hassara became a Trustee of the Trust effective as of June 6, 2017.
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments for the period ended June 30, 2017, were as follows:
Purchases | Sales | |||||||||||||||
Long-Term U.S. Government Securities | Other Long-Term Securities | Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||||||||
Blend Fund | $ | 212,500,226 | $ | 120,333,465 | $ | 188,612,335 | $ | 158,879,121 | ||||||||
Equity Fund | - | 155,641,837 | - | 175,158,891 | ||||||||||||
Managed Bond Fund | 1,318,078,159 | 231,947,108 | 1,268,601,529 | 272,394,148 |
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5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Blend Fund Initial Class | ||||||||||||||||
Sold | 315,540 | $ | 6,893,430 | 678,616 | $ | 14,246,804 | ||||||||||
Issued as reinvestment of dividends | 1,255,304 | 26,767,009 | 3,286,450 | 67,094,963 | ||||||||||||
Redeemed | (1,586,964 | ) | (34,671,788 | ) | (3,323,286 | ) | (69,915,230 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (16,120 | ) | $ | (1,011,349 | ) | 641,780 | $ | 11,426,537 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Blend Fund Service Class | ||||||||||||||||
Sold | 501,228 | $ | 10,905,120 | 570,292 | $ | 12,018,067 | ||||||||||
Issued as reinvestment of dividends | 139,519 | 2,968,439 | 277,336 | 5,651,618 | ||||||||||||
Redeemed | (144,890 | ) | (3,140,238 | ) | (199,529 | ) | (4,185,567 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 495,857 | $ | 10,733,321 | 648,099 | $ | 13,484,118 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Fund Initial Class | ||||||||||||||||
Sold | 292,879 | $ | 8,552,434 | 679,955 | $ | 18,346,000 | ||||||||||
Issued as reinvestment of dividends | - | - | 2,111,189 | 55,844,431 | ||||||||||||
Redeemed | (1,394,356 | ) | (40,701,657 | ) | (3,072,954 | ) | (82,400,504 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,101,477 | ) | $ | (32,149,223 | ) | (281,810 | ) | $ | (8,210,073 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Equity Fund Service Class | ||||||||||||||||
Sold | 223,501 | $ | 6,452,819 | 374,309 | $ | 9,937,363 | ||||||||||
Issued as reinvestment of dividends | - | - | 221,602 | 5,801,918 | ||||||||||||
Redeemed | (230,713 | ) | (6,583,164 | ) | (218,237 | ) | (5,803,562 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,212 | ) | $ | (130,345 | ) | 377,674 | $ | 9,935,719 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Managed Bond Fund Initial Class | ||||||||||||||||
Sold | 5,707,010 | $ | 70,464,601 | 9,441,992 | $ | 118,221,404 | ||||||||||
Issued as reinvestment of dividends | 630,220 | 7,762,658 | 2,566,362 | 32,001,075 | ||||||||||||
Redeemed | (7,102,952 | ) | (87,867,065 | ) | (14,434,430 | ) | (180,995,878 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (765,722 | ) | $ | (9,639,806 | ) | (2,426,076 | ) | $ | (30,773,399 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Managed Bond Fund Service Class | ||||||||||||||||
Sold | 1,946,236 | $ | 23,968,260 | 2,445,350 | $ | 30,561,975 | ||||||||||
Issued as reinvestment of dividends | 168,752 | 2,074,558 | 622,475 | 7,746,042 | ||||||||||||
Redeemed | (1,080,846 | ) | (13,340,587 | ) | (1,697,341 | ) | (21,201,207 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,034,142 | $ | 12,702,231 | 1,370,484 | $ | 17,106,810 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
U.S. Government Money Market Fund Initial Class | ||||||||||||||||
Sold | 23,929,389 | $ | 23,929,606 | 76,950,748 | $ | 76,922,227 | ||||||||||
Issued as reinvestment of dividends | 132,520 | 132,521 | 222 | 222 | ||||||||||||
Redeemed | (36,315,136 | ) | (36,315,464 | ) | (78,896,714 | ) | (78,866,683 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (12,253,227 | ) | $ | (12,253,337 | ) | (1,945,744 | ) | $ | (1,944,234 | ) | ||||||
|
|
|
|
|
|
|
|
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6. | Federal Income Tax Information |
At June 30, 2017, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Blend Fund | $ | 539,728,081 | $ | 147,827,969 | $ | (5,291,470 | ) | $ | 142,536,499 | |||||||
Equity Fund | 631,600,112 | 226,743,902 | (15,525,001 | ) | 211,218,901 | |||||||||||
Managed Bond Fund | 1,322,953,262 | 21,832,311 | (9,226,285 | ) | 12,606,026 |
Note: The aggregate cost for investments for the U.S. Government Money Market Fund at June 30, 2017, is the same for financial reporting and federal income tax purposes.
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.
At December 31, 2016, for federal income tax purposes, there were no unused capital losses.
At December 31, 2016, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term Capital Loss Carryforward | Long Term Capital Loss Carryforward | |||||||
Managed Bond Fund | $ | 4,489,399 | $ | 14,977,443 |
Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2016, was as follows:
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
Blend Fund | $ | 13,270,358 | $ | 59,476,223 | $ | - | ||||||
Equity Fund | 13,116,480 | 48,529,869 | - | |||||||||
Managed Bond Fund | 36,359,150 | 3,387,967 | - | |||||||||
U.S. Government Money Market Fund | 222 | - | - |
Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting
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differences will reverse in subsequent periods. At December 31, 2016, temporary book and tax accounting differences were primarily attributable to investments in futures contracts, swap agreements, premium amortization accruals, non-taxable dividends basis adjustments, the deferral of wash sale losses, and deferred Trustee compensation.
At December 31, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Blend Fund | $ | 5,084,563 | $ | 21,615,222 | $ | (199,154 | ) | $ | 115,362,726 | |||||||
Equity Fund | 15,841,122 | 4,114,643 | (247,784 | ) | 180,752,343 | |||||||||||
Managed Bond Fund | 2,545,195 | (19,466,842 | ) | (232,047 | ) | (4,106,242 | ) | |||||||||
U.S. Government Money Market Fund | 10,617 | - | (51,509 | ) | - |
The Funds did not have any unrecognized tax benefits at June 30, 2017, nor were there any increases or decreases in unrecognized tax benefits for the period then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the period ended June 30, 2017, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
7. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
8. | New Accounting Pronouncements |
In October 2016, the Securities and Exchange Commission (“SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments. Management is still evaluating the impact of the Rule; however, management believes that many of the Regulation S-X amendments are consistent with the Funds’ current financial statement presentation and expects that each Fund will be able to comply with the Rule’s Regulation S-X amendments by the August 1, 2017 compliance date.
In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is still evaluating the potential impact of ASU 2017-08 but believes that adoption of ASU 2017-08 will not have a material effect on each Fund’s financial position or its results of operations.
9. | Legal Proceedings |
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official
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Notes to Financial Statements (Unaudited) (Continued)
Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.
The potential amount sought to be recovered from the Blend Fund plus interest and the Official Committee’s court costs, is approximately $207,400.
In addition, on June 2, 2011, the Blend Fund was named as a defendant in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.
The Fund cannot predict the outcome of these proceedings. Accordingly, the Fund has not accrued any amounts related to these proceedings. If the proceedings were to be decided in a manner adverse to the Fund, or if the Fund was to enter into a settlement agreement with the Official Committee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Fund’s net asset value depending on the net assets of the Fund at the time of such judgment or settlement.
10. | Subsequent Events |
In preparation of these financial statements, management has evaluated the events and transactions subsequent to June 30, 2017, through the date when the financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ financial statements.
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Other Information (Unaudited)
A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Trustees’ Approval of Investment Advisory Contracts
At their meetings in May and June 2017, the Contract Committee (the “Committee”) and the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MML Advisers, or the subadvisers (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreements (collectively, the “Contracts”) for each of the Blend Fund, Equity Fund, Managed Bond Fund, and U.S. Government Money Market Fund. In preparation for the meetings, the Trustees requested, and MML Advisers and the subadvisers provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.
The Committee received in advance of the meetings (i) a memorandum from MML Advisers discussing the nature and quality of the services it provides as investment adviser to the Funds; (ii) a profitability analysis prepared by MML Advisers; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to each Fund prepared by an independent third-party vendor (the “Third-Party”). The Third Party Report provided detailed comparative advisory fee, total expense, and performance information for each Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MML Advisers and each of the subadvisers.
The Committee considered the nature, scope, and quality of services MML Advisers provides to the Funds, including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the Funds, and the needs of the Funds for administrative and shareholder services.
The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over various time periods against peer funds and a benchmark index). In connection with the Committee’s review, MML Advisers provided commentary and analysis regarding each Fund’s performance and expenses. The Committee also noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (ii) a wide range of information about each subadviser and its personnel with responsibility for providing services to the respective Fund and the fees payable to each subadviser by MML Advisers. MML Advisers reviewed with the Committee in detail the work MML Advisers does in its oversight roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to provide those services. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning each Fund.
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The Committee reviewed the expense and performance information for each Fund. (References to any one- or three-year period below are to periods ended December 31, 2016. In all cases, the comparative expense information is that of a Fund’s “peer group” and the comparative performance information is that of a Fund’s “performance category.”)
The Committee considered that, in the case of the Blend Fund, total net expense information showed the Fund to be in the first quartile of its peer group (least expensive), and performance information showed the Fund to have had first quartile investment performance in its performance category for the most recent one- and three-year periods.
For the U.S. Government Money Market Fund, the Committee considered that the Fund has achieved performance in the second and first comparative quartiles (29th and 25th percentiles, respectively) for the one- and three-year periods, respectively. The Committee considered that, although the Fund’s total net expenses are in the third comparative quartile (71st percentile) they were only 3 basis points higher than the peer group median. The Committee also considered MML Advisers’ statements that, although the Fund’s net advisory fee is in the fourth comparative quartile (89th percentile), the peer group comparison is affected substantially by the large waivers currently being implemented by advisers to maintain positive yields, noting MML Advisers’ statement that it had itself waived a portion of its fees into December 2016 in order to support the Fund’s yield.
For the Equity Fund, the Committee noted that the Fund’s total net expenses and net advisory fee were in the first comparative quartile (11th percentile in each case). The Committee noted that the Fund had experienced performance for the one- and three- year periods in the fourth (80th percentile) and third (68th percentile) comparative quartiles. It considered MML Advisers’ statements that the Fund’s one- and three-year relative performance was affected substantially by significant underperformance in 2016 due to specific sector weights, but that the Fund’s performance was near or better than median in the prior four years.
For the Managed Bond Fund, the Committee noted that the Fund has total net expenses in the first comparative percentile, and a net advisory fee 7 basis points below the peer group median (8th percentile). The Committee considered that the Fund experienced performance in the third comparative quartile for the one- and three-year periods (66th and 65th percentiles, respectively), and MML Advisers’ statement that the period from November 2015 through February 2016 in particular was below expectations. The Committee considered MML Advisers’ statement that the Fund’s underperformance was in substantial part due to the fact that, during the period, investment grade corporate debt, heavily favored by the Fund’s investment strategy, underperformed substantially in the energy and commodity sectors.
The Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting, concerning economies of scale and the profitability of MML Advisers’ advisory relationship with the various Funds, including: (i) a description of the revenue (including advisory fees and administrative and shareholder services fees, as applicable) and expense allocation methodology employed by MML Advisers; and (ii) profitability information for each individual Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the Funds and the so-called “fallout benefits” to MML Advisers, such as any reputational value derived from serving as investment adviser to the Funds, and benefits accruing to subadvisers due to so-called “soft-dollar arrangements.”
Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.
As to each of the Funds, the Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MML Advisers’ oversight of each Fund and the subadvisory process; (ii) MML Advisers’ levels of profitability from its relationship with the various Funds are not excessive and the advisory fees payable under the Contracts and each Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadvisers generally appear well suited to the Funds, given their investment objectives and policies; (iv) either the relative or absolute performance of a Fund (in each case, taking into account the applicable investment strategy and risk profile of the Fund), or the steps MML Advisers has proposed in respect of the underperformance of a Fund, are sufficient to warrant continuation of the Contracts for each of the Funds; and (v) the terms of the Contracts are fair and reasonable with respect to each Fund and are in the best interests of each Fund’s shareholders.
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Other Information (Unaudited) (Continued)
Expense Examples:
The following information is in regards to expenses for the six months ended June 30, 2017:
As a shareholder of the Funds, you incur ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended June 30, 2017.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. 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 under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide 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 shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Blend Fund | ||||||||||||||||||||||||
Initial Class | $ | 1,000 | 0.45 | % | $ | 1,062.00 | $ | 2.30 | $ | 1,022.60 | $ | 2.26 | ||||||||||||
Service Class | 1,000 | 0.70 | % | 1,060.70 | 3.58 | 1,021.30 | 3.51 | |||||||||||||||||
Equity Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.43 | % | 1,068.20 | 2.21 | 1,022.70 | 2.16 | |||||||||||||||||
Service Class | 1,000 | 0.68 | % | 1,066.80 | 3.48 | 1,021.40 | 3.41 | |||||||||||||||||
Managed Bond Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.39 | % | 1,030.00 | 1.96 | 1,022.90 | 1.96 | |||||||||||||||||
Service Class | 1,000 | 0.64 | % | 1,028.70 | 3.22 | 1,021.60 | 3.21 | |||||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.54 | % | 1,000.80 | 2.68 | 1,022.10 | 2.71 |
* | Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2017, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year, unless stated otherwise. The annualized expense ratio does not reflect expenses deducted under the variable life insurance or variable annuity contract through which the Funds are invested in. Inclusion of these expenses would increase the annualized expense ratios shown. |
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Underwriter:
MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, CT 06082-1981 |
© 2017 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC | RS-42892-00 |
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MML Series Investment Fund II. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
Table of Contents
MML Series Investment Fund II – President’s Letter to Shareholders (Unaudited)
To Our Shareholders
Tina Wilson
“The diversified suite of investment options we provide in our MML Series Investment Fund II taps into the deep expertise of seasoned asset managers who are committed to helping you prepare for a stronger financial future.”
June 30, 2017
Welcome to the MML Series Investment Fund II Semiannual Report, covering the six months from January 1, 2017 to June 30, 2017.
Market Highlights
• | During the period, U.S. stocks and bonds delivered some of the best first-half-year results investors have seen since 2009. |
• | Market momentum surged throughout the first five months of the period, but lagged in June. |
• | Large-cap stocks outperformed small caps, and growth stocks beat their value counterparts. |
• | All market sectors except energy delivered positive returns for the period. |
• | The U.S. Federal Reserve (the “Fed”) raised short-term interest rates twice during the period, a move some investors viewed as the end of ultra-cheap money. |
• | Factors to watch during the last half of 2017 include the Republican administration’s ability to implement policy, corporate earnings, and continued global market momentum. |
Market Environment
Stocks and bonds delivered some of the best first-half-year results investors have seen since 2009. Most of the major domestic and global indexes logged positive returns for the period. However, enthusiasm that powered the market early in the first half of 2017 flattened out as the period ended. The S&P 500® Index* tells the story for the U.S. equity markets. The index returned 9.34 percent for the period and crossed multiple record-high closings on the way. Nearly two-thirds of that growth occurred in the first three months of the year, building on a strong fourth quarter in 2016. However, growth slowed to add just 3.27 percent during the last three months of the period, with the month of June adding only 0.06 percent to the total.
Multiple secular factors affected domestic markets during the reporting period. The new Republican administration picked health care reform as its first policy target, but failed on multiple tries to garner enough votes for passage. As a result, investor optimism about the administration’s ability to implement meaningful policy change has weakened. The Fed raised short-term interest rates twice – in March and June. Neither hike caused undue turbulence, but concerns about how many more and how fast continues to nag investors. Corporate earnings reports for the fourth quarter of 2016 and the first quarter of 2017 offered investors hope that valuations – already deemed high – still had room to run. Oil prices remained above $50 per barrel for much of the period, but dropped in June on concerns of oversupply and of OPEC’s inability to rein in production being offset by U.S. domestic shale fields.
Outside of the U.S., central bankers in Europe and Asia continue to keep a tight hand on fiscal stimulus levers as economies around the globe showed signs of gaining traction. British Prime Minister Theresa May failed in her attempt to gain more seats in Parliament, casting a shadow over
* | Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment. |
(Continued)
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MML Series Investment Fund II – President’s Letter to Shareholders (Unaudited) (Continued)
the looming Brexit proceedings. (“Brexit” – an abbreviation for “British exit” – was the United Kingdom’s surprising June 23, 2016 referendum to leave the EU.) While Great Britain saw a spike in uncertainty after June’s snap election (a “snap election” is an election called earlier than expected), European markets gained momentum during the first half of 2017. Asian markets were notable for their lack of volatility and headlines during the period. Emerging markets, as measured by the MSCI Emerging Markets Index*, delivered an 18.43 percent return for the reporting period.
As is often the case, markets rise unevenly. If 2016 was the year for value stocks, 2017 is so far proving to favor growth stocks. Large- and small-cap growth stocks have outperformed their value counterparts by nearly 10 percent for the period. Similarly, the markets favored large-cap stocks over their small-cap brethren. At the S&P 500 sector level, returns across all market sectors except energy and telecommunications were positive for the first half of 2017. Information technology and health care outperformed, gaining 17.1 percent and 16.1 percent, respectively. The energy sector, dragged down by falling oil prices, underperformed, losing 12.6 percent year to date.
Along with investors’ “risk on” attitude toward equity markets, the Fed rate hikes exerted pressure on bond prices. As the Fed raised short-term rates in June, investors began realizing that the era of ultra-cheap money may be ending, which triggered a late June sell-off that pushed yields higher. (Bond yields rise inversely to bond prices.) The yield on the bellwether 10-year U.S. Treasury ended the period at 2.35 percent. Investment-grade and high-yield corporate bonds diverged significantly, as U.S. high-yield corporate bonds bucked the investment-grade bond market trend and posted gains for the reporting period.
For the second half of 2017, we will be watching for signs that the Republican administration’s infrastructure policies are gaining traction and that corporate earnings continue to point toward sustainable corporate growth. We will also pay attention to inflation, interest rates, and continued economic momentum around the globe.
Review and maintain your strategy
MassMutual renewed its commitment to helping people secure their financial future and protect the ones they love in May 2017 with a new brand presence. Please visit MassMutual.com to learn more about MassMutual and how we can help you.
Because we are people helping people, we would like to remind you that, as a long-term investor, it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. The diversified suite of investment options we provide in our MML Series Investment Fund II taps into the deep expertise of seasoned asset managers who are committed to helping you prepare for a stronger financial future.
Many of our clients find that working with a personal financial professional can help them define an investment strategy that aligns with how comfortable they are with market volatility, how long they have to save and invest, and their specific financial goals. You may find it valuable to seek out a financial advisor to help you. If you are already working with such an advisor, this may be a good time to re-evaluate your current investment strategy and investment allocations – and to make any adjustments you feel may be needed.
As always, we thank you for your confidence in MassMutual.
Sincerely,
Tina Wilson
President
The information provided is the opinion of MassMutual U.S. Product and Marketing as of 7/1/17 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
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MML Asset Momentum Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Asset Momentum Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing in asset classes the Fund’s subadviser considers to exhibit “bull market” characteristics. These “bull market” characteristics may include, for example, upward trending prices and relatively low volatility. The Fund expects that it will allocate its investment among the following asset classes: equity investments, debt investments, property investments, alternative investments, currency, and cash on deposit, excluding short term instruments. The Fund may invest in securities of issuers anywhere in the world, including emerging market countries. The Fund’s subadviser is Barings LLC (Barings).
MML Asset Momentum Fund Portfolio Characteristics (% of Net Assets) on 6/30/17 | ||||
Mutual Funds | 40.4 | % | ||
Common Stock | 36.2 | % | ||
Corporate Debt | 12.2 | % | ||
U.S. Treasury Obligations | 4.0 | % | ||
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Total Long-Term Investments | 92.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 7.2 | % | ||
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Net Assets | 100.0 | % | ||
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MML Dynamic Bond Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Dynamic Bond Fund, and who is the Fund’s subadviser?
The Fund seeks to maximize current income and total return by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in bonds, which may include securities issued or guaranteed by the U.S. Government, its agencies, instrumentalities, or sponsored corporations; corporate obligations (including foreign hybrid securities); mortgage-backed securities; asset-backed securities; foreign securities (corporate and government); emerging market securities (corporate and government); bank loans and assignments; and other securities bearing fixed or variable interest rates of any maturity. The Fund may invest a portion of its net assets in inverse floaters and interest-only and principal-only securities, which may experience high volatility in response to changes in interest rates. The Fund may invest in other investment companies, including other open-end or closed-end investment companies, exchange-traded funds (“ETFs”), and domestic or foreign private investment vehicles, including investment companies sponsored or managed by the Fund’s subadviser and its affiliates. The Fund’s subadviser is DoubleLine Capital LP (DoubleLine).
MML Dynamic Bond Fund Portfolio Characteristics (% of Net Assets) on 6/30/17 | ||||
Non-U.S. Government Agency Obligations | 28.1 | % | ||
U.S. Treasury Obligations | 27.1 | % | ||
Corporate Debt | 23.6 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 12.0 | % | ||
Sovereign Debt Obligations | 3.1 | % | ||
Mutual Funds | 2.7 | % | ||
Municipal Obligations | 0.1 | % | ||
Common Stock | 0.0 | % | ||
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| |||
Total Long-Term Investments | 96.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.3 | % | ||
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Net Assets | 100.0 | % | ||
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MML Equity Rotation Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Equity Rotation Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing primarily in common stocks of large- and medium-capitalization U.S. companies. The Fund’s subadviser does not typically invest in companies with market capitalizations, at the time of purchase, of less than $1 billion. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities. The Fund’s subadviser is Barings LLC (Barings).
MML Equity Rotation Fund Largest Holdings (% of Net Assets) on 6/30/17 | ||||
Amazon.com, Inc. | 5.8 | % | ||
Citigroup, Inc. | 4.4 | % | ||
Chevron Corp. | 3.1 | % | ||
The PNC Financial Services Group, Inc. | 3.1 | % | ||
Lockheed Martin Corp. | 2.7 | % | ||
Huntsman Corp. | 2.5 | % | ||
Deere & Co. | 2.3 | % | ||
Applied Materials, Inc. | 2.1 | % | ||
JP Morgan Chase & Co. | 1.9 | % | ||
Facebook, Inc. Class A | 1.8 | % | ||
|
| |||
29.7 | % | |||
|
|
MML Equity Rotation Fund Sector Table (% of Net Assets) on 6/30/17 | ||||
Financial | 18.1 | % | ||
Industrial | 15.7 | % | ||
Technology | 15.1 | % | ||
Communications | 13.2 | % | ||
Consumer, Non-cyclical | 12.6 | % | ||
Consumer, Cyclical | 8.6 | % | ||
Basic Materials | 8.0 | % | ||
Energy | 6.1 | % | ||
|
| |||
Total Long-Term Investments | 97.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.6 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
5
Table of Contents
MML High Yield Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML High Yield Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities. The Fund invests primarily in lower rated U.S. debt securities (“junk” or “high yield” bonds), including securities in default. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in lower rated fixed income securities (rated below Baa3 by Moody’s, below BBB- by Standard & Poor’s or the equivalent by any NRSRO (using the lower rating) or, if unrated, determined to be of below investment grade quality by the Fund’s subadviser. The Fund’s subadviser is Barings LLC (Barings).
MML High Yield Fund Portfolio Characteristics (% of Net Assets) on 6/30/17 | ||||
Corporate Debt | 92.5 | % | ||
Bank Loans | 5.8 | % | ||
Preferred Stock | 0.7 | % | ||
|
| |||
Total Long-Term Investments | 99.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
6
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Inflation-Protected and Income Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve as high a total rate of real return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in inflation-indexed bonds and other income-producing securities. The Fund’s subadviser is Barings LLC (Barings).
MML Inflation-Protected and Income Fund Portfolio Characteristics (% of Net Assets) on 6/30/17 | ||||
U.S. Treasury Obligations | 90.9 | % | ||
Non-U.S. Government Agency Obligations | 31.2 | % | ||
Corporate Debt | 4.0 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 0.8 | % | ||
Purchased Options | 0.2 | % | ||
Municipal Obligations | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 127.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | (27.2 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
7
Table of Contents
MML Short-Duration Bond Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Short-Duration Bond Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high total rate of return primarily from current income while minimizing fluctuations in capital values by investing primarily in a diversified portfolio of short-term investment grade fixed income securities. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa or higher by Moody’s, BBB- or higher by Standard & Poor’s or the equivalent by any NRSRO, or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Barings LLC (Barings).
MML Short-Duration Bond Fund Portfolio Characteristics (% of Net Assets) on 6/30/17 | ||||
Corporate Debt | 45.8 | % | ||
Non-U.S. Government Agency Obligations | 36.9 | % | ||
U.S. Treasury Obligations | 10.3 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 5.4 | % | ||
Purchased Options | 0.2 | % | ||
Municipal Obligations | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 98.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.4 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
8
Table of Contents
MML Small Cap Equity Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Small Cap Equity Fund, and who is the Fund’s subadviser?
The Fund seeks capital appreciation by investing primarily in common stocks of small-capitalization U.S. companies that the Fund’s subadviser believes have favorable business trends or prospects based on fundamental analysis. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000® Index. The Fund’s subadviser is OppenheimerFunds, Inc. (OFI).
MML Small Cap Equity Fund Largest Holdings (% of Net Assets) on 6/30/17 | ||||
Korn/Ferry International | 2.3 | % | ||
Prestige Brands Holdings, Inc. | 2.3 | % | ||
MB Financial, Inc. | 2.0 | % | ||
Portland General Electric Co. | 1.8 | % | ||
On Assignment, Inc. | 1.8 | % | ||
CACI International, Inc. Class A | 1.7 | % | ||
Brandywine Realty Trust | 1.7 | % | ||
j2 Global, Inc. | 1.7 | % | ||
NuVasive, Inc. | 1.7 | % | ||
Four Corners Property Trust, Inc. | 1.7 | % | ||
|
| |||
18.7 | % | |||
|
|
MML Small Cap Equity Fund Sector Table (% of Net Assets) on 6/30/17 | ||||
Financial | 23.9 | % | ||
Consumer, Non-cyclical | 21.2 | % | ||
Consumer, Cyclical | 14.1 | % | ||
Technology | 13.6 | % | ||
Mutual Funds | 12.6 | % | ||
Industrial | 11.9 | % | ||
Communications | 4.0 | % | ||
Energy | 3.6 | % | ||
Basic Materials | 3.3 | % | ||
Utilities | 2.7 | % | ||
|
| |||
Total Long-Term Investments | 110.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | (10.9 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
9
Table of Contents
MML Special Situations Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Special Situations Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing primarily in common stocks of U.S. companies that are involved in “special situations.” A special situation might include, for example, a recently announced spin-off or divestiture, a change in dividend policy, involvement in a merger or acquisition transaction, a change in management, a significant change in ownership, or changes due to bankruptcy or insolvency process. The Fund’s subadviser expects that the Fund’s portfolio will initially emphasize “large capitalization” issuers, which are considered to be companies with market capitalizations at the time of purchase within the market capitalization range of companies included within the Russell 1000® Index, although the Fund’s holdings of securities of different market capitalizations will vary over time, depending on market conditions generally and on the companies involved at the time (or that the subadviser expects to be involved) in special situations. The Fund will typically invest primarily in common stocks, however, when the subadviser determines that there are an insufficient number of companies involved (or likely to be involved) in special situations, it may invest in any equity securities it considers to be consistent with the Fund’s objective of growth of capital over the long term. It may also invest in exchange-traded funds (“ETFs”) providing broad equity exposures or in derivatives, including swaps, futures contracts, and options, to gain broad exposures to equity markets. The Fund’s subadviser is Barings LLC (Barings).
MML Special Situations Fund Largest Holdings (% of Net Assets) on 6/30/17 | ||||
Zoetis, Inc. | 5.7 | % | ||
Fortive Corp. | 5.3 | % | ||
Science Applications International Corp. | 4.4 | % | ||
NCR Corp. | 3.8 | % | ||
Hewlett Packard Enterprise Co. | 3.5 | % | ||
Ingevity Corp. | 3.4 | % | ||
Allegion PLC | 3.2 | % | ||
CDK Global, Inc. | 3.1 | % | ||
Oshkosh Corp. | 3.1 | % | ||
GCP Applied Technologies, Inc. | 2.9 | % | ||
|
| |||
38.4 | % | |||
|
|
MML Special Situations Fund Sector Table (% of Net Assets) on 6/30/17 | ||||
Industrial | 27.8 | % | ||
Consumer, Non-cyclical | 20.0 | % | ||
Technology | 14.3 | % | ||
Basic Materials | 11.1 | % | ||
Financial | 9.5 | % | ||
Consumer, Cyclical | 6.3 | % | ||
Communications | 6.1 | % | ||
Utilities | 2.4 | % | ||
Energy | 1.7 | % | ||
|
| |||
Total Long-Term Investments | 99.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
10
Table of Contents
MML Strategic Emerging Markets Fund – Portfolio Summaries (Unaudited)
What is the investment approach of MML Strategic Emerging Markets Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth by investing mainly in common stocks of issuers in developing and emerging markets throughout the world and at times, up to 100% of its total assets in foreign securities. Under normal market conditions, the Fund will invest at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities of issuers whose principal activities are in a developing (or emerging) market, i.e., are in a developing market or are economically tied to a developing market country. The Fund will invest in at least three developing markets. The Fund focuses on companies with above-average earnings growth. In general, countries may be considered developing or emerging markets if they are included in any one of the Morgan Stanley Capital Index (“MSCI”) emerging markets indices, classified as a developing or emerging market, or classified under a similar or corresponding classification, by organizations such as the World Bank and the International Monetary Fund, or have economies, industries, and stock markets with similar characteristics. The Fund’s subadviser is OppenheimerFunds, Inc. (OFI).
MML Strategic Emerging Markets Fund (% of Net Assets) on 6/30/17 | ||||
Alibaba Group Holding Ltd. Sponsored ADR | 6.3 | % | ||
Tencent Holdings Ltd. | 6.0 | % | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 5.8 | % | ||
Housing Development Finance Corp. Ltd. | 4.9 | % | ||
AIA Group Ltd. | 2.9 | % | ||
Magnit PJSC | 2.8 | % | ||
Novatek PJSC Sponsored GDR | 2.5 | % | ||
Infosys Ltd. | 2.2 | % | ||
Kering | 2.2 | % | ||
Ctrip.com International Ltd. ADR | 2.2 | % | ||
|
| |||
37.8 | % | |||
|
|
MML Strategic Emerging Markets Fund Sector Table (% of Net Assets) on 6/30/17 | ||||
Financial | 23.0 | % | ||
Consumer, Non-cyclical | 20.8 | % | ||
Communications | 18.2 | % | ||
Consumer, Cyclical | 13.5 | % | ||
Technology | 9.1 | % | ||
Industrial | 3.5 | % | ||
Basic Materials | 3.0 | % | ||
Energy | 2.7 | % | ||
Diversified | 1.6 | % | ||
Mutual Funds | 0.3 | % | ||
|
| |||
Total Long-Term Investments | 95.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 4.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
11
Table of Contents
MML Asset Momentum Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 36.2% | ||||||||
COMMON STOCK — 36.2% | ||||||||
Basic Materials — 0.8% | ||||||||
Chemicals — 0.8% | ||||||||
Air Products & Chemicals, Inc. | 1,400 | $ | 200,284 | |||||
|
| |||||||
Communications — 1.5% | ||||||||
Telecommunications — 1.5% | ||||||||
Drillisch AG | 3,800 | 229,442 | ||||||
NTT DOCOMO, Inc. | 5,600 | 132,189 | ||||||
|
| |||||||
361,631 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.5% | ||||||||
Distribution & Wholesale — 2.4% | ||||||||
Pool Corp. | 5,100 | 599,607 | ||||||
|
| |||||||
Home Builders — 5.9% | ||||||||
NVR, Inc. (a) | 600 | 1,446,366 | ||||||
|
| |||||||
Retail — 0.4% | ||||||||
Fielmann AG | 1,400 | 107,993 | ||||||
|
| |||||||
Textiles — 0.8% | ||||||||
Mohawk Industries, Inc. (a) | 800 | 193,352 | ||||||
|
| |||||||
2,347,318 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 7.9% | ||||||||
Agriculture — 0.8% | ||||||||
Reynolds American, Inc. | 3,000 | 195,120 | ||||||
|
| |||||||
Biotechnology — 1.2% | ||||||||
CSL Ltd. | 2,800 | 297,519 | ||||||
|
| |||||||
Foods — 1.0% | ||||||||
Nestle SA Registered | 1,300 | 113,243 | ||||||
Saputo, Inc. | 4,500 | 143,141 | ||||||
|
| |||||||
256,384 | ||||||||
|
| |||||||
Health Care – Products — 0.8% | ||||||||
Advanced Medical Solutions Group PLC | 54,300 | 205,167 | ||||||
|
| |||||||
Health Care – Services — 2.8% | ||||||||
Fresenius SE & Co. KGaA | 5,900 | 507,331 | ||||||
Ramsay Health Care Ltd. | 3,000 | 169,861 | ||||||
|
| |||||||
677,192 | ||||||||
|
| |||||||
Household Products — 1.3% | ||||||||
Henkel AG & Co. KGaA | 2,000 | 241,908 | ||||||
Portmeirion Group PLC | 5,600 | 69,101 | ||||||
|
| |||||||
311,009 | ||||||||
|
| |||||||
1,942,391 | ||||||||
|
| |||||||
Financial — 2.4% | ||||||||
Diversified Financial Services — 1.9% | ||||||||
Mastercard, Inc. Class A | 3,800 | 461,510 | ||||||
|
|
Number of Shares | Value | |||||||
Private Equity — 0.5% | ||||||||
Onex Corp. | 1,700 | $ | 136,087 | |||||
|
| |||||||
597,597 | ||||||||
|
| |||||||
Industrial — 11.2% | ||||||||
Aerospace & Defense — 3.7% | ||||||||
General Dynamics Corp. | 1,200 | 237,720 | ||||||
Lockheed Martin Corp. | 800 | 222,088 | ||||||
Northrop Grumman Corp. | 900 | 231,039 | ||||||
Raytheon Co. | 1,400 | 226,072 | ||||||
|
| |||||||
916,919 | ||||||||
|
| |||||||
Building Materials — 2.0% | ||||||||
Breedon Group PLC (a) | 88,100 | 98,685 | ||||||
Martin Marietta Materials, Inc. | 900 | 200,322 | ||||||
Vulcan Materials Co. | 1,600 | 202,688 | ||||||
|
| |||||||
501,695 | ||||||||
|
| |||||||
Electronics — 1.0% | ||||||||
Halma PLC | 17,600 | 252,433 | ||||||
|
| |||||||
Hand & Machine Tools — 0.6% | ||||||||
Schindler Holding AG | 700 | 148,172 | ||||||
|
| |||||||
Machinery – Diversified — 1.9% | ||||||||
Cummins, Inc. | 1,500 | 243,330 | ||||||
Wabtec Corp. | 2,400 | 219,600 | ||||||
|
| |||||||
462,930 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.0% | ||||||||
A.O. Smith Corp. | 4,200 | 236,586 | ||||||
Illinois Tool Works, Inc. | 1,700 | 243,525 | ||||||
|
| |||||||
480,111 | ||||||||
|
| |||||||
2,762,260 | ||||||||
|
| |||||||
Technology — 2.9% | ||||||||
Computers — 1.4% | ||||||||
Amdocs Ltd. | 5,200 | 335,192 | ||||||
|
| |||||||
Software — 1.5% | ||||||||
EMIS Group PLC | 11,800 | 141,674 | ||||||
Nexus AG | 3,400 | 100,527 | ||||||
Open Text Corp. | 4,200 | 132,562 | ||||||
|
| |||||||
374,763 | ||||||||
|
| |||||||
709,955 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $7,511,811) | 8,921,436 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $7,511,811) | 8,921,436 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
12
Table of Contents
MML Asset Momentum Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
BONDS & NOTES — 16.2% | ||||||||
CORPORATE DEBT — 12.2% | ||||||||
Diversified Financial Services — 12.2% | ||||||||
Federal Home Loan Mortgage Corp. | $ | 3,000,000 | $ | 2,999,410 | ||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $3,010,500) | 2,999,410 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 4.0% | ||||||||
U.S. Treasury Bonds & Notes — 4.0% | ||||||||
U.S. Treasury Note (b) | 1,000,000 | 995,785 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $998,125) | 995,785 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $4,008,625) | 3,995,195 | |||||||
|
| |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 40.4% | ||||||||
Diversified Financial Services — 40.4% | ||||||||
iShares MSCI Brazil Capped Index Fund | 36,000 | 1,229,040 | ||||||
iShares MSCI India ETF | 6,600 | 211,860 | ||||||
Vanguard Total Stock Market ETF | 68,500 | 8,524,825 | ||||||
|
| |||||||
9,965,725 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $9,331,194) | 9,965,725 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $20,851,630) | 22,882,356 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 8.2% | ||||||||
Repurchase Agreement — 8.2% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/17, 0.050%, due 7/03/17 (c) | $ | 2,015,648 | $ | 2,015,648 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,015,648) | 2,015,648 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.0% (Cost $22,867,278) (d) | 24,898,004 | |||||||
Other Assets/(Liabilities) — (1.0)% | (258,186 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 24,639,818 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
(c) | Maturity value of $2,015,657. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity date of 4/30/19, and an aggregate market value, including accrued interest, of $2,059,947. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
13
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 0.0% | ||||||||
COMMON STOCK — 0.0% | ||||||||
Energy — 0.0% | ||||||||
Oil & Gas — 0.0% | ||||||||
Amplify Energy Corp. (a) | 3,264 | $ | 32,640 | |||||
SandRidge Energy, Inc. (a) | 648 | 11,152 | ||||||
|
| |||||||
43,792 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $63,684) | 43,792 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $63,684) | 43,792 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 94.0% | ||||||||
CORPORATE DEBT — 23.6% | ||||||||
Advertising — 0.1% | ||||||||
Omnicom Group, Inc. | $ | 510,000 | 513,138 | |||||
|
| |||||||
Aerospace & Defense — 0.2% | ||||||||
The Boeing Co. | 405,000 | 588,506 | ||||||
Lockheed Martin Corp. | 440,000 | 494,404 | ||||||
|
| |||||||
1,082,910 | ||||||||
|
| |||||||
Agriculture — 0.1% | ||||||||
Reynolds American, Inc. | 545,000 | 577,514 | ||||||
|
| |||||||
Airlines — 0.1% | ||||||||
Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd. (b) | 300,000 | 300,000 | ||||||
Delta Air Lines, Inc. | 275,000 | 282,311 | ||||||
|
| |||||||
582,311 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% | ||||||||
Ford Motor Co. | 440,000 | 556,309 | ||||||
General Motors Financial Co., Inc. | 845,000 | 857,001 | ||||||
|
| |||||||
1,413,310 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.2% | ||||||||
Dana Financing Luxembourg Sarl (c) | 210,000 | 217,350 | ||||||
Delphi Automotive PLC | 104,000 | 110,160 |
Principal Amount | Value | |||||||
Delphi Corp. | $ | 455,000 | $ | 477,814 | ||||
|
| |||||||
805,324 | ||||||||
|
| |||||||
Banks — 3.2% | ||||||||
Australia & New Zealand Banking Group Ltd. (c) | 540,000 | 583,383 | ||||||
Banco de Reservas de la Republica Dominicana (c) | 200,000 | 208,918 | ||||||
Banco GNB Sudameris SA 5 year CMT + 4.561%, VRN (c) | 200,000 | 206,500 | ||||||
Banco Inbursa SA Institucion de Banca Multiple (c) | 800,000 | 800,160 | ||||||
Banco Mercantil del Norte SA 5 year CMT + 4.447%, VRN (b) | 500,000 | 499,000 | ||||||
Bank of America Corp. | 50,000 | 50,077 | ||||||
Bank of America Corp. | 425,000 | 419,567 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + 1.021%, VRN | 425,000 | 425,785 | ||||||
Bank of Montreal | 565,000 | 554,454 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 1.100%, FRN | 845,000 | 844,133 | ||||||
Commonwealth Bank of Australia (c) | 835,000 | 842,275 | ||||||
Corp Group Banking SA (b) | 500,000 | 499,240 | ||||||
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + 1.053%, VRN | 425,000 | 424,157 | ||||||
The Goldman Sachs Group, Inc. | 140,000 | 141,076 | ||||||
Industrial Senior Trust (b) | 500,000 | 511,250 | ||||||
JP Morgan Chase & Co. | 555,000 | 561,602 | ||||||
JP Morgan Chase & Co. | 545,000 | 568,490 | ||||||
Morgan Stanley | 570,000 | 569,877 | ||||||
Morgan Stanley | 560,000 | 564,026 | ||||||
MUFG Americas Holdings Corp. | 285,000 | 284,971 |
The accompanying notes are an integral part of the financial statements.
14
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
The PNC Financial Services Group, Inc. | $ | 540,000 | $ | 559,810 | ||||
Royal Bank of Canada | 285,000 | 285,492 | ||||||
Royal Bank of Canada | 135,000 | 135,919 | ||||||
Royal Bank of Scotland Group PLC 3 mo. USD LIBOR + 1.480%, VRN | 860,000 | 865,577 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 385,000 | 378,515 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 445,000 | 452,072 | ||||||
Wells Fargo & Co. | 555,000 | 562,775 | ||||||
Wells Fargo & Co. 3 mo. USD LIBOR + 1.310%, VRN | 580,000 | 586,166 | ||||||
Westpac Banking Corp. | 70,000 | 68,948 | ||||||
Westpac Banking Corp. | 55,000 | 54,763 | ||||||
Westpac Banking Corp. | 480,000 | 485,171 | ||||||
|
| |||||||
13,994,149 | ||||||||
|
| |||||||
Beverages — 0.1% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 250,000 | 282,160 | ||||||
|
| |||||||
Building Materials — 0.1% | ||||||||
Builders FirstSource, Inc. (c) | 210,000 | 218,662 | ||||||
CIMPOR Financial Operations BV (b) | 400,000 | 338,820 | ||||||
|
| |||||||
557,482 | ||||||||
|
| |||||||
Chemicals — 0.2% | ||||||||
Grupo Idesa SA de CV (b) | 850,000 | 769,250 | ||||||
Hexion, Inc. (c) | 210,000 | 207,900 | ||||||
|
| |||||||
977,150 | ||||||||
|
| |||||||
Coal — 0.1% | ||||||||
Peabody Energy Corp. (c) | 225,000 | 223,313 | ||||||
|
| |||||||
Commercial Services — 0.2% | ||||||||
KAR Auction Services, Inc. (c) | 125,000 | 127,344 | ||||||
Live Nation Entertainment, Inc. (c) | 220,000 | 223,300 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. (c) | 205,000 | 222,765 |
Principal Amount | Value | |||||||
S&P Global, Inc. | $ | 285,000 | $ | 306,386 | ||||
The ServiceMaster Co. LLC (c) | 210,000 | 217,350 | ||||||
|
| |||||||
1,097,145 | ||||||||
|
| |||||||
Computers — 0.1% | ||||||||
Hewlett Packard Enterprise Co. STEP | 405,000 | 417,595 | ||||||
|
| |||||||
Cosmetics & Personal Care — 0.1% | ||||||||
Unilever Capital Corp. | 475,000 | 468,588 | ||||||
|
| |||||||
Diversified Financial Services — 1.5% | ||||||||
Air Lease Corp. | 585,000 | 610,467 | ||||||
Ally Financial, Inc. | 555,000 | 570,263 | ||||||
Ally Financial, Inc. | 30,000 | 31,050 | ||||||
American Express Credit Corp. | 65,000 | 65,560 | ||||||
American Express Credit Corp. | 600,000 | 599,072 | ||||||
American Express Credit Corp. | 520,000 | 524,791 | ||||||
Bantrab Senior Trust (b) | 300,000 | 291,431 | ||||||
Discover Financial Services | 720,000 | 721,244 | ||||||
Guanay Finance Ltd. (b) | 548,616 | 562,057 | ||||||
Interoceanica IV Finance Ltd. (b) | 1,046,920 | 853,240 | ||||||
National Rural Utilities Cooperative Finance Corp. | 360,000 | 360,988 | ||||||
NFP Corp. (c) (d) | 35,000 | 35,350 | ||||||
SURA Asset Management SA (c) | 700,000 | 707,000 | ||||||
Synchrony Financial | 555,000 | 562,824 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. (c) | 220,000 | 224,950 | ||||||
|
| |||||||
6,720,287 | ||||||||
|
| |||||||
Electric — 2.7% | ||||||||
AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It (c) | 500,000 | 541,115 | ||||||
American Electric Power Co., Inc. | 313,000 | 318,670 |
The accompanying notes are an integral part of the financial statements.
15
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Berkshire Hathaway Energy Co. | $ | 699,000 | $ | 938,592 | ||||
Calpine Corp. | 45,000 | 42,187 | ||||||
Comision Federal de Electricidad (b) | 200,000 | 205,750 | ||||||
DTE Energy Co. | 500,000 | 511,129 | ||||||
Duke Energy Corp. | 215,000 | 204,245 | ||||||
Duke Energy Florida LLC | 1,000,000 | 1,012,795 | ||||||
Duke Energy Progress, Inc. | 470,000 | 492,004 | ||||||
Eversource Energy | 1,000,000 | 1,007,532 | ||||||
Exelon Corp. | 1,040,000 | 1,036,493 | ||||||
Fortis, Inc. (c) | 580,000 | 568,077 | ||||||
Great Plains Energy, Inc. | 1,000,000 | 1,011,625 | ||||||
Israel Electric Corp. Ltd. (b) | 300,000 | 322,350 | ||||||
NextEra Energy Capital Holdings, Inc. | 280,000 | 284,448 | ||||||
NRG Energy, Inc. | 105,000 | 108,675 | ||||||
Pampa Energia SA (c) | 350,000 | 365,246 | ||||||
Sierra Pacific Power Co. | 1,000,000 | 965,282 | ||||||
The Southern Co. | 15,000 | 14,942 | ||||||
The Southern Co. | 820,000 | 825,394 | ||||||
Xcel Energy, Inc. | 1,000,000 | 1,008,867 | ||||||
|
| |||||||
11,785,418 | ||||||||
|
| |||||||
Electronics — 0.1% | ||||||||
Arrow Electronics, Inc. | 290,000 | 287,585 | ||||||
|
| |||||||
Engineering & Construction — 0.5% | ||||||||
Aeropuerto Internacional de Tocumen SA | 796,308 | 863,994 | ||||||
Aeropuertos Argentina SA (c) | 150,000 | 155,269 | ||||||
Mexico City Airport Trust (c) | 700,000 | 717,689 | ||||||
Sydney Airport Finance Co. Pty Ltd. (c) | 300,000 | 299,239 |
Principal Amount | Value | |||||||
Sydney Airport Finance Co. Pty Ltd. (c) | $ | 300,000 | $ | 302,270 | ||||
|
| |||||||
2,338,461 | ||||||||
|
| |||||||
Entertainment — 0.2% | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 205,000 | 223,920 | ||||||
Pinnacle Entertainment, Inc. (c) | 220,000 | 228,800 | ||||||
Six Flags Entertainment Corp. (c) | 220,000 | 221,346 | ||||||
|
| |||||||
674,066 | ||||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Waste Management, Inc. | 410,000 | 429,673 | ||||||
|
| |||||||
Food Services — 0.1% | ||||||||
Aramark Services, Inc. (c) | 210,000 | 221,813 | ||||||
|
| |||||||
Foods — 0.8% | ||||||||
Cosan Overseas Ltd. (b) | 500,000 | 500,300 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. (c) | 210,000 | 197,400 | ||||||
Kraft Heinz Foods Co. | 235,000 | 235,595 | ||||||
The Kroger Co. | 670,000 | 685,322 | ||||||
MARB BondCo PLC (c) | 300,000 | 289,875 | ||||||
Marfrig Holdings Europe BV (c) | 200,000 | 203,040 | ||||||
Pilgrim’s Pride Corp. (c) | 210,000 | 210,525 | ||||||
Sigma Alimentos SA de CV (b) | 200,000 | 203,200 | ||||||
Smithfield Foods, Inc. (c) | 550,000 | 562,672 | ||||||
Sysco Corp. | 580,000 | 571,064 | ||||||
|
| |||||||
3,658,993 | ||||||||
|
| |||||||
Forest Products & Paper — 0.5% | ||||||||
Georgia-Pacific LLC (c) | 1,125,000 | 1,158,905 | ||||||
International Paper Co. | 295,000 | 283,909 | ||||||
Inversiones CMPC SA (c) | 600,000 | 609,769 | ||||||
|
| |||||||
2,052,583 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
16
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Gas — 0.4% | ||||||||
National Gas Co., of Trinidad & Tobago Ltd. (b) | $ | 500,000 | $ | 513,750 | ||||
NGL Energy Partners LP/NGL Energy Finance Corp. (c) | 220,000 | 216,975 | ||||||
Transportadora de Gas del Peru SA (b) | 800,000 | 830,000 | ||||||
|
| |||||||
1,560,725 | ||||||||
|
| |||||||
Health Care – Products — 0.3% | ||||||||
Becton Dickinson and Co. | 860,000 | 862,688 | ||||||
Universal Hospital Services, Inc. | 210,000 | 213,413 | ||||||
Zimmer Biomet Holdings, Inc. | 220,000 | 222,006 | ||||||
|
| |||||||
1,298,107 | ||||||||
|
| |||||||
Health Care – Services — 0.5% | ||||||||
Acadia Healthcare Co., Inc. | 210,000 | 217,219 | ||||||
Air Medical Group Holdings, Inc. (c) | 160,000 | 151,600 | ||||||
Anthem, Inc. | 560,000 | 563,152 | ||||||
Centene Corp. | 210,000 | 215,775 | ||||||
CHS/Community Health Systems, Inc. | 210,000 | 216,794 | ||||||
Envision Healthcare Corp. (c) | 205,000 | 218,838 | ||||||
Laboratory Corp. of America Holdings | 545,000 | 549,331 | ||||||
Tenet Healthcare Corp. | 210,000 | 222,862 | ||||||
|
| |||||||
2,355,571 | ||||||||
|
| |||||||
Holding Companies-Diversified — 0.2% | ||||||||
CK Hutchison International Ltd. (c) | 600,000 | 602,683 | ||||||
Hutchison Whampoa Ltd. (b) | 300,000 | 306,391 | ||||||
|
| |||||||
909,074 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Tempur Sealy International, Inc. | 215,000 | 223,063 | ||||||
|
| |||||||
Household Products & Wares — 0.1% | ||||||||
Kronos Acquisition Holdings, Inc. (c) | 215,000 | 214,463 | ||||||
|
|
Principal Amount | Value | |||||||
Insurance — 0.7% | ||||||||
Athene Global Funding (c) | $ | 505,000 | $ | 501,532 | ||||
Brighthouse Financial, Inc. (c) | 575,000 | 568,015 | ||||||
Liberty Mutual Group, Inc. (c) | 730,000 | 945,121 | ||||||
New York Life Global Funding (c) | 210,000 | 208,878 | ||||||
New York Life Global Funding (c) | 355,000 | 358,387 | ||||||
NUVEEN FINANCE LLC (c) | 540,000 | 547,718 | ||||||
|
| |||||||
3,129,651 | ||||||||
|
| |||||||
Internet — 0.1% | ||||||||
eBay, Inc. | 575,000 | 569,911 | ||||||
|
| |||||||
Iron & Steel — 0.1% | ||||||||
Cliffs Natural Resources, Inc. (c) | 15,000 | 14,137 | ||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. (c) | 105,000 | 109,725 | ||||||
Vale Overseas Ltd. | 380,000 | 407,930 | ||||||
|
| |||||||
531,792 | ||||||||
|
| |||||||
Leisure Time — 0.1% | ||||||||
Sabre GLBL, Inc. (c) | 205,000 | 212,688 | ||||||
Viking Cruises Ltd. (c) | 205,000 | 215,250 | ||||||
|
| |||||||
427,938 | ||||||||
|
| |||||||
Lodging — 0.2% | ||||||||
Gohl Capital Ltd. (b) | 600,000 | 621,706 | ||||||
Hilton Domestic Operating Co., Inc. (c) | 215,000 | 217,956 | ||||||
|
| |||||||
839,662 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.0% | ||||||||
BlueLine Rental Finance Corp./BlueLine Rental LLC (c) | 205,000 | 213,200 | ||||||
|
| |||||||
Media — 0.6% | ||||||||
CBS Corp. | 65,000 | 64,376 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (c) | 215,000 | 219,837 | ||||||
Cengage Learning, Inc. (c) | 235,000 | 207,975 |
The accompanying notes are an integral part of the financial statements.
17
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | $ | 520,000 | $ | 561,766 | ||||
Comcast Corp. | 525,000 | 564,342 | ||||||
CSC Holdings LLC | 215,000 | 219,322 | ||||||
Globo Comunicacao e Participacoes SA (c) | 400,000 | 397,000 | ||||||
Sirius XM Radio, Inc. (c) (d) | 220,000 | 221,650 | ||||||
TV Azteca SAB de CV (b) | 200,000 | 199,000 | ||||||
|
| |||||||
2,655,268 | ||||||||
|
| |||||||
Oil & Gas — 2.3% | ||||||||
Bharat Petroleum Corp. Ltd. (b) | 200,000 | 213,816 | ||||||
BP Capital Markets PLC | 48,000 | 48,703 | ||||||
BP Capital Markets PLC | 495,000 | 507,798 | ||||||
BPRL International Singapore Pte Ltd. (b) | 500,000 | 517,582 | ||||||
Canadian Natural Resources Ltd. | 860,000 | 853,147 | ||||||
CNOOC Finance Ltd. (b) | 200,000 | 210,339 | ||||||
CNOOC Finance USA LLC | 600,000 | 600,097 | ||||||
CNPC HK Overseas Capital Ltd. (b) | 700,000 | 744,672 | ||||||
Indian Oil Corp. Ltd. (b) | 200,000 | 225,049 | ||||||
MEG Energy Corp. (c) | 60,000 | 46,650 | ||||||
Noble Holding International Ltd. | 25,000 | 19,781 | ||||||
ONGC Videsh Vankorneft Pte Ltd. (b) | 850,000 | 840,068 | ||||||
Pertamina Persero PT (b) | 200,000 | 206,996 | ||||||
Petrobras Global Finance BV | 650,000 | 639,112 | ||||||
Petrobras Global Finance BV | 200,000 | 211,600 | ||||||
Petroleos Mexicanos | 290,000 | 292,865 | ||||||
Petronas Capital Ltd. (b) | 800,000 | 828,424 | ||||||
Phillips 66 | 235,000 | 283,929 |
Principal Amount | Value | |||||||
Reliance Holding USA, Inc. (b) | $ | 600,000 | $ | 657,224 | ||||
Reliance Industries Ltd. (b) | 300,000 | 310,082 | ||||||
Sanchez Energy Corp. | 245,000 | 196,000 | ||||||
Shell International Finance BV | 560,000 | 556,704 | ||||||
Sinopec Group Overseas Development Ltd. (b) | 900,000 | 841,560 | ||||||
SM Energy Co. | 235,000 | 207,975 | ||||||
Valero Energy Corp | 235,000 | 290,249 | ||||||
|
| |||||||
10,350,422 | ||||||||
|
| |||||||
Oil & Gas Services — 0.1% | ||||||||
FTS International, Inc. | 22,000 | 17,820 | ||||||
Schlumberger Holdings Corp. (c) | 270,000 | 271,602 | ||||||
|
| |||||||
289,422 | ||||||||
|
| |||||||
Packaging & Containers — 0.0% | ||||||||
Flex Acquisition Co., Inc. (c) | 205,000 | 213,200 | ||||||
|
| |||||||
Pharmaceuticals — 1.1% | ||||||||
AbbVie, Inc. | 550,000 | 584,453 | ||||||
Allergan Funding SCS | 551,000 | 553,300 | ||||||
AstraZeneca PLC | 275,000 | 276,582 | ||||||
AstraZeneca PLC | 290,000 | 289,317 | ||||||
Cardinal Health, Inc. | 555,000 | 556,468 | ||||||
Cardinal Health, Inc. | 180,000 | 185,993 | ||||||
Express Scripts Holding Co. | 440,000 | 424,655 | ||||||
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc. (c) | 210,000 | 227,850 | ||||||
Mylan NV | 605,000 | 615,492 | ||||||
Shire Acquisitions Investments Ireland DAC | 580,000 | 574,880 | ||||||
Teva Pharmaceutical Finance Co. BV | 260,000 | 258,501 |
The accompanying notes are an integral part of the financial statements.
18
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Teva Pharmaceutical Finance Netherlands III BV | $ | 475,000 | $ | 462,006 | ||||
|
| |||||||
5,009,497 | ||||||||
|
| |||||||
Pipelines — 0.7% | ||||||||
Enable Midstream Partners LP | 565,000 | 567,035 | ||||||
Energy Transfer LP | 70,000 | 69,978 | ||||||
Energy Transfer LP | 470,000 | 488,950 | ||||||
Fermaca Enterprises S de RL de CV (c) | 235,504 | 251,106 | ||||||
Kinder Morgan Energy Partners LP | 470,000 | 561,320 | ||||||
Sunoco Logistics Partners Operations LP | 750,000 | 735,894 | ||||||
Williams Partners LP | 290,000 | 287,049 | ||||||
|
| |||||||
2,961,332 | ||||||||
|
| |||||||
Private Equity — 0.0% | ||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 205,000 | 213,713 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.9% | ||||||||
American Tower Corp. | 575,000 | 570,160 | ||||||
American Tower Corp. | 950,000 | 995,704 | ||||||
Boston Properties LP | 520,000 | 548,357 | ||||||
Crown Castle International Corp | 700,000 | 705,994 | ||||||
Crown Castle International Corp. | 225,000 | 231,588 | ||||||
ESH Hospitality, Inc. (c) | 215,000 | 222,794 | ||||||
Simon Property Group LP | 570,000 | 568,121 | ||||||
|
| |||||||
3,842,718 | ||||||||
|
| |||||||
Retail — 0.4% | ||||||||
1011778 BC ULC/New Red Finance, Inc. (c) | 220,000 | 218,612 | ||||||
El Puerto de Liverpool SAB de CV (b) | 300,000 | 294,750 | ||||||
The Home Depot, Inc. | 565,000 | 568,015 | ||||||
Lowe’s Cos., Inc. | 285,000 | 283,699 | ||||||
PetSmart, Inc. (c) | 115,000 | 110,831 |
Principal Amount | Value | |||||||
PetSmart, Inc. (c) | $ | 115,000 | $ | 102,350 | ||||
Rite Aid Corp. (c) | 225,000 | 220,922 | ||||||
|
| |||||||
1,799,179 | ||||||||
|
| |||||||
Semiconductors — 0.2% | ||||||||
Applied Materials, Inc. | 280,000 | 297,194 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. (c) | 275,000 | 281,325 | ||||||
Maxim Integrated Products, Inc. | 285,000 | 283,311 | ||||||
|
| |||||||
861,830 | ||||||||
|
| |||||||
Software — 0.5% | ||||||||
Camelot Finance SA (c) | 75,000 | 80,813 | ||||||
Fidelity National Information Services, Inc. | 420,000 | 439,968 | ||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho (c) | 195,000 | 219,131 | ||||||
Informatica LLC (c) | 215,000 | 218,831 | ||||||
Microsoft Corp. | 520,000 | 578,589 | ||||||
Open Text Corp. (c) | 100,000 | 107,562 | ||||||
Oracle Corp. | 445,000 | 457,501 | ||||||
Sophia LP/Sophia Finance, Inc. (c) | 210,000 | 218,400 | ||||||
|
| |||||||
2,320,795 | ||||||||
|
| |||||||
Telecommunications — 1.3% | ||||||||
AT&T, Inc. | 550,000 | 562,434 | ||||||
Axiata SPV2 Bhd (b) | 200,000 | 204,534 | ||||||
Bharti Airtel Ltd. (b) | 500,000 | 499,993 | ||||||
British Telecommunications PLC | 1,025,000 | 1,047,966 | ||||||
Cincinnati Bell, Inc. (c) | 205,000 | 214,266 | ||||||
Digicel Group Ltd. (b) | 700,000 | 609,910 | ||||||
Empresa Nacional de Telecomunicaciones SA (b) | 200,000 | 205,917 |
The accompanying notes are an integral part of the financial statements.
19
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Frontier Communications Corp. | $ | 205,000 | $ | 215,506 | ||||
Intelsat Jackson Holdings SA | 230,000 | 217,350 | ||||||
Ooredoo International Finance Ltd. (b) | 600,000 | 592,733 | ||||||
Orange SA | 564,000 | 571,154 | ||||||
Telesat Canada/Telesat LLC (c) | 195,000 | 218,887 | ||||||
Verizon Communications, Inc. | 565,000 | 559,834 | ||||||
|
| |||||||
5,720,484 | ||||||||
|
| |||||||
Transportation — 0.9% | ||||||||
Autoridad del Canal de Panama (b) | 200,000 | 218,000 | ||||||
Burlington Northern Santa Fe LLC | 505,000 | 559,772 | ||||||
CSX Corp. | 600,000 | 587,311 | ||||||
Empresa de Transporte de Pasajeros Metro SA (c) | 750,000 | 807,780 | ||||||
FedEx Corp. | 525,000 | 566,929 | ||||||
Lima Metro Line 2 Finance Ltd. (b) | 750,000 | 798,750 | ||||||
Union Pacific Corp. | 250,000 | 250,686 | ||||||
|
| |||||||
3,789,228 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (c) | 275,000 | 284,090 | ||||||
|
| |||||||
Water — 0.1% | ||||||||
American Water Capital Corp. | 500,000 | 517,046 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $102,880,920) | 104,262,349 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.1% | ||||||||
North Texas Municipal Water District Water System Revenue | 220,000 | 257,669 | ||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $250,893) | 257,669 | |||||||
|
|
Principal Amount | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.1% | ||||||||
Commercial MBS — 8.1% |
| |||||||
BBCMS Mortgage Trust, Series 2017-C1, Class XA, VRN | $ | 4,598,132 | $ | 500,103 | ||||
BXHTL Mortgage Trust, | 700,000 | 700,881 | ||||||
CD Mortgage Trust, Series 2017-CD4, Class XA, VRN | 5,823,756 | 553,367 | ||||||
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class XA, VRN | 5,812,950 | 424,242 | ||||||
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class D, VRN (c) | 563,000 | 414,031 | ||||||
CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3 | 545,000 | 567,705 | ||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC35, Class XA, VRN | 5,329,667 | 270,946 | ||||||
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class XA, VRN | 3,762,040 | 491,252 | ||||||
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A4 | 547,000 | 537,273 | ||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A5 | 276,000 | 276,954 | ||||||
Citigroup Commercial Mortgage Trust, Series 2016-SMPL, Class D, VRN (c) | 534,000 | 532,402 | ||||||
Citigroup Commercial Mortgage Trust, Series 2016-P6, Class A5, VRN | 435,000 | 455,008 | ||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class C, VRN | 700,000 | 648,339 | ||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC35, Class C, VRN | 413,000 | 411,690 | ||||||
CLNS Trust, Series 2017-IKPR, Class D, 1 mo. LIBOR, FRN (c) | 190,000 | 190,184 | ||||||
CLNS Trust, Series 2017-IKPR, Class E, 1 mo. LIBOR + | 190,000 | 190,182 |
The accompanying notes are an integral part of the financial statements.
20
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CLNS Trust, Series 2017-IKPR, Class F, 1 mo. LIBOR + | $ | 190,000 | $ | 190,186 | ||||
COMM Mortgage Trust, Series 2016-DC2, Class XA, VRN | 990,442 | 67,223 | ||||||
COMM Mortgage Trust, Series 2016-GCT, Class E, VRN (c) | 210,000 | 204,962 | ||||||
COMM Mortgage Trust, | 650,000 | 523,991 | ||||||
COMM Mortgage Trust, Series 2012-CR4, Class D, VRN (c) | 738,000 | 638,266 | ||||||
COMM Mortgage Trust, | 470,000 | 483,876 | ||||||
Commercial Mortgage Trust, | 517,000 | 511,761 | ||||||
Commercial Mortgage Trust, | 650,000 | 651,555 | ||||||
Cosmopolitan Hotel Trust, | 370,000 | 373,352 | ||||||
Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A1AM, VRN | 100,754 | 100,939 | ||||||
Credit Suisse Commercial Mortgage Trust, Series 2008-C1, Class AM, VRN (c) | 700,000 | 708,581 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2017-CHOP, Class D, 1 mo. LIBOR + | 285,000 | 285,089 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2017-CHOP, Class E, 1 mo. LIBOR + | 285,000 | 285,068 | ||||||
CSAIL Commercial Mortgage Trust, | 9,244,929 | 482,582 | ||||||
CSAIL Commercial Mortgage Trust, | 6,702,000 | 569,537 | ||||||
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class C, VRN | 427,000 | 428,830 |
Principal Amount | Value | |||||||
CSMC Trust, Series 2017-LSTK, Class C (c) | $ | 257,000 | $ | 259,837 | ||||
CSMC Trust, Series 2017-LSTK, Class D, VRN (c) | 306,000 | 304,593 | ||||||
GS Mortgage Securities Corp. II, | 5,572,403 | 373,485 | ||||||
GS Mortgage Securities Trust, | 8,168,590 | 453,525 | ||||||
GS Mortgage Securities Trust, | 6,971,139 | 368,867 | ||||||
GS Mortgage Securities Trust, | 940,000 | 804,726 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class XA, VRN | 5,388,424 | 307,240 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class XA, VRN | 3,220,860 | 414,736 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, VRN | 174,000 | 171,517 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class C, VRN | 134,000 | 131,172 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, VRN | 349,857 | 349,675 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AM, VRN | 484,321 | 488,568 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class AJ, VRN | 510,000 | 515,597 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class XA, VRN | 11,066,226 | 383,958 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C29, Class XA, VRN | 12,274,820 | 474,979 |
The accompanying notes are an integral part of the financial statements.
21
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class XA, VRN | $ | 5,168,737 | $ | 264,030 | ||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class XA, VRN | 8,882,109 | 520,278 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class D, VRN (c) | 704,000 | 566,135 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class B, VRN | 610,000 | 602,623 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class C, VRN | 527,000 | 544,622 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class C, VRN | 100,000 | 96,327 | ||||||
JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class C, VRN | 466,000 | 484,979 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class D (c) | 650,000 | 511,495 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class D, VRN (c) | 504,000 | 368,187 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4 | 175,000 | 177,622 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class A4 | 454,000 | 475,396 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class C | 650,000 | 613,398 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class C, VRN | 650,000 | 624,609 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class C, VRN | 351,000 | 331,940 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, VRN | 475,000 | 495,018 | ||||||
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN | 252,845 | 252,919 |
Principal Amount | Value | |||||||
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class XA, VRN | $ | 6,615,551 | $ | 408,103 | ||||
Morgan Stanley Capital I Trust, Series 2016-UB11, Class XA, VRN | 1,598,813 | 165,110 | ||||||
Morgan Stanley Capital I Trust, Series 2015-XLF2, Class AFSC, 1 mo. LIBOR + 3.000%, FRN (c) | 478,000 | 478,803 | ||||||
Morgan Stanley Capital I Trust, Series 2017-PRME, Class D, 1 mo. LIBOR + 3.400%, FRN (c) | 425,000 | 421,881 | ||||||
MSCG Trust, Series 2016-SNR, Class C (c) | 539,000 | 542,721 | ||||||
PFP Ltd., Series 2017-3, Class A, 1 mo. LIBOR + 1.050%, FRN (c) | 197,000 | 197,369 | ||||||
PFP Ltd., Series 2017-3, Class AS, 1 mo. LIBOR + 1.300%, FRN (c) | 164,000 | 164,366 | ||||||
PFP Ltd., Series 2017-3, Class B, 1 mo. LIBOR + 1.750%, FRN (c) | 94,000 | 94,410 | ||||||
PFP Ltd., Series 2017-3, Class C, 1 mo. LIBOR + 2.500%, FRN (c) | 99,000 | 99,556 | ||||||
RAIT Trust, Series 2017-FL7, Class A, 1 mo. LIBOR + ..950%, FRN (c) | 505,000 | 505,007 | ||||||
RAIT Trust, Series 2017-FL7, Class AS, 1 mo. LIBOR + 1.300%, FRN (c) | 141,000 | 141,065 | ||||||
SG Commercial Mortgage Securities Trust, Series 2016-C5, Class XA, VRN | 3,968,467 | 503,944 | ||||||
Sutherland Commercial Mortgage Loans LLC, Series 2015-SBC4, Class A (c) | 243,670 | 242,401 | ||||||
Wachovia Bank Commercial Mortgage Trust Series, Series 2007-C30, Class AJ, VRN | 330,976 | 336,946 | ||||||
Wachovia Bank Commercial Mortgage Trust Series, Series 2006-C28, Class AJ, VRN | 556,209 | 561,798 | ||||||
Wachovia Bank Commercial Mortgage Trust Series, Series 2007-C32, Class AMFX (c) | 164,553 | 164,535 |
The accompanying notes are an integral part of the financial statements.
22
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MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class XA, VRN | $ | 12,823,550 | $ | 530,547 | ||||
Wells Fargo Commercial Mortgage Trust, Series 2015-P2, Class XA, VRN | 5,485,377 | 333,339 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class XA, VRN | 6,714,545 | 456,333 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class XA, VRN | 2,400,912 | 246,830 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-P2, Class A4 | 392,000 | 411,890 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class D (c) | 560,000 | 445,161 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class C, VRN | 390,000 | 389,993 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4, Class C, VRN | 421,000 | 429,909 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class C, VRN | 468,000 | 481,450 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA, VRN | 12,709,299 | 711,538 | ||||||
|
| |||||||
35,867,415 | ||||||||
|
| |||||||
Home Equity ABS — 0.9% | ||||||||
GSAA Home Equity Trust, Series 2007-10, Class A2A | 5,168,903 | 3,832,631 | ||||||
|
| |||||||
Other ABS — 9.2% | ||||||||
Adams Mill CLO Ltd., Series 2014-1A, Class A1, 3 mo. USD LIBOR + 1.480%, FRN (c) | 500,000 | 500,251 | ||||||
ALM VII R Ltd., Series 2013-7RA, Class CR, 3 mo. USD LIBOR + 4.040%, FRN (c) | 1,000,000 | 1,012,412 |
Principal Amount | Value | |||||||
ALM XIX LLC, Series 2016-19A, Class B, 3 mo. USD LIBOR + 3.000%, FRN (c) | $ | 500,000 | $ | 504,564 | ||||
ALM XIX LLC, Series 2016-19A, Class C, 3 mo. USD LIBOR + 4.350%, FRN (c) | 500,000 | 509,754 | ||||||
Anchorage Capital CLO Ltd., | 1,000,000 | 999,996 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, STEP (c) | 973,958 | 991,679 | ||||||
BlueMountain CLO II Ltd., | 34,925 | 34,914 | ||||||
BlueMountain CLO Ltd., | 1,000,000 | 1,002,851 | ||||||
BlueMountain CLO Ltd., | 1,000,000 | 1,005,528 | ||||||
BlueMountain CLO Ltd., | 1,000,000 | 1,001,884 | ||||||
BlueMountain CLO Ltd., | 1,000,000 | 1,003,619 | ||||||
BlueMountain CLO Ltd., | 1,000,000 | 1,010,644 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2016-2A, Class D2, 3 mo. USD LIBOR + 6.450%, FRN (c) | 500,000 | 502,218 | ||||||
Castle Aircraft SecuritizationTrust, Series 2015-1A, Class A (c) | 1,565,010 | 1,586,433 | ||||||
CLI Funding V LLC, Series 2014-2A, Class A (c) | 508,454 | 507,885 | ||||||
Dryden XXV Senior Loan Fund, Series 2012-25A, Class D, 3 mo. USD LIBOR + 4.000%, FRN (c) | 833,000 | 834,152 |
The accompanying notes are an integral part of the financial statements.
23
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Element Rail Leasing II LLC, Series 2016-1A, Class A2 (c) | $ | 500,000 | $ | 519,467 | ||||
Global SC Finance II SRL, Series 2014-1A, Class A1 (c) | 502,917 | 493,465 | ||||||
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class D, 3 mo. USD LIBOR + 3.350%, FRN (c) | 1,000,000 | 995,605 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A (c) | 250,000 | 249,744 | ||||||
HERO Funding Trust, Series 2016-4A, Class A2 (c) | 470,721 | 502,127 | ||||||
LCM XVIII LP, Series 19A, Class D, 3 mo. USD LIBOR + 3.450%, FRN (c) | 1,000,000 | 998,700 | ||||||
Madison Park Funding Ltd., | 1,000,000 | 994,548 | ||||||
Madison Park Funding XV Ltd., Series 2014-15A, Class DR, 3 mo. USD LIBOR + 5.440%, FRN (c) | 1,000,000 | 1,000,142 | ||||||
Madison Park Funding XVIII Ltd., Series 2015-18A, Class D2, 3 mo. USD LIBOR + 3.950%, FRN (c) | 1,000,000 | 1,001,804 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class A2C, 1 mo. USD LIBOR + 0.150%, FRN | 3,060,734 | 2,900,563 | ||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A (c) | 845,412 | 857,983 | ||||||
Octagon Investment Partners Ltd., Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.500%, FRN (c) | 1,000,000 | 998,297 | ||||||
Octagon Investment Partners Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 6.200%, FRN (c) | 500,000 | 496,271 | ||||||
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class CR, 3 mo. USD LIBOR + 4.000%, FRN (c) | 1,000,000 | 999,983 | ||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A (c) | 175,489 | 175,756 |
Principal Amount | Value | |||||||
OneMain Financial Issuance Trust, Series 2015-1A, Class A (c) | $ | 3,000,000 | $ | 3,026,931 | ||||
Springleaf Funding Trust, Series 2015-AA, Class A (c) | 3,000,000 | 3,026,579 | ||||||
TAL Advantage V LLC, Series 2013-1A, Class A (c) | 283,333 | 279,007 | ||||||
TAL Advantage V LLC, Series 2014-1A, Class A (c) | 458,667 | 459,471 | ||||||
TCI-Cent CLO Income Note Issuer Ltd., Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.650%, FRN (c) (d) 7/25/30 | 500,000 | 500,000 | ||||||
TCI-Cent CLO Ltd., Series 2016-1A, Class C, 3 mo. USD LIBOR + | 1,000,000 | 1,006,947 | ||||||
Thacher Park CLO Ltd., Series 2014-1A, Class D1R, 3 mo. USD LIBOR + 3.400%, FRN (c) | 1,000,000 | 1,000,002 | ||||||
THL Credit Wind River CLO Ltd., Series 2016-1A, Class C, 3 mo. USD LIBOR + 3.200%, FRN (c) | 500,000 | 504,573 | ||||||
THL Credit Wind River CLO Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.750%, FRN (c) | 1,000,000 | 1,004,274 | ||||||
THL Credit Wind River CLO Ltd., Series 2012-1A, Class DR, 3 mo. USD LIBOR + 4.100%, FRN (c) | 1,000,000 | 1,008,883 | ||||||
Venture XVII CLO Ltd., Series 2014-17A, Class B2R, 3 mo. USD LIBOR + 1.600%, FRN (c) (d) 7/15/26 | 1,000,000 | 1,000,000 | ||||||
Venture XVII CLO Ltd., | 1,000,000 | 1,000,594 | ||||||
Westcott Park Clo Ltd., Series 2016-1A, Class D, 3 mo. USD LIBOR + 4.350%, FRN (c) | 500,000 | 508,650 | ||||||
|
| |||||||
40,519,150 | ||||||||
|
| |||||||
WL Collateral CMO — 9.3% | ||||||||
Citigroup Mortgage Loan Trust, | 3,475,309 | 3,224,592 |
The accompanying notes are an integral part of the financial statements.
24
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CitiMortgage Alternative Loan Trust, Series 2006-A1, Class 1A5 | $ | 3,832,728 | $ | 3,676,786 | ||||
Countrywide Alternative Loan Trust, Series 2006-13T1, Class A11 | 3,012,117 | 2,484,874 | ||||||
Countrywide Alternative Loan Trust, Series 2006-36T2, Class 2A1 | 4,961,523 | 3,610,997 | ||||||
Countrywide Home Loans Mortgage Pass-Through Trust, | 2,428,688 | 2,099,069 | ||||||
Countrywide Home Loans Mortgage Pass-Through Trust, | 2,391,945 | 2,158,353 | ||||||
CSMC Trust, Series 2015-RPL3, Class A1, STEP (c) | 5,073,765 | 5,163,668 | ||||||
HarborView Mortgage Loan Trust, Series 2006-11, Class A1A, 1 mo. USD LIBOR + 0.170%, FRN | 1,941,344 | 1,694,687 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2007-AR5, Class 2A1, VRN | 4,108,990 | 3,649,526 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 2A1, VRN | 957,425 | 854,171 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AR1, Class 2A1, VRN | 3,787,444 | 3,146,026 | ||||||
RBSSP Resecuritization Trust, Series 2009-5, Class 2A3, VRN (c) | 1,521,128 | 1,279,380 | ||||||
RFMSI Trust, Series 2007-S4, Class A5, 1 mo. USD LIBOR + | 712,659 | 725,740 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1, Class A2, VRN | 2,217,120 | 2,110,085 | ||||||
Towd Point Mortgage Trust, Series 2015-2, Class 1A13, VRN (c) | 4,071,266 | 4,080,088 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-4, Class 3A5, STEP | 1,684,674 | 1,304,885 | ||||||
|
| |||||||
41,262,927 | ||||||||
|
|
Principal Amount | Value | |||||||
WL Collateral PAC — 0.6% | ||||||||
Countrywide Alternative Loan Trust, Series 2006-19CB, Class A15 | $ | 2,937,201 | $ | 2,634,016 | ||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $124,628,793) | 124,116,139 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 3.1% | ||||||||
Argentine Republic Government International Bond | 850,000 | 880,600 | ||||||
Brazil Government International Bond | 800,000 | 770,000 | ||||||
Chile Government International Bond | 400,000 | 408,400 | ||||||
Chile Government International Bond | 600,000 | 611,970 | ||||||
Chile Government International Bond | 200,000 | 200,500 | ||||||
Corp Financiera de Desarrollo SA (b) | 200,000 | 214,250 | ||||||
Dominican Republic International Bond (c) | 1,100,000 | 1,149,500 | ||||||
Dominican Republic International Bond (b) | 400,000 | 426,000 | ||||||
Export-Import Bank of India (b) | 200,000 | 207,947 | ||||||
Fondo MIVIVIENDA SA (c) | 150,000 | 151,800 | ||||||
Guatemala Government Bond (b) | 200,000 | 202,118 | ||||||
Guatemala Government Bond (b) | 200,000 | 205,500 | ||||||
Indonesia Government International Bond (c) | 500,000 | 521,410 | ||||||
Israel Government International Bond | 400,000 | 398,387 | ||||||
Korea Development Bank, The | 200,000 | 198,355 | ||||||
Korea International Bond | 800,000 | 784,696 | ||||||
Malaysia Sovereign Sukuk Bhd (b) | 500,000 | 499,200 | ||||||
Mexico Government International Bond 4.125% 1/21/26 | 200,000 | 207,900 | ||||||
Mexico Government International Bond 4.150% 3/28/27 | 2,048,000 | 2,120,704 | ||||||
Mexico Government International Bond 4.750% 3/08/44 | 100,000 | 100,100 |
The accompanying notes are an integral part of the financial statements.
25
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Panama Government International Bond 3.875% 3/17/28 | $ | 1,000,000 | $ | 1,025,000 | ||||
Panama Government International Bond 4.300% 4/29/53 | 200,000 | 196,500 | ||||||
Panama Government International Bond 4.500% 5/15/47 | 200,000 | 202,500 | ||||||
Perusahaan Penerbit SBSN Indonesia III (c) | 400,000 | 406,000 | ||||||
Perusahaan Penerbit SBSN Indonesia III (b) | 200,000 | 203,000 | ||||||
Philippine Government International Bond | 600,000 | 604,679 | ||||||
Philippine Government International Bond | 600,000 | 657,311 | ||||||
Provincia de Buenos Aires (c) | 250,000 | 258,825 | ||||||
|
| |||||||
13,813,152 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $13,516,708) | 13,813,152 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 12.0% | ||||||||
Collateralized Mortgage Obligations — 6.0% | ||||||||
Federal Home Loan Mortgage Corp. | 7,938,979 | 8,033,175 | ||||||
Series 4483, Class CA | 7,430,841 | 7,514,824 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | 6,719,266 | 406,211 | ||||||
Series K053, Class A2 | 463,000 | 472,178 | ||||||
Series K050, Class A2 VRN | 350,000 | 366,327 | ||||||
Federal National Mortgage Association Series 2016-M3, Class A2 | 465,000 | 461,606 | ||||||
Series 2015-9, Class HA | 1,207,004 | 1,232,810 | ||||||
Government National Mortgage Association Series 2015-74, Class LZ 3.500% 5/20/45 | 3,080,569 | 3,062,657 | ||||||
Series 2015-92, Class CZ | 4,901,651 | 4,889,666 | ||||||
|
| |||||||
26,439,454 | ||||||||
|
|
Principal Amount | Value | |||||||
Pass-Through Securities — 6.0% | ||||||||
Federal Home Loan Mortgage Corp. | $ | 4,238,873 | $ | 4,239,370 | ||||
Pool #G08632 3.500% | 3,484,864 | 3,584,509 | ||||||
Federal National Mortgage Association | 4,724,137 | 4,744,621 | ||||||
Pool #MA2248 3.000% | 2,937,824 | 2,911,544 | ||||||
Pool #MA2711 3.000% | 6,539,642 | 6,481,142 | ||||||
Pool #AS7661 3.000% | 1,844,204 | 1,827,706 | ||||||
Pool #AX2501 4.000% | 2,781,102 | 2,923,633 | ||||||
|
| |||||||
26,712,525 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $52,884,297) | 53,151,979 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 27.1% | ||||||||
U.S. Treasury Bonds & Notes — 27.1% | ||||||||
U.S. Treasury Bond | 11,210,000 | 11,080,384 | ||||||
U.S. Treasury Bond | 6,990,000 | 7,029,210 | ||||||
U.S. Treasury Note | 8,230,000 | 8,220,484 | ||||||
U.S. Treasury Note | 6,450,000 | 6,443,097 | ||||||
U.S. Treasury Note | 7,510,000 | 7,500,348 | ||||||
U.S. Treasury Note | 1,200,000 | 1,197,136 | ||||||
U.S. Treasury Note | 1,680,000 | 1,675,761 | ||||||
U.S. Treasury Note | 10,560,000 | 10,545,315 | ||||||
U.S. Treasury Note | 730,000 | 710,609 | ||||||
U.S. Treasury Note | 14,290,000 | 13,547,254 | ||||||
U.S. Treasury Note | 855,000 | 857,565 | ||||||
U.S. Treasury Note | 17,380,000 | 17,290,521 | ||||||
U.S. Treasury Note | 10,080,000 | 10,198,361 |
The accompanying notes are an integral part of the financial statements.
26
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
U.S. Treasury Note | $ | 12,310,000 | $ | 12,324,426 | ||||
U.S. Treasury Note | 11,120,000 | 11,339,794 | ||||||
|
| |||||||
119,960,265 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $119,971,723) | 119,960,265 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $414,133,334) | 415,561,553 | |||||||
|
| |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 2.7% | ||||||||
Diversified Financial Services — 2.7% | ||||||||
DoubleLine Floating Rate Fund | 1,202,268 | 11,902,453 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $12,154,937) | 11,902,453 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $426,351,955) | 427,507,798 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.1% | ||||||||
Repurchase Agreement — 3.1% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/17, 0.050%, due 7/03/17 (e) | $ | 13,568,738 | 13,568,738 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 11,701 | 11,701 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,580,439) | 13,580,439 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% (Cost $439,932,394) (f) | 441,088,237 | |||||||
Other Assets/(Liabilities) — 0.2% | 893,579 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 441,981,816 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
PAC | Planned Amortization Class |
STEP | Step Up Bond |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | Non-income producing security. |
(b) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2017, these securities amounted to a value of $19,305,149 or 4.37% of net assets. |
(c) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $85,398,881 or 19.32% of net assets. |
(d) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(e) | Maturity value of $13,568,795. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity dates ranging from 4/30/19 – 6/30/19, and an aggregate market value, including accrued interest, of $13,843,636. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 78.6 | % | ||
Cayman Islands | 6.9 | % | ||
Mexico | 1.5 | % | ||
Netherlands | 0.8 | % | ||
United Kingdom | 0.8 | % | ||
Chile | 0.8 | % | ||
Canada | 0.7 | % | ||
Australia | 0.7 | % | ||
Panama | 0.6 | % | ||
Malaysia | 0.5 | % | ||
British Virgin Islands | 0.4 | % | ||
Dominican Republic | 0.4 | % | ||
Argentina | 0.4 | % | ||
India | 0.3 | % | ||
Bermuda | 0.3 | % | ||
Singapore | 0.3 | % | ||
Indonesia | 0.3 | % | ||
Philippines | 0.3 | % | ||
Peru | 0.3 | % | ||
Brazil | 0.3 | % | ||
Luxembourg | 0.2 | % |
The accompanying notes are an integral part of the financial statements.
27
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
Republic of Korea | 0.2 | % | ||
Colombia | 0.2 | % | ||
Japan | 0.2 | % | ||
Israel | 0.2 | % | ||
Ireland | 0.1 | % | ||
France | 0.1 | % | ||
Trinidad And Tobago | 0.1 | % | ||
Barbados | 0.1 | % | ||
Guatemala | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 96.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
28
Table of Contents
MML Equity Rotation Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 97.4% | ||||||||
COMMON STOCK — 97.4% | ||||||||
Basic Materials — 8.0% | ||||||||
Chemicals — 4.3% | ||||||||
The Chemours Co. | 11,600 | $ | 439,872 | |||||
Eastman Chemical Co. | 300 | 25,197 | ||||||
Huntsman Corp. | 25,200 | 651,168 | ||||||
Praxair, Inc. | 200 | 26,510 | ||||||
|
| |||||||
1,142,747 | ||||||||
|
| |||||||
Iron & Steel — 3.0% | ||||||||
ArcelorMittal (a) | 15,633 | 355,338 | ||||||
Nucor Corp. | 4,800 | 277,776 | ||||||
Reliance Steel & Aluminum Co. | 2,100 | 152,901 | ||||||
|
| |||||||
786,015 | ||||||||
|
| |||||||
Mining — 0.7% | ||||||||
BHP Billiton Ltd. Sponsored ADR | 5,000 | 177,950 | ||||||
|
| |||||||
2,106,712 | ||||||||
|
| |||||||
Communications — 13.2% | ||||||||
Internet — 10.2% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) | 1,500 | 211,350 | ||||||
Alphabet, Inc. Class A (a) | 280 | 260,310 | ||||||
Alphabet, Inc. Class C (a) | 50 | 45,437 | ||||||
Amazon.com, Inc. (a) | 1,590 | 1,539,120 | ||||||
Facebook, Inc. Class A (a) | 3,110 | 469,548 | ||||||
VeriSign, Inc. (a) | 1,900 | 176,624 | ||||||
|
| |||||||
2,702,389 | ||||||||
|
| |||||||
Media — 0.8% | ||||||||
News Corp. Class A | 2,400 | 32,880 | ||||||
Scripps Networks Interactive, Inc. Class A | 2,600 | 177,606 | ||||||
|
| |||||||
210,486 | ||||||||
|
| |||||||
Telecommunications — 2.2% | ||||||||
AT&T, Inc. | 5,000 | 188,650 | ||||||
Cisco Systems, Inc. | 6,000 | 187,800 | ||||||
Sprint Corp. (a) | 9,300 | 76,353 | ||||||
Zayo Group Holdings, Inc. (a) | 3,900 | 120,510 | ||||||
|
| |||||||
573,313 | ||||||||
|
| |||||||
3,486,188 | ||||||||
|
| |||||||
Consumer, Cyclical — 8.6% | ||||||||
Airlines — 0.8% |
| |||||||
Delta Air Lines, Inc. | 3,700 | 198,838 | ||||||
|
| |||||||
Auto Manufacturers — 0.9% | ||||||||
General Motors Co. | 6,800 | 237,524 | ||||||
|
| |||||||
Auto Parts & Equipment — 1.4% | ||||||||
The Goodyear Tire & Rubber Co. | 4,800 | 167,808 | ||||||
Lear Corp. | 1,490 | 211,699 | ||||||
|
| |||||||
379,507 | ||||||||
|
|
Number of Shares | Value | |||||||
Home Builders — 0.8% | ||||||||
Thor Industries, Inc. | 1,900 | $ | 198,588 | |||||
|
| |||||||
Home Furnishing — 0.5% | ||||||||
Sony Corp. Sponsored ADR | 3,600 | 137,484 | ||||||
|
| |||||||
Housewares — 0.6% | ||||||||
The Toro Co. | 2,400 | 166,296 | ||||||
|
| |||||||
Lodging — 0.4% | ||||||||
MGM Resorts International | 3,600 | 112,644 | ||||||
|
| |||||||
Retail — 3.2% | ||||||||
Burlington Stores, Inc. (a) | 900 | 82,791 | ||||||
Darden Restaurants, Inc. | 1,600 | 144,704 | ||||||
Domino’s Pizza, Inc. | 880 | 186,147 | ||||||
The Home Depot, Inc. | 2,000 | 306,800 | ||||||
Target Corp. | 2,500 | 130,725 | ||||||
|
| |||||||
851,167 | ||||||||
|
| |||||||
2,282,048 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 12.6% | ||||||||
Biotechnology — 2.8% | ||||||||
Amgen, Inc. | 1,040 | 179,119 | ||||||
Biogen, Inc. (a) | 1,170 | 317,491 | ||||||
Bioverativ, Inc. (a) | 585 | 35,200 | ||||||
Celgene Corp. (a) | 1,540 | 200,000 | ||||||
|
| |||||||
731,810 | ||||||||
|
| |||||||
Commercial Services — 5.2% | ||||||||
ManpowerGroup, Inc. | 2,300 | 256,795 | ||||||
Quanta Services, Inc. (a) | 5,400 | 177,768 | ||||||
United Rentals, Inc. (a) | 3,000 | 338,130 | ||||||
Vantiv, Inc. Class A (a) | 7,100 | 449,714 | ||||||
The Western Union Co. | 8,500 | 161,925 | ||||||
|
| |||||||
1,384,332 | ||||||||
|
| |||||||
Health Care – Services — 1.0% | ||||||||
Aetna, Inc. | 1,730 | 262,666 | ||||||
|
| |||||||
Pharmaceuticals — 3.6% | ||||||||
AbbVie, Inc. | 1,600 | 116,016 | ||||||
Express Scripts Holding Co. (a) | 4,400 | 280,896 | ||||||
Johnson & Johnson | 300 | 39,687 | ||||||
McKesson Corp. | 1,110 | 182,639 | ||||||
Merck & Co., Inc. | 4,900 | 314,041 | ||||||
Pfizer, Inc. | 800 | 26,872 | ||||||
|
| |||||||
960,151 | ||||||||
|
| |||||||
3,338,959 | ||||||||
|
| |||||||
Energy — 6.1% | ||||||||
Oil & Gas — 6.1% | ||||||||
Apache Corp. | 400 | 19,172 | ||||||
Chevron Corp. | 7,820 | 815,861 | ||||||
Exxon Mobil Corp. | 3,900 | 314,847 | ||||||
Marathon Petroleum Corp. | 2,600 | 136,058 | ||||||
Rowan Cos. PLC Class A (a) | 7,000 | 71,680 |
The accompanying notes are an integral part of the financial statements.
29
Table of Contents
MML Equity Rotation Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Tesoro Corp. | 2,900 | $ | 271,440 | |||||
|
| |||||||
1,629,058 | ||||||||
|
| |||||||
Financial — 18.1% | ||||||||
Banks — 14.9% | ||||||||
Ameris Bancorp | 8,100 | 390,420 | ||||||
Bank of America Corp. | 7,000 | 169,820 | ||||||
Bank of Montreal | 1,900 | 139,536 | ||||||
Citigroup, Inc. | 17,400 | 1,163,712 | ||||||
The Goldman Sachs Group, Inc. | 1,200 | 266,280 | ||||||
JP Morgan Chase & Co. | 5,600 | 511,840 | ||||||
The PNC Financial Services Group, Inc. | 6,500 | 811,655 | ||||||
Signature Bank (a) | 1,300 | 186,589 | ||||||
State Street Corp. | 3,100 | 278,163 | ||||||
Wells Fargo & Co. | 500 | 27,705 | ||||||
|
| |||||||
3,945,720 | ||||||||
|
| |||||||
Diversified Financial Services — 0.6% | ||||||||
Legg Mason, Inc. | 2,900 | 110,664 | ||||||
Visa, Inc. Class A | 600 | 56,268 | ||||||
|
| |||||||
166,932 | ||||||||
|
| |||||||
Insurance — 1.0% | ||||||||
Aflac, Inc. | 1,800 | 139,824 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 300 | 50,811 | ||||||
Torchmark Corp. | 700 | 53,550 | ||||||
The Travelers Cos., Inc. | 200 | 25,306 | ||||||
|
| |||||||
269,491 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.1% | ||||||||
Simon Property Group, Inc. | 100 | 16,176 | ||||||
|
| |||||||
Savings & Loans — 1.5% | ||||||||
BofI Holding, Inc. (a) | 5,200 | 123,344 | ||||||
Brookline Bancorp, Inc. | 19,000 | 277,400 | ||||||
|
| |||||||
400,744 | ||||||||
|
| |||||||
4,799,063 | ||||||||
|
| |||||||
Industrial — 15.7% | ||||||||
Aerospace & Defense — 3.2% | ||||||||
Lockheed Martin Corp. | 2,560 | 710,681 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 2,500 | 144,850 | ||||||
|
| |||||||
855,531 | ||||||||
|
| |||||||
Building Materials — 0.6% | ||||||||
Owens Corning | 2,500 | 167,300 | ||||||
|
| |||||||
Electronics — 3.3% | ||||||||
Corning, Inc. | 13,600 | 408,680 | ||||||
TE Connectivity Ltd. | 5,900 | 464,212 | ||||||
|
| |||||||
872,892 | ||||||||
|
| |||||||
Engineering & Construction — 0.8% | ||||||||
Fluor Corp. | 4,600 | 210,588 | ||||||
|
|
Number of Shares | Value | |||||||
Hand & Machine Tools — 1.6% | ||||||||
Regal Beloit Corp. | 5,100 | $ | 415,905 | |||||
|
| |||||||
Machinery – Construction & Mining — 0.5% | ||||||||
BWX Technologies, Inc. | 2,800 | 136,500 | ||||||
|
| |||||||
Machinery – Diversified — 2.3% | ||||||||
Deere & Co. | 5,000 | 617,950 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.7% | ||||||||
3M Co. | 400 | 83,276 | ||||||
A.O. Smith Corp. | 1,800 | 101,394 | ||||||
|
| |||||||
184,670 | ||||||||
|
| |||||||
Packaging & Containers — 1.9% | ||||||||
Graphic Packaging Holding Co. | 8,400 | 115,752 | ||||||
Packaging Corp. of America | 3,400 | 378,726 | ||||||
|
| |||||||
494,478 | ||||||||
|
| |||||||
Shipbuilding — 0.7% | ||||||||
Huntington Ingalls Industries, Inc. | 1,000 | 186,160 | ||||||
|
| |||||||
Transportation — 0.1% | ||||||||
Union Pacific Corp. | 200 | 21,782 | ||||||
|
| |||||||
4,163,756 | ||||||||
|
| |||||||
Technology — 15.1% | ||||||||
Computers — 3.8% | ||||||||
Apple, Inc. | 1,210 | 174,264 | ||||||
Check Point Software Technologies Ltd. (a) | 1,400 | 152,712 | ||||||
Leidos Holdings, Inc. | 2,100 | 108,549 | ||||||
NCR Corp. (a) | 3,600 | 147,024 | ||||||
NetApp, Inc. | 10,300 | 412,515 | ||||||
|
| |||||||
995,064 | ||||||||
|
| |||||||
Semiconductors — 6.9% | ||||||||
Applied Materials, Inc. | 13,600 | 561,816 | ||||||
ASML Holding NV | 810 | 105,551 | ||||||
Broadcom Ltd. | 500 | 116,525 | ||||||
Lam Research Corp. | 2,900 | 410,147 | ||||||
Micron Technology, Inc. (a) | 2,900 | 86,594 | ||||||
NVIDIA Corp. | 2,000 | 289,120 | ||||||
NXP Semiconductor NV (a) | 590 | 64,575 | ||||||
Skyworks Solutions, Inc. | 2,000 | 191,900 | ||||||
|
| |||||||
1,826,228 | ||||||||
|
| |||||||
Software — 4.4% | ||||||||
Activision Blizzard, Inc. | 5,300 | 305,121 | ||||||
Cadence Design Systems, Inc. (a) | 11,300 | 378,437 | ||||||
Electronic Arts, Inc. (a) | 800 | 84,576 | ||||||
Fidelity National Information Services, Inc. | 1,000 | 85,400 | ||||||
Intuit, Inc. | 1,360 | 180,622 | ||||||
Microsoft Corp. | 900 | 62,037 |
The accompanying notes are an integral part of the financial statements.
30
Table of Contents
MML Equity Rotation Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Nuance Communications, Inc. (a) | 4,500 | $ | 78,345 | |||||
|
| |||||||
1,174,538 | ||||||||
|
| |||||||
3,995,830 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $21,038,906) | 25,801,614 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $21,038,906) | 25,801,614 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $21,038,906) | 25,801,614 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.8% | ||||||||
Repurchase Agreement — 2.8% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/17, 0.050%, due 7/03/17 (b) | $ | 741,270 | 741,270 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $741,270) | 741,270 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $21,780,176) (c) | 26,542,884 | |||||||
Other Assets/(Liabilities) — (0.2)% | (52,850 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 26,490,034 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Maturity value of $741,273. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity date of 4/30/19, and an aggregate market value, including accrued interest, of $760,518. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
31
Table of Contents
MML High Yield Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 0.7% | ||||||||
PREFERRED STOCK — 0.7% | ||||||||
Consumer, Non-cyclical — 0.7% | ||||||||
Agriculture — 0.7% | ||||||||
Pinnacle Agriculture Holdings LLC (a) | 1,120,359 | $ | 963,509 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $733,962) | 963,509 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $733,962) | 963,509 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 98.3% | ||||||||
BANK LOANS — 5.8% | ||||||||
Coal — 0.5% | ||||||||
Murray Energy Corp., Term Loan B2 8.546% 4/16/20 | $ | 748,013 | 729,312 | |||||
|
| |||||||
Diversified Financial Services — 0.4% | ||||||||
CD&R Plumb Buyer LLC, Bridge Term Loan (b) | 589,182 | 589,182 | ||||||
|
| |||||||
Foods — 0.3% | ||||||||
Del Monte Foods, Inc., 1st Lien Term Loan | 447,227 | 358,900 | ||||||
|
| |||||||
Oil & Gas — 3.5% | ||||||||
Caelus Energy Alaska O3 LLC, 2nd Lien Term Loan | 3,139,220 | 2,694,487 | ||||||
Fieldwood Energy LLC, 1st Lien Last Out Term Loan | 387,384 | 305,065 | ||||||
Fieldwood Energy LLC, 2nd Lien Term Loan | 863,087 | 476,855 | ||||||
Fieldwood Energy LLC, New 1st Lien Term Loan | 674,554 | 629,022 | ||||||
Gulf Finance LLC, Term Loan B | 523,337 | 486,049 | ||||||
|
| |||||||
4,591,478 | ||||||||
|
| |||||||
Software — 1.1% | ||||||||
Almonde, Inc., USD 2nd Lien Term Loan | 1,411,101 | 1,435,286 | ||||||
|
| |||||||
TOTAL BANK LOANS (Cost $8,085,235) | 7,704,158 | |||||||
|
|
Principal Amount | Value | |||||||
CORPORATE DEBT — 92.5% | ||||||||
Aerospace & Defense — 1.3% | ||||||||
Accudyne Industries Borrower/Accudyne Industries LLC (c) | $ | 429,000 | $ | 429,000 | ||||
TransDigm, Inc. | 1,219,000 | 1,237,285 | ||||||
|
| |||||||
1,666,285 | ||||||||
|
| |||||||
Agriculture — 1.2% | ||||||||
Pinnacle Operating Corp. (c) | 1,667,522 | 1,584,146 | ||||||
|
| |||||||
Airlines — 1.1% | ||||||||
American Airlines Group, Inc. (c) | 1,391,000 | 1,464,862 | ||||||
|
| |||||||
Apparel — 1.5% | ||||||||
Hanesbrands, Inc. (c) | 266,000 | 269,990 | ||||||
Hanesbrands, Inc. (c) | 1,026,000 | 1,041,390 | ||||||
Perry Ellis International, Inc. | 730,000 | 730,000 | ||||||
|
| |||||||
2,041,380 | ||||||||
|
| |||||||
Auto Manufacturers — 2.4% | ||||||||
JB Poindexter & Co., Inc. (c) | 2,990,000 | 3,135,762 | ||||||
|
| |||||||
Auto Parts & Equipment — 3.5% | ||||||||
Allison Transmission, Inc. (c) | 294,000 | 301,350 | ||||||
Deck Chassis Acquisition, Inc. (c) | 2,013,000 | 2,234,430 | ||||||
International Automotive Components Group SA (c) | 2,100,000 | 2,052,750 | ||||||
|
| |||||||
4,588,530 | ||||||||
|
| |||||||
Chemicals — 3.8% | ||||||||
A Schulman, Inc. STEP | 1,112,000 | 1,175,940 | ||||||
The Chemours Co. | 222,000 | 229,191 | ||||||
The Chemours Co. | 409,000 | 445,810 | ||||||
Consolidated Energy Finance SA (c) | 761,000 | 776,220 | ||||||
Consolidated Energy Finance SA (c) | 655,000 | 674,650 | ||||||
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA (c) | 1,225,000 | 1,270,937 |
The accompanying notes are an integral part of the financial statements.
32
Table of Contents
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Platform Specialty Products Corp. (c) | $ | 423,000 | $ | 436,748 | ||||
|
| |||||||
5,009,496 | ||||||||
|
| |||||||
Coal — 1.1% | ||||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. (c) | 302,000 | 317,478 | ||||||
Peabody Energy Corp. (c) | 153,000 | 150,705 | ||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. (c) | 1,013,000 | 1,000,337 | ||||||
|
| |||||||
1,468,520 | ||||||||
|
| |||||||
Commercial Services — 5.0% | ||||||||
Booz Allen Hamilton, Inc. (c) | 159,000 | 156,218 | ||||||
Cardtronics, Inc./Cardtronics USA, Inc. (c) | 578,000 | 595,340 | ||||||
CSVC Acquisition Corp. (c) | 1,131,000 | 1,155,034 | ||||||
The Hertz Corp. (c) | 1,500,000 | 1,496,400 | ||||||
KAR Auction Services, Inc. (c) | 654,000 | 666,262 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. (c) | 1,121,000 | 1,218,146 | ||||||
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary | 1,385,000 | 1,374,612 | ||||||
|
| |||||||
6,662,012 | ||||||||
|
| |||||||
Computers — 1.2% | ||||||||
Dell International LLC/EMC Corp. (c) | 569,000 | 625,477 | ||||||
Western Digital Corp. | 812,000 | 957,900 | ||||||
|
| |||||||
1,583,377 | ||||||||
|
| |||||||
Diversified Financial Services — 5.1% | ||||||||
Aircastle Ltd. | 857,000 | 873,604 | ||||||
Aircastle Ltd. | 113,000 | 120,628 | ||||||
Aircastle Ltd. | 113,000 | 123,170 | ||||||
Ally Financial, Inc. | 1,230,000 | 1,506,750 | ||||||
LPL Holdings, Inc. (c) | 1,364,000 | 1,418,560 |
Principal Amount | Value | |||||||
NFP Corp. (c) | $ | 657,000 | $ | 689,390 | ||||
Orchestra Borrower LLC/Orchestra Co.-Issuer, Inc. (c) | 1,269,000 | 1,307,578 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. (c) | 704,000 | 719,840 | ||||||
|
| |||||||
6,759,520 | ||||||||
|
| |||||||
Electric — 0.5% | ||||||||
NRG Energy, Inc. | 702,000 | 702,878 | ||||||
|
| |||||||
Engineering & Construction — 0.8% | ||||||||
Zachry Holdings, Inc. (c) | 1,090,000 | 1,122,700 | ||||||
|
| |||||||
Entertainment — 1.2% | ||||||||
AMC Entertainment Holdings, Inc. (c) | 513,000 | 541,374 | ||||||
WMG Acquisition Corp. (c) | 262,000 | 268,550 | ||||||
WMG Acquisition Corp. (c) | 700,000 | 735,875 | ||||||
|
| |||||||
1,545,799 | ||||||||
|
| |||||||
Foods — 1.6% | ||||||||
C&S Group Enterprises LLC (c) | 143,000 | 140,855 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. (c) | 646,000 | 605,625 | ||||||
KeHE Distributors LLC/KeHE Finance Corp. (c) | 650,000 | 651,625 | ||||||
Post Holdings, Inc. (c) | 309,000 | 318,656 | ||||||
Post Holdings, Inc. (c) | 382,000 | 392,505 | ||||||
|
| |||||||
2,109,266 | ||||||||
|
| |||||||
Forest Products & Paper — 0.8% | ||||||||
Appvion, Inc. (c) | 2,157,000 | 1,121,640 | ||||||
|
| |||||||
Gas — 0.9% | ||||||||
LBC Tank Terminals Holding Netherlands BV (c) | 1,111,000 | 1,152,663 | ||||||
|
| |||||||
Health Care – Products — 2.8% | ||||||||
Alere, Inc. | 1,485,000 | 1,507,275 | ||||||
Halyard Health, Inc. | 1,300,000 | 1,355,250 |
The accompanying notes are an integral part of the financial statements.
33
Table of Contents
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (c) | $ | 52,000 | $ | 45,500 | ||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (c) | 224,000 | 204,400 | ||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA (c) | 702,000 | 670,410 | ||||||
|
| |||||||
3,782,835 | ||||||||
|
| |||||||
Health Care – Services — 5.3% | ||||||||
CHS/Community Health Systems, Inc. | 567,000 | 585,342 | ||||||
CHS/Community Health Systems, Inc. | 888,000 | 775,890 | ||||||
Eagle Holding Co. II LLC (c) | 203,000 | 208,836 | ||||||
HCA, Inc. | 1,138,000 | 1,229,040 | ||||||
RegionalCare Hospital Partners Holdings, Inc. (c) | 176,000 | 188,760 | ||||||
Tenet Healthcare Corp. (c) | 666,000 | 666,833 | ||||||
Tenet Healthcare Corp. | 608,000 | 615,600 | ||||||
Tenet Healthcare Corp. | 340,000 | 360,825 | ||||||
THC Escrow Corp. III (c) | 834,000 | 836,252 | ||||||
THC Escrow Corp. III (c) | 1,500,000 | 1,505,625 | ||||||
|
| |||||||
6,973,003 | ||||||||
|
| |||||||
Home Builders — 1.2% | ||||||||
Brookfield Residential Properties, Inc. (c) | 491,000 | 508,185 | ||||||
Lennar Corp. | 1,101,000 | 1,150,545 | ||||||
|
| |||||||
1,658,730 | ||||||||
|
| |||||||
Insurance — 1.4% | ||||||||
USIS Merger Sub, Inc. (c) | 677,000 | 688,847 | ||||||
York Risk Services Holding Corp. (c) | 1,212,000 | 1,166,550 | ||||||
|
| |||||||
1,855,397 | ||||||||
|
| |||||||
Internet — 1.1% | ||||||||
Symantec Corp. (c) | 766,000 | 801,665 | ||||||
TIBCO Software, Inc. (c) | 551,000 | 607,477 | ||||||
|
| |||||||
1,409,142 | ||||||||
|
|
Principal Amount | Value | |||||||
Iron & Steel — 0.9% | ||||||||
Allegheny Technologies, Inc. | $ | 1,192,000 | $ | 1,194,980 | ||||
|
| |||||||
Leisure Time — 3.2% | ||||||||
Brunswick Corp. | 285,000 | 331,538 | ||||||
Brunswick Corp. | 2,245,000 | 2,608,986 | ||||||
Carlson Travel, Inc. (c) | 396,000 | 402,930 | ||||||
Carlson Travel, Inc. (c) | 862,000 | 882,473 | ||||||
|
| |||||||
4,225,927 | ||||||||
|
| |||||||
Lodging — 0.4% | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. (c) | 492,000 | 503,993 | ||||||
|
| |||||||
Media — 7.6% | ||||||||
Altice Financing SA (c) | 600,000 | 636,564 | ||||||
Altice Finco SA (c) | 615,000 | 668,812 | ||||||
Altice Luxembourg SA (c) | 1,000,000 | 1,096,250 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (c) | 1,500,000 | 1,601,250 | ||||||
Clear Channel Worldwide Holdings, Inc. | 894,000 | 889,530 | ||||||
DISH DBS Corp. | 987,000 | 1,169,595 | ||||||
Midcontinent Communications/Midcontinent Finance Corp. (c) | 864,000 | 930,960 | ||||||
SFR Group SA (c) | 476,000 | 498,015 | ||||||
SFR Group SA (c) | 260,000 | 274,625 | ||||||
SFR Group SA (c) | 600,000 | 651,000 | ||||||
Sirius XM Radio, Inc. (c) | 1,457,000 | 1,506,174 | ||||||
Sirius XM Radio, Inc. (c) | 167,000 | 172,845 | ||||||
|
| |||||||
10,095,620 | ||||||||
|
| |||||||
Mining — 3.2% | ||||||||
First Quantum Minerals Ltd. (c) | 659,000 | 644,173 | ||||||
First Quantum Minerals Ltd. (c) | 652,000 | 637,330 |
The accompanying notes are an integral part of the financial statements.
34
Table of Contents
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Hecla Mining Co. | $ | 1,271,000 | $ | 1,318,662 | ||||
Kinross Gold Corp. (c) | 640,000 | 638,400 | ||||||
Kinross Gold Corp. | 441,000 | 487,168 | ||||||
Kinross Gold Corp. | 476,000 | 508,130 | ||||||
|
| |||||||
4,233,863 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.2% | ||||||||
Amsted Industries, Inc. (c) | 850,000 | 879,750 | ||||||
CTP Transportation Products LLC/CTP Finance, Inc. (c) | 825,000 | 768,281 | ||||||
EnPro Industries, Inc. | 1,271,000 | 1,325,018 | ||||||
|
| |||||||
2,973,049 | ||||||||
|
| |||||||
Oil & Gas — 7.9% | ||||||||
Chesapeake Energy Corp. (c) | 898,000 | 889,020 | ||||||
Chesapeake Energy Corp. (c) | 300,000 | 294,750 | ||||||
Citgo Holding, Inc. (c) | 1,677,000 | 1,821,641 | ||||||
Covey Park Energy LLC/Covey Park Finance Corp. (c) | 92,000 | 92,000 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. (c) | 1,081,000 | 805,345 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. | 356,000 | 280,795 | ||||||
Jupiter Resources, Inc. (c) | 2,310,000 | 1,732,500 | ||||||
Kosmos Energy Ltd. (c) | 1,823,000 | 1,859,460 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. STEP | 47,000 | 46,295 | ||||||
Rowan Cos., Inc. | 244,000 | 227,530 | ||||||
Sunoco LP/Sunoco Finance Corp. | 1,200,000 | 1,254,000 | ||||||
Transocean, Inc. | 198,000 | 144,540 | ||||||
Transocean, Inc. STEP | 150,000 | 133,500 | ||||||
Tullow Oil PLC (c) | 1,045,000 | 952,256 | ||||||
|
| |||||||
10,533,632 | ||||||||
|
|
Principal Amount | Value | |||||||
Oil & Gas Services — 0.8% | ||||||||
Welltec A/S (c) | $ | 1,095,000 | $ | 1,062,150 | ||||
|
| |||||||
Packaging & Containers — 2.0% | ||||||||
Coveris Holdings SA (c) | 2,641,000 | 2,601,385 | ||||||
|
| |||||||
Pharmaceuticals — 2.2% | ||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. STEP (c) | 681,000 | 555,015 | ||||||
Valeant Pharmaceuticals International, Inc. (c) | 452,000 | 383,630 | ||||||
Valeant Pharmaceuticals International, Inc. (c) | 193,000 | 165,498 | ||||||
Valeant Pharmaceuticals International, Inc. (c) | 1,643,000 | 1,390,389 | ||||||
Valeant Pharmaceuticals International, Inc. (c) | 171,000 | 179,336 | ||||||
Valeant Pharmaceuticals International, Inc. (c) | 290,000 | 304,862 | ||||||
|
| |||||||
2,978,730 | ||||||||
|
| |||||||
Pipelines — 1.1% | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 1,171,000 | 1,147,580 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 270,000 | 270,675 | ||||||
|
| |||||||
1,418,255 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.6% | ||||||||
RHP Hotel Properties LP/RHP Finance Corp. | 789,000 | 806,753 | ||||||
|
| |||||||
Retail — 2.2% | ||||||||
Ferrellgas LP/Ferrellgas Finance Corp. | 500,000 | 470,000 | ||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. | 742,000 | 701,190 | ||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. (c) | 449,000 | 424,305 | ||||||
Penske Automotive Group, Inc. | 1,300,000 | 1,293,500 | ||||||
|
| |||||||
2,888,995 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
35
Table of Contents
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Software — 0.9% | ||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. (c) | $ | 545,000 | $ | 555,900 | ||||
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc. (c) | 462,000 | 475,860 | ||||||
RP Crown Parent LLC (c) | 191,000 | 198,640 | ||||||
|
| |||||||
1,230,400 | ||||||||
|
| |||||||
Telecommunications — 7.9% | ||||||||
Digicel Group Ltd. (c) | 300,000 | 280,470 | ||||||
Digicel Ltd. (c) | 1,025,000 | 982,719 | ||||||
GCI, Inc. | 1,550,000 | 1,675,938 | ||||||
GTT Communications, Inc. (c) | 644,000 | 689,080 | ||||||
Hughes Satellite Systems Corp. | 805,000 | 841,225 | ||||||
Hughes Satellite Systems Corp. | 272,000 | 292,400 | ||||||
Sprint Corp. | 745,000 | 827,881 | ||||||
Sprint Corp. | 1,578,000 | 1,814,700 | ||||||
T-Mobile USA, Inc. | 453,000 | 484,710 | ||||||
T-Mobile USA, Inc. | 679,000 | 749,446 | ||||||
Telecom Italia SpA (c) | 512,000 | 549,120 | ||||||
West Corp. (c) | 1,270,000 | 1,282,700 | ||||||
|
| |||||||
10,470,389 | ||||||||
|
| |||||||
Transportation — 4.6% | ||||||||
The Kenan Advantage Group, Inc. (c) | 3,200,000 | 3,360,000 | ||||||
Topaz Marine SA (c) | 1,509,000 | 1,498,648 | ||||||
Watco Cos. LLC/Watco Finance Corp. (c) | 1,263,000 | 1,316,678 | ||||||
|
| |||||||
6,175,326 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $120,764,471) | 122,791,390 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $128,849,706) | 130,495,548 | |||||||
|
|
Principal Amount | Value | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $129,583,668) | $ | 131,459,057 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||||
Time Deposit — 0.4% | ||||||||
Euro Time Deposit | $ | 544,766 | 544,766 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $544,766) | 544,766 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.4% (Cost $130,128,434) (d) | 132,003,823 | |||||||
Other Assets/(Liabilities) — 0.6% | 838,334 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 132,842,157 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
STEP | Step Up Bond |
(a) | Non-income producing security. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At June 30, 2017, these securities amounted to a value of $589,182 or 0.44% of net assets. |
(c) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $82,437,590 or 62.06% of net assets. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 77.0 | % | ||
Luxembourg | 8.0 | % | ||
Canada | 6.7 | % | ||
Bermuda | 3.2 | % | ||
France | 1.1 | % | ||
Netherlands | 0.9 | % | ||
Denmark | 0.8 | % | ||
United Kingdom | 0.7 | % | ||
Italy | 0.4 | % | ||
Cayman Islands | 0.2 | % | ||
|
| |||
Total Long-Term Investments | 99.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
36
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES — 127.0% | ||||||||
CORPORATE DEBT — 4.0% | ||||||||
Auto Manufacturers — 1.8% | ||||||||
Daimler Finance North America LLC 3 mo. USD LIBOR + .340%, FRN (a) | $ | 6,000,000 | $ | 6,000,810 | ||||
General Motors Financial Co., Inc. 3 mo. USD LIBOR + 2.060%, FRN | 1,720,000 | 1,753,550 | ||||||
|
| |||||||
7,754,360 | ||||||||
|
| |||||||
Banks — 0.7% | ||||||||
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + .800%, FRN 2.046% 12/15/17 | 1,750,000 | 1,754,428 | ||||||
MUFG Americas Holdings Corp. 3 mo. USD LIBOR + .570%, FRN 1.750% 2/09/18 | 1,130,000 | 1,130,364 | ||||||
|
| |||||||
2,884,792 | ||||||||
|
| |||||||
Computers — 0.7% | ||||||||
Dell International LLC/ EMC Corp. (a) | 1,100,000 | 1,125,714 | ||||||
Hewlett Packard Enterprise Co. 3 mo. USD LIBOR + 1.930%, FRN 3.229% 10/05/18 | 1,700,000 | 1,732,376 | ||||||
|
| |||||||
2,858,090 | ||||||||
|
| |||||||
Diversified Financial Services — 0.4% | ||||||||
Ally Financial, Inc. | 1,705,000 | 1,724,181 | ||||||
|
| |||||||
Pharmaceuticals — 0.4% | ||||||||
Allergan Funding SCS 3 mo. USD LIBOR + 1.080%, FRN | 1,750,000 | 1,759,396 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $12,027,269) | 16,980,819 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.1% | ||||||||
Louisiana State Public Facilities Authority, Series 2011-A, Class A2, FRN | 184,212 | 183,911 | ||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $184,212) | 183,911 | |||||||
|
|
Principal Amount | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 31.2% | ||||||||
Auto Floor Plan ABS — 0.5% |
| |||||||
Ally Master Owner Trust, Series 2015-2, Class A1, 1 mo. LIBOR + .570%, FRN | $ | 1,200,000 | $ | 1,205,328 | ||||
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Class A, 1 mo. LIBOR + 1.350%, FRN (a) | 780,000 | 784,144 | ||||||
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (a) | 330,000 | 329,999 | ||||||
|
| |||||||
2,319,471 | ||||||||
|
| |||||||
Automobile ABS — 7.6% | ||||||||
American Credit Acceptance Receivables Trust, Series 2015-3, Class A (a) | 57,428 | 57,427 | ||||||
American Credit Acceptance Receivables Trust, Series 2016-2, Class A (a) | 144,530 | 144,535 | ||||||
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) | 80,286 | 80,321 | ||||||
American Credit Acceptance Receivables Trust, Series 2017-1, Class B (a) | 950,000 | 949,784 | ||||||
Bank of The West Auto Trust, Series 2014-1, Class A4 (a) | 600,000 | 600,356 | ||||||
California Republic Auto Receivables Trust, Series 2013-2, Class A2 | 38,446 | 38,429 | ||||||
CFC LLC, Series 2015-1A, Class A (a) | 194,743 | 194,586 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 62,347 | 62,303 | ||||||
Chesapeake Funding II LLC, Series 2016-2A, Class A2, 1 mo. USD LIBOR + 1.000%, FRN (a) | 1,886,380 | 1,895,255 | ||||||
CPS Auto Trust, Series 2013-A, Class A (a) | 151,674 | 151,620 | ||||||
CPS Auto Trust, Series 2014-D, Class A (a) | 191,126 | 191,121 |
The accompanying notes are an integral part of the financial statements.
37
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CPS Auto Trust, Series 2015-A, Class A (a) | $ | 108,715 | $ | 108,702 | ||||
CPS Auto Trust, Series 2016-C, Class A (a) | 213,333 | 213,016 | ||||||
CPS Auto Trust, Series 2015-B, Class A (a) | 279,857 | 279,772 | ||||||
CPS Auto Trust, Series 2015-C, Class A (a) | 135,202 | 135,237 | ||||||
CPS Auto Trust, Series 2013-B, Class A (a) | 200,019 | 199,990 | ||||||
CPS Auto Trust, Series 2016-A, Class A (a) | 233,272 | 233,732 | ||||||
CPS Auto Trust, Series 2015-C, Class B (a) | 630,000 | 630,794 | ||||||
CPS Auto Trust, Series 2014-C, Class A (a) | 25,434 | 25,433 | ||||||
CPS Auto Trust, Series 2016-B, Class A (a) | 129,643 | 129,761 | ||||||
CPS Auto Trust, Series 2017-A, Class B (a) | 2,000,000 | 2,009,706 | ||||||
Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A (a) | 112,756 | 112,763 | ||||||
Drive Auto Receivables Trust, Series 2016-BA, Class A3 (a) | 277,234 | 277,264 | ||||||
Drive Auto Receivables Trust, | 360,000 | 361,179 | ||||||
Drive Auto Receivables Trust, | 650,000 | 649,176 | ||||||
DT Auto Owner Trust, Series 2016-2A, Class A (a) | 195,899 | 195,834 | ||||||
DT Auto Owner Trust, Series 2016-3A, Class A (a) | 175,729 | 175,791 | ||||||
DT Auto Owner Trust, Series 2016-1A, Class B (a) | 2,147,424 | 2,152,118 | ||||||
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) | 729,996 | 729,989 |
Principal Amount | Value | |||||||
Exeter Automobile Receivables Trust, | $ | 40,660 | $ | 40,655 | ||||
Exeter Automobile Receivables Trust, | 231,418 | 231,465 | ||||||
Exeter Automobile Receivables Trust, | 420,000 | 419,036 | ||||||
Exeter Automobile Receivables Trust, | 700,000 | 702,413 | ||||||
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) | 225,342 | 225,343 | ||||||
First Investors Auto Owner Trust, | 500,082 | 500,243 | ||||||
Flagship Credit Auto Trust, Series 2014-2, Class A (a) | 40,005 | 39,977 | ||||||
Flagship Credit Auto Trust, Series 2016-3, Class A1 (a) | 632,495 | 631,390 | ||||||
Flagship Credit Auto Trust, Series 2015-1, Class A (a) | 182,744 | 182,226 | ||||||
Flagship Credit Auto Trust, Series 2015-2, Class A (a) | 499,751 | 500,494 | ||||||
Flagship Credit Auto Trust, Series 2015-3, Class A (a) | 814,337 | 815,404 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class C (a) | 680,000 | 673,250 | ||||||
Flagship Credit Auto Trust, Series 2016-1, Class A (a) | 527,588 | 531,548 | ||||||
Flagship Credit Auto Trust, Series 2017-1, Class B (a) | 1,320,000 | 1,320,455 | ||||||
Flagship Credit Auto Trust, Series 2013-2, Class B (a) | 154,034 | 154,213 | ||||||
GLS Auto Receivables Trust, | 240,502 | 240,194 | ||||||
Hertz Fleet Lease Funding LP, | 1,416,401 | 1,420,561 |
The accompanying notes are an integral part of the financial statements.
38
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) | $ | 960,000 | $ | 970,143 | ||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) | 750,000 | 744,367 | ||||||
Oscar US Funding Trust IV, | 335,228 | 336,083 | ||||||
Oscar US Funding Trust VI, | 1,364,675 | 1,363,499 | ||||||
Oscar US Funding Trust VI, | 500,000 | 502,532 | ||||||
Oscar US Funding Trust VI, | 420,000 | 423,336 | ||||||
Prestige Auto Receivables Trust, | 700,000 | 700,929 | ||||||
Santander Drive Auto Receivables Trust, Series 2016-1, Class A2B, 1 mo. USD LIBOR + .780%, FRN | 245,197 | 245,286 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-2, Class C | 2,157,915 | 2,161,644 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-1, Class C | 298,886 | 299,336 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-2, Class C | 1,200,000 | 1,207,791 | ||||||
Tidewater Auto Receivables Trust, | 361,729 | 361,528 | ||||||
Westlake Automobile Receivables Trust, Series 2016-2A, Class A2 (a) | 454,874 | 454,821 | ||||||
Westlake Automobile Receivables Trust, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.050%, FRN (a) | 847,141 | 847,440 | ||||||
|
| |||||||
32,233,596 | ||||||||
|
| |||||||
Commercial MBS — 0.2% | ||||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN | 417,890 | 418,864 |
Principal Amount | Value | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class AM, VRN | $ | 19,996 | $ | 19,992 | ||||
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN | 252,845 | 252,920 | ||||||
|
| |||||||
691,776 | ||||||||
|
| |||||||
Home Equity ABS — 0.0% | ||||||||
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN | 169,986 | 170,587 | ||||||
|
| |||||||
Other ABS — 12.8% | ||||||||
321 Henderson Receivables I LLC, | 751,798 | 731,960 | ||||||
321 Henderson Receivables I LLC, | 2,029,600 | 1,977,996 | ||||||
321 Henderson Receivables I LLC, | 469,172 | 457,533 | ||||||
321 Henderson Receivables I LLC, | 806,972 | 771,712 | ||||||
321 Henderson Receivables II LLC, Series 2006-3A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 219,430 | 207,089 | ||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) | 630,981 | 624,671 | ||||||
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | 861,144 | 838,021 | ||||||
AVANT Loans Funding Trust, Series 2016-C, Class A (a) | 32,032 | 32,043 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (a) | 7,707 | 7,707 | ||||||
BCC Funding X LLC, Series 2015-1, Class A2 (a) | 357,904 | 357,535 |
The accompanying notes are an integral part of the financial statements.
39
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) | $ | 625,625 | $ | 623,315 | ||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) | 1,055,293 | 1,061,298 | ||||||
Cazenovia Creek Funding I LLC, | 685,724 | 681,439 | ||||||
Citi Held For Asset Issuance, | 7,309 | 7,308 | ||||||
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates, | 384,074 | 384,846 | ||||||
Consumer Installment Loan Trust, | 275,560 | 277,521 | ||||||
Countrywide Asset-Backed Certificates, | 83,564 | 83,469 | ||||||
DB Master Finance LLC, Series 2015-1A, Class A2I (a) | 957,950 | 962,248 | ||||||
Diamond Resorts Owner Trust, | 441,359 | 438,666 | ||||||
Diamond Resorts Owner Trust, | 718,624 | 714,830 | ||||||
Diamond Resorts Owner Trust, | 116,648 | 115,893 | ||||||
Diamond Resorts Owner Trust, | 223,448 | 223,462 | ||||||
Domino’s Pizza Master Issuer LLC, | 1,017,170 | 1,013,867 | ||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) | 283,333 | 281,411 | ||||||
Drug Royalty Corp., Inc., | 393,481 | 395,791 | ||||||
Elara HGV Timeshare Issuer LLC, | 292,089 | 288,052 |
Principal Amount | Value | |||||||
Element Rail Leasing II LLC, | $ | 444,527 | $ | 449,452 | ||||
First Franklin Mortgage Loan Trust, | 27,133 | 27,123 | ||||||
FNA Trust, Series 2015-1, Class A (a) | 323,139 | 321,483 | ||||||
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) | 59,821 | 59,677 | ||||||
Hilton Grand Vacations Trust, | 181,371 | 178,012 | ||||||
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 1,500,000 | 1,498,428 | ||||||
LCM XXIII Ltd., Series 23A, Class X, 3 mo. USD LIBOR + 1.200%, FRN (a) | 1,160,000 | 1,159,994 | ||||||
Leaf Receivables Funding LLC, | 4,311,452 | 4,311,518 | ||||||
Long Beach Mortgage Loan Trust, | 232,164 | 230,526 | ||||||
Mariner Finance Issuance Trust, | 770,000 | 774,972 | ||||||
Marlette Funding Trust, Series 2017-2A, Class A (a) | 1,140,000 | 1,139,998 | ||||||
Marlette Funding Trust, Series 2017-1A, Class A (a) | 1,492,416 | 1,497,588 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (a) | 651,121 | 650,037 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (a) | 677,326 | 674,355 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN | 204,129 | 205,116 | ||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) | 36,890 | 36,868 | ||||||
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) | 481,944 | 483,913 |
The accompanying notes are an integral part of the financial statements.
40
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Navitas Equipment Receivables LLC, | $ | 269,618 | $ | 269,412 | ||||
New Residential Advance Receivables Trust, Series 2016-T1, Class AT1 (a) | 250,000 | 249,570 | ||||||
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (a) | 3,800,000 | 3,775,344 | ||||||
NYCTL Trust, Series 2016-A, Class A (a) | 2,283,585 | 2,269,279 | ||||||
OHA Credit Partners XIII Ltd., | 1,170,000 | 1,169,960 | ||||||
OneMain Financial Issuance Trust, | 35,791 | 35,806 | ||||||
Orange Lake Timeshare Trust, | 568,905 | 567,073 | ||||||
Oxford Finance Funding Trust, | 162,680 | 162,311 | ||||||
Oxford Finance Funding Trust, | 500,000 | 496,044 | ||||||
PFS Financing Corp., Series 2014-BA, Class A, 1 mo. LIBOR + .600%, FRN (a) | 1,100,000 | 1,101,066 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (a) | 131,214 | 130,888 | ||||||
Sierra Receivables Funding Co. LLC, | 342,118 | 341,558 | ||||||
Sierra Receivables Funding Co. LLC, | 297,309 | 296,813 | ||||||
Sierra Receivables Funding Co. LLC, | 366,384 | 364,791 | ||||||
Sierra Receivables Funding Co. LLC, | 79,513 | 79,854 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A (a) | 101,875 | 101,704 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class B (a) | 150,072 | 147,826 |
Principal Amount | Value | |||||||
SoFi Consumer Loan Program LLC, | $ | 655,508 | $ | 660,542 | ||||
SoFi Consumer Loan Program LLC, | 3,246,984 | 3,280,996 | ||||||
SoFi Consumer Loan Program LLC, | 991,142 | 1,000,011 | ||||||
SoFi Consumer Loan Program LLC, | 1,409,815 | 1,428,155 | ||||||
SoFi Consumer Loan Program LLC, | 1,308,568 | 1,303,633 | ||||||
SpringCastle America Funding LLC, | 1,274,489 | 1,281,996 | ||||||
Springleaf Funding Trust, Series 2016-AA, Class A (a) | 1,830,000 | 1,838,767 | ||||||
SVO VOI Mortgage LLC, | 695,654 | 689,179 | ||||||
Taco Bell Funding LLC, | 843,625 | 860,564 | ||||||
TAL Advantage LLC, | 270,302 | 269,735 | ||||||
Trafigura Securitisation Finance PLC, | 580,000 | 580,000 | ||||||
Trip Rail Master Funding LLC, | 381,555 | 377,430 | ||||||
Trip Rail Master Funding LLC, | 363,386 | 361,304 | ||||||
Westgate Resorts LLC, Series 2014-1A, Class A (a) | 264,497 | 262,041 | ||||||
Westgate Resorts LLC, Series 2015-1A, Class A (a) | 331,940 | 331,115 | ||||||
Westgate Resorts LLC, Series 2017-1A, Class A (a) | 830,156 | 828,788 | ||||||
Westgate Resorts LLC, Series 2015-2A, Class A (a) | 580,253 | 577,459 | ||||||
|
| |||||||
54,749,757 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
41
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Student Loans ABS — 10.0% | ||||||||
Academic Loan Funding Trust, | $ | 2,477,691 | $ | 2,465,711 | ||||
Access Group, Inc., Series 2006-1, Class A2, 3 mo. USD LIBOR + .110%, FRN | 39,100 | 39,082 | ||||||
Access Group, Inc., Series 2005-2, Class A3, 3 mo. USD LIBOR + .180%, FRN | 213,195 | 213,181 | ||||||
AccessLex Institute, Series 2004-A, Class A2, 3 mo. USD LIBOR + .260%, FRN | 60,234 | 60,155 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 163,543 | 154,643 | ||||||
Brazos Higher Education Authority, Inc., | 450,000 | 433,928 | ||||||
CIT Education Loan Trust, Series 2005-1, Class A3, 3 mo. USD LIBOR + .120%, FRN | 718,035 | 712,332 | ||||||
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN | 650,411 | 593,328 | ||||||
Commonbond Student Loan Trust, | 920,000 | 919,759 | ||||||
DRB Prime Student Loan Trust, | 147,122 | 146,385 | ||||||
DRB Prime Student Loan Trust, | 262,110 | 259,303 | ||||||
DRB Prime Student Loan Trust, | 774,154 | 774,617 | ||||||
DRB Prime Student Loan Trust, | 1,025,227 | 1,045,328 | ||||||
DRB Prime Student Loan Trust, | 1,837,533 | 1,843,964 |
Principal Amount | Value | |||||||
DRB Prime Student Loan Trust, | $ | 302,793 | $ | 301,979 | ||||
Earnest Student Loan Program LLC, | 1,224,726 | 1,224,724 | ||||||
Earnest Student Loan Program LLC, | 874,708 | 877,783 | ||||||
ECMC Group Student Loan Trust, | 2,014,883 | 2,016,679 | ||||||
ECMC Group Student Loan Trust, | 1,406,204 | 1,413,665 | ||||||
Edsouth Indenture No. 9 LLC, | 641,137 | 636,678 | ||||||
Educational Services of America, Series 2015-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 1,000,000 | 936,749 | ||||||
Goal Capital Funding Trust, | 489,821 | 485,680 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1, 1 mo. USD LIBOR + .750%, FRN | 492,034 | 489,461 | ||||||
KeyCorp Student Loan Trust, | 571,640 | 555,101 | ||||||
KeyCorp Student Loan Trust, | 970,795 | 962,618 | ||||||
National Collegiate Student Loan Trust, | 43,949 | 43,863 | ||||||
Navient Private Education Loan Trust, | 750,000 | 758,787 |
The accompanying notes are an integral part of the financial statements.
42
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Navient Private Education Loan Trust, | $ | 888,751 | $ | 900,339 | ||||
Navient Student Loan Trust, | 2,882,189 | 2,927,655 | ||||||
Navient Student Loan Trust, | 2,200,000 | 2,246,995 | ||||||
Nelnet Private Education Loan Trust, | 1,048,983 | 1,051,099 | ||||||
Nelnet Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .120%, FRN | 650,000 | 650,996 | ||||||
Nelnet Student Loan Trust, | 469,544 | 403,773 | ||||||
Nelnet Student Loan Trust, | 114,928 | 115,589 | ||||||
Nelnet Student Loan Trust, | 375,000 | 338,819 | ||||||
Pennsylvania Higher Education Assistance Agency, Series 2004-1, Class A2, 28 Day ARS, FRN 4/25/44 | 350,000 | 337,807 | ||||||
SLC Private Student Loan Trust, | 1,592,920 | 1,592,918 | ||||||
SLM Private Education Loan Trust, | 65,301 | 65,296 | ||||||
SLM Private Education Loan Trust, | 440,000 | 457,881 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A11, 28 Day ARS, FRN 3/15/28 | 240,000 | 240,000 | ||||||
SLM Student Loan Trust, Series 2003-2, Class A7, 28 Day ARS, FRN 9/15/28 | 750,000 | 750,000 |
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2003-5, Class A9, 28 Day ARS, FRN | $ | 700,000 | $ | 700,000 | ||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 Day ARS, FRN | 550,000 | 550,000 | ||||||
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN | 600,000 | 563,373 | ||||||
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN | 700,000 | 691,930 | ||||||
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN | 504,182 | 467,367 | ||||||
SLM Student Loan Trust, Series 2006-2, Class B, 3 mo. USD LIBOR + .220%, FRN | 518,307 | 471,676 | ||||||
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN | 400,000 | 394,664 | ||||||
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN | 519,419 | 469,360 | ||||||
SLM Student Loan Trust, Series 2003-12, Class A5, 3 mo. USD LIBOR + .280%, FRN (a) | 171,643 | 171,737 | ||||||
SLM Student Loan Trust, Series 2004-3, Class B, 3 mo. USD LIBOR + .470%, FRN | 394,170 | 344,117 | ||||||
SLM Student Loan Trust, Series 2003-11, Class B, 3 mo. USD LIBOR + .650%, FRN | 581,481 | 524,208 | ||||||
SLM Student Loan Trust, | 307,041 | 308,527 | ||||||
SMB Private Education Loan Trust, | 696,158 | 696,890 | ||||||
SMB Private Education Loan Trust, | 380,000 | 386,318 |
The accompanying notes are an integral part of the financial statements.
43
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SoFi Professional Loan Program LLC, | $ | 1,006,387 | $ | 1,003,882 | ||||
SoFi Professional Loan Program LLC, | 1,275,104 | 1,274,770 | ||||||
SoFi Professional Loan Program LLC, | 289,274 | 291,608 | ||||||
SoFi Professional Loan Program LLC, | 883,473 | 908,845 | ||||||
|
| |||||||
42,663,922 | ||||||||
|
| |||||||
WL Collateral CMO — 0.1% | ||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-CF1, Class M1, 1 mo. USD LIBOR + .700%, FRN (a) | 227,134 | 224,113 | ||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $132,469,113) | 133,053,222 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.8% | ||||||||
Pass-Through Securities — 0.2% | ||||||||
Federal Home Loan Mortgage Corp. | 682,756 | 720,323 | ||||||
Government National Mortgage Association II | 185,517 | 190,592 | ||||||
|
| |||||||
910,915 | ||||||||
|
| |||||||
Whole Loans — 0.6% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M1 1 mo. USD LIBOR + .900%, FRN | 190,567 | 190,810 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C06, Class 1M1 1 mo. USD LIBOR + 1.300%, FRN | 865,651 | 876,704 |
Principal Amount | Value | |||||||
Series 2016-C05, Class 2M1 1 mo. USD LIBOR + 1.350%, FRN | $ | 680,067 | $ | 685,458 | ||||
Series 2016-C04, Class 1M1 1 mo. USD LIBOR + 1.450%, FRN | 823,821 | 833,397 | ||||||
|
| |||||||
2,586,369 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $3,452,813) | 3,497,284 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 90.9% | ||||||||
U.S. Treasury Bonds & Notes — 90.9% | ||||||||
U.S. Treasury Inflation Index (b) | 18,689,461 | 18,718,224 | ||||||
U.S. Treasury Inflation Index (b) | 17,196,939 | 17,170,748 | ||||||
U.S. Treasury Inflation Index (b) | 16,484,768 | 16,460,106 | ||||||
U.S. Treasury Inflation Index (b) | 6,635,184 | 6,603,521 | ||||||
U.S. Treasury Inflation Index (b) | 16,389,382 | 16,368,469 | ||||||
U.S. Treasury Inflation Index (b) | 16,725,715 | 16,572,792 | ||||||
U.S. Treasury Inflation Index (b) | 16,598,925 | 16,304,577 | ||||||
U.S. Treasury Inflation Index (b) | 13,871,664 | 13,380,149 | ||||||
U.S. Treasury Inflation Index (b) | 16,650,676 | 16,354,960 | ||||||
U.S. Treasury Inflation Index (b) | 16,641,915 | 16,749,089 | ||||||
U.S. Treasury Inflation Index (b) | 16,238,565 | 16,116,565 | ||||||
U.S. Treasury Inflation Index (b) | 13,715,512 | 13,470,539 | ||||||
U.S. Treasury Inflation Index (b) | 14,834,914 | 15,203,591 | ||||||
U.S. Treasury Inflation Index (b) | 16,498,649 | 16,733,673 | ||||||
U.S. Treasury Inflation Index (b) | 14,920,355 | 15,014,741 | ||||||
U.S. Treasury Inflation Index (b) | 5,742,630 | 5,282,668 | ||||||
U.S. Treasury Inflation Index (b) | 7,579,760 | 7,211,664 | ||||||
U.S. Treasury Inflation Index (b) | 9,355,083 | 8,773,393 | ||||||
U.S. Treasury Inflation Index | 3,848,906 | 3,735,121 |
The accompanying notes are an integral part of the financial statements.
44
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
U.S. Treasury Inflation Index (b) | $ | 6,315,167 | $ | 6,309,502 | ||||
U.S. Treasury Inflation Index (b) (c) | 14,775,994 | 15,343,407 | ||||||
U.S. Treasury Inflation Index (b) | 11,771,760 | 12,272,001 | ||||||
U.S. Treasury Inflation Index | 7,914,620 | 8,202,981 | ||||||
U.S. Treasury Inflation Index (b) | 8,618,274 | 9,374,847 | ||||||
U.S. Treasury Inflation Index (b) | 6,418,940 | 7,154,634 | ||||||
U.S. Treasury Inflation Index | 6,298,050 | 6,564,181 | ||||||
U.S. Treasury Inflation Index (b) | 8,253,596 | 9,249,054 | ||||||
U.S. Treasury Inflation Index (b) | 3,732,993 | 4,642,738 | ||||||
U.S. Treasury Inflation Index (b) | 4,477,085 | 5,593,562 | ||||||
U.S. Treasury Inflation Index (b) | 11,031,836 | 12,567,820 | ||||||
U.S. Treasury Inflation Index (b) | 6,304,488 | 7,319,297 | ||||||
U.S. Treasury Inflation Index (b) | 6,627,816 | 7,968,497 | ||||||
U.S. Treasury Inflation Index (b) | 2,754,920 | 3,784,861 | ||||||
U.S. Treasury Inflation Index (b) | 4,535,040 | 5,924,336 | ||||||
U.S. Treasury Inflation Index (b) | 6,663,059 | 9,045,716 | ||||||
|
| |||||||
387,542,024 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $390,375,983) | 387,542,024 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $538,509,390) | 541,257,260 | |||||||
|
| |||||||
Notional Amount | ||||||||
PURCHASED OPTIONS — 0.2% | ||||||||
Financial — 0.2% | ||||||||
Diversified Financial Services — 0.2% | ||||||||
3-Month USD LIBOR BBA 30 Year Swaption, Call, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC) Underlying swap terminates 1/13/52 | 2,580,000 | 289,630 |
Notional Amount | Value | |||||||
3-Month USD LIBOR BBA 30 Year Swaption, Put, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC) Underlying swap terminates 1/13/52 | $ | 4,300,000 | $ | 536,884 | ||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $896,808) | 826,514 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $539,406,198) | 542,083,774 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 47.0% | ||||||||
Commercial Paper — 46.9% | ||||||||
Abbey National Treasury Services PLC | 5,700,000 | 5,690,721 | ||||||
Agrium, Inc. | 6,000,000 | 5,994,897 | ||||||
Ameren Corp. | 5,500,000 | 5,496,907 | ||||||
American Electric Power Co., Inc. (a) | 6,000,000 | 5,993,867 | ||||||
Amphenol Corp. (a) | 6,000,000 | 5,980,671 | ||||||
Anheuser-Busch InBev Worldwide, Inc. (a) | 5,500,000 | 5,482,528 | ||||||
BAT International Finance (a) | 6,000,000 | 5,995,143 | ||||||
Becton, Dickinson & Co. (a) | 6,000,000 | 5,998,823 | ||||||
Bell Canada (a) | 6,000,000 | 5,980,400 | ||||||
CenterPoint Energy, Inc. (a) | 2,900,000 | 2,897,160 | ||||||
Deutsche Telekom AG (a) | 6,000,000 | 5,992,090 | ||||||
Dollar General Corp. (a) | 6,000,000 | 5,995,326 | ||||||
Dominion Resources, Inc. (a) | 6,000,000 | 5,973,276 | ||||||
Duke Energy Corp. (a) | 6,000,000 | 5,997,615 | ||||||
Ford Motor Credit Co. (a) | 6,000,000 | 5,973,463 | ||||||
Hewlett Packard Enterprise Co. (a) | 4,100,000 | 4,096,562 | ||||||
Hewlett Packard Enterprise Co. (a) | 1,900,000 | 1,898,407 |
The accompanying notes are an integral part of the financial statements.
45
Table of Contents
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Hyundai Capital America (a) | $ | 6,000,000 | $ | 5,996,874 | ||||
Marriott International, Inc. (a) | 6,000,000 | 5,993,604 | ||||||
Molex Electronic Technologies (a) | 4,000,000 | 3,996,083 | ||||||
Molex Electronic Technologies (a) | 2,150,000 | 2,147,894 | ||||||
Monsanto Co. (a) | 6,500,000 | 6,491,655 | ||||||
Nasdaq, Inc. (a) | 6,000,000 | 5,979,309 | ||||||
National Grid USA (a) | 6,000,000 | 5,997,615 | ||||||
NextEra Energy Capital Holdings, Inc. (a) | 6,000,000 | 5,987,725 | ||||||
Nissan Motor Acceptance Corp. (a) | 6,500,000 | 6,485,870 | ||||||
ONEOK Partners LP (a) | 6,000,000 | 5,992,296 | ||||||
Schlumberger Holdings Corp. (a) | 4,250,000 | 4,246,995 | ||||||
Sempra Energy Holdings (a) | 6,500,000 | 6,485,316 | ||||||
Spectra Energy Partners (a) | 6,000,000 | 5,993,604 | ||||||
Suncor Energy, Inc. (a) | 6,000,000 | 5,979,332 | ||||||
TELUS Corp. (a) | 6,000,000 | 5,977,713 | ||||||
Vodafone Group PLC (a) | 6,500,000 | 6,473,362 | ||||||
Westpac Banking Corp. (a) | 6,700,000 | 6,688,774 | ||||||
WPP CP LLC (a) | 6,000,000 | 5,997,122 | ||||||
Xcel Energy, Inc. (a) | 5,500,000 | 5,469,730 | ||||||
|
| |||||||
199,818,729 | ||||||||
|
| |||||||
Repurchase Agreement — 0.1% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/17, 0.050%, due 7/03/17 (d) | 383,123 | 383,123 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $200,205,975) | 200,201,852 | |||||||
|
|
Value | ||||||||
TOTAL INVESTMENTS — 174.2% (Cost $739,612,173) (e) | $ | 742,285,626 | ||||||
Other Assets/(Liabilities) — (74.2)% | (316,106,935 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 426,178,691 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
STEP | Step Up Bond |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $301,350,724 or 70.71% of net assets. |
(b) | All or a portion of this security is held as collateral for open reverse repurchase agreements. (Note 2). |
(c) | A portion of this security is pledged/held as collateral for open futures contracts and open swaps agreements. (Note 2). |
(d) | Maturity value of $383,125. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 8/31/21, and an aggregate market value, including accrued interest, of $391,451. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
46
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES — 98.4% | ||||||||
CORPORATE DEBT — 45.8% | ||||||||
Aerospace & Defense — 1.0% | ||||||||
Harris Corp. | $ | 1,154,000 | $ | 1,165,949 | ||||
L3 Technologies, Inc. | 1,185,000 | 1,264,996 | ||||||
|
| |||||||
2,430,945 | ||||||||
|
| |||||||
Agriculture — 0.6% | ||||||||
Bunge Ltd. Finance Corp. | 330,000 | 338,319 | ||||||
Imperial Brands Finance PLC (a) | 1,087,000 | 1,105,365 | ||||||
|
| |||||||
1,443,684 | ||||||||
|
| |||||||
Airlines — 0.7% | ||||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 31,165 | 31,827 | ||||||
Delta Air Lines, Inc. | 775,000 | 795,604 | ||||||
WestJet Airlines Ltd. (a) | 695,000 | 710,250 | ||||||
|
| |||||||
1,537,681 | ||||||||
|
| |||||||
Auto Manufacturers — 1.1% | ||||||||
General Motors Co. | 205,000 | 208,599 | ||||||
General Motors Financial Co., Inc. | 110,000 | 110,294 | ||||||
General Motors Financial Co., Inc. | 190,000 | 190,019 | ||||||
General Motors Financial Co., Inc. | 520,000 | 527,106 | ||||||
General Motors Financial Co., Inc. | 185,000 | 188,499 | ||||||
Hyundai Capital America (a) | 65,000 | 64,483 | ||||||
Hyundai Capital America (a) | 140,000 | 140,525 | ||||||
Hyundai Capital America (a) | 800,000 | 805,529 | ||||||
Nissan Motor Acceptance Corp. (a) | 480,000 | 468,613 | ||||||
|
| |||||||
2,703,667 | ||||||||
|
| |||||||
Auto Parts & Equipment — 1.0% | ||||||||
The Goodyear Tire & Rubber Co. | 1,110,000 | 1,162,725 | ||||||
Lear Corp. | 1,110,000 | 1,148,449 | ||||||
|
| |||||||
2,311,174 | ||||||||
|
|
Principal Amount | Value | |||||||
Banks — 6.6% | ||||||||
ANZ New Zealand Int’l Ltd. (a) | $ | 1,290,000 | $ | 1,294,756 | ||||
Banco Santander SA | 1,200,000 | 1,228,171 | ||||||
Bancolombia SA | 345,000 | 380,915 | ||||||
Bank of America Corp. | 2,070,000 | 2,060,629 | ||||||
Capital One Financial Corp. | 365,000 | 366,581 | ||||||
Citigroup, Inc. | 1,155,000 | 1,144,512 | ||||||
Citigroup, Inc. | 35,000 | 35,211 | ||||||
First Horizon National Corp. | 1,430,000 | 1,466,667 | ||||||
The Goldman Sachs Group, Inc. | 2,360,000 | 2,385,299 | ||||||
Itau Unibanco Holding SA (a) | 270,000 | 270,675 | ||||||
JP Morgan Chase & Co. | 1,090,000 | 1,180,305 | ||||||
Macquarie Bank Ltd. (a) | 130,000 | 131,283 | ||||||
Mitsubishi UFJ Trust & Banking Corp. (a) | 1,110,000 | 1,117,063 | ||||||
Regions Bank | 130,000 | 136,093 | ||||||
Regions Financial Corp. | 1,095,000 | 1,119,539 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 585,000 | 575,146 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 150,000 | 151,657 | ||||||
SVB Financial Group | 75,000 | 81,627 | ||||||
Turkiye Garanti Bankasi AS (a) | 370,000 | 378,244 | ||||||
|
| |||||||
15,504,373 | ||||||||
|
| |||||||
Beverages — 0.9% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 710,000 | 719,519 | ||||||
Coca-Cola Femsa SAB de CV | 1,150,000 | 1,155,729 | ||||||
Molson Coors Brewing Co. | 330,000 | 324,513 | ||||||
|
| |||||||
2,199,761 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
47
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Biotechnology — 0.7% | ||||||||
Baxalta, Inc. | $ | 485,000 | $ | 485,783 | ||||
Celgene Corp. | 1,170,000 | 1,196,416 | ||||||
|
| |||||||
1,682,199 | ||||||||
|
| |||||||
Building Materials — 1.5% | ||||||||
Holcim US Finance Sarl & Cie SCS (a) | 1,160,000 | 1,255,449 | ||||||
James Hardie International Finance Ltd. (a) | 550,000 | 576,125 | ||||||
Martin Marietta Materials, Inc. 3 mo. USD LIBOR + .650%, FRN | 395,000 | 396,101 | ||||||
Masco Corp. | 620,000 | 636,721 | ||||||
Masco Corp. | 65,000 | 72,870 | ||||||
Standard Industries, Inc. (a) | 560,000 | 590,800 | ||||||
|
| |||||||
3,528,066 | ||||||||
|
| |||||||
Chemicals — 2.6% | ||||||||
Air Liquide Finance SA (a) | 200,000 | 194,704 | ||||||
Airgas, Inc. | 965,000 | 988,874 | ||||||
CF Industries, Inc. | 1,095,000 | 1,137,431 | ||||||
The Dow Chemical Co. | 125,000 | 140,005 | ||||||
Incitec Pivot Finance LLC (a) | 452,000 | 483,053 | ||||||
LyondellBasell Industries NV | 565,000 | 590,674 | ||||||
LyondellBasell Industries NV | 500,000 | 564,849 | ||||||
RPM International, Inc. | 8,000 | 8,217 | ||||||
RPM International, Inc. | 1,078,000 | 1,169,620 | ||||||
RPM International, Inc. | 76,000 | 78,203 | ||||||
The Sherwin-Williams Co. | 685,000 | 684,591 | ||||||
|
| |||||||
6,040,221 | ||||||||
|
| |||||||
Commercial Services — 0.3% | ||||||||
S&P Global, Inc. | 635,000 | 651,003 | ||||||
|
|
Principal Amount | Value | |||||||
Computers — 0.9% | ||||||||
Dell International LLC/ EMC Corp. (a) | $ | 430,000 | $ | 440,052 | ||||
Dell International LLC/EMC Corp. (a) | 475,000 | 500,753 | ||||||
DXC Technology Co. (a) | 230,000 | 232,892 | ||||||
Leidos Holdings, Inc. | 895,000 | 935,275 | ||||||
|
| |||||||
2,108,972 | ||||||||
|
| |||||||
Diversified Financial Services — 2.3% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 1,010,000 | 1,071,595 | ||||||
Air Lease Corp. | 30,000 | 30,053 | ||||||
Air Lease Corp. | 300,000 | 298,566 | ||||||
Air Lease Corp. | 365,000 | 371,789 | ||||||
Air Lease Corp. | 460,000 | 472,210 | ||||||
Ally Financial, Inc. | 440,000 | 444,950 | ||||||
Ally Financial, Inc. | 920,000 | 945,300 | ||||||
Genpact Luxembourg Sarl (a) | 945,000 | 956,885 | ||||||
International Lease Finance Corp. | 100,000 | 101,522 | ||||||
Lazard Group LLC | 665,000 | 701,583 | ||||||
|
| |||||||
5,394,453 | ||||||||
|
| |||||||
Electric — 2.6% | ||||||||
Ameren Corp. | 555,000 | 561,617 | ||||||
Duke Energy Corp. | 600,000 | 585,706 | ||||||
EDP Finance BV (a) | 1,150,000 | 1,188,812 | ||||||
EDP Finance BV (a) | 108,000 | 113,405 | ||||||
Enel Finance International NV (a) | 785,000 | 786,089 | ||||||
Entergy Texas, Inc. | 75,000 | 74,526 | ||||||
Entergy Texas, Inc. | 798,000 | 858,163 | ||||||
IPALCO Enterprises, Inc. | 490,000 | 497,963 | ||||||
Israel Electric Corp. Ltd. (a) | 350,000 | 375,337 |
The accompanying notes are an integral part of the financial statements.
48
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Majapahit Holding BV (a) | $ | 330,000 | $ | 368,775 | ||||
Puget Energy, Inc. | 202,000 | 225,802 | ||||||
The Southern Co. | 460,000 | 456,648 | ||||||
|
| |||||||
6,092,843 | ||||||||
|
| |||||||
Electronics — 0.6% | ||||||||
FLIR Systems, Inc. | 480,000 | 483,823 | ||||||
Jabil, Inc. | 90,000 | 93,600 | ||||||
Tech Data Corp. | 240,000 | 244,899 | ||||||
Tyco Electronics Group SA | 700,000 | 708,293 | ||||||
|
| |||||||
1,530,615 | ||||||||
|
| |||||||
Engineering & Construction — 0.2% | ||||||||
SBA Tower Trust (a) | 350,000 | 351,458 | ||||||
|
| |||||||
Foods — 0.9% | ||||||||
Danone SA (a) | 1,340,000 | 1,321,958 | ||||||
JBS Investments GmbH (a) | 200,000 | 189,460 | ||||||
Mondelez International Holdings Netherlands BV (a) | 595,000 | 579,719 | ||||||
Tyson Foods, Inc. | 60,000 | 60,757 | ||||||
|
| |||||||
2,151,894 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.5% | ||||||||
Stanley Black & Decker, Inc. | 345,000 | 344,155 | ||||||
Stanley Black & Decker, Inc. | 810,000 | 817,888 | ||||||
|
| |||||||
1,162,043 | ||||||||
|
| |||||||
Health Care – Products — 0.9% | ||||||||
Abbott Laboratories | 600,000 | 604,511 | ||||||
Abbott Laboratories | 675,000 | 682,540 | ||||||
Boston Scientific Corp. | 255,000 | 258,536 | ||||||
Zimmer Biomet Holdings, Inc. | 528,000 | 528,956 | ||||||
|
| |||||||
2,074,543 | ||||||||
|
| |||||||
Health Care – Services — 1.2% | ||||||||
Cigna Corp. | 316,000 | 334,020 |
Principal Amount | Value | |||||||
Cigna Corp. | $ | 790,000 | $ | 842,930 | ||||
HCA, Inc. | 1,130,000 | 1,152,600 | ||||||
Laboratory Corp. of America Holdings | 570,000 | 574,694 | ||||||
|
| |||||||
2,904,244 | ||||||||
|
| |||||||
Home Builders — 0.5% | ||||||||
Lennar Corp. | 1,128,000 | 1,170,300 | ||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Brands, Inc. | 171,000 | 172,667 | ||||||
|
| |||||||
Insurance — 3.2% | ||||||||
American International Group, Inc. | 550,000 | 565,858 | ||||||
Athene Global Funding (a) | 1,240,000 | 1,288,040 | ||||||
CNA Financial Corp. | 93,000 | 103,791 | ||||||
Enstar Group Ltd. | 575,000 | 593,228 | ||||||
Jackson National Life Global Funding (a) 2.500% 6/27/22 | 1,165,000 | 1,156,718 | ||||||
Lincoln National Corp. | 500,000 | 548,449 | ||||||
NUVEEN FINANCE LLC (a) | 1,155,000 | 1,171,507 | ||||||
Reinsurance Group of America, Inc. | 640,000 | 695,592 | ||||||
Trinity Acquisition PLC | 470,000 | 481,294 | ||||||
Unum Group | 135,000 | 136,286 | ||||||
Willis Towers Watson PLC | 370,000 | 408,189 | ||||||
XLIT Ltd. | 465,000 | 520,458 | ||||||
|
| |||||||
7,669,410 | ||||||||
|
| |||||||
Internet — 0.5% | ||||||||
Expedia, Inc. | 1,148,000 | 1,213,653 | ||||||
|
| |||||||
Investment Companies — 0.4% | ||||||||
Ares Capital Corp. | 30,000 | 30,347 | ||||||
Ares Capital Corp. | 548,000 | 558,750 | ||||||
FS Investment Corp. | 365,000 | 368,686 | ||||||
|
| |||||||
957,783 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
49
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Leisure Time — 0.6% | ||||||||
Brunswick Corp. (a) | $ | 1,388,000 | $ | 1,418,150 | ||||
|
| |||||||
Lodging — 0.4% | ||||||||
Marriott International, Inc. | 30,000 | 29,605 | ||||||
Marriott International, Inc. | 875,000 | 887,909 | ||||||
|
| |||||||
917,514 | ||||||||
|
| |||||||
Machinery – Diversified — 0.5% | ||||||||
CNH Industrial Capital LLC | 353,000 | 358,736 | ||||||
CNH Industrial Capital LLC | 100,000 | 100,880 | ||||||
CNH Industrial Capital LLC | 635,000 | 651,669 | ||||||
CNH Industrial Capital LLC | 115,000 | 122,188 | ||||||
|
| |||||||
1,233,473 | ||||||||
|
| |||||||
Media — 0.8% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 605,000 | 625,192 | ||||||
Sirius XM Radio, Inc. (a) (b) | 247,000 | 248,932 | ||||||
Sirius XM Radio, Inc. (a) | 900,000 | 910,327 | ||||||
|
| |||||||
1,784,451 | ||||||||
|
| |||||||
Mining — 0.4% | ||||||||
Anglo American Capital PLC (a) | 500,000 | 502,500 | ||||||
Glencore Finance Canada Ltd. STEP (a) | 233,000 | 233,349 | ||||||
Glencore Finance Canada Ltd. STEP (a) | 254,000 | 263,136 | ||||||
|
| |||||||
998,985 | ||||||||
|
| |||||||
Office & Business Equipment — 0.6% | ||||||||
Pitney Bowes, Inc. | 33,000 | 33,233 | ||||||
Pitney Bowes, Inc. | 750,000 | 768,447 | ||||||
Pitney Bowes, Inc. | 590,000 | 586,047 | ||||||
|
| |||||||
1,387,727 | ||||||||
|
| |||||||
Oil & Gas — 0.5% | ||||||||
Concho Resources, Inc. | 1,190,000 | 1,221,238 | ||||||
|
|
Principal Amount | Value | |||||||
Packaging & Containers — 0.5% | ||||||||
Graphic Packaging International, Inc. | $ | 1,094,000 | $ | 1,150,068 | ||||
|
| |||||||
Pharmaceuticals — 1.8% | ||||||||
AbbVie, Inc. | 945,000 | 946,193 | ||||||
Allergan Funding SCS | 590,000 | 592,463 | ||||||
Express Scripts Holding Co. | 1,195,000 | 1,230,741 | ||||||
Shire Acquisitions Investments Ireland DAC | 235,000 | 232,260 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 1,325,000 | 1,300,698 | ||||||
|
| |||||||
4,302,355 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.9% | ||||||||
American Tower Corp. | 415,000 | 404,655 | ||||||
American Tower Corp. | 745,000 | 764,462 | ||||||
Crown Castle International Corp. | 714,000 | 733,170 | ||||||
DDR Corp. | 210,000 | 212,630 | ||||||
DDR Corp. | 925,000 | 972,692 | ||||||
Digital Realty Trust LP | 320,000 | 328,197 | ||||||
Healthcare Trust of America Holdings LP | 275,000 | 275,082 | ||||||
Highwoods Realty LP | 25,000 | 26,020 | ||||||
Simon Property Group LP | 700,000 | 693,634 | ||||||
Weyerhaeuser Co. | 135,000 | 149,753 | ||||||
|
| |||||||
4,560,295 | ||||||||
|
| |||||||
Retail — 1.5% | ||||||||
AutoNation, Inc. | 825,000 | 839,939 | ||||||
CVS Health Corp. | 960,000 | 948,296 | ||||||
Dollar Tree, Inc. | 1,190,000 | 1,255,807 | ||||||
QVC, Inc. | 577,000 | 583,394 | ||||||
|
| |||||||
3,627,436 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
50
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Semiconductors — 1.1% | ||||||||
Analog Devices, Inc. | $ | 245,000 | $ | 245,222 | ||||
Broadcom Corp./Broadcom Cayman Finance Ltd. (a) | 950,000 | 958,491 | ||||||
KLA-Tencor Corp. | 455,000 | 456,060 | ||||||
KLA-Tencor Corp. | 140,000 | 143,944 | ||||||
NXP BV/NXP Funding LLC (a) | 770,000 | 810,810 | ||||||
|
| |||||||
2,614,527 | ||||||||
|
| |||||||
Telecommunications — 1.1% | ||||||||
Hughes Satellite Systems Corp. | 1,083,000 | 1,169,640 | ||||||
Telefonaktiebolaget LM Ericsson | 1,200,000 | 1,222,584 | ||||||
Verizon Communications, Inc. | 245,000 | 236,976 | ||||||
|
| |||||||
2,629,200 | ||||||||
|
| |||||||
Transportation — 1.0% | ||||||||
Asciano Finance Ltd. (a) | 717,000 | 730,079 | ||||||
Ryder System, Inc. | 425,000 | 419,581 | ||||||
Ryder System, Inc. | 475,000 | 477,428 | ||||||
Ryder System, Inc. | 65,000 | 65,676 | ||||||
Ryder System, Inc. | 340,000 | 343,781 | ||||||
TTX Co. (a) | 300,000 | 300,165 | ||||||
|
| |||||||
2,336,710 | ||||||||
|
| |||||||
Trucking & Leasing — 1.3% | ||||||||
Aviation Capital Group Corp. (a) | 1,260,000 | 1,272,129 | ||||||
GATX Corp. | 575,000 | 580,954 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 370,000 | 371,882 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 615,000 | 627,058 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 150,000 | 154,098 |
Principal Amount | Value | |||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | $ | 20,000 | $ | 20,487 | ||||
|
| |||||||
3,026,608 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $107,452,514) | 108,196,389 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.0% | ||||||||
Louisiana State Public Facilities Authority, Series 2011-A, Class A2, FRN | 77,778 | 77,652 | ||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $77,778) | 77,652 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 36.9% | ||||||||
Agency Collateral PAC CMO — 1.3% | ||||||||
Federal National Mortgage Association, Series 2017-16, Class P 3.000% 2/25/43 | 788,153 | 805,813 | ||||||
Federal National Mortgage Association, Series 2017-20, Class JA | 2,250,742 | 2,298,657 | ||||||
|
| |||||||
3,104,470 | ||||||||
|
| |||||||
Auto Floor Plan ABS — 0.5% | ||||||||
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Class A, 1 mo. LIBOR + 1.350%, FRN (a) | 520,000 | 522,762 | ||||||
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (a) | 200,000 | 200,000 | ||||||
NextGear Floorplan Master Owner Trust, Series 2016-2A, Class A2 (a) | 480,000 | 478,185 | ||||||
|
| |||||||
1,200,947 | ||||||||
|
| |||||||
Automobile ABS — 5.7% | ||||||||
American Credit Acceptance Receivables Trust, Series 2015-3, Class A (a) | 13,253 | 13,252 | ||||||
American Credit Acceptance Receivables Trust, Series 2016-2, Class A (a) | 124,296 | 124,300 |
The accompanying notes are an integral part of the financial statements.
51
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) | $ | 31,485 | $ | 31,499 | ||||
American Credit Acceptance Receivables Trust, Series 2017-1, Class B (a) | 520,000 | 519,882 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2014-1, Class D | 210,000 | 211,487 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A (a) | 200,000 | 200,338 | ||||||
CFC LLC, Series 2015-1A, Class A (a) | 67,933 | 67,879 | ||||||
CPS Auto Trust, Series 2014-D, Class A (a) | 12,742 | 12,741 | ||||||
CPS Auto Trust, Series 2015-C, Class A (a) | 32,022 | 32,030 | ||||||
CPS Auto Trust, Series 2013-B, Class A (a) | 103,195 | 103,179 | ||||||
CPS Auto Trust, Series 2015-C, Class B (a) | 250,000 | 250,315 | ||||||
CPS Auto Trust, Series 2014-C, Class A (a) | 9,608 | 9,608 | ||||||
CPS Auto Trust, Series 2016-C, Class B (a) | 190,000 | 189,618 | ||||||
CPS Auto Trust, Series 2017-A, Class B (a) | 1,150,000 | 1,155,581 | ||||||
Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A (a) | 49,666 | 49,669 | ||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) | 140,000 | 140,459 | ||||||
Drive Auto Receivables Trust, Series 2017-1, Class C | 270,000 | 269,658 | ||||||
DT Auto Owner Trust, Series 2016-1A, Class B (a) | 449,461 | 450,443 | ||||||
DT Auto Owner Trust, Series 2016-2A, Class B (a) | 230,000 | 230,914 | ||||||
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) | 322,057 | 322,054 |
Principal Amount | Value | |||||||
Enterprise Fleet Financing LLC, Series 2017-1, Class A3 (a) | $ | 210,000 | $ | 210,176 | ||||
Exeter Automobile Receivables Trust, Series 2015-2A, Class A (a) | 17,426 | 17,424 | ||||||
Exeter Automobile Receivables Trust, Series 2015-3A, Class A (a) | 44,504 | 44,513 | ||||||
Exeter Automobile Receivables Trust, Series 2016-3A, Class B (a) | 260,000 | 259,403 | ||||||
Exeter Automobile Receivables Trust, Series 2017-1A, Class B (a) | 260,000 | 260,896 | ||||||
Exeter Automobile Receivables Trust, Series 2015-2A, Class C (a) | 650,000 | 659,902 | ||||||
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) | 28,329 | 28,329 | ||||||
First Investors Auto Owner Trust, Series 2016-1A, Class A1 (a) | 130,324 | 130,366 | ||||||
First Investors Auto Owner Trust, Series 2016-2A, Class B (a) | 540,000 | 537,170 | ||||||
Flagship Credit Auto Trust, Series 2014-2, Class A (a) | 20,002 | 19,988 | ||||||
Flagship Credit Auto Trust, Series 2015-2, Class A (a) | 84,333 | 84,458 | ||||||
Flagship Credit Auto Trust, Series 2015-3, Class A (a) | 100,288 | 100,419 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class B (a) | 910,000 | 902,998 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class C (a) | 410,000 | 405,930 | ||||||
Flagship Credit Auto Trust, Series 2016-1, Class A (a) | 239,813 | 241,613 | ||||||
Flagship Credit Auto Trust, Series 2017-1, Class B (a) | 615,000 | 615,212 | ||||||
Flagship Credit Auto Trust, Series 2013-2, Class B (a) | 62,506 | 62,579 | ||||||
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) | 33,300 | 33,258 |
The accompanying notes are an integral part of the financial statements.
52
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A (a) | $ | 250,000 | $ | 251,144 | ||||
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) | 370,000 | 373,909 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A3 (a) | 501,954 | 500,243 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) | 300,000 | 297,747 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 135,173 | 135,517 | ||||||
Oscar US Funding Trust V, Series 2016-2A, Class A2A (a) | 355,484 | 355,270 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A1 (a) | 335,920 | 335,630 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A3 (a) | 240,000 | 241,215 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) | 160,000 | 161,271 | ||||||
Santander Drive Auto Receivables Trust, Series 2016-1, Class A3 | 180,000 | 180,004 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-2, Class C | 470,000 | 473,052 | ||||||
Santander Drive Auto Receivables Trust, Series 2016-1, Class B | 340,000 | 341,964 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-4, Class D | 200,000 | 202,932 | ||||||
Santander Drive Auto Receivables Trust, Series 2016-1, Class D | 500,000 | 515,942 | ||||||
Westlake Automobile Receivables Trust, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.050%, FRN (a) | 178,117 | 178,180 | ||||||
|
| |||||||
13,543,560 | ||||||||
|
| |||||||
Commercial MBS — 1.3% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM, VRN | 59,051 | 59,565 |
Principal Amount | Value | |||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN | $ | 261,206 | $ | 263,099 | ||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4, VRN | 32,718 | 32,754 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM, VRN | 425,000 | 425,755 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A2 | 290,000 | 294,727 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN | 167,156 | 167,546 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB20, Class AM, VRN | 231,260 | 232,859 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class A4 | 224,604 | 225,298 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN | 250,000 | 252,186 | ||||||
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN | 102,214 | 102,244 | ||||||
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN | 105,008 | 106,170 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN | 28,205 | 28,172 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN | 417,847 | 417,896 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN | 440,000 | 440,000 | ||||||
|
| |||||||
3,048,271 | ||||||||
|
| |||||||
Home Equity ABS — 0.3% | ||||||||
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN | 35,863 | 35,835 | ||||||
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN | 82,251 | 82,542 |
The accompanying notes are an integral part of the financial statements.
53
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE12, Class M1, 1 mo. USD LIBOR + ..480%, FRN | $ | 166,613 | $ | 167,040 | ||||
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN | 102,644 | 92,984 | ||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .240%, FRN (a) | 142,443 | 142,085 | �� | |||||
JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2V2, 1 mo. USD LIBOR + .220%, FRN | 57,720 | 57,826 | ||||||
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP | 1 | 1 | ||||||
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D, 1 mo. LIBOR + .740%, FRN | 36,353 | 36,339 | ||||||
Option One Mortgage Loan Trust, Series 2005-5, Class A3, 1 mo. USD LIBOR + .210%, FRN | 93,422 | 93,511 | ||||||
Residential Asset Securities Corp., Series 2005-EMX4, Class M1, 1 mo. USD LIBOR + .430%, FRN | 599 | 599 | ||||||
|
| |||||||
708,762 | ||||||||
|
| |||||||
Other ABS — 18.1% | ||||||||
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 92,529 | 90,087 | ||||||
321 Henderson Receivables I LLC, Series 2010-3A, Class A (a) | 287,633 | 290,046 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) | 370,000 | 372,303 | ||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) | 169,517 | 167,822 | ||||||
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (a) | 520,000 | 521,604 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (a) | 295,500 | 296,054 |
Principal Amount | Value | |||||||
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | $ | 229,360 | $ | 223,202 | ||||
AVANT Loans Funding Trust, Series 2016-C, Class A (a) | 12,664 | 12,668 | ||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (a) | 580,000 | 580,142 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (a) | 4,347 | 4,347 | ||||||
BCC Funding X LLC, Series 2015-1, Class A2 (a) | 144,538 | 144,389 | ||||||
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 340,000 | 340,193 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) | 360,208 | 358,878 | ||||||
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) | 475,000 | 477,110 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) | 441,305 | 443,816 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (a) | 254,961 | 255,056 | ||||||
Capital Automotive REIT, Series 2012-1A, Class A1 (a) | 259,567 | 261,107 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) | 149,613 | 148,678 | ||||||
CCG Receivables Trust, Series 2014-1, Class A2 (a) | 23,003 | 23,000 | ||||||
Citi Held For Asset Issuance, Series 2015-PM3, Class A (a) | 3,132 | 3,132 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) | 465,120 | 465,031 | ||||||
CLI Funding VI LLC, Series 2017-1A, Class A (a) | 395,190 | 395,145 |
The accompanying notes are an integral part of the financial statements.
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MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | $ | 34,449 | $ | 34,410 | ||||
DB Master Finance LLC, Series 2015-1A, Class A2I (a) | 889,525 | 893,516 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) | 114,563 | 113,958 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) | 48,991 | 48,973 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) | 116,648 | 115,893 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) | 145,045 | 144,631 | ||||||
Diamond Resorts Owner Trust, Series 2016-1, Class A (a) | 915,780 | 909,320 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) | 98,004 | 98,010 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) | 424,625 | 427,606 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) | 317,866 | 316,833 | ||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) | 106,250 | 105,529 | ||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) | 134,359 | 135,148 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A1, 3 mo. USD LIBOR + 5.250%, FRN (a) | 48,667 | 49,280 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (a) | 264,029 | 261,851 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B (a) | 118,227 | 116,592 | ||||||
Element Rail Leasing I LLC, Series 2014-1A, Class A1 (a) | 139,285 | 136,709 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) | 66,450 | 65,422 |
Principal Amount | Value | |||||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) | $ | 172,872 | $ | 174,787 | ||||
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A | 83,251 | 84,074 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN | 11,871 | 11,866 | ||||||
FNA Trust, Series 2015-1, Class A (a) | 77,553 | 77,156 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN | 10,738 | 10,729 | ||||||
FRS I LLC, Series 2013-1A, Class A1 (a) | 48,582 | 48,166 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) | 475,000 | 475,034 | ||||||
Global SC Finance II SRL, Series 2013-1A, Class A (a) | 172,083 | 169,181 | ||||||
Global SC Finance IV Ltd., Series 2017-1A, Class A (a) | 325,554 | 329,906 | ||||||
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) | 24,925 | 24,866 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 535,000 | 534,997 | ||||||
Goodgreen Trust, Series 2016-1A, Class A (a) | 544,495 | 529,946 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + .645%, FRN | 33,957 | 34,135 | ||||||
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) | 169,524 | 169,894 | ||||||
HERO Funding Trust, Series 2016-4A, Class A1 (a) | 390,699 | 398,973 | ||||||
HERO Funding Trust, Series 2015-1A, Class A (a) | 950,029 | 969,029 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) | 154,358 | 151,500 |
The accompanying notes are an integral part of the financial statements.
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MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) | $ | 129,869 | $ | 129,045 | ||||
Hilton Grand Vacations Trust, Series 2017-AA, Class B, VRN (a) | 338,533 | 337,900 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN | 4,280 | 4,284 | ||||||
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 700,000 | 699,266 | ||||||
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400%, FRN (a) | 590,000 | 594,565 | ||||||
Lendmark Funding Trust, Series 2017-1A, Class A (a) | 240,000 | 239,951 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | 118,232 | 117,397 | ||||||
Madison Park Funding Ltd., Series 2016-22A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) | 420,000 | 424,479 | ||||||
Madison Park Funding XIV Ltd., Series 2014-14A, Class A1R, 3 mo. USD LIBOR + 1.120%, FRN (a) | 280,000 | 280,119 | ||||||
Magnetite CLO Ltd., Series 2016-18A, Class A, 3 mo. USD LIBOR + 1.140%, FRN (a) | 390,000 | 394,260 | ||||||
Magnetite XI Ltd., Series 2014-11A, Class A1R, 3 mo. USD LIBOR + 1.120%, FRN (a) | 700,000 | 700,281 | ||||||
Mariner Finance Issuance Trust, Series 2017-AA, Class A (a) | 400,000 | 402,583 | ||||||
Marlette Funding Trust, Series 2017-2A, Class A (a) | 430,000 | 429,999 | ||||||
Marlette Funding Trust, Series 2017-1A, Class A (a) | 763,362 | 766,008 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (a) | 516,406 | 515,547 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (a) 3.340% 7/20/26 | 124,696 | 124,149 |
Principal Amount | Value | |||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN | $ | 113,826 | $ | 114,377 | ||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A (a) | 126,812 | 128,698 | ||||||
MVW Owner Trust, Series 2013-1A, Class A (a) | 116,442 | 115,341 | ||||||
MVW Owner Trust, Series 2014-2, Class A (a) | 185,531 | 183,118 | ||||||
MVW Owner Trust, Series 2016-1A, Class A (a) | 83,465 | 81,763 | ||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) | 18,445 | 18,434 | ||||||
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) | 192,777 | 193,565 | ||||||
Navitas Equipment Receivables LLC, Series 2015-1, Class A2 (a) | 110,612 | 110,528 | ||||||
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (a) | 1,950,000 | 1,937,347 | ||||||
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (a) | 700,000 | 690,463 | ||||||
OHA Loan Funding Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.410%, FRN (a) | 590,000 | 593,775 | ||||||
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) | 120,000 | 119,434 | ||||||
Oportun Funding VI LLC, Series 2017-A, Class A (a) | 350,000 | 351,636 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) | 45,632 | 45,001 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) | 272,434 | 271,556 | ||||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) | 200,000 | 198,418 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 67,783 | 67,630 |
The accompanying notes are an integral part of the financial statements.
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MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN | $ | 8,105 | $ | 8,112 | ||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (a) | 76,104 | 75,915 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (a) | 700,000 | 701,570 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-2A, Class A, VRN (a) | 158,984 | 158,724 | ||||||
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A, VRN (a) | 32,238 | 32,185 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) | 237,518 | 236,485 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-1A, Class A (a) | 277,427 | 277,246 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) | 39,757 | 39,927 | ||||||
Sierra Receivables Funding LLC, Series 2015-3A, Class A (a) | 103,367 | 103,614 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2017-1A, Class A (a) | 766,184 | 773,423 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) | 320,470 | 322,931 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) | 1,778,110 | 1,796,736 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) | 384,720 | 388,162 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) | 833,388 | 844,230 | ||||||
SoFi Consumer Loan Program LLC, Series 2015-2, Class A (a) | 785,757 | 787,694 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) | 697,903 | 695,271 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) | 581,486 | 584,911 |
Principal Amount | Value | |||||||
Springleaf Funding Trust, Series 2016-AA, Class A (a) | $ | 1,460,000 | $ | 1,466,994 | ||||
SPS Servicer Advance Receivables Trust, Series 2016-T1, Class AT1 (a) | 1,040,000 | 1,030,935 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 800,000 | 802,451 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) | 377,150 | 384,723 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (a) | 74,551 | 74,395 | ||||||
TAL Advantage VI LLC, Series 2017-1A, Class A (a) | 492,838 | 517,702 | ||||||
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) | 300,000 | 302,224 | ||||||
Trafigura Securitisation Finance PLC, Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 260,000 | 260,000 | ||||||
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (a) | 950,000 | 953,771 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 1 mo. USD LIBOR + 2.500%, FRN (a) | 190,778 | 188,715 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) | 54,508 | 54,196 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A2 (a) | 670,000 | 716,540 | ||||||
VSE VOI Mortgage LLC, Series 2016-A, Class A (a) | 686,873 | 683,714 | ||||||
Welk Resorts LLC, Series 2015-AA, Class A (a) | 120,335 | 119,189 | ||||||
Welk Resorts LLC, Series 2017-AA, Class B (a) | 300,000 | 299,369 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2I (a) | 908,813 | 912,422 |
The accompanying notes are an integral part of the financial statements.
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MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Westgate Resorts LLC, Series 2014-1A, Class A (a) | $ | 126,814 | $ | 125,636 | ||||
Westgate Resorts LLC, Series 2017-1A, Class A (a) | 311,309 | 310,795 | ||||||
Westgate Resorts LLC, Series 2015-2A, Class A (a) | 254,206 | 252,982 | ||||||
|
| |||||||
42,706,536 | ||||||||
|
| |||||||
Student Loans ABS — 9.1% | ||||||||
Access Group, Inc., Series 2004-A, Class A3, 28 Days ARS, FRN | 1,250,000 | 1,229,788 | ||||||
Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700%, FRN (a) | 304,893 | 302,921 | ||||||
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 140,000 | 119,837 | ||||||
AccessLex Institute, Series 2004-A, Class A2, 3 mo. USD LIBOR + .260%, FRN | 32,750 | 32,707 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 81,771 | 77,322 | ||||||
Brazos Student Finance Corp., Series 2003-A, Class A3, 28 Day ARS, FRN | 200,000 | 194,739 | ||||||
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN | 260,164 | 237,331 | ||||||
Commonbond Student Loan Trust, Series 2017-AGS, Class C (a) | 520,000 | 517,895 | ||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B (a) | 164,385 | 154,069 | ||||||
DRB Prime Student Loan Trust, Series 2015-A, Class A3 | 117,698 | 117,108 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) | 106,482 | 105,342 | ||||||
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) | 260,768 | 260,924 |
Principal Amount | Value | |||||||
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) | $ | 293,855 | $ | 299,616 | ||||
DRB Prime Student Loan Trust, Series 2015-A, Class A2 (a) | 137,899 | 134,008 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) | 1,010,643 | 1,014,180 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (a) | 122,637 | 123,254 | ||||||
DRB Prime Student Loan Trust, Series 2015-D, Class A2 (a) | 873,168 | 883,617 | ||||||
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) | 275,878 | 275,137 | ||||||
Earnest Student Loan Program LLC, Series 2016-C, Class A2 (a) | 486,618 | 472,692 | ||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (a) | 459,049 | 459,742 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) | 356,362 | 357,615 | ||||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) | 1,103,388 | 1,104,372 | ||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) | 581,578 | 584,664 | ||||||
Education Loan Asset-Backed Trust I, Series 2013-1, Class A1, 1 mo. USD LIBOR + .800%, FRN (a) | 601,089 | 601,756 | ||||||
Higher Education Funding I, Series 2004-1, Class B1, 28 day ARS, FRN (a) | 950,000 | 829,437 | ||||||
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN | 128,779 | 127,694 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN | $ | 46,346 | $ | 46,256 | ||||
Navient Private Education Loan Trust, Series 2014-AA, Class A2A (a) | 294,174 | 296,442 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (a) | 950,000 | 949,999 | ||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) | 823,483 | 836,473 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) | 1,060,000 | 1,082,643 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (a) | 416,263 | 417,103 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (a) | 299,714 | 299,580 | ||||||
Nelnet Student Loan Trust, Series 2014-6A, Class A, 1 mo. USD LIBOR + .650%, FRN (a) | 387,757 | 383,751 | ||||||
Nelnet Student Loan Trust, Series 2014-1A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 170,000 | 154,957 | ||||||
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 130,000 | 116,275 | ||||||
North Carolina State Education Assistance Authority, Series 2011-1, Class A2, 3 mo. USD LIBOR + .900%, FRN | 64,915 | 65,015 | ||||||
Northstar Education Finance, Inc., Series 2005-1, Class A5, 3 mo. USD LIBOR + .750%, FRN | 221,283 | 219,191 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (a) | 702,630 | 703,907 |
Principal Amount | Value | |||||||
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN | $ | 41,315 | $ | 41,315 | ||||
SLC Student Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .200%, FRN | 431,769 | 397,257 | ||||||
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN | 120,000 | 112,675 | ||||||
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN | 280,000 | 276,772 | ||||||
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN | 504,182 | 467,367 | ||||||
SLM Student Loan Trust, Series 2006-10, Class B, 3 mo. USD LIBOR + .220%, FRN | 142,017 | 132,757 | ||||||
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN | 150,000 | 147,999 | ||||||
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN | 208,962 | 188,823 | ||||||
SLM Student Loan Trust, Series 2013-4, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 120,000 | 117,324 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 Day ARS, FRN | 50,000 | 50,000 | ||||||
SMB Private Education Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + .700%, FRN (a) | 274,112 | 274,400 | ||||||
SMB Private Education Loan Trust, Series 2016-C, Class A2B, 1 mo. USD LIBOR + 1.100%, FRN (a) | 290,000 | 294,821 | ||||||
SMB Private Education Loan Trust, Series 2014-A, Class A2B, 1 mo. USD LIBOR + 1.150%, FRN (a) | 820,166 | 828,003 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2B, 1 mo. USD LIBOR + 1.450%, FRN (a) | $ | 144,000 | $ | 148,127 | ||||
SoFi Professional Loan Program LLC, Series 2015-A, Class RC, (Acquired 4/19/17, Cost $562,750) (a) (c) | 200 | 510,000 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) | 179,459 | 179,412 | ||||||
SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1 mo. USD LIBOR + .950%, FRN (a) | 173,362 | 175,198 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) | 286,878 | 289,901 | ||||||
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (a) | 330,000 | 329,402 | ||||||
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | 285,430 | 293,627 | ||||||
|
| |||||||
21,444,539 | ||||||||
|
| |||||||
WL Collateral CMO — 0.6% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN | 9,800 | 9,785 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN | 3,552 | 3,595 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN | 1,409 | 1,350 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN | 2,160 | 2,233 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN | 10,024 | 9,634 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN | 993 | 956 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN | 669 | 689 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN | 45 | 48 |
Principal Amount | Value | |||||||
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1, VRN (a) | $ | 434,394 | $ | 446,763 | ||||
Shellpoint Co-Originator Trust, Series 2016-1, Class 2A3, VRN (a) | 982,318 | 980,166 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN | 5,880 | 6,069 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | 15,397 | 15,775 | ||||||
|
| |||||||
1,477,063 | ||||||||
|
| |||||||
WL Collateral PAC — 0.0% | ||||||||
Structured Asset Securities Corp., Series 2002-11A, Class 2A1, VRN | 4,432 | 4,456 | ||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $87,159,495) | 87,238,604 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 5.4% | ||||||||
Collateralized Mortgage Obligations — 4.4% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Series 4291, Class K | 642,494 | 657,401 | ||||||
Series 4447, Class PA | 184,826 | 189,858 | ||||||
Series 3990, Class VA | 487,756 | 510,873 | ||||||
Series 4213, Class VE | 435,925 | 458,458 | ||||||
Series 4290, Class CA | 944,888 | 981,767 | ||||||
Series 4443, Class BA | 226,210 | 234,520 | ||||||
Series 4328, Class DA | 763,654 | 801,807 | ||||||
Series 4325, Class MA | 938,415 | 984,864 | ||||||
Series 4336, Class MA | 1,417,854 | 1,488,851 | ||||||
Series 4323, Class CA | 486,708 | 513,302 | ||||||
Series 2178, Class PB | 12,270 | 13,619 |
The accompanying notes are an integral part of the financial statements.
60
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Federal National Mortgage Association | ||||||||
Series 2016-62, Class FC 1 mo. LIBOR + .500%, FRN | $ | 523,584 | $ | 525,971 | ||||
Series 2016-74, Class GF 1 mo. LIBOR + .500%, FRN | 808,920 | 814,530 | ||||||
Series 2015-58, Class JP | 307,305 | 307,643 | ||||||
Series 2015-20, Class EV | 497,500 | 524,757 | ||||||
Series 2014-14, Class A | 459,661 | 474,166 | ||||||
Series 2015-62, Class VA | 145,794 | 156,586 | ||||||
Series 2014-48, Class AB | 420,942 | 442,101 | ||||||
Government National Mortgage Association | ||||||||
Series 2014-131, Class BW VRN | 173,158 | 177,116 | ||||||
|
| |||||||
10,258,190 | ||||||||
|
| |||||||
Pass-Through Securities — 0.1% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #G11431 | 2 | 2 | ||||||
Pool #C01079 | 423 | 500 | ||||||
Pool #C01135 | 1,222 | 1,441 | ||||||
Federal National Mortgage Association | ||||||||
Pool #725692 1 year CMT + 2.144%, FRN | 31,346 | 32,894 | ||||||
Pool #888586 1 year CMT + 2.203%, FRN | 27,306 | 28,695 | ||||||
Pool #775539 12 mo. USD LIBOR + 1.645%, FRN | 9,258 | 9,739 | ||||||
Pool #575667 | 2,471 | 2,899 | ||||||
Pool #529453 | 536 | 634 | ||||||
Pool #531196 | 71 | 84 | ||||||
Pool #530299 | 75 | 86 | ||||||
Pool #536386 | 90 | 106 | ||||||
Pool #535996 | 1,662 | 1,963 |
Principal Amount | Value | |||||||
Pool #523499 | $ | 58 | $ | 68 | ||||
Pool #252926 | 39 | 46 | ||||||
Pool #532819 | 33 | 40 | ||||||
Pool #534703 | 548 | 654 | ||||||
Pool #253437 | 40 | 48 | ||||||
Pool #253481 | 18 | 22 | ||||||
Pool #190317 | 794 | 948 | ||||||
Pool #596656 | 349 | 374 | ||||||
Pool #602008 | 877 | 1,047 | ||||||
Pool #597220 | 659 | 788 | ||||||
Government National Mortgage Association | ||||||||
Pool #371146 | 305 | 336 | ||||||
Pool #352022 | 1,585 | 1,759 | ||||||
Pool #491089 | 1,937 | 2,194 | ||||||
Pool #478658 | 446 | 523 | ||||||
Pool #500928 | 858 | 1,003 | ||||||
Pool #499410 | 259 | 304 | ||||||
Pool #510083 | 245 | 285 | ||||||
Pool #493723 | 819 | 962 | ||||||
Pool #581417 | 4,746 | 5,567 | ||||||
Government National Mortgage Association II | ||||||||
Pool #008746 1 Year CMT + 1.500%, FRN | 1,057 | 1,077 | ||||||
Pool #080136 1 Year CMT + 1.500%, FRN | 197 | 201 | ||||||
Pool #82462 1 Year CMT + 1.500%, FRN | 78,112 | 80,249 | ||||||
Pool #82488 1 year CMT + 1.500%, FRN | 94,968 | 97,922 | ||||||
|
| |||||||
275,460 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
61
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Whole Loans — 0.9% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||
Series 2015-DNA1, Class M1 1 mo. USD LIBOR + .900%, FRN | $ | 93,415 | $ | 93,535 | ||||
Series 2016-DNA1, Class M1 1 mo. USD LIBOR + 1.450%, FRN | 106,708 | 107,105 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C06, Class 1M1 1 mo. USD LIBOR + 1.300%, FRN | 432,825 | 438,352 | ||||||
Series 2016-C05, Class 2M1 1 mo. USD LIBOR + 1.350%, FRN 2.566% 1/25/29 | 688,899 | 694,360 | ||||||
Series 2016-C04, Class 1M1 1 mo. USD LIBOR + 1.450%, FRN | 700,721 | 708,866 | ||||||
Series 2015-C04, Class 1M1 1 mo. USD LIBOR + 1.600%, FRN | 67,695 | 67,797 | ||||||
Vendee Mortgage Trust | ||||||||
Series 1992-1, Class 2Z | 11,193 | 12,275 | ||||||
|
| |||||||
2,122,290 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $12,776,650) | 12,655,940 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 10.3% | ||||||||
U.S. Treasury Bonds & Notes — 10.3% | ||||||||
U.S. Treasury Note | 8,950,000 | 8,881,477 | ||||||
U.S. Treasury Note (d) | 6,800,000 | 6,728,441 | ||||||
U.S. Treasury Note | 5,640,000 | 5,628,323 | ||||||
U.S. Treasury Note | 2,650,000 | 2,658,530 | ||||||
U.S. Treasury Note | 500,000 | 500,258 | ||||||
|
| |||||||
24,397,029 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $24,477,226) | 24,397,029 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $231,943,663) | 232,565,614 | |||||||
|
|
Notional Amount | Value | |||||||
PURCHASED OPTIONS — 0.2% | ||||||||
Financial — 0.2% | ||||||||
Diversified Financial Services — 0.2% | ||||||||
3-Month USD LIBOR BBA 30 Year Swaption, Put, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52 | $ | 2,350,000 | $ | 293,413 | ||||
3-Month USD LIBOR BBA 30 Year Swaption, Call, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52 | 1,410,000 | 158,287 | ||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $490,116) | 451,700 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $232,433,779) | 233,017,314 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||||
Commercial Paper — 0.8% | ||||||||
Magna International In, Citigroup Global Markets, Inc. (a) | 1,000,000 | 999,562 | ||||||
Westar Energy, Inc. (a) | 1,000,000 | 999,804 | ||||||
|
| |||||||
1,999,366 | ||||||||
|
| |||||||
Time Deposit — 0.7% | ||||||||
Euro Time Deposit | 1,634,397 | 1,634,397 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,633,863) | 3,633,763 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $236,067,642) (e) | 236,651,077 | |||||||
Other Assets/(Liabilities) — (0.1)% | (193,644 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 236,457,433 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
CLO | Collateralized Loan Obligation |
The accompanying notes are an integral part of the financial statements.
62
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
PAC | Planned Amortization Class |
STEP | Step Up Bond |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $105,000,469 or 44.41% of net assets. |
(b) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(c) | Restricted security. Certain securities are restricted as to resale. At June 30, 2017, these securities amounted to a value of $510,000 or 0.22% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(d) | A portion of this security is pledged/held as collateral for open futures contracts and open swaps agreements. (Note 2). |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
63
Table of Contents
MML Small Cap Equity Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.3% | ||||||||
COMMON STOCK — 98.3% | ||||||||
Basic Materials — 3.3% | ||||||||
Forest Products & Paper — 0.6% | ||||||||
P.H. Glatfelter Co. | 38,310 | $ | 748,577 | |||||
|
| |||||||
Mining — 2.7% | ||||||||
Century Aluminum Co. (a) | 30,750 | 479,085 | ||||||
Compass Minerals International, Inc. (b) | 14,850 | 969,705 | ||||||
Kaiser Aluminum Corp. | 18,170 | 1,608,409 | ||||||
|
| |||||||
3,057,199 | ||||||||
|
| |||||||
3,805,776 | ||||||||
|
| |||||||
Communications — 4.0% | ||||||||
Internet — 2.2% | ||||||||
Carvana Co. (a) (b) | 24,120 | 493,737 | ||||||
Proofpoint, Inc. (a) (b) | 14,540 | 1,262,508 | ||||||
Yelp, Inc. (a) | 25,410 | 762,808 | ||||||
|
| |||||||
2,519,053 | ||||||||
|
| |||||||
Media — 1.5% | ||||||||
Houghton Mifflin Harcourt Co. (a) | 86,080 | 1,058,784 | ||||||
WideOpenWest, Inc. (a) | 36,691 | 638,423 | ||||||
|
| |||||||
1,697,207 | ||||||||
|
| |||||||
Telecommunications — 0.3% | ||||||||
RigNet, Inc. (a) | 19,620 | 314,901 | ||||||
|
| |||||||
4,531,161 | ||||||||
|
| |||||||
Consumer, Cyclical — 14.1% | ||||||||
Airlines — 1.3% | ||||||||
Spirit Airlines, Inc. (a) | 28,820 | 1,488,553 | ||||||
|
| |||||||
Apparel — 0.6% | ||||||||
Canada Goose Holdings, Inc. (a) (b) | 34,770 | 686,708 | ||||||
|
| |||||||
Auto Manufacturers — 0.7% | ||||||||
Navistar International Corp. (a) | 30,170 | 791,359 | ||||||
|
| |||||||
Auto Parts & Equipment — 1.6% | ||||||||
Visteon Corp. (a) | 17,910 | 1,827,895 | ||||||
|
| |||||||
Distribution & Wholesale — 1.2% | ||||||||
SiteOne Landscape Supply, Inc. (a) | 25,730 | 1,339,504 | ||||||
|
| |||||||
Entertainment — 0.6% | ||||||||
The Madison Square Garden Co. Class A (a) | 3,630 | 714,747 | ||||||
|
| |||||||
Retail — 7.3% | ||||||||
Burlington Stores, Inc. (a) | 10,930 | 1,005,451 | ||||||
DSW, Inc. Class A | 59,480 | 1,052,796 | ||||||
Fred’s, Inc. Class A (b) | 58,150 | 536,724 | ||||||
Group 1 Automotive, Inc. | 25,100 | 1,589,332 | ||||||
Sally Beauty Holdings, Inc. (a) | 44,470 | 900,517 | ||||||
Sonic Corp. (b) | 52,000 | 1,377,480 | ||||||
Suburban Propane Partners LP (c) | 47,320 | 1,125,743 |
Number of Shares | Value | |||||||
Texas Roadhouse, Inc. | 15,360 | $ | 782,592 | |||||
|
| |||||||
8,370,635 | ||||||||
|
| |||||||
Storage & Warehousing — 0.8% | ||||||||
Wesco Aircraft Holdings, Inc. (a) | 87,860 | 953,281 | ||||||
|
| |||||||
16,172,682 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 21.2% | ||||||||
Beverages — 0.6% | ||||||||
The Boston Beer Co., Inc. Class A (a) (b) | 5,390 | 712,289 | ||||||
|
| |||||||
Biotechnology — 1.5% | ||||||||
Exact Sciences Corp. (a) | 16,910 | 598,107 | ||||||
Sage Therapeutics, Inc. (a) (b) | 7,060 | 562,258 | ||||||
Ultragenyx Pharmaceutical, Inc. (a) (b) | 9,160 | 568,928 | ||||||
|
| |||||||
1,729,293 | ||||||||
|
| |||||||
Commercial Services — 6.8% | ||||||||
Booz Allen Hamilton Holding Corp. | 28,190 | 917,303 | ||||||
Korn/Ferry International | 77,931 | 2,690,957 | ||||||
Matthews International Corp. Class A | 21,210 | 1,299,113 | ||||||
On Assignment, Inc. (a) | 38,770 | 2,099,395 | ||||||
Paylocity Holding Corp. (a) | 17,130 | 773,933 | ||||||
|
| |||||||
7,780,701 | ||||||||
|
| |||||||
Foods — 1.6% | ||||||||
Hostess Brands, Inc. (a) (b) | 112,750 | 1,815,275 | ||||||
|
| |||||||
Health Care – Products — 3.9% | ||||||||
NuVasive, Inc. (a) | 25,040 | 1,926,077 | ||||||
NxStage Medical, Inc. (a) | 47,300 | 1,185,811 | ||||||
The Spectranetics Corp. (a) | 37,410 | 1,436,544 | ||||||
|
| |||||||
4,548,432 | ||||||||
|
| |||||||
Health Care – Services — 1.7% | ||||||||
Addus HomeCare Corp. (a) | 11,820 | 439,704 | ||||||
Amedisys, Inc. (a) | 24,530 | 1,540,729 | ||||||
|
| |||||||
1,980,433 | ||||||||
|
| |||||||
Household Products & Wares — 1.4% | ||||||||
Acco Brands Corp. (a) | 134,320 | 1,564,828 | ||||||
|
| |||||||
Pharmaceuticals — 3.7% | ||||||||
ACADIA Pharmaceuticals, Inc. (a) (b) | 17,310 | 482,776 | ||||||
Clovis Oncology, Inc. (a) | 6,690 | 626,384 | ||||||
Prestige Brands Holdings, Inc. (a) | 50,891 | 2,687,554 | ||||||
TherapeuticsMD, Inc. (a) (b) | 84,170 | 443,576 | ||||||
|
| |||||||
4,240,290 | ||||||||
|
| |||||||
24,371,541 | ||||||||
|
| |||||||
Energy — 3.6% | ||||||||
Energy – Alternate Sources — 0.9% | ||||||||
Renewable Energy Group, Inc. (a) (b) | 78,709 | 1,019,281 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
64
Table of Contents
MML Small Cap Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Oil & Gas — 1.3% | ||||||||
HollyFrontier Corp. (b) | 31,736 | $ | 871,788 | |||||
Matador Resources Co. (a) (b) | 28,735 | 614,067 | ||||||
|
| |||||||
1,485,855 | ||||||||
|
| |||||||
Pipelines — 1.4% | ||||||||
Cone Midstream Partners LP (c) | 39,000 | 739,050 | ||||||
Noble Midstream Partners LP (c) | 18,205 | 826,507 | ||||||
|
| |||||||
1,565,557 | ||||||||
|
| |||||||
4,070,693 | ||||||||
|
| |||||||
Financial — 23.9% | ||||||||
Banks — 9.5% | ||||||||
The Bank of NT Butterfield & Son Ltd. | 23,290 | 794,189 | ||||||
BankUnited, Inc. | 48,499 | 1,634,901 | ||||||
Chemical Financial Corp. | 22,012 | 1,065,601 | ||||||
Customers Bancorp, Inc. (a) | 24,140 | 682,679 | ||||||
FCB Financial Holdings, Inc. Class A (a) | 18,420 | 879,555 | ||||||
IBERIABANK Corp. | 22,650 | 1,845,975 | ||||||
MB Financial, Inc. | 52,080 | 2,293,603 | ||||||
Webster Financial Corp. | 32,580 | 1,701,328 | ||||||
|
| |||||||
10,897,831 | ||||||||
|
| |||||||
Diversified Financial Services — 1.0% | ||||||||
Stifel Financial Corp. (a) | 23,770 | 1,092,945 | ||||||
|
| |||||||
Insurance — 0.9% | ||||||||
James River Group Holdings Ltd. | 25,990 | 1,032,583 | ||||||
|
| |||||||
Real Estate — 1.0% | ||||||||
Realogy Holdings Corp. | 36,750 | 1,192,537 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 7.3% | ||||||||
Brandywine Realty Trust | 110,780 | 1,941,973 | ||||||
CYS Investments, Inc. | 205,540 | 1,728,591 | ||||||
DiamondRock Hospitality Co. | 121,050 | 1,325,498 | ||||||
Four Corners Property Trust, Inc. | 75,590 | 1,898,065 | ||||||
National Storage Affiliates Trust | 65,390 | 1,511,163 | ||||||
|
| |||||||
8,405,290 | ||||||||
|
| |||||||
Savings & Loans — 4.2% | ||||||||
Beneficial Bancorp, Inc. | 46,330 | 694,950 | ||||||
Berkshire Hills Bancorp, Inc. | 24,630 | 865,744 | ||||||
OceanFirst Financial Corp. | 26,280 | 712,714 | ||||||
Oritani Financial Corp. | 46,120 | 786,346 | ||||||
Sterling Bancorp | 53,500 | 1,243,875 | ||||||
WSFS Financial Corp. | 11,280 | 511,548 | ||||||
|
| |||||||
4,815,177 | ||||||||
|
| |||||||
27,436,363 | ||||||||
|
| |||||||
Industrial — 11.9% | ||||||||
Building Materials — 3.6% | ||||||||
Boise Cascade Co. (a) | 37,890 | 1,151,856 | ||||||
Masonite International Corp. (a) | 18,850 | 1,423,175 |
Number of Shares | Value | |||||||
Summit Materials, Inc. Class A (a) | 54,456 | $ | 1,572,145 | |||||
|
| |||||||
4,147,176 | ||||||||
|
| |||||||
Electrical Components & Equipment — 1.2% | ||||||||
Generac Holdings, Inc. (a) | 39,460 | 1,425,690 | ||||||
|
| |||||||
Electronics — 0.4% | ||||||||
Vishay Intertechnology, Inc. (b) | 30,440 | 505,304 | ||||||
|
| |||||||
Engineering & Construction — 2.3% | ||||||||
Dycom Industries, Inc. (a) (b) | 17,270 | 1,546,011 | ||||||
KBR, Inc. (b) | 68,160 | 1,037,395 | ||||||
|
| |||||||
2,583,406 | ||||||||
|
| |||||||
Environmental Controls — 0.8% | ||||||||
Advanced Disposal Services, Inc. (a) | 40,580 | 922,383 | ||||||
|
| |||||||
Machinery – Diversified — 0.6% | ||||||||
The Manitowoc Co., Inc. (a) | 104,830 | 630,028 | ||||||
|
| |||||||
Metal Fabricate & Hardware — 0.9% | ||||||||
Rexnord Corp. (a) | 46,660 | 1,084,845 | ||||||
|
| |||||||
Transportation — 1.2% | ||||||||
Genesee & Wyoming, Inc. Class A (a) | 19,720 | 1,348,651 | ||||||
|
| |||||||
Trucking & Leasing — 0.9% | ||||||||
The Greenbrier Cos., Inc. (b) | 22,980 | 1,062,825 | ||||||
|
| |||||||
13,710,308 | ||||||||
|
| |||||||
Technology — 13.6% | ||||||||
Computers — 1.7% | ||||||||
CACI International, Inc. Class A (a) | 16,010 | 2,002,050 | ||||||
|
| |||||||
Semiconductors — 4.9% | ||||||||
Brooks Automation, Inc. | 47,990 | 1,040,903 | ||||||
Cypress Semiconductor Corp. (b) | 59,353 | 810,168 | ||||||
MaxLinear, Inc. (a) | 42,640 | 1,189,230 | ||||||
MKS Instruments, Inc. | 18,390 | 1,237,647 | ||||||
Semtech Corp. (a) | 37,030 | 1,323,823 | ||||||
|
| |||||||
5,601,771 | ||||||||
|
| |||||||
Software — 7.0% | ||||||||
CommVault Systems, Inc. (a) | 15,900 | 897,555 | ||||||
Envestnet, Inc. (a) | 27,870 | 1,103,652 | ||||||
Guidewire Software, Inc. (a) | 17,870 | 1,227,848 | ||||||
j2 Global, Inc. | 22,721 | 1,933,330 | ||||||
Pegasystems, Inc. | 25,950 | 1,514,182 | ||||||
Zynga, Inc. Class A (a) | 377,270 | 1,373,263 | ||||||
|
| |||||||
8,049,830 | ||||||||
|
| |||||||
15,653,651 | ||||||||
|
| |||||||
Utilities — 2.7% | ||||||||
Electric — 1.8% | ||||||||
Portland General Electric Co. | 46,210 | 2,111,335 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
65
Table of Contents
MML Small Cap Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Water — 0.9% | ||||||||
American States Water Co. | 21,110 | $ | 1,000,825 | |||||
|
| |||||||
3,112,160 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $90,390,731) | 112,864,335 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $90,390,731) | 112,864,335 | |||||||
|
| |||||||
MUTUAL FUNDS — 12.6% | ||||||||
Diversified Financial Services — 12.6% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 14,503,159 | 14,503,159 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $14,503,159) | 14,503,159 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $104,893,890) | 127,367,494 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.7% | ||||||||
Repurchase Agreement — 1.7% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/17, 0.050%, due 7/03/17 (e) | $ | 1,923,497 | 1,923,497 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,923,497) | 1,923,497 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 112.6% (Cost $106,817,387) (f) | 129,290,991 | |||||||
Other Assets/(Liabilities) — (12.6)% | (14,434,541 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 114,856,450 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2017, was $14,140,966 or 12.31% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Security is a Master Limited Partnership. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $1,923,505. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 9/30/21, and an aggregate market value, including accrued interest, of $1,963,852. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
66
Table of Contents
MML Special Situations Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.2% | ||||||||
COMMON STOCK — 99.2% | ||||||||
Basic Materials — 11.1% | ||||||||
Chemicals — 10.4% | ||||||||
AdvanSix, Inc. (a) | 6,000 | $ | 187,440 | |||||
The Chemours Co. | 4,979 | 188,804 | ||||||
GCP Applied Technologies, Inc. (a) | 20,715 | 631,806 | ||||||
Ingevity Corp. (a) | 12,600 | 723,240 | ||||||
Valvoline, Inc. | 21,000 | 498,120 | ||||||
|
| |||||||
2,229,410 | ||||||||
|
| |||||||
Mining — 0.7% | ||||||||
Alcoa Corp. | 4,500 | 146,925 | ||||||
|
| |||||||
2,376,335 | ||||||||
|
| |||||||
Communications — 6.1% | ||||||||
Internet — 0.8% | ||||||||
Liberty Expedia Holdings, Inc. Class A (a) | 1,360 | 73,467 | ||||||
Liberty Ventures Series A (a) | 2,040 | 106,672 | ||||||
|
| |||||||
180,139 | ||||||||
|
| |||||||
Media — 5.3% | ||||||||
Cable One, Inc. | 500 | 355,450 | ||||||
Liberty Broadband Corp. Class A (a) | 3,500 | 300,265 | ||||||
Liberty Media Corp-Liberty SiriusXM Class A (a) | 5,600 | 235,088 | ||||||
Liberty Media Corp-Liberty SiriusXM Class C (a) | 5,600 | 233,520 | ||||||
|
| |||||||
1,124,323 | ||||||||
|
| |||||||
1,304,462 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.3% | ||||||||
Auto Parts & Equipment — 1.6% | ||||||||
Adient PLC | 1,000 | 65,380 | ||||||
Allison Transmission Holdings, Inc. | 7,600 | 285,076 | ||||||
|
| |||||||
350,456 | ||||||||
|
| |||||||
Distribution & Wholesale — 1.3% | ||||||||
WESCO International, Inc. (a) | 4,750 | 272,175 | ||||||
|
| |||||||
Entertainment — 2.7% | ||||||||
The Madison Square Garden Co. Class A (a) | 3,010 | 592,669 | ||||||
|
| |||||||
Retail — 0.7% | ||||||||
Yum China Holdings, Inc. (a) | 3,700 | 145,891 | ||||||
|
| |||||||
1,361,191 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 20.0% | ||||||||
Biotechnology — 1.5% | ||||||||
Bioverativ, Inc. (a) | 4,100 | 246,697 | ||||||
Theravance Biopharma, Inc. (a) | 1,800 | 71,712 | ||||||
|
| |||||||
318,409 | ||||||||
|
|
Number of Shares | Value | |||||||
Commercial Services — 3.9% | ||||||||
CDK Global, Inc. | 10,750 | $ | 667,145 | |||||
PayPal Holdings, Inc. (a) | 3,000 | 161,010 | ||||||
|
| |||||||
828,155 | ||||||||
|
| |||||||
Foods — 2.0% | ||||||||
Conagra Brands, Inc. | 8,500 | 303,960 | ||||||
Lamb Weston Holdings, Inc. | 2,833 | 124,766 | ||||||
|
| |||||||
428,726 | ||||||||
|
| |||||||
Health Care – Products — 3.8% | ||||||||
Danaher Corp. | 3,500 | 295,365 | ||||||
Halyard Health, Inc. (a) | 6,100 | 239,608 | ||||||
West Pharmaceutical Services, Inc. | 3,100 | 293,012 | ||||||
|
| |||||||
827,985 | ||||||||
|
| |||||||
Household Products & Wares — 1.0% | ||||||||
Avery Dennison Corp. | 2,400 | 212,088 | ||||||
|
| |||||||
Pharmaceuticals — 7.8% | ||||||||
AbbVie, Inc. | 6,300 | 456,813 | ||||||
Zoetis, Inc. | 19,700 | 1,228,886 | ||||||
|
| |||||||
1,685,699 | ||||||||
|
| |||||||
4,301,062 | ||||||||
|
| |||||||
Energy — 1.7% | ||||||||
Oil & Gas — 1.7% | ||||||||
Murphy USA, Inc. (a) | 5,000 | 370,550 | ||||||
|
| |||||||
Financial — 9.5% | ||||||||
Diversified Financial Services — 0.8% | ||||||||
Synchrony Financial | 5,900 | 175,938 | ||||||
|
| |||||||
Insurance — 0.4% | ||||||||
The Travelers Cos., Inc. | 700 | 88,571 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 6.2% | ||||||||
Colony Starwood Homes | 7,600 | 260,756 | ||||||
Four Corners Property Trust, Inc. | 10,300 | 258,633 | ||||||
Gaming and Leisure Properties, Inc. | 13,900 | 523,613 | ||||||
Mack-Cali Realty Corp. | 10,600 | 287,684 | ||||||
|
| |||||||
1,330,686 | ||||||||
|
| |||||||
Savings & Loans — 2.1% | ||||||||
Beneficial Bancorp, Inc. | 22,400 | 336,000 | ||||||
Poage Bankshares, Inc. | 5,400 | 103,680 | ||||||
|
| |||||||
439,680 | ||||||||
|
| |||||||
2,034,875 | ||||||||
|
| |||||||
Industrial — 27.8% | ||||||||
Aerospace & Defense — 2.1% | ||||||||
KLX, Inc. (a) | 9,000 | 450,000 | ||||||
|
| |||||||
Building Materials — 1.2% | ||||||||
Armstrong Flooring, Inc. (a) | 14,080 | 253,018 | ||||||
|
| |||||||
Electrical Components & Equipment — 1.3% | ||||||||
Energizer Holdings, Inc. | 5,700 | 273,714 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
67
Table of Contents
MML Special Situations Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Electronics — 14.2% | ||||||||
Allegion PLC | 8,500 | $ | 689,520 | |||||
Fortive Corp. | 18,100 | 1,146,635 | ||||||
Keysight Technologies, Inc. (a) | 7,770 | 302,486 | ||||||
Kimball Electronics, Inc. (a) | 30,483 | 550,218 | ||||||
Knowles Corp. (a) | 20,600 | 348,552 | ||||||
|
| |||||||
3,037,411 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 3.0% | ||||||||
Oshkosh Corp. | 9,500 | 654,360 | ||||||
|
| |||||||
Machinery – Diversified — 1.7% | ||||||||
AGCO Corp. | 5,500 | 370,645 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 4.3% | ||||||||
Pentair PLC | 5,200 | 346,008 | ||||||
Trinseo SA | 8,300 | 570,210 | ||||||
|
| |||||||
916,218 | ||||||||
|
| |||||||
5,955,366 | ||||||||
|
| |||||||
Technology — 14.3% | ||||||||
Computers — 14.3% | ||||||||
DXC Technology Co. | 3,874 | 297,213 | ||||||
Hewlett Packard Enterprise Co. | 45,100 | 748,209 | ||||||
Lumentum Holdings, Inc. (a) | 4,500 | 256,725 | ||||||
NCR Corp. (a) | 20,000 | 816,800 | ||||||
Science Applications International Corp. | 13,600 | 944,112 | ||||||
|
| |||||||
3,063,059 | ||||||||
|
| |||||||
Utilities — 2.4% | ||||||||
Gas — 2.4% | ||||||||
ONE Gas, Inc. | 7,300 | 509,613 | ||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $17,553,353) | 21,276,513 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $17,553,353) | 21,276,513 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $17,553,353) | 21,276,513 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.9% | ||||||||
Repurchase Agreement — 0.9% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/17, 0.050%, due 7/03/17 (b) | $ | 182,386 | 182,386 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $182,386) | 182,386 | |||||||
|
|
| Value | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $17,735,739) (c) | $ | 21,458,899 | ||||||
Other Assets/(Liabilities) — (0.1)% | (17,776 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 21,441,123 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $182,387. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity date of 6/30/19, and an aggregate market value, including accrued interest, of $190,913. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 91.1 | % | ||
Ireland | 5.1 | % | ||
Luxembourg | 2.7 | % | ||
Cayman Islands | 0.3 | % | ||
|
| |||
Total Long-Term Investments | 99.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
68
Table of Contents
MML Strategic Emerging Markets Fund – Portfolio of Investments
June 30, 2017 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 94.9% | ||||||||
COMMON STOCK — 93.9% | ||||||||
Bermuda — 2.0% | ||||||||
Credicorp Ltd. | 2,230 | $ | 400,040 | |||||
Jardine Strategic Holdings Ltd. | 41,162 | 1,717,440 | ||||||
|
| |||||||
2,117,480 | ||||||||
|
| |||||||
Brazil — 4.0% | ||||||||
BM&FBovespa SA-Bolsa de Valores Mercadorias e Futuros | 311,400 | 1,856,425 | ||||||
Embraer SA Sponsored ADR | 35,270 | 642,972 | ||||||
Estacio Participacoes SA | 142,300 | 627,977 | ||||||
Kroton Educacional SA | 98,319 | 441,306 | ||||||
Sul America SA | 102,434 | 547,280 | ||||||
Ultrapar Participacoes SA | 7,100 | 166,136 | ||||||
|
| |||||||
4,282,096 | ||||||||
|
| |||||||
Cayman Islands — 17.8% | ||||||||
3SBio, Inc. (a)(b) | 219,500 | 291,271 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) | 48,266 | 6,800,679 | ||||||
China Lodging Group Ltd. Sponsored ADR (a) | 16,081 | 1,297,415 | ||||||
Ctrip.com International Ltd. ADR (a) | 44,040 | 2,371,994 | ||||||
New Oriental Education & Technology Group, Inc. Sponsored ADR (a) | 16,570 | 1,168,019 | ||||||
SOHO China Ltd. | 90,000 | 44,390 | ||||||
Tencent Holdings Ltd. | 180,259 | 6,432,577 | ||||||
Tingyi Cayman Islands Holding Corp. | 66,000 | 78,286 | ||||||
Want Want China Holdings Ltd. | 1,010,000 | 681,791 | ||||||
Wuxi Biologics Cayman, Inc. (a)(b) | 17,500 | 65,899 | ||||||
|
| |||||||
19,232,321 | ||||||||
|
| |||||||
China — 4.5% | ||||||||
Jiangsu Hengrui Medicine Co. Ltd. Class A | 235,700 | 1,758,109 | ||||||
Kweichow Moutai Co. Ltd. Class A | 21,300 | 1,482,463 | ||||||
Sinopharm Group Co. Ltd. Class H | 362,000 | 1,641,234 | ||||||
|
| |||||||
4,881,806 | ||||||||
|
| |||||||
Colombia — 1.2% | ||||||||
Grupo Aval Acciones y Valores SA | 86,400 | 715,392 | ||||||
Grupo de Inversiones Suramericana SA | 42,387 | 550,790 | ||||||
|
| |||||||
1,266,182 | ||||||||
|
| |||||||
Egypt — 0.5% | ||||||||
Commercial International Bank Egypt SAE | 116,972 | 515,908 | ||||||
|
| |||||||
France — 3.6% | ||||||||
Kering | 7,055 | 2,415,559 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 5,796 | 1,453,996 | ||||||
|
| |||||||
3,869,555 | ||||||||
|
|
Number of Shares | Value | |||||||
Hong Kong — 4.3% | ||||||||
AIA Group Ltd. | 431,400 | $ | 3,153,163 | |||||
China Mobile Ltd. | 49,500 | 524,285 | ||||||
Hang Lung Group Ltd. | 67,000 | 277,198 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 26,177 | 676,784 | ||||||
|
| |||||||
4,631,430 | ||||||||
|
| |||||||
India — 13.7% | ||||||||
Apollo Hospitals Enterprise Ltd. (a) | 37,571 | 739,662 | ||||||
Biocon Ltd. (a) | 51,144 | 261,327 | ||||||
Cholamandalam Investment & Finance Co. Ltd. | 15,531 | 268,843 | ||||||
Dr. Reddy’s Laboratories Ltd. | 16,854 | 700,778 | ||||||
Glenmark Pharmaceuticals Ltd. | 28,701 | 281,282 | ||||||
Housing Development Finance Corp. Ltd. | 211,212 | 5,256,894 | ||||||
Infosys Ltd. | 167,063 | 2,424,550 | ||||||
Kotak Mahindra Bank Ltd. | 86,655 | 1,282,594 | ||||||
Lupin Ltd. | 3,926 | 64,311 | ||||||
Tata Consultancy Services Ltd. | 30,201 | 1,103,230 | ||||||
UltraTech Cement Ltd. | 12,731 | 778,474 | ||||||
Zee Entertainment Enterprises Ltd. | 213,748 | 1,626,258 | ||||||
|
| |||||||
14,788,203 | ||||||||
|
| |||||||
Indonesia — 2.1% | ||||||||
Astra International Tbk PT | 1,459,500 | 975,751 | ||||||
Bank Mandiri Persero Tbk PT | 748,600 | 714,336 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 382,000 | 528,221 | ||||||
Semen Indonesia Persero Tbk PT | 124,000 | 92,937 | ||||||
|
| |||||||
2,311,245 | ||||||||
|
| |||||||
Italy — 1.3% | ||||||||
PRADA SpA | 390,700 | 1,448,899 | ||||||
|
| |||||||
Japan — 0.9% | ||||||||
Murata Manufacturing Co. Ltd. | 6,400 | 975,157 | ||||||
|
| |||||||
Malaysia — 1.6% | ||||||||
Genting Bhd | 536,300 | 1,176,410 | ||||||
Genting Malaysia Bhd | 423,300 | 542,835 | ||||||
|
| |||||||
1,719,245 | ||||||||
|
| |||||||
Mexico — 5.1% | ||||||||
Fomento Economico Mexicano SAB de CV | 134,436 | 1,323,934 | ||||||
Fomento Economico Mexicano SAB de CV Sponsored ADR | 7,080 | 696,247 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 34,541 | 728,609 | ||||||
Grupo Financiero Banorte SAB de CV Class O | 151,180 | 959,205 | ||||||
Grupo Financiero Inbursa SAB de CV Class O | 575,220 | 981,586 | ||||||
Grupo Mexico SAB de CV Series B | 107,576 | 302,241 |
The accompanying notes are an integral part of the financial statements.
69
Table of Contents
MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Kimberly-Clark de Mexico SAB de CV Class A | 244,790 | $ | 518,074 | |||||
|
| |||||||
5,509,896 | ||||||||
|
| |||||||
Netherlands — 1.1% | ||||||||
Steinhoff International Holdings NV | 238,237 | 1,220,576 | ||||||
|
| |||||||
Nigeria — 0.6% | ||||||||
Nigerian Breweries PLC | 665,550 | 333,651 | ||||||
Zenith Bank PLC | 4,129,971 | 274,109 | ||||||
|
| |||||||
607,760 | ||||||||
|
| |||||||
Philippines — 3.5% | ||||||||
Ayala Corp. | 7,240 | 122,037 | ||||||
Ayala Land, Inc. | 710,400 | 559,764 | ||||||
Bank of the Philippine Islands | 55,090 | 113,533 | ||||||
BDO Unibank, Inc. | 44,590 | 109,628 | ||||||
Jollibee Foods Corp. | 136,840 | 554,176 | ||||||
SM Investments Corp. | 84,425 | 1,349,629 | ||||||
SM Prime Holdings, Inc. | 1,576,500 | 1,031,132 | ||||||
|
| |||||||
3,839,899 | ||||||||
|
| |||||||
Poland — 0.9% | ||||||||
Bank Pekao SA | 27,705 | 932,783 | ||||||
|
| |||||||
Republic of Korea — 3.8% | ||||||||
Celltrion, Inc. (a) | 1,474 | 148,250 | ||||||
LG Household & Health Care Ltd. | 1,655 | 1,436,179 | ||||||
NAVER Corp. | 2,406 | 1,757,154 | ||||||
Samsung Biologics Co. Ltd. (a)(b) | 2,837 | 724,064 | ||||||
|
| |||||||
4,065,647 | ||||||||
|
| |||||||
Russia — 7.0% | ||||||||
Alrosa PJSC (a) | 480,772 | 705,516 | ||||||
Magnit PJSC (a) | 19,272 | 2,998,709 | ||||||
Novatek PJSC Sponsored GDR (c) | 24,284 | 2,711,484 | ||||||
Sberbank of Russia PJSC Sponsored ADR | 114,330 | 1,184,306 | ||||||
|
| |||||||
7,600,015 | ||||||||
|
| |||||||
South Africa — 1.0% | ||||||||
FirstRand Ltd. | 143,598 | 517,859 | ||||||
Shoprite Holdings Ltd. | 36,643 | 558,433 | ||||||
|
| |||||||
1,076,292 | ||||||||
|
| |||||||
Spain — 0.4% | ||||||||
Prosegur Cash SA (a)(b) | 154,905 | 407,064 | ||||||
|
| |||||||
Taiwan — 5.8% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 916,000 | 6,250,729 | ||||||
|
| |||||||
Thailand — 0.2% | ||||||||
CP ALL PCL | 139,600 | 257,872 | ||||||
|
| |||||||
Turkey — 1.1% | ||||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS | 90,497 | 561,714 |
Number of Shares | Value | |||||||
BIM Birlesik Magazalar AS | 33,243 | $ | 615,951 | |||||
|
| |||||||
1,177,665 | ||||||||
|
| |||||||
United Arab Emirates — 2.0% | ||||||||
DP World Ltd. | 73,714 | 1,540,135 | ||||||
Emaar Properties PJSC | 284,916 | 600,723 | ||||||
First Abu Dhabi Bank PJSC | 19,225 | 54,951 | ||||||
|
| |||||||
2,195,809 | ||||||||
|
| |||||||
United Kingdom — 3.1% | ||||||||
Glencore PLC | 584,231 | 2,192,854 | ||||||
Hikma Pharmaceuticals PLC | 3,710 | 71,058 | ||||||
Mediclinic International PLC (d) | 39,920 | 385,462 | ||||||
Old Mutual PLC | 284,282 | 711,186 | ||||||
|
| |||||||
3,360,560 | ||||||||
|
| |||||||
United States — 0.8% | ||||||||
MercadoLibre, Inc. | 200 | 50,176 | ||||||
NIKE, Inc. Class B | 13,640 | 804,760 | ||||||
|
| |||||||
854,936 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $85,612,431) | 101,397,030 | |||||||
|
| |||||||
PREFERRED STOCK — 1.0% | ||||||||
Brazil — 0.9% | ||||||||
Lojas Americanas SA 0.610% | 246,700 | 1,042,531 | ||||||
|
| |||||||
India — 0.1% | ||||||||
Zee Entertainment Enterprises Ltd. 6.000% | 503,840 | 75,454 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $1,161,603) | 1,117,985 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $86,774,034) | 102,515,015 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.3% | ||||||||
United States — 0.3% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 295,994 | 295,994 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $295,994) | 295,994 | |||||||
|
| |||||||
RIGHTS — 0.5% | ||||||||
Russia — 0.5% | ||||||||
Moscow Exchange OAO (a) | 312,773 | 557,131 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $582,571) | 557,131 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $87,652,599) | 103,368,140 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
70
Table of Contents
MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 4.2% | ||||||||
Repurchase Agreement — 4.2% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 6/30/17, 0.050%, due 7/03/17 (f) | $ | 4,498,092 | $ | 4,498,092 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,498,092) | 4,498,092 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (Cost $92,150,691) (g) | 107,866,232 | |||||||
Other Assets/(Liabilities) — 0.1% | 106,376 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 107,972,608 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
(a) | Non-income producing security. |
(b) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $1,488,298 or 1.38% of net assets. |
(c) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2017, these securities amounted to a value of $2,711,484 or 2.51% of net assets. |
(d) | Denotes all or a portion of security on loan. The total value of securities on loan as of June 30, 2017, was $281,496 or 0.26% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(e) | Represents investment of security lending collateral. (Note 2). |
(f) | Maturity value of $4,498,110. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 9/30/21, and an aggregate market value, including accrued interest, of $4,590,824. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
71
Table of Contents
MML Series Investment Fund II – Financial Statements
Statements of Assets and Liabilities
June 30, 2017 (Unaudited)
MML Asset Momentum Fund | MML Dynamic Bond Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 22,882,356 | $ | 427,507,798 | ||||
Repurchase agreements, at value (Note 2) (b) | 2,015,648 | 13,568,738 | ||||||
Other short-term investments, at value (Note 2) (c) | - | 11,701 | ||||||
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Total investments (d) | 24,898,004 | 441,088,237 | ||||||
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Cash | 182 | 570,000 | ||||||
Foreign currency, at value (e) | - | - | ||||||
Receivables from: | ||||||||
Investments sold | - | 954,560 | ||||||
Collateral pledged for reverse repurchase agreements (Note 2) | - | - | ||||||
Open forward foreign currency contracts (Note 2) | 149,554 | - | ||||||
Investment adviser (Note 3) | 2,489 | - | ||||||
Fund shares sold | - | - | ||||||
Variation margin on open derivative instruments (Note 2) | 5,992 | - | ||||||
Interest and dividends | 20,242 | 2,690,426 | ||||||
Interest tax reclaim receivable | - | - | ||||||
Foreign taxes withheld | 5,766 | - | ||||||
Open swap agreements, at value (Note 2) | - | - | ||||||
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Total assets | 25,082,229 | 445,303,223 | ||||||
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Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | - | 1,290,375 | ||||||
Reverse repurchase agreements (Note 2) | - | - | ||||||
Interest for reverse repurchase agreements (Note 2) | - | - | ||||||
Open forward foreign currency contracts (Note 2) | 147,099 | - | ||||||
Investments purchased on a when-issued basis (Note 2) | - | 1,755,000 | ||||||
Fund shares repurchased | 33 | 112 | ||||||
Securities on loan (Note 2) | - | - | ||||||
Open swap agreements, at value (Note 2) | - | - | ||||||
Trustees’ fees and expenses (Note 3) | 916 | 18,968 | ||||||
Variation margin on open derivative instruments (Note 2) | - | - | ||||||
Collateral held for open derivative instruments (Note 2) | 260,000 | - | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 12,299 | 145,488 | ||||||
Administration fees | 3,075 | 54,558 | ||||||
Service fees | 694 | 2,162 | ||||||
Due to custodian | - | - | ||||||
Accrued expense and other liabilities | 18,295 | 54,744 | ||||||
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Total liabilities | 442,411 | 3,321,407 | ||||||
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Net assets | $ | 24,639,818 | $ | 441,981,816 | ||||
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Net assets consist of: | ||||||||
Paid-in capital | $ | 21,027,670 | $ | 439,209,574 | ||||
Undistributed (accumulated) net investment income (loss) | 38,019 | 3,426,209 | ||||||
Distributions in excess of net investment income | - | - | ||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 1,599,412 | (1,809,810 | ) | |||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 1,974,717 | 1,155,843 | ||||||
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Net assets | $ | 24,639,818 | $ | 441,981,816 | ||||
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(a) Cost of investments: | $ | 20,851,630 | $ | 426,351,955 | ||||
(b) Cost of repurchase agreements: | $ | 2,015,648 | $ | 13,568,738 | ||||
(c) Cost of other short-term investments: | $ | - | $ | 11,701 | ||||
(d) Securities on loan with market value of: | $ | - | $ | - | ||||
(e) Cost of foreign currency: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
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Table of Contents
MML Equity Rotation Fund | MML High Yield Fund | MML Inflation- Protected and Income Fund | MML Short-Duration Bond Fund | MML Small Cap Equity Fund | MML Special Situations Fund | MML Strategic Emerging Markets Fund | ||||||||||||||||||||
$ | 25,801,614 | $ | 131,459,057 | $ | 542,083,774 | $ | 233,017,314 | $ | 127,367,494 | $ | 21,276,513 | $ | 103,368,140 | |||||||||||||
741,270 | - | 383,123 | - | 1,923,497 | 182,386 | 4,498,092 | ||||||||||||||||||||
- | 544,766 | 199,818,729 | 3,633,763 | - | - | - | ||||||||||||||||||||
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26,542,884 | 132,003,823 | 742,285,626 | 236,651,077 | 129,290,991 | 21,458,899 | 107,866,232 | ||||||||||||||||||||
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- | - | - | - | - | - | 4,368 | ||||||||||||||||||||
- | - | - | - | - | - | 83,094 | ||||||||||||||||||||
957,339 | 3,190,733 | 6,129,436 | - | 583,214 | - | 501,800 | ||||||||||||||||||||
- | - | 1,445,000 | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
2,419 | 10,911 | - | 931 | - | 2,502 | 7,054 | ||||||||||||||||||||
- | 20,907 | 4,411,073 | 716 | 26,224 | - | 24,353 | ||||||||||||||||||||
- | - | 4,577 | 74,809 | - | - | - | ||||||||||||||||||||
17,959 | 2,003,590 | 1,571,247 | 1,252,943 | 143,899 | 10,357 | 300,999 | ||||||||||||||||||||
- | 608 | - | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | 18,307 | ||||||||||||||||||||
- | - | 330,222 | - | - | - | - | ||||||||||||||||||||
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27,520,601 | 137,230,572 | 756,177,181 | 237,980,476 | 130,044,328 | 21,471,758 | 108,806,207 | ||||||||||||||||||||
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999,721 | 4,226,216 | 7,769,353 | - | 511,415 | - | 208,526 | ||||||||||||||||||||
- | - | 318,409,617 | - | - | - | - | ||||||||||||||||||||
- | - | 482,829 | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
- | - | - | 247,000 | - | - | - | ||||||||||||||||||||
22 | 621 | 59,216 | 487,242 | 46,087 | 11 | 100,407 | ||||||||||||||||||||
- | - | - | - | 14,503,159 | - | 295,994 | ||||||||||||||||||||
- | - | 490,017 | 113,263 | - | - | - | ||||||||||||||||||||
935 | 17,803 | 79,421 | 28,846 | 30,469 | 846 | 10,181 | ||||||||||||||||||||
- | - | 358 | 1,055 | - | - | - | ||||||||||||||||||||
- | - | 910,000 | 490,000 | - | - | - | ||||||||||||||||||||
9,788 | 65,464 | 191,576 | 68,607 | 60,478 | 10,597 | 93,823 | ||||||||||||||||||||
3,263 | 16,366 | - | 29,403 | - | 2,649 | 13,404 | ||||||||||||||||||||
482 | 21,945 | 29,563 | 19,486 | 8,950 | 287 | 7,560 | ||||||||||||||||||||
- | - | 1,520,832 | 3 | - | - | - | ||||||||||||||||||||
16,356 | 40,000 | 55,708 | 38,138 | 27,320 | 16,245 | 103,704 | ||||||||||||||||||||
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1,030,567 | 4,388,415 | 329,998,490 | 1,523,043 | 15,187,878 | 30,635 | 833,599 | ||||||||||||||||||||
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$ | 26,490,034 | $ | 132,842,157 | $ | 426,178,691 | $ | 236,457,433 | $ | 114,856,450 | $ | 21,441,123 | $ | 107,972,608 | |||||||||||||
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$ | 21,083,309 | $ | 131,659,618 | $ | 429,568,436 | $ | 238,443,018 | $ | 78,656,664 | $ | 20,427,773 | $ | 105,949,508 | |||||||||||||
89,140 | 2,159,011 | 3,353,839 | 1,210,774 | 1,753,206 | 33,471 | - | ||||||||||||||||||||
- | - | - | - | - | - | (279,389 | ) | |||||||||||||||||||
554,877 | (2,851,861 | ) | (9,356,503 | ) | (3,888,059 | ) | 11,972,976 | (2,743,281 | ) | (13,386,910 | ) | |||||||||||||||
4,762,708 | 1,875,389 | 2,612,919 | 691,700 | 22,473,604 | 3,723,160 | 15,689,399 | ||||||||||||||||||||
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$ | 26,490,034 | $ | 132,842,157 | $ | 426,178,691 | $ | 236,457,433 | $ | 114,856,450 | $ | 21,441,123 | $ | 107,972,608 | |||||||||||||
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$ | 21,038,906 | $ | 129,583,668 | $ | 539,406,198 | $ | 232,433,779 | $ | 104,893,890 | $ | 17,553,353 | $ | 87,652,599 | |||||||||||||
$ | 741,270 | $ | - | $ | 383,123 | $ | - | $ | 1,923,497 | $ | 182,386 | $ | 4,498,092 | |||||||||||||
$ | - | $ | 544,766 | $ | 199,822,852 | $ | 3,633,863 | $ | - | $ | - | $ | - | |||||||||||||
$ | - | $ | - | $ | - | $ | - | $ | 14,140,966 | $ | - | $ | 281,496 | |||||||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 83,338 |
73
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Assets and Liabilities
June 30, 2017 (Unaudited)
MML Asset Momentum Fund | MML Dynamic Bond Fund | |||||||
Initial Class shares: | ||||||||
Net assets | $ | - | $ | - | ||||
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Shares outstanding (a) | - | - | ||||||
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Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
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Class II shares: | ||||||||
Net assets | $ | 23,469,287 | $ | 438,369,591 | ||||
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Shares outstanding (a) | 2,005,476 | 43,568,883 | ||||||
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Net asset value, offering price and redemption price per share | $ | 11.70 | $ | 10.06 | ||||
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Service Class shares: | ||||||||
Net assets | $ | - | $ | - | ||||
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Shares outstanding (a) | - | - | ||||||
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Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
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Service Class I shares: | ||||||||
Net assets | $ | 1,170,531 | $ | 3,612,225 | ||||
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Shares outstanding (a) | 100,357 | 359,805 | ||||||
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Net asset value, offering price and redemption price per share | $ | 11.66 | $ | 10.04 | ||||
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(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
74
Table of Contents
MML Equity Rotation Fund | MML High Yield Fund | MML Inflation- Protected and Income Fund | MML Short-Duration Bond Fund | MML Small Cap Equity Fund | MML Special Situations Fund | MML Strategic Emerging Markets Fund | ||||||||||||||||||||
$ | - | $ | - | $ | 378,942,920 | $ | - | $ | 99,818,916 | $ | - | $ | - | |||||||||||||
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- | - | 37,089,221 | - | 9,859,443 | - | - | ||||||||||||||||||||
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$ | - | $ | - | $ | 10.22 | $ | - | $ | 10.12 | $ | - | $ | - | |||||||||||||
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$ | 25,580,683 | $ | 97,052,771 | $ | - | $ | 205,572,678 | $ | - | $ | 20,921,716 | $ | 95,541,072 | |||||||||||||
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2,027,376 | 9,381,422 | - | 20,858,637 | - | 2,001,854 | 9,370,885 | ||||||||||||||||||||
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$ | 12.62 | $ | 10.35 | $ | - | $ | 9.86 | $ | - | $ | 10.45 | $ | 10.20 | |||||||||||||
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$ | - | $ | - | $ | 47,235,771 | $ | - | $ | 15,037,534 | $ | - | $ | - | |||||||||||||
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- | - | 4,645,008 | - | 1,509,687 | - | - | ||||||||||||||||||||
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$ | - | $ | - | $ | 10.17 | $ | - | $ | 9.96 | $ | - | $ | - | |||||||||||||
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$ | 909,351 | $ | 35,789,386 | $ | - | $ | 30,884,755 | $ | - | $ | 519,407 | $ | 12,431,536 | |||||||||||||
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72,264 | 3,472,555 | - | 3,138,513 | - | 49,849 | 1,217,294 | ||||||||||||||||||||
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$ | 12.58 | $ | 10.31 | $ | - | $ | 9.84 | $ | - | $ | 10.42 | $ | 10.21 | |||||||||||||
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75
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
For the Six Months Ended June 30, 2017 (Unaudited)
MML Asset Momentum Fund | MML Dynamic Bond Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | 138,459 | $ | 188,921 | ||||
Interest (b) | 18,645 | 7,450,268 | ||||||
Securities lending net income | - | - | ||||||
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Total investment income | 157,104 | 7,639,189 | ||||||
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Expenses (Note 3): | ||||||||
Investment advisory fees | 70,534 | 858,958 | ||||||
Custody fees | 2,551 | 23,191 | ||||||
Interest expense | - | - | ||||||
Audit fees | 15,346 | 26,515 | ||||||
Legal fees | 82 | 1,705 | ||||||
Proxy fees | 485 | 485 | ||||||
Shareholder reporting fees | 2,448 | 17,942 | ||||||
Trustees’ fees | 572 | 11,176 | ||||||
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92,018 | 939,972 | |||||||
Administration fees: | ||||||||
Class II | 16,807 | 319,672 | ||||||
Service Class I | 826 | 2,437 | ||||||
Service fees: | ||||||||
Service Class | - | - | ||||||
Service Class I | 1,377 | 4,063 | ||||||
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Total expenses | 111,028 | 1,266,144 | ||||||
Expenses waived (Note 3) : | ||||||||
Class II fees reimbursed by adviser | (14,873 | ) | - | |||||
Service Class I fees reimbursed by adviser | (731 | ) | - | |||||
Class II advisory fees waived | - | - | ||||||
Service Class I advisory fees waived | - | - | ||||||
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Net expenses | 95,424 | 1,266,144 | ||||||
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Net investment income (loss) | 61,680 | 6,373,045 | ||||||
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Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | (208,976 | ) | (1,038,022 | ) | ||||
Futures contracts | 1,188,647 | - | ||||||
Swap agreements | - | - | ||||||
Foreign currency transactions | 123,260 | - | ||||||
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Net realized gain (loss) | 1,102,931 | (1,038,022 | ) | |||||
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Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 1,851,221 | 7,607,578 | ||||||
Futures contracts | (26,447 | ) | - | |||||
Swap agreements | - | - | ||||||
Translation of assets and liabilities in foreign currencies | (75,142 | ) | - | |||||
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Net change in unrealized appreciation (depreciation) | 1,749,632 | 7,607,578 | ||||||
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Net realized gain (loss) and change in unrealized appreciation (depreciation) | 2,852,563 | 6,569,556 | ||||||
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Net increase (decrease) in net assets resulting from operations | $ | 2,914,243 | $ | 12,942,601 | ||||
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(a) Net of foreign withholding tax of: | $ | 4,313 | $ | - | ||||
(b) Net of foreign withholding tax of: | $ | - | $ | - | ||||
* Net Increase (decrease) in accrued foreign capital gains tax of: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
76
Table of Contents
MML Equity Rotation Fund | �� | MML High Yield Fund | MML Inflation- Protected and Income Fund | MML Short-Duration Bond Fund | MML Small Cap Equity Fund | MML Special Situations Fund | MML Strategic Emerging Markets Fund | |||||||||||||||||||
$ | 170,980 | $ | - | $ | - | $ | - | $ | 805,373 | $ | 117,790 | $ | 1,109,757 | |||||||||||||
175 | 4,966,148 | 8,461,806 | 3,118,293 | 364 | 35 | 4,909 | ||||||||||||||||||||
- | - | - | - | 36,969 | - | 1,529 | ||||||||||||||||||||
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171,155 | 4,966,148 | 8,461,806 | 3,118,293 | 842,706 | 117,825 | 1,116,195 | ||||||||||||||||||||
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56,235 | 385,818 | 1,156,971 | 409,832 | 360,877 | 62,366 | 541,268 | ||||||||||||||||||||
1,605 | 28,958 | 42,883 | 26,242 | 11,467 | 1,395 | 110,663 | ||||||||||||||||||||
- | - | 1,599,701 | - | - | - | - | ||||||||||||||||||||
15,346 | 18,356 | 19,145 | 18,654 | 17,977 | 15,344 | 29,296 | ||||||||||||||||||||
84 | 588 | 1,754 | 760 | 406 | 73 | 384 | ||||||||||||||||||||
485 | 485 | 485 | 485 | 485 | 485 | 486 | ||||||||||||||||||||
2,523 | 7,140 | 19,087 | 10,676 | 5,583 | 2,348 | 5,095 | ||||||||||||||||||||
602 | 3,612 | 11,362 | 5,826 | 2,832 | 515 | 2,585 | ||||||||||||||||||||
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76,880 | 444,957 | 2,851,388 | 472,475 | 399,627 | 82,526 | 689,777 | ||||||||||||||||||||
18,256 | 71,284 | - | 152,500 | - | 15,270 | 68,810 | ||||||||||||||||||||
489 | 25,171 | - | 23,143 | - | 321 | 8,513 | ||||||||||||||||||||
- | - | 58,955 | - | 17,426 | - | - | ||||||||||||||||||||
816 | 41,952 | - | 38,572 | - | 536 | 14,189 | ||||||||||||||||||||
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96,441 | 583,364 | 2,910,343 | 686,690 | 417,053 | 98,653 | 781,289 | ||||||||||||||||||||
(14,010 | ) | - | - | (3,578 | ) | - | (14,651 | ) | (21,945 | ) | ||||||||||||||||
(384 | ) | - | - | (513 | ) | - | (309 | ) | (2,850 | ) | ||||||||||||||||
- | (47,507 | ) | - | - | - | - | (18,348 | ) | ||||||||||||||||||
- | (16,797 | ) | - | - | - | - | (2,272 | ) | ||||||||||||||||||
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82,047 | 519,060 | 2,910,343 | 682,599 | 417,053 | 83,693 | 735,874 | ||||||||||||||||||||
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89,108 | 4,447,088 | 5,551,463 | 2,435,694 | 425,653 | 34,132 | 380,321 | ||||||||||||||||||||
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1,609,156 | 2,475,422 | 225,600 | (74,482 | ) | 7,641,073 | (156,937 | ) | 880,021 | ||||||||||||||||||
- | - | (144,132 | ) | 370,956 | - | - | - | |||||||||||||||||||
- | - | 46,681 | (1,446 | ) | - | - | - | |||||||||||||||||||
- | - | - | - | - | - | (42,019 | ) | |||||||||||||||||||
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1,609,156 | 2,475,422 | 128,149 | 295,028 | 7,641,073 | (156,937 | ) | 838,002 | |||||||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||
1,070,414 | 683,751 | (861,730 | ) | 1,427,267 | (341,104 | ) | 1,632,828 | 15,756,396 | * | |||||||||||||||||
- | - | (18,993 | ) | 144,327 | - | - | - | |||||||||||||||||||
- | - | (436,085 | ) | (62,606 | ) | - | - | - | ||||||||||||||||||
- | - | - | - | - | - | 1,084 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
1,070,414 | 683,751 | (1,316,808 | ) | 1,508,988 | (341,104 | ) | 1,632,828 | 15,757,480 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
2,679,570 | 3,159,173 | (1,188,659 | ) | 1,804,016 | 7,299,969 | 1,475,891 | 16,595,482 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 2,768,678 | $ | 7,606,261 | $ | 4,362,804 | $ | 4,239,710 | $ | 7,725,622 | $ | 1,510,023 | $ | 16,975,803 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 845 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 141,117 | |||||||||||||
$ | - | $ | - | $ | - | $ | 35 | $ | - | $ | - | $ | - | |||||||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 8,276 |
77
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Changes in Net Assets
MML Asset Momentum Fund | ||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 61,680 | $ | 48,522 | ||||
Net realized gain (loss) on investment transactions | 1,102,931 | 1,914,926 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,749,632 | 18,084 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 2,914,243 | 1,981,532 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: |
| |||||||
Class II | - | (143,267 | ) | |||||
Service Class I | - | (4,891 | ) | |||||
|
|
|
| |||||
Total distributions from net investment income | - | (148,158 | ) | |||||
|
|
|
| |||||
From net realized gains: |
| |||||||
Class II | - | - | ||||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Total distributions from net realized gains | - | - | ||||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class II | - | 143,267 | ||||||
Service Class I | 109,155 | 635,192 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 109,155 | 778,459 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 3,023,398 | 2,611,833 | ||||||
Net assets | ||||||||
Beginning of period | 21,616,420 | 19,004,587 | ||||||
|
|
|
| |||||
End of period | $ | 24,639,818 | $ | 21,616,420 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | 38,019 | $ | - | ||||
|
|
|
| |||||
Distributions in excess of net investment income included in net assets at end of period | $ | - | $ | (23,661 | ) | |||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
78
Table of Contents
MML Dynamic Bond Fund | MML Equity Rotation Fund | |||||||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||||||
$ | 6,373,045 | $ | 13,637,337 | $ | 89,108 | $ | 261,658 | |||||||
(1,038,022 | ) | 2,556,483 | 1,609,156 | (824,002 | ) | |||||||||
7,607,578 | 3,883,530 | 1,070,414 | 4,034,860 | |||||||||||
|
|
|
|
|
|
|
| |||||||
12,942,601 | 20,077,350 | 2,768,678 | 3,472,516 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(3,978,607 | ) | (12,384,957 | ) | - | (257,157 | ) | ||||||||
(28,484 | ) | (61,280 | ) | - | (4,270 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(4,007,091 | ) | (12,446,237 | ) | - | (261,427 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(1,628,041 | ) | - | - | - | ||||||||||
(12,410 | ) | - | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
(1,640,451 | ) | - | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
9,503,356 | 13,596,663 | - | 257,157 | |||||||||||
652,358 | 2,536,553 | 411,747 | 252,558 | |||||||||||
|
|
|
|
|
|
|
| |||||||
10,155,714 | 16,133,216 | 411,747 | 509,715 | |||||||||||
|
|
|
|
|
|
|
| |||||||
17,450,773 | 23,764,329 | 3,180,425 | 3,720,804 | |||||||||||
424,531,043 | 400,766,714 | 23,309,609 | 19,588,805 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 441,981,816 | $ | 424,531,043 | $ | 26,490,034 | $ | 23,309,609 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 3,426,209 | $ | 1,060,255 | $ | 89,140 | $ | 32 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | - | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
|
79
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Changes in Net Assets
MML High Yield Fund | ||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 4,447,088 | $ | 10,569,874 | ||||
Net realized gain (loss) on investment transactions | 2,475,422 | (1,015,880 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 683,751 | 12,493,725 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 7,606,261 | 22,047,719 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: |
| |||||||
Initial Class | - | - | ||||||
Class II | (1,742,629 | ) | (8,197,683 | ) | ||||
Service Class | - | - | ||||||
Service Class I | (615,111 | ) | (1,979,564 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (2,357,740 | ) | (10,177,247 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | - | - | ||||||
Class II | (2,057,370 | ) | (28,408,601 | ) | ||||
Service Class | - | - | ||||||
Service Class I | 3,525,198 | 2,367,805 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 1,467,828 | (26,040,796 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 6,716,349 | (14,170,324 | ) | |||||
Net assets | ||||||||
Beginning of period | 126,125,808 | 140,296,132 | ||||||
|
|
|
| |||||
End of period | $ | 132,842,157 | $ | 126,125,808 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | 2,159,011 | $ | 69,663 | ||||
|
|
|
| |||||
Distributions in excess of net investment income included in net assets at end of period | $ | - | $ | - | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
80
Table of Contents
MML Inflation-Protected and Income Fund | MML Short-Duration Bond Fund | |||||||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||||||
$ | 5,551,463 | $ | 8,476,980 | $ | 2,435,694 | $ | 3,403,510 | |||||||
128,149 | 2,087,381 | 295,028 | (22,334 | ) | ||||||||||
(1,316,808 | ) | 11,082,174 | 1,508,988 | 1,376,377 | ||||||||||
|
|
|
|
|
|
|
| |||||||
4,362,804 | 21,646,535 | 4,239,710 | 4,757,553 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(2,509,913 | ) | (9,077,612 | ) | - | - | |||||||||
- | - | (1,451,658 | ) | (3,741,339 | ) | |||||||||
(287,854 | ) | (1,014,617 | ) | - | - | |||||||||
- | - | (199,672 | ) | (560,359 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
(2,797,767 | ) | (10,092,229 | ) | (1,651,330 | ) | (4,301,698 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
2,389,771 | (15,322,801 | ) | - | - | ||||||||||
- | - | 13,881 | 47,725,913 | |||||||||||
64,338 | (2,110,692 | ) | - | - | ||||||||||
- | - | (1,225,111 | ) | 7,587,141 | ||||||||||
|
|
|
|
|
|
|
| |||||||
2,454,109 | (17,433,493 | ) | (1,211,230 | ) | 55,313,054 | |||||||||
|
|
|
|
|
|
|
| |||||||
4,019,146 | (5,879,187 | ) | 1,377,150 | 55,768,909 | ||||||||||
422,159,545 | 428,038,732 | 235,080,283 | 179,311,374 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 426,178,691 | $ | 422,159,545 | $ | 236,457,433 | $ | 235,080,283 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 3,353,839 | $ | 600,143 | $ | 1,210,774 | $ | 426,410 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | - | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
|
81
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Changes in Net Assets
MML Small Cap Equity Fund | ||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 425,653 | $ | 1,189,742 | ||||
Net realized gain (loss) on investment transactions | 7,641,073 | 6,363,213 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (341,104 | ) | 9,716,409 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 7,725,622 | 17,269,364 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Initial Class | - | (946,569 | ) | |||||
Class II | - | - | ||||||
Service Class | - | (97,330 | ) | |||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Total distributions from net investment income | - | (1,043,899 | ) | |||||
|
|
|
| |||||
From net realized gains: | ||||||||
Initial Class | - | (2,038,912 | ) | |||||
Service Class | - | (268,264 | ) | |||||
|
|
|
| |||||
Total distributions from net realized gains | - | (2,307,176 | ) | |||||
|
|
|
| |||||
Tax return of capital: | ||||||||
Class II | - | - | ||||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Total tax return of capital | - | - | ||||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | (4,706,836 | ) | (4,113,501 | ) | ||||
Class II | - | - | ||||||
Service Class | 811,970 | 509,259 | ||||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (3,894,866 | ) | (3,604,242 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | 3,830,756 | 10,314,047 | ||||||
Net assets | ||||||||
Beginning of period | 111,025,694 | 100,711,647 | ||||||
|
|
|
| |||||
End of period | $ | 114,856,450 | $ | 111,025,694 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of period | $ | 1,753,206 | $ | 1,327,553 | ||||
|
|
|
| |||||
Distributions in excess of net investment income included in net assets at end of period | $ | - | $ | - | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
82
Table of Contents
MML Special Situations Fund | MML Strategic Emerging Markets Fund | |||||||||||||
Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | Six Months Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||||||
$ | 34,132 | $ | 75,523 | $ | 380,321 | $ | 247,842 | |||||||
(156,937 | ) | (833,481 | ) | 838,002 | (3,887,465 | ) | ||||||||
1,632,828 | 3,466,670 | 15,757,480 | 10,037,410 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,510,023 | 2,708,712 | 16,975,803 | 6,397,787 | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
- | (75,321 | ) | - | (401,484 | ) | |||||||||
- | - | - | - | |||||||||||
- | (957 | ) | - | (22,753 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
- | (76,278 | ) | - | (424,237 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | (35,171 | ) | - | - | ||||||||||
- | (447 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
- | (35,618 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
- | 110,492 | (5,893,414 | ) | (3,478,523 | ) | |||||||||
- | - | - | - | |||||||||||
131,369 | 133,267 | 688,122 | 942,536 | |||||||||||
|
|
|
|
|
|
|
| |||||||
131,369 | 243,759 | (5,205,292 | ) | (2,535,987 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
1,641,392 | 2,840,575 | 11,770,511 | 3,437,563 | |||||||||||
19,799,731 | 16,959,156 | 96,202,097 | 92,764,534 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 21,441,123 | $ | 19,799,731 | $ | 107,972,608 | $ | 96,202,097 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 33,471 | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
| |||||||
$ | - | $ | (661 | ) | $ | (279,389 | ) | $ | (659,710 | ) | ||||
|
|
|
|
|
|
|
|
83
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
For the Six Months Ended June 30, 2017 (Unaudited)
MML Inflation- Protected and Income Fund | ||||
Cash flows from operating activities: | ||||
Net increase (decrease) in net assets resulting from operations | $ | 4,362,804 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (50,793,984 | ) | ||
Investments sold | 115,899,114 | |||
(Increase ) Decrease to the principal amount of inflation-indexed bonds | (4,223,641 | ) | ||
(Purchase) Sale of short-term investments, net | (58,927,603 | ) | ||
Amortization (accretion) of discount and premium, net | 580,452 | |||
(Increase) Decrease in receivable from interest and dividends | (7,400 | ) | ||
(Increase) Decrease in receivable for open swap agreements | 144,129 | |||
Increase (Decrease) in payable for Trustees' fees and expenses | (175 | ) | ||
Increase (Decrease) in payable for investment advisory fees | (2,356 | ) | ||
Increase (Decrease) in payable for service fees | (613 | ) | ||
Increase (Decrease) in payable for open swap agreements | 290,426 | |||
Increase (Decrease) in collateral held for open derivative instrument | 910,000 | |||
Increase (Decrease) in variation margin receivable on open derivative instrument | (31,883 | ) | ||
Increase (Decrease) in payable for accrued expenses and other liabilities | (8,084 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 861,730 | |||
Net realized (gain) loss from investments | (225,600 | ) | ||
|
| |||
Net cash from (used in) operating activities | 8,827,316 | |||
|
| |||
Cash flows from (used in) financing activities: | ||||
Increase (Decrease) in due to custodian | (436,305 | ) | ||
Proceeds from shares sold | 25,741,112 | |||
Payment on shares redeemed | (30,496,954 | ) | ||
Net increase (decrease) in reverse repurchase agreements | (10,314,721 | ) | ||
Increase (Decrease) in collateral pledged for reverse repurchase agreements | 6,641,080 | |||
Increase (Decrease) in payable for interest for reverse repurchase agreements | 38,472 | |||
|
| |||
Net cash from (used in) financing activities | (8,827,316 | ) | ||
|
| |||
Net increase (decrease) in cash | - | |||
Cash at beginning of period | - | |||
|
| |||
Cash at end of period | $ | - | ||
|
| |||
Non cash financing activities not included herein consist of: | ||||
Reinvestment of all distributions | $ | 2,797,767 | ||
Cash paid out for interest on reverse repurchase agreements | $ | 1,561,229 |
The accompanying notes are an integral part of the financial statements.
84
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Asset Momentum Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 10.32 | $ | 0.03 | $ | 1.35 | $ | 1.38 | $ | - | $ | - | $ | - | $ | 11.70 | 13.37% | b | $ | 23,469 | 0.93% | a | 0.80% | a | 0.54% | a | ||||||||||||||||||||||||||
12/31/16 | 9.43 | 0.02 | 0.94 | 0.96 | (0.07 | ) | - | (0.07 | ) | 10.32 | 10.20% | 20,688 | 0.97% | 0.80% | 0.25% | |||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.00 | d | (0.56 | ) | (0.56 | ) | (0.00 | )d | (0.01 | ) | (0.01 | ) | 9.43 | (5.62% | )b | 18,773 | 1.25% | a | 0.80% | a | 0.01% | a | |||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 10.29 | $ | 0.02 | $ | 1.35 | $ | 1.37 | $ | - | $ | - | $ | - | $ | 11.66 | 13.31% | b | $ | 1,171 | 1.18% | a | 1.05% | a | 0.30% | a | ||||||||||||||||||||||||||
12/31/16 | 9.42 | 0.01 | 0.92 | 0.93 | (0.06 | ) | - | (0.06 | ) | 10.29 | 9.85% | 929 | 1.22% | 1.05% | 0.13% | |||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | (0.02 | ) | (0.56 | ) | (0.58 | ) | - | - | - | 9.42 | (5.80% | )b | 232 | 1.50% | a | 1.05% | a | (0.25% | )a |
Six months ended June 30, 2017b,r | Year ended December 31, 2016 | Period ended December 31, 2015b | ||||||||||
Portfolio turnover rate | 14 | % | 82 | % | 141 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
85
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Dynamic Bond Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 9.89 | $ | 0.15 | $ | 0.15 | $ | 0.30 | $ | (0.09 | ) | (0.04 | ) | $ | (0.13 | ) | $ | 10.06 | 3.07% | b | $ | 438,370 | 0.59% | a | 0.59% | a,l | 2.97% | a | ||||||||||||||||||||||||
12/31/16 | 9.71 | 0.33 | 0.15 | 0.48 | (0.30 | ) | - | (0.30 | ) | 9.89 | 4.94% | 421,624 | 0.59% | 0.59% | l | 3.27% | ||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.17 | (0.30 | ) | (0.13 | ) | (0.16 | ) | - | (0.16 | ) | 9.71 | (1.34% | )b | 400,385 | 0.61% | a | 0.60% | a | 2.78% | a | |||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 9.88 | $ | 0.14 | $ | 0.15 | $ | 0.29 | $ | (0.09 | ) | (0.04 | ) | $ | (0.13 | ) | $ | 10.04 | 2.91% | b | $ | 3,612 | 0.84% | a | 0.84% | a,l | 2.73% | a | ||||||||||||||||||||||||
12/31/16 | 9.71 | 0.31 | 0.14 | 0.45 | (0.28 | ) | - | (0.28 | ) | 9.88 | 4.67% | 2,907 | 0.84% | 0.84% | l | 3.14% | ||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.15 | (0.29 | ) | (0.14 | ) | (0.15 | ) | - | (0.15 | ) | 9.71 | (1.45% | )b | 382 | 0.86% | a | 0.85% | a | 2.39% | a |
Six months ended June 30, 2017b,r | Year ended December 31, 2016 | Period ended December 31, 2015b | ||||||||||
Portfolio turnover rate | 48 | % | 79 | % | 106 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
l | Expenses incurred during the period fell under the expense cap. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
86
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Equity Rotation Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 11.28 | $ | 0.04 | $ | 1.30 | $ | 1.34 | $ | - | $ | - | $ | - | $ | 12.62 | 11.88% | b | $ | 25,581 | 0.77% | a | 0.65% | a | 0.72% | a | ||||||||||||||||||||||||||
12/31/16 | 9.71 | 0.13 | 1.57 | 1.70 | (0.13 | ) | - | (0.13 | ) | 11.28 | 17.48% | 22,878 | 0.76% | 0.65% | 1.28% | |||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.07 | (0.29 | ) | (0.22 | ) | (0.06 | ) | (0.01 | ) | (0.07 | ) | 9.71 | (2.18% | )b | 19,462 | 0.96% | a | 0.65% | a | 1.06% | a | ||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 11.27 | $ | 0.03 | $ | 1.28 | $ | 1.31 | $ | - | $ | - | $ | - | $ | 12.58 | 11.62% | b | $ | 909 | 1.02% | a | 0.90% | a | 0.48% | a | ||||||||||||||||||||||||||
12/31/16 | 9.71 | 0.09 | 1.58 | 1.67 | (0.11 | ) | - | (0.11 | ) | 11.27 | 17.22% | 431 | 1.01% | 0.90% | 0.92% | |||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.05 | (0.28 | ) | (0.23 | ) | (0.06 | ) | (0.00 | )d | (0.06 | ) | 9.71 | (2.32% | )b | 127 | 1.21% | a | 0.90% | a | 0.80% | a |
Six months ended June 30, 2017b,r | Year ended December 31, 2016 | Period ended December 31, 2015b | ||||||||||
Portfolio turnover rate | 28 | % | 90 | % | 39 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
87
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML High Yield Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 9.93 | $ | 0.35 | $ | 0.26 | $ | 0.61 | $ | (0.19 | ) | $ | - | $ | - | $ | (0.19 | ) | $ | 10.35 | 6.18% | b | $ | 97,053 | 0.84% | a | 0.74% | a | 6.98% | a | ||||||||||||||||||||||||||
12/31/16 | 9.17 | 0.71 | 0.76 | 1.47 | (0.71 | ) | - | - | (0.71 | ) | 9.93 | 16.48% | 95,180 | 0.84% | 0.74% | 7.42% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 9.98 | 0.65 | (0.74 | ) | (0.09 | ) | (0.66 | ) | (0.06 | ) | (0.00 | )d | (0.72 | ) | 9.17 | (1.13% | ) | 113,880 | 0.83% | 0.71% | 6.56% | |||||||||||||||||||||||||||||||||||
12/31/14 | 11.03 | 0.72 | (0.57 | ) | 0.15 | (0.74 | ) | (0.46 | ) | - | (1.20 | ) | 9.98 | 1.05% | 116,277 | 0.83% | 0.69% | 6.62% | ||||||||||||||||||||||||||||||||||||||
12/31/13 | 10.93 | 0.76 | 0.38 | 1.14 | (0.74 | ) | (0.30 | ) | - | (1.04 | ) | 11.03 | 10.84% | 129,251 | 0.84% | 0.69% | 6.88% | |||||||||||||||||||||||||||||||||||||||
12/31/12 | 10.03 | 0.74 | 0.89 | 1.63 | (0.67 | ) | (0.06 | ) | - | (0.73 | ) | 10.93 | 16.76% | 122,192 | 0.86% | 0.69% | 7.01% | |||||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 9.90 | $ | 0.34 | $ | 0.25 | $ | 0.59 | $ | (0.18 | ) | $ | - | $ | - | $ | (0.18 | ) | $ | 10.31 | 6.04% | b | $ | 35,789 | 1.09% | a | 0.99% | a | 6.73% | a | ||||||||||||||||||||||||||
12/31/16 | 9.14 | 0.69 | 0.75 | 1.44 | (0.68 | ) | - | - | (0.68 | ) | 9.90 | 16.25% | 30,946 | 1.09% | 0.99% | 7.19% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 9.95 | 0.62 | (0.73 | ) | (0.11 | ) | (0.64 | ) | (0.06 | ) | (0.00 | )d | (0.70 | ) | 9.14 | (1.39% | ) | 26,416 | 1.08% | 0.97% | 6.31% | |||||||||||||||||||||||||||||||||||
12/31/14 | 11.01 | 0.69 | (0.58 | ) | 0.11 | (0.71 | ) | (0.46 | ) | - | (1.17 | ) | 9.95 | 0.71% | 25,255 | 1.08% | 0.94% | 6.38% | ||||||||||||||||||||||||||||||||||||||
12/31/13 | 10.91 | 0.73 | 0.38 | 1.11 | (0.71 | ) | (0.30 | ) | - | (1.01 | ) | 11.01 | 10.59% | 22,141 | 1.09% | 0.94% | 6.63% | |||||||||||||||||||||||||||||||||||||||
12/31/12 | 10.01 | 0.72 | 0.89 | 1.61 | (0.65 | ) | (0.06 | ) | - | (0.71 | ) | 10.91 | 16.53% | 16,699 | 1.11% | 0.94% | 6.77% |
Six months ended June 30, 2017b,r | Year ended December 31 | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Portfolio turnover rate | 39 | % | 59 | % | 70 | % | 79 | % | 113 | % | 95 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
88
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Inflation-Protected and Income Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assetsn | Interest expenses to average daily net assetsp | Net investment income (loss) to average daily net assetsn | ||||||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 10.18 | $ | 0.13 | $ | (0.02 | ) | $ | 0.11 | $ | (0.07 | ) | $ | - | $ | (0.07 | ) | $ | 10.22 | 1.06% | b | $ | 378,943 | 1.35% | a | 0.76% | a | 2.65% | a | |||||||||||||||||||||||
12/31/16 | 9.92 | 0.21 | 0.30 | 0.51 | (0.25 | ) | - | (0.25 | ) | 10.18 | 5.10% | 375,135 | 1.13% | 0.53% | 2.00% | |||||||||||||||||||||||||||||||||||||
12/31/15 | 10.18 | 0.06 | (0.20 | ) | (0.14 | ) | (0.12 | ) | - | (0.12 | ) | 9.92 | (1.41% | ) | 380,221 | 0.84% | 0.25% | 0.58% | ||||||||||||||||||||||||||||||||||
12/31/14 | 10.35 | 0.19 | 0.16 | 0.35 | (0.29 | ) | (0.23 | ) | (0.52 | ) | 10.18 | 3.45% | 412,861 | 0.73% | 0.13% | 1.85% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.86 | 0.16 | (1.16 | ) | (1.00 | ) | (0.21 | ) | (0.30 | ) | (0.51 | ) | 10.35 | (8.68% | ) | 326,380 | 0.77% | 0.17% | 1.45% | |||||||||||||||||||||||||||||||||
12/31/12 | 11.56 | 0.32 | 0.47 | 0.79 | (0.38 | ) | (0.11 | ) | (0.49 | ) | 11.86 | 6.89% | 365,094 | 0.81% | 0.21% | 2.70% | ||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 10.14 | $ | 0.12 | $ | (0.03 | ) | $ | 0.09 | $ | (0.06 | ) | $ | - | $ | (0.06 | ) | $ | 10.17 | 0.90% | b | $ | 47,236 | 1.60% | a | 0.76% | a | 2.41% | a | |||||||||||||||||||||||
12/31/16 | 9.87 | 0.18 | 0.31 | 0.49 | (0.22 | ) | - | (0.22 | ) | 10.14 | 4.90% | 47,025 | 1.38% | 0.53% | 1.77% | |||||||||||||||||||||||||||||||||||||
12/31/15 | 10.14 | 0.03 | (0.20 | ) | (0.17 | ) | (0.10 | ) | - | (0.10 | ) | 9.87 | (1.65% | ) | 47,818 | 1.09% | 0.25% | 0.33% | ||||||||||||||||||||||||||||||||||
12/31/14 | 10.32 | 0.18 | 0.14 | 0.32 | (0.27 | ) | (0.23 | ) | (0.50 | ) | 10.14 | 3.16% | 52,008 | 0.98% | 0.13% | 1.75% | ||||||||||||||||||||||||||||||||||||
12/31/13 | 11.83 | 0.13 | (1.16 | ) | (1.03 | ) | (0.18 | ) | (0.30 | ) | (0.48 | ) | 10.32 | (8.95% | ) | 53,902 | 1.02% | 0.17% | 1.20% | |||||||||||||||||||||||||||||||||
12/31/12 | 11.53 | 0.29 | 0.47 | 0.76 | (0.35 | ) | (0.11 | ) | (0.46 | ) | 11.83 | 6.65% | 65,419 | 1.06% | 0.21% | 2.44% |
Six months ended June 30, 2017b,r | Year ended December 31 | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Portfolio turnover rate | 10 | % | 41 | % | 50 | % | 67 | % | 57 | % | 31 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
n | Includes interest expense. |
p | Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses in the Statements of Operations. Income earned on investing proceeds from reverse repurchase agreements is included in interest income in the Statements of Operations. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
89
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Short-Duration Bond Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 9.75 | $ | 0.10 | $ | 0.08 | $ | 0.18 | $ | (0.07 | ) | $ | - | $ | (0.07 | ) | $ | 9.86 | 1.75% | b | $ | 205,573 | 0.55% | a | 0.55% | a,k | 2.11% | a | ||||||||||||||||||||||||
12/31/16 | 9.70 | 0.18 | 0.09 | 0.27 | (0.22 | ) | - | (0.22 | ) | 9.75 | 2.80% | 203,294 | 0.56% | 0.55% | 1.84% | |||||||||||||||||||||||||||||||||||||
12/31/15 | 9.84 | 0.17 | (0.08 | ) | 0.09 | (0.23 | ) | - | (0.23 | ) | 9.70 | 0.93% | 155,210 | 0.55% | 0.55% | k | 1.73% | |||||||||||||||||||||||||||||||||||
12/31/14 | 9.94 | 0.15 | (0.01 | ) | 0.14 | (0.24 | ) | (0.00 | )d | (0.24 | ) | 9.84 | 1.46% | 166,438 | 0.55% | 0.55% | k | 1.50% | ||||||||||||||||||||||||||||||||||
12/31/13 | 10.10 | 0.14 | (0.05 | ) | 0.09 | (0.20 | ) | (0.05 | ) | (0.25 | ) | 9.94 | 0.89% | 195,279 | 0.55% | 0.55% | k | 1.38% | ||||||||||||||||||||||||||||||||||
12/31/12 | 10.25 | 0.16 | 0.14 | 0.30 | (0.20 | ) | (0.25 | ) | (0.45 | ) | 10.10 | 3.00% | 166,054 | 0.58% | 0.55% | 1.58% | ||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 9.74 | $ | 0.09 | $ | 0.07 | $ | 0.16 | $ | (0.06 | ) | $ | - | $ | (0.06 | ) | $ | 9.84 | 1.69% | b | $ | 30,885 | 0.80% | a | 0.80% | a,k | 1.86% | a | ||||||||||||||||||||||||
12/31/16 | 9.69 | 0.16 | 0.09 | 0.25 | (0.20 | ) | - | (0.20 | ) | 9.74 | 2.55% | 31,787 | 0.81% | 0.80% | 1.60% | |||||||||||||||||||||||||||||||||||||
12/31/15 | 9.83 | 0.15 | (0.08 | ) | 0.07 | (0.21 | ) | - | (0.21 | ) | 9.69 | 0.68% | 24,101 | 0.80% | 0.80% | k | 1.48% | |||||||||||||||||||||||||||||||||||
12/31/14 | 9.94 | 0.12 | (0.01 | ) | 0.11 | (0.22 | ) | (0.00 | )d | (0.22 | ) | 9.83 | 1.11% | 24,288 | 0.80% | 0.80% | k | 1.26% | ||||||||||||||||||||||||||||||||||
12/31/13 | 10.09 | 0.11 | (0.03 | ) | 0.08 | (0.18 | ) | (0.05 | ) | (0.23 | ) | 9.94 | 0.74% | 21,697 | 0.80% | 0.80% | k | 1.13% | ||||||||||||||||||||||||||||||||||
12/31/12 | 10.24 | 0.14 | 0.14 | 0.28 | (0.18 | ) | (0.25 | ) | (0.43 | ) | 10.09 | 2.77% | 20,825 | 0.83% | 0.80% | 1.35% |
Six months ended June 30, 2017b,r | Year ended December 31 | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Portfolio turnover rate | 32 | % | 96 | % | 51 | % | 86 | % | 114 | % | 322 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
k | Amount waived had no impact on the ratio of expenses to average daily net assets. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
90
Table of Contents
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Small Cap Equity Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 9.45 | $ | 0.04 | $ | 0.63 | $ | 0.67 | $ | - | $ | - | $ | - | $ | 10.12 | 7.09 | %b | $ | 99,819 | 0.71 | %a | 0.79 | %a | ||||||||||||||||||||||||
12/31/16 | 8.27 | 0.10 | 1.37 | 1.47 | (0.09 | ) | (0.20 | ) | (0.29 | ) | 9.45 | 18.21 | % | 97,747 | 0.72 | % | 1.21 | % | ||||||||||||||||||||||||||||||
12/31/15 | 10.64 | 0.09 | (0.73 | ) | (0.64 | ) | (0.09 | ) | (1.64 | ) | (1.73 | ) | 8.27 | (5.63 | %) | 89,557 | 0.71 | % | 0.89 | % | ||||||||||||||||||||||||||||
12/31/14 | 10.97 | 0.13 | 1.11 | 1.24 | (0.11 | ) | (1.46 | ) | (1.57 | ) | 10.64 | 12.16 | % | 104,745 | 0.70 | % | 1.19 | % | ||||||||||||||||||||||||||||||
12/31/13 | 8.82 | 0.09 | 3.39 | 3.48 | (0.11 | ) | (1.22 | ) | (1.33 | ) | 10.97 | 41.02 | % | 104,147 | 0.72 | % | 0.86 | % | ||||||||||||||||||||||||||||||
12/31/12 | 7.57 | 0.09 | 1.29 | 1.38 | - | (0.13 | ) | (0.13 | ) | 8.82 | 18.39 | % | 82,675 | 0.82 | % | 1.09 | % | |||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 9.31 | $ | 0.03 | $ | 0.62 | $ | 0.65 | $ | - | $ | - | $ | - | $ | 9.96 | 6.96 | %b | $ | 15,038 | 0.96 | %a | 0.55 | %a | ||||||||||||||||||||||||
12/31/16 | 8.15 | 0.08 | 1.35 | 1.43 | (0.07 | ) | (0.20 | ) | (0.27 | ) | 9.31 | 17.92 | % | 13,279 | 0.97 | % | 0.96 | % | ||||||||||||||||||||||||||||||
12/31/15 | 10.52 | 0.06 | (0.72 | ) | (0.66 | ) | (0.07 | ) | (1.64 | ) | (1.71 | ) | 8.15 | (5.87 | %) | 11,155 | 0.96 | % | 0.67 | % | ||||||||||||||||||||||||||||
12/31/14 | 10.87 | 0.10 | 1.10 | 1.20 | (0.09 | ) | (1.46 | ) | (1.55 | ) | 10.52 | 11.88 | % | 9,916 | 0.95 | % | 0.94 | % | ||||||||||||||||||||||||||||||
12/31/13 | 8.76 | 0.06 | 3.36 | 3.42 | (0.09 | ) | (1.22 | ) | (1.31 | ) | 10.87 | 40.67 | % | 7,674 | 0.97 | % | 0.63 | % | ||||||||||||||||||||||||||||||
12/31/12 | 7.53 | 0.08 | 1.28 | 1.36 | - | (0.13 | ) | (0.13 | ) | 8.76 | 18.09 | % | 4,545 | 1.07 | % | 0.96 | % |
Six months ended June 30, 2017b,r | Year ended December 31 | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Portfolio turnover rate | 23 | % | 63 | % | 40 | % | 65 | % | 65 | % | 92 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
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MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Special Situations Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 9.71 | $ | 0.02 | $ | 0.72 | $ | 0.74 | $ | - | $ | - | $ | - | $ | 10.45 | 7.62% | b | $ | 20,922 | 0.94% | a | 0.80% | a | 0.33% | a | ||||||||||||||||||||||||||
12/31/16 | 8.43 | 0.04 | 1.30 | 1.34 | (0.04 | ) | (0.02 | ) | (0.06 | ) | 9.71 | 15.84% | 19,441 | 0.93% | 0.80% | 0.43% | ||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | (0.00 | )d | (1.57 | ) | (1.57 | ) | - | (0.00 | )d | (0.00 | )d | 8.43 | (15.67% | )b | 16,776 | 1.13% | a | 0.80% | a | (0.07% | )a | ||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 9.69 | $ | 0.00 | d | $ | 0.73 | $ | 0.73 | $ | - | $ | - | $ | - | $ | 10.42 | 7.53% | b | $ | 519 | 1.19% | a | 1.05% | a | 0.09% | a | |||||||||||||||||||||||||
12/31/16 | 8.42 | 0.02 | 1.29 | 1.31 | (0.03 | ) | (0.01 | ) | (0.04 | ) | 9.69 | 15.54% | 359 | 1.18% | 1.05% | 0.18% | ||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | (0.02 | ) | (1.56 | ) | (1.58 | ) | - | - | - | 8.42 | (15.80% | )b | 183 | 1.38% | a | 1.05% | a | (0.30% | )a |
Six months ended June 30, 2017b,r | Year ended December 31, 2016 | Period ended December 31, 2015b | ||||||||||
Portfolio turnover rate | 7 | % | 74 | % | 87 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
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Financial Highlights (For a share outstanding throughout each period)
MML Strategic Emerging Markets Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 8.64 | $ | 0.04 | $ | 1.52 | $ | 1.56 | $ | - | $ | - | $ | 10.20 | 18.06% | b | $ | 95,541 | 1.49% | a | 1.40% | a | 0.76% | a | ||||||||||||||||||||||||
12/31/16 | 8.15 | 0.02 | 0.51 | 0.53 | (0.04 | ) | (0.04 | ) | 8.64 | 6.49% | 86,289 | 1.50% | 1.40% | 0.29% | ||||||||||||||||||||||||||||||||||
12/31/15 | 9.63 | 0.03 | (1.41 | ) | (1.38 | ) | (0.10 | ) | (0.10 | ) | 8.15 | (14.23% | ) | 84,356 | 1.60% | 1.40% | 0.34% | |||||||||||||||||||||||||||||||
12/31/14 | 10.21 | 0.04 | (0.59 | ) | (0.55 | ) | (0.03 | ) | (0.03 | ) | 9.63 | (5.41% | ) | 85,833 | 1.70% | 1.40% | 0.42% | |||||||||||||||||||||||||||||||
12/31/13 | 10.91 | 0.08 | (0.78 | ) | (0.70 | ) | - | - | 10.21 | (6.42% | ) | 91,651 | 1.56% | 1.40% | 0.82% | |||||||||||||||||||||||||||||||||
12/31/12 | 9.43 | 0.06 | 1.47 | 1.53 | (0.05 | ) | (0.05 | ) | 10.91 | 16.20% | 46,830 | 1.63% | 1.40% | 0.56% | ||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||
6/30/17r | $ | 8.66 | $ | 0.03 | $ | 1.52 | $ | 1.55 | $ | - | $ | - | $ | 10.21 | 17.90% | b | $ | 12,432 | 1.74% | a | 1.65% | a | 0.56% | a | ||||||||||||||||||||||||
12/31/16 | 8.17 | 0.00 | d | 0.51 | 0.51 | (0.02 | ) | (0.02 | ) | 8.66 | 6.24% | 9,913 | 1.75% | 1.65% | 0.03% | |||||||||||||||||||||||||||||||||
12/31/15 | 9.65 | 0.01 | (1.41 | ) | (1.40 | ) | (0.08 | ) | (0.08 | ) | 8.17 | (14.46% | ) | 8,409 | 1.85% | 1.65% | 0.09% | |||||||||||||||||||||||||||||||
12/31/14 | 10.23 | 0.01 | (0.59 | ) | (0.58 | ) | (0.00 | )d | (0.00 | )d | 9.65 | (5.63% | ) | 9,120 | 1.95% | 1.65% | 0.14% | |||||||||||||||||||||||||||||||
12/31/13 | 10.97 | 0.08 | (0.82 | ) | (0.74 | ) | - | - | 10.23 | (6.75% | ) | 9,122 | 1.81% | 1.65% | 0.76% | |||||||||||||||||||||||||||||||||
12/31/12 | 9.48 | 0.03 | 1.48 | 1.51 | (0.02 | ) | (0.02 | ) | 10.97 | 15.91% | 8,851 | 1.88% | 1.65% | 0.26% |
Six months ended June 30, 2017b,r | Year ended December 31 | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Portfolio turnover rate | 20 | % | 32 | % | 39 | % | 44 | % | 145 | % | 62 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
93
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Notes to Financial Statements (Unaudited)
1. | The Funds |
MML Series Investment Fund II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated February 8, 2005, which was amended and restated as of February 28, 2005 and December 15, 2011, as it may be further amended from time to time. The following are nine series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Asset Momentum Fund (“Asset Momentum Fund”)
MML Dynamic Bond Fund (“Dynamic Bond Fund”)
MML Equity Rotation Fund (“Equity Rotation Fund”)
MML High Yield Fund (“High Yield Fund”)
MML Inflation-Protected and Income Fund (“Inflation-Protected and Income Fund”)
MML Short-Duration Bond Fund (“Short-Duration Bond Fund”)
MML Small Cap Equity Fund (“Small Cap Equity Fund”)
MML Special Situations Fund (“Special Situations Fund”)
MML Strategic Emerging Markets Fund (“Strategic Emerging Markets Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, C.M. Life Insurance Company, and the MML Allocation Funds, which are “funds of funds” series of MML Series Investment Fund, another open-end management investment company sponsored by MassMutual, are the record owners of all of the outstanding shares of the Funds.
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles 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.
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on
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Notes to Financial Statements (Unaudited) (Continued)
the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee1 in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds��� shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including
1 | The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Assistant Vice Presidents, Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general. |
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Notes to Financial Statements (Unaudited) (Continued)
assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. Government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The Equity Rotation Fund, Small Cap Equity Fund and Special Situations Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of June 30, 2017. For each Fund noted in the preceding sentence, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
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Notes to Financial Statements (Unaudited) (Continued)
The following is the aggregate value by input level, as of June 30, 2017, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset Momentum Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 6,106,191 | $ | 2,815,245 | * | $ | - | $ | 8,921,436 | |||||||
Corporate Debt | - | 2,999,410 | - | 2,999,410 | ||||||||||||
U.S. Treasury Obligations | - | 995,785 | - | 995,785 | ||||||||||||
Mutual Funds | 9,965,725 | - | - | 9,965,725 | ||||||||||||
Short-Term Investments | - | 2,015,648 | - | 2,015,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 16,071,916 | $ | 8,826,088 | $ | - | $ | 24,898,004 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 149,554 | $ | - | $ | 149,554 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (147,099 | ) | $ | - | $ | (147,099 | ) | ||||||
Futures Contracts | (58,628 | ) | - | - | (58,628 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (58,628 | ) | $ | (147,099 | ) | $ | - | $ | (205,727 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Dynamic Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 43,792 | $ | - | $ | - | $ | 43,792 | ||||||||
Corporate Debt | - | 104,262,349 | - | 104,262,349 | ||||||||||||
Municipal Obligations | - | 257,669 | - | 257,669 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 124,116,139 | - | 124,116,139 | ||||||||||||
Sovereign Debt Obligations | - | 13,813,152 | - | 13,813,152 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 53,151,979 | - | 53,151,979 | ||||||||||||
U.S. Treasury Obligations | - | 119,960,265 | - | 119,960,265 | ||||||||||||
Mutual Funds | 11,902,453 | - | - | 11,902,453 | ||||||||||||
Short-Term Investments | - | 13,580,439 | - | 13,580,439 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 11,946,245 | $ | 429,141,992 | $ | - | $ | 441,088,237 | ||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock | $ | 963,509 | $ | - | $ | - | $ | 963,509 | ||||||||
Bank Loans | - | 7,114,977 | 589,181 | ** | 7,704,158 | |||||||||||
Corporate Debt | - | 122,791,390 | - | 122,791,390 | ||||||||||||
Short-Term Investments | - | 544,766 | - | 544,766 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 963,509 | $ | 130,451,133 | $ | 589,181 | $ | 132,003,823 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 16,980,819 | $ | - | $ | 16,980,819 | ||||||||
Municipal Obligations | - | 183,911 | - | 183,911 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 133,053,222 | - | 133,053,222 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 3,497,284 | - | 3,497,284 | ||||||||||||
U.S. Treasury Obligations | - | 387,542,024 | - | 387,542,024 | ||||||||||||
Purchased Options | - | 826,514 | - | 826,514 | ||||||||||||
Short-Term Investments | - | 200,201,852 | - | 200,201,852 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 742,285,626 | $ | - | $ | 742,285,626 | ||||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Inflation-Protected and Income Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 122 | $ | - | $ | - | $ | 122 | ||||||||
Swap Agreements | - | 330,222 | - | 330,222 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 122 | $ | 330,222 | $ | - | $ | 330,344 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | (319 | ) | - | - | (319 | ) | ||||||||||
Swap Agreements | - | (502,449 | ) | - | (502,449 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (319 | ) | $ | (502,449 | ) | $ | - | $ | (502,768 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 108,196,389 | $ | - | $ | 108,196,389 | ||||||||
Municipal Obligations | - | 77,652 | - | 77,652 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 86,728,604 | 510,000 | ** | 87,238,604 | |||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 12,655,940 | - | 12,655,940 | ||||||||||||
U.S. Treasury Obligations | - | 24,397,029 | - | 24,397,029 | ||||||||||||
Purchased Options | - | 451,700 | - | 451,700 | ||||||||||||
Short-Term Investments | - | 3,633,763 | - | 3,633,763 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 236,141,077 | $ | 510,000 | $ | 236,651,077 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 247,123 | $ | - | $ | - | $ | 247,123 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (66,338 | ) | $ | - | $ | - | $ | (66,338 | ) | ||||||
Swap Agreements | - | (149,820 | ) | - | (149,820 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (66,338 | ) | $ | (149,820 | ) | $ | - | $ | (216,158 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Bermuda | $ | 400,040 | $ | 1,717,440 | $ | - | $ | 2,117,480 | ||||||||
Brazil | 642,972 | 3,639,124 | - | 4,282,096 | ||||||||||||
Cayman Islands | 11,638,107 | 7,594,214 | - | 19,232,321 | ||||||||||||
China | - | 4,881,806 | - | 4,881,806 | ||||||||||||
Colombia | 1,266,182 | - | - | 1,266,182 | ||||||||||||
Egypt | - | 515,908 | - | 515,908 | ||||||||||||
France | - | 3,869,555 | - | 3,869,555 | ||||||||||||
Hong Kong | - | 4,631,430 | - | 4,631,430 | ||||||||||||
India | - | 14,788,203 | - | 14,788,203 | ||||||||||||
Indonesia | - | 2,311,245 | - | 2,311,245 | ||||||||||||
Italy | - | 1,448,899 | - | 1,448,899 | ||||||||||||
Japan | - | 975,157 | - | 975,157 | ||||||||||||
Malaysia | - | 1,719,245 | - | 1,719,245 | ||||||||||||
Mexico | 5,509,896 | - | - | 5,509,896 | ||||||||||||
Netherlands | - | 1,220,576 | - | 1,220,576 | ||||||||||||
Nigeria | - | 607,760 | - | 607,760 | ||||||||||||
Philippines | - | 3,839,899 | - | 3,839,899 | ||||||||||||
Poland | - | 932,783 | - | 932,783 |
98
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Strategic Emerging Markets Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Common Stock* (Continued) | ||||||||||||||||
Republic of Korea | $ | - | $ | 4,065,647 | $ | - | $ | 4,065,647 | ||||||||
Russia | - | 7,600,015 | - | 7,600,015 | ||||||||||||
South Africa | - | 1,076,292 | - | 1,076,292 | ||||||||||||
Spain | - | 407,064 | - | 407,064 | ||||||||||||
Taiwan | - | 6,250,729 | - | 6,250,729 | ||||||||||||
Thailand | - | 257,872 | - | 257,872 | ||||||||||||
Turkey | - | 1,177,665 | - | 1,177,665 | ||||||||||||
United Arab Emirates | - | 2,195,809 | - | 2,195,809 | ||||||||||||
United Kingdom | - | 3,360,560 | - | 3,360,560 | ||||||||||||
United States | 854,936 | - | - | 854,936 | ||||||||||||
Preferred Stock* | ||||||||||||||||
Brazil | - | 1,042,531 | - | 1,042,531 | ||||||||||||
India | 75,454 | - | - | 75,454 | ||||||||||||
Mutual Funds | 295,994 | - | - | 295,994 | ||||||||||||
Rights | - | 557,131 | - | 557,131 | ||||||||||||
Short-Term Investments | - | 4,498,092 | - | 4,498,092 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 20,683,581 | $ | 87,182,651 | $ | - | $ | 107,866,232 | ||||||||
|
|
|
|
|
|
|
|
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets, as applicable. |
** | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the period ended June 30, 2017 is not presented. |
The following table shows Fund(s) with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of June 30, 2017.
Statement of Assets and Liabilities location: | Asset | Dynamic | Inflation- | Short- | Small Cap | Strategic | ||||||
Receivables for: | ||||||||||||
Collateral pledged for reverse repurchase agreements | X | |||||||||||
Payables for: | ||||||||||||
Investments purchased on a when-issued basis | X | X | ||||||||||
Collateral held for open derivative instruments | X | X | X | |||||||||
Reverse repurchase agreements | X | |||||||||||
Securities on loan | X | X | ||||||||||
Due to custodian | X | X |
The Funds, with the exception of the Strategic Emerging Markets Fund, had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the period ended June 30, 2017. The Strategic Emerging Markets Fund had transfers between levels of the fair value hierarchy during the period ended June 30, 2017; however, none of the transfers individually or collectively had a material impact on the Fund. The Funds recognize transfers between the Levels as of the beginning of the year.
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Gains or losses
99
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
from derivatives can be substantially greater than their original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the period ended June 30, 2017, the following table shows how the Fund used these types of derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).
Type of Derivative and Objective for Use | Asset | Inflation- | Short- | |||
Foreign Currency Exchange Transactions* | ||||||
Hedging/Risk Management | M | |||||
Directional Exposures to Currencies | A | |||||
Intention to Create Investment Leverage in Portfolio | M | |||||
Futures Contracts** | ||||||
Hedging/Risk Management | A | A | A | |||
Duration/Credit Quality Management | M | A | A | |||
Substitution for Direct Investment | A | A | A | |||
Intention to Create Investment Leverage in Portfolio | M | M | M | |||
Interest Rate Swaps*** | ||||||
Hedging/Risk Management | A | |||||
Duration Management | A | |||||
Asset/Liability Management | M | |||||
Substitution for Direct Investment | M | |||||
Intention to Create Investment Leverage in Portfolio | M | |||||
Credit Default Swaps (Protection Buyer) | ||||||
Hedging/Risk Management | A | A | ||||
Duration/Credit Quality Management | A | A | ||||
Income | A | A | ||||
Substitution for Direct Investment | A | M | ||||
Intention to Create Investment Leverage in Portfolio | M | M | ||||
Credit Default Swaps (Protection Seller) | ||||||
Hedging/Risk Management | A | A | ||||
Duration/Credit Quality Management | A | A | ||||
Income | A | A | ||||
Substitution for Direct Investment | A | A | ||||
Intention to Create Investment Leverage in Portfolio | M | M | ||||
Options (Purchased) | ||||||
Hedging/Risk Management | A | A | ||||
Duration/Credit Quality Management | A | A | ||||
Substitution for Direct Investment | A | A | ||||
Directional Investment | A | A | ||||
Intention to Create Investment Leverage in Portfolio | M | M |
* | Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable. |
** | Includes any options purchased or written on futures contracts, if applicable. |
*** | Includes any caps, floors, and collars, and related purchased or written options, if applicable. |
100
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
At June 30, 2017, and during the period then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Asset Momentum Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts* | $ | - | $ | - | $ | 149,554 | $ | - | $ | 149,554 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (147,099 | ) | $ | - | $ | (147,099 | ) | ||||||||
Futures Contracts^^ | - | (58,628 | ) | - | - | (58,628 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | (58,628 | ) | $ | (147,099 | ) | $ | - | $ | (205,727 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 123,211 | $ | - | $ | 123,211 | ||||||||||
Futures Contracts | - | 1,188,647 | - | - | 1,188,647 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | - | $ | 1,188,647 | $ | 123,211 | $ | - | $ | 1,311,858 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | (75,445 | ) | $ | - | $ | (75,445 | ) | ||||||||
Futures Contracts | - | (26,447 | ) | - | - | (26,447 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | - | $ | (26,447 | ) | $ | (75,445 | ) | $ | - | $ | (101,892 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 826,514 | $ | 826,514 | ||||||||||
Futures Contracts^^ | - | - | - | 122 | 122 | |||||||||||||||
Swap Agreements* | - | - | - | 330,222 | 330,222 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | 1,156,858 | $ | 1,156,858 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (319 | ) | $ | (319 | ) | ||||||||
Swap Agreements^ | (409,846 | ) | - | - | (80,171 | ) | (490,017 | ) | ||||||||||||
Swap Agreements^^,^^^ | (12,432 | ) | - | - | - | (12,432 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (422,278 | ) | $ | - | $ | - | $ | (80,490 | ) | $ | (502,768 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | - | $ | - | $ | (144,132 | ) | $ | (144,132 | ) | ||||||||
Swap Agreements | 47,511 | - | - | (830 | ) | 46,681 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | 47,511 | $ | - | $ | - | $ | (144,962 | ) | $ | (97,451 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (70,294 | ) | $ | (70,294 | ) | ||||||||
Futures Contracts | - | - | - | (18,993 | ) | (18,993 | ) | |||||||||||||
Swap Agreements | (211,785 | ) | - | - | (224,300 | ) | (436,085 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | (211,785 | ) | $ | - | $ | - | $ | (313,587 | ) | $ | (525,372 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 451,700 | $ | 451,700 | ||||||||||
Futures Contracts^^ | - | - | - | 247,123 | 247,123 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | 698,823 | $ | 698,823 | ||||||||||
|
|
|
|
|
|
|
|
|
|
101
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Short-Duration Bond Fund (Continued) | ||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (66,338 | ) | $ | (66,338 | ) | ||||||||
Swap Agreements^ | (113,263 | ) | - | - | - | (113,263 | ) | |||||||||||||
Swap Agreements^^,^^^ | (36,557 | ) | - | - | - | (36,557 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (149,820 | ) | $ | - | $ | - | $ | (66,338 | ) | $ | (216,158 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | - | $ | - | $ | 370,956 | $ | 370,956 | ||||||||||
Swap Agreements | (1,446 | ) | - | - | - | (1,446 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (1,446 | ) | $ | - | $ | - | $ | 370,956 | $ | 369,510 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (38,416 | ) | $ | (38,416 | ) | ||||||||
Futures Contracts | - | - | - | 144,327 | 144,327 | |||||||||||||||
Swap Agreements | (62,606 | ) | - | - | - | (62,606 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | (62,606 | ) | $ | - | $ | - | $ | 105,911 | $ | 43,305 | |||||||||
|
|
|
|
|
|
|
|
|
|
* | Statements of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts or open swap agreements, at value, as applicable. |
^ | Statements of Assets and Liabilities location: Payables for: open forward foreign currency contracts or open swap agreements, at value, as applicable. |
^^ | Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” below. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
^^^ | Represents centrally cleared swaps which are not subject to a master netting agreement. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: futures contracts, swap agreements, or foreign currency transactions, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, swap agreements, or translation of assets and liabilities in foreign currencies, as applicable. |
For the period ended June 30, 2017, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:
Number of Contracts, Notional Amounts, or Shares/Units† | ||||||||||||||||
Futures Contracts | Forward Contracts | Swap Agreements | Purchased Swaptions | |||||||||||||
Asset Momentum Fund | 130 | $ | 5,955,378 | $ | - | $ | - | |||||||||
Inflation-Protected and Income Fund | 50 | - | 47,646,667 | 6,880,000 | ||||||||||||
Short-Duration Bond Fund | 457 | - | 2,940,000 | 3,760,000 |
† | Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements and purchased swaptions, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the period ended June 30, 2017. |
102
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund(s) as of June 30, 2017.
Asset Valuation Inputs | ||||||||||||||||
Counterparty | Derivative Assets Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Received*** | Net Amount* | ||||||||||||
Asset Momentum Fund | ||||||||||||||||
HSBC Bank USA | $ | 15,991 | $ | (4,051 | ) | $ | - | $ | 11,940 | |||||||
JP Morgan Chase Bank N.A. | 133,563 | (65,629 | ) | - | 67,934 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 149,554 | $ | (69,680 | ) | $ | - | $ | 79,874 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Bank of America N.A. | $ | 67,419 | $ | (67,419 | ) | $ | - | $ | - | |||||||
Goldman Sachs International | 127,409 | (127,409 | ) | - | - | |||||||||||
JP Morgan Chase Bank N.A. | 135,394 | (80,568 | ) | - | 54,826 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 330,222 | $ | (275,396 | ) | $ | - | $ | 54,826 | ||||||||
|
|
|
|
|
|
|
|
The following table presents derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund(s) as of June 30, 2017.
Liability Valuation Inputs | ||||||||||||||||
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Pledged*** | Net Amount** | ||||||||||||
Asset Momentum Fund | ||||||||||||||||
Barclays Bank PLC | $ | (77,419 | ) | $ | - | $ | - | $ | (77,419 | ) | ||||||
HSBC Bank USA | (4,051 | ) | 4,051 | - | - | |||||||||||
JP Morgan Chase Bank N.A. | (65,629 | ) | 65,629 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (147,099 | ) | $ | 69,680 | $ | - | $ | (77,419 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Bank of America N.A. | $ | (80,171 | ) | $ | 67,419 | $ | - | $ | (12,752 | ) | ||||||
Goldman Sachs International | (329,278 | ) | 127,409 | - | (201,869 | ) | ||||||||||
JP Morgan Chase Bank N.A. | (80,568 | ) | 80,568 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (490,017 | ) | $ | 275,396 | $ | - | $ | (214,621 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund | ||||||||||||||||
Goldman Sachs International | $ | (113,263 | ) | $ | - | $ | - | $ | (113,263 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents the net amount receivable from the counterparty in the event of default. |
** | Represents the net amount payable to the counterparty in the event of default. |
*** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
† | The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements. |
Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.
103
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Further details regarding the derivatives and other investments held by the Fund(s) during the period ended June 30, 2017, are discussed below.
Foreign Currency Exchange Transactions
A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.
A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.
Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.
Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.
The Fund(s) listed in the following table had open forward foreign currency contracts at June 30, 2017. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
Counterparty | Settlement Date | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Asset Momentum Fund | ||||||||||||||||||||
Contracts to Buy | ||||||||||||||||||||
BRL | 2,851,680 | HSBC Bank USA* | 02/15/18 | $ | 831,879 | $ | (4,051 | ) | ||||||||||||
RUB | 74,889,600 | HSBC Bank USA* | 02/15/18 | 1,200,000 | 15,991 | |||||||||||||||
|
|
|
| |||||||||||||||||
2,031,879 | 11,940 | |||||||||||||||||||
|
|
|
| |||||||||||||||||
ZAR | 7,133,735 | JP Morgan Chase Bank N.A.* | 10/20/17 | 500,000 | 35,692 | |||||||||||||||
|
|
|
| |||||||||||||||||
$ | 2,531,879 | $ | 47,632 | |||||||||||||||||
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|
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Counterparty | Settlement Date | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Cross Currency Forwards | ||||||||||||||||||||
BRL | 4,110,000 | Barclays Bank PLC* | 02/15/18 | CHF | 1,200,000 | $ | (77,419 | ) | ||||||||||||
RUB | 27,785,856 | JP Morgan Chase Bank N.A.* | 07/13/17 | EUR | 360,000 | 59,015 | ||||||||||||||
RUB | 27,423,578 | JP Morgan Chase Bank N.A.* | 07/13/17 | SEK | 3,582,000 | 38,856 | ||||||||||||||
RUB | 62,460,000 | JP Morgan Chase Bank N.A.* | 02/15/18 | SEK | 8,977,163 | (65,629 | ) | |||||||||||||
|
| |||||||||||||||||||
32,242 | ||||||||||||||||||||
|
| |||||||||||||||||||
$ | (45,177 | ) | ||||||||||||||||||
|
|
BRL Brazilian Real | EUR Euro | SEK Swedish Krona | ||
CHF Swiss Franc | RUB Russian Ruble | ZAR South African Rand |
* | Contracts are subject to an MNA. |
Futures Contracts
A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.
Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
The Fund(s) listed in the following table had open futures contracts at June 30, 2017:
Expiration Date | Number of Contracts | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Asset Momentum Fund | ||||||||||||||||
Future Contract — Long | ||||||||||||||||
S&P 500 E Mini Index | 09/15/17 | 133 | $ | 16,098,985 | $ | (58,628 | ) | |||||||||
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Expiration Date | Number of Contracts | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Future Contract — Long | ||||||||||||||||
U.S. Ultra Bond | 09/20/17 | 2 | $ | 331,750 | $ | (319 | ) | |||||||||
|
| |||||||||||||||
Future Contract — Short | ||||||||||||||||
U.S. Long Bond | 09/20/17 | 1 | $ | (153,687 | ) | $ | 122 | |||||||||
|
| |||||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Future Contract — Long | ||||||||||||||||
U.S. Treasury Ultra 10 Year | 09/20/17 | 232 | $ | 29,123,250 | $ | (66,338 | ) | |||||||||
|
| |||||||||||||||
Futures Contracts — Short | ||||||||||||||||
U.S. Treasury Ultra 10 Year | 09/20/17 | 88 | $ | (11,863,500 | ) | $ | 23,356 | |||||||||
U.S. Treasury Note 2 Year | 09/29/17 | 8 | (1,728,875 | ) | 1,225 | |||||||||||
U.S. Treasury Note 5 Year | 09/29/17 | 650 | (76,593,360 | ) | 222,542 | |||||||||||
|
| |||||||||||||||
$ | 247,123 | |||||||||||||||
|
|
Swap Agreements
Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.
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Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
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The Fund(s) listed in the following table had open swap transactions at June 30, 2017. A Fund’s current exposure to a counterparty is the fair value of the transaction.
Counterparty | Currency | Notional Amount | Expiration Date | Receive | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | ||||||||||||||||||
Inflation-Protected and Income Fund* | ||||||||||||||||||||||||||
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||
Centrally Cleared Swaps | ||||||||||||||||||||||||||
USD | 670,000 | 6/20/22 | (1.000%) | CDX.NA.IG.28 | $ | (2,220 | ) | $ | (10,212 | ) | $ | (12,432 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Credit Default Swaps — Sell Protection† | ||||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||
Goldman Sachs International | USD | 1,600,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | $ | (187,810 | ) | $ | 986 | $ | (186,824 | ) | |||||||||||||
Goldman Sachs International | USD | 890,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | (26,847 | ) | (77,074 | ) | (103,921 | ) | |||||||||||||||
Goldman Sachs International | USD | 330,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | (12,093 | ) | (26,440 | ) | (38,533 | ) | |||||||||||||||
JP Morgan Chase Bank N.A. | USD | 690,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | (81,418 | ) | 850 | (80,568 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
(308,168 | ) | (101,678 | ) | (409,846 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Counterparty | Currency | Notional Amount | Expiration Date | Payments | Payments | Unrealized Appreciation (Depreciation) | Premium Received (Paid) | Value | ||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||
Goldman Sachs International | USD | 8,500,000 | 10/13/17 | 1.125% | USA-CPI-U | $ | 56,553 | $ | - | $ | 56,553 | |||||||||||||||
Bank of America N.A. | USD | 11,000,000 | 11/06/17 | 1.275% | USA-CPI-U | 67,419 | - | 67,419 | ||||||||||||||||||
Goldman Sachs International | USD | 8,300,000 | 1/13/18 | 1.295% | USA-CPI-U | 70,856 | - | 70,856 | ||||||||||||||||||
JP Morgan Chase Bank N.A. | USD | 8,500,000 | 2/17/18 | 1.033% | USA-CPI-U | 135,394 | - | 135,394 | ||||||||||||||||||
Bank of America N.A. | USD | 8,600,000 | 2/16/19 | 2.195% | USA-CPI-U | (80,171 | ) | - | (80,171 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
250,051 | - | 250,051 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Counterparty | Currency | Notional Amount | Expiration Date | Receive | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | ||||||||||||||||||
Short-Duration Bond Fund** |
| |||||||||||||||||||||||||
Credit Default Swaps — Buy Protection |
| |||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||
USD | 1,970,000 | 6/20/22 | (1.000%) | CDX.NA.IG.28 | $ | (6,529 | ) | $ | (30,028 | ) | $ | (36,557 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Credit Default Swaps — Sell Protection† |
| |||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||
Goldman Sachs International | USD | 410,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | $ | (48,126 | ) | $ | 252 | $ | (47,874 | ) | |||||||||||||
Goldman Sachs International | USD | 410,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | (12,368 | ) | (35,506 | ) | (47,874 | ) | |||||||||||||||
Goldman Sachs International | USD | 150,000 | 5/11/63 | 3.000% | CMBX.NA.BBB-.6†† (Rating: BBB-) | (5,497 | ) | (12,018 | ) | (17,515 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
(65,991 | ) | (47,272 | ) | (113,263 | ) | |||||||||||||||||||||
|
|
|
|
|
|
USD | U.S. Dollar |
* | Collateral for swap agreements held by Credit Suisse USA amounted to $11,313 in securities at June 30, 2017. |
** | Collateral for swap agreements held by Credit Suisse USA amounted to $24,092 in securities at June 30, 2017. |
† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings rating category. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection. |
†† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
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Options, Rights, and Warrants
A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.
Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.
Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.
Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC
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option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.
Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.
Inflation-Indexed Bonds
The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.
The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
Bank Loans
Certain of the Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a
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syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.
Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.
At June 30, 2017, the Funds had no unfunded loan commitments.
Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.
Reverse Repurchase Agreements
Each Fund may enter into reverse repurchase agreements with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date at a fixed price (typically equal to the original sale price plus interest). During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the purchase price received by it from the counterparty.
Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements generally create investment leverage and involve the risk that the market value of the security that a Fund is obligated to repurchase under the agreement may decline below the repurchase price. For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for a security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.
Reverse repurchase transactions are entered into by a Fund under a Master Repurchase Agreement (“MRA”), which permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and creates one single net payment due to or from the Fund. With reverse
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repurchase transactions, typically a Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
In the event the buyer of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.
The following table is a summary of the Fund(s) open reverse repurchase transactions which are subject to an MRA on a net basis at June 30, 2017:
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral* | Cash Collateral Pledged* | Net Amount | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Banque Paribas Securities Corp. | $ | (67,586,500 | ) | $ | 67,586,500 | $ | - | $ | - | |||||||
Daiwa Bank Securities, Inc. | (53,821,250 | ) | 53,821,250 | - | ||||||||||||
Goldman Sachs & Co. | (88,931,526 | ) | 88,931,526 | - | - | |||||||||||
HSBC Securities (USA) Inc. | (96,014,826 | ) | 96,014,826 | - | - | |||||||||||
Morgan Stanley & Co. LLC | (12,055,515 | ) | 12,055,515 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (318,409,617 | ) | $ | 318,409,617 | $ | - | $ | - | ||||||||
|
|
|
|
|
|
|
|
* | Collateral with a value of $322,781,383 has been pledged in connection with open reverse repurchase transactions. Excess collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
The Fund(s) listed in the following table had open reverse repurchase transactions during the period ended June 30, 2017:
Description | Value | |||
Inflation-Protected and Income Fund | ||||
Agreement with Banque Paribas Securities Corp., dated 6/01/17, 1.240%, to be repurchased on demand until 9/06/17 at value plus accrued interest. | $ | 67,586,500 | ||
Agreement with Daiwa Bank Securities Inc., dated 6/02/17, 1.300%, to be repurchased on demand until 9/06/17 at value plus accrued interest. | 53,821,250 | |||
Agreement with Goldman Sachs & Co., dated 4/04/17, 1.080%, to be repurchased on demand until 7/06/17 at value plus accrued interest. | 88,931,526 | |||
Agreement with HSBC Securities (USA) Inc., dated 6/02/17, 1.200%, to be repurchased on demand until 9/01/17 at value plus accrued interest. | 96,014,826 | |||
Agreement with Morgan Stanley & Co. LLC, dated 4/07/17, 1.020%, to be repurchased on demand until 7/07/17 at value plus accrued interest. | 12,055,515 | |||
|
| |||
$ | 318,409,617 | |||
|
| |||
Average balance outstanding | $ | 326,673,675 | ||
Maximum balance outstanding | $ | 333,471,609 | ||
Average interest rate | 0.99% | |||
Weighted average maturity | 54 days |
Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase transactions.
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The type of underlying collateral and the remaining maturity of open reverse repurchase transactions in relation to the reverse repurchase agreements on the Statements of Assets and Liabilities is as follows:
Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||
Overnight and Continuous | Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||
Reverse Repurchase Transactions | ||||||||||||||||||||
U.S. Treasury Obligations | $ | - | $ | 100,987,041 | $ | 217,422,576 | $ | - | $ | 318,409,617 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | - | $ | 100,987,041 | $ | 217,422,576 | $ | - | $ | 318,409,617 | ||||||||||
|
|
|
|
|
|
|
|
|
|
When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Securities Lending
Each Fund may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“agent”). The Lending Agreement authorizes the agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each, a “Borrower”).
Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash or securities adjusted daily to have market value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At June 30, 2017, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.
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Security loans can be terminated at the discretion of either the lending agent or the Fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. For all Funds, all securities on loan are classified as common stock in the Fund’s Portfolio of Investments at June 30, 2017.
The Funds employ the agent to implement their securities lending program and the agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the securities lending agent or Borrower, respectively. For the period ended June 30, 2017, the Fund(s) earned securities lending net income as follows:
Securities Lending Gross Income | Securities Lending Fees and Expenses | Securities Lending Net Income | ||||||||||
Small Cap Equity Fund | $ | 46,189 | $ | 9,220 | $ | 36,969 | ||||||
Strategic Emerging Markets Fund | 1,910 | 381 | 1,529 |
Accounting for Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets.
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Foreign Securities
The Strategic Emerging Markets Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income are declared and paid quarterly for the Dynamic Bond Fund, High Yield Fund, Inflation-Protected and Income Fund, and Short-Duration Bond Fund and annually for the Asset Momentum Fund, Equity Rotation Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets Fund and at other times as may be required to satisfy tax or regulatory requirements. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
3. | Advisory Fees and Other Transactions |
Investment Advisory Fees and Investment Subadvisers
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, at the following annual rates:
Fund | Investment Advisory Fee | |
Asset Momentum Fund | 0.60% on the first $500 million; and | |
0.55% on any excess over $500 million | ||
Dynamic Bond Fund | 0.40% on the first $1 billion; and | |
0.35% on any excess over $1 billion | ||
Equity Rotation Fund | 0.45% on the first $500 million; and | |
0.40% on any excess over $500 million | ||
High Yield Fund | 0.60% on the first $300 million; and | |
0.575% on any excess over $300 million | ||
Inflation-Protected and Income Fund | 0.60% on the first $100 million; | |
0.55% on the next $200 million; | ||
0.50% on the next $200 million; and | ||
0.45% on any excess over $500 million |
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Fund | Investment Advisory Fee | |
Short-Duration Bond Fund | 0.35% on the first $300 million; and | |
0.30% on any excess over $300 million | ||
Small Cap Equity Fund | 0.65% on the first $100 million; | |
0.60% on the next $100 million; | ||
0.55% on the next $300 million; and | ||
0.50% on any excess over $500 million | ||
Special Situations Fund | 0.60% on the first $500 million; and | |
0.55% on any excess over $500 million | ||
Strategic Emerging Markets Fund | 1.05% on the first $500 million; and | |
1.00% on any excess over $500 million |
MML Advisers has entered into investment subadvisory agreements with Barings LLC (“Barings”), a wholly-owned subsidiary of MM Asset Management Holding LLC, itself a wholly-owned subsidiary of MassMutual Holding LLC, a controlled subsidiary of MassMutual, on behalf of certain Funds. These agreements provide that Barings manage the investment and reinvestment of assets of these Funds. Barings receives a subadvisory fee from MML Advisers based upon each Fund’s average daily net assets, at the following annual rates:
Asset Momentum Fund | 0.475% | |||
Equity Rotation Fund | 0.30% | |||
High Yield Fund | 0.20% | |||
Inflation-Protected and Income Fund | 0.08% | |||
Short-Duration Bond Fund | 0.08% | |||
Special Situations Fund | 0.45% |
MML Advisers has entered into investment subadvisory agreements with OppenheimerFunds, Inc. (“OFI”), a wholly-owned subsidiary of Oppenheimer Acquisition Corp., itself an indirect majority-owned subsidiary of MassMutual Holding LLC, on behalf of the Small Cap Equity Fund and the Strategic Emerging Markets Fund. These agreements provide that OFI manage the investment and reinvestment of the assets of the Funds. OFI receives a subadvisory fee from MML Advisers, based upon each Fund’s average daily net assets, at the following annual rates:
Small Cap Equity Fund | 0.25% | |
Strategic Emerging Markets Fund | 0.70% |
MML Advisers has entered into an investment subadvisory agreement with the unaffiliated investment subadviser, DoubleLine Capital, LP (“DoubleLine”), pursuant to which DoubleLine serves as the subadviser to the Dynamic Bond Fund. This agreement provides that DoubleLine manage the investment and reinvestment of the assets of the Fund. DoubleLine receives a subadvisory fee from MassMutual based upon the average daily net assets of the Fund.
The Funds’ subadvisory fees are paid by MML Advisers out of the advisory fees previously disclosed above.
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Administration Fees
For the Asset Momentum Fund, Dynamic Bond Fund, Equity Rotation Fund, High Yield Fund, Short-Duration Bond Fund, Special Situations Fund, and Strategic Emerging Markets Fund, under a separate Administrative and Shareholder Services Agreement between the Funds and MML Advisers, MML Advisers is obligated to provide all necessary administrative and shareholder services and bear some of the Fund specific administrative expenses. In return for these services, MML Advisers receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:
Class II | Service Class I | |||
Asset Momentum Fund | 0.15% | 0.15% | ||
Dynamic Bond Fund | 0.15% | 0.15% | ||
Equity Rotation Fund | 0.15% | 0.15% | ||
High Yield Fund | 0.15% | 0.15% | ||
Short-Duration Bond Fund | 0.15% | 0.15% | ||
Special Situations Fund | 0.15% | 0.15% | ||
Strategic Emerging Markets Fund | 0.15% | 0.15% |
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares and Service Class I shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares and Service Class I shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares or Service Class I shares, as applicable, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class and Service Class I shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Expense Caps and Waivers
MML Advisers agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Fund, as follows:
Class II | Service Class I | |||||||
Asset Momentum Fund* | 0.80% | 1.05% | ||||||
Dynamic Bond Fund* | 0.60% | 0.85% | ||||||
Equity Rotation Fund* | 0.65% | 0.90% | ||||||
Short-Duration Bond Fund* | 0.55% | 0.80% | ||||||
Special Situations Fund* | 0.80% | 1.05% | ||||||
Strategic Emerging Markets Fund** | 1.35% | 1.60% |
# | Acquired Fund Fees and Expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
* | Expense caps in effect through April 30, 2018. |
** | Expense caps in effect through April 30, 2019. Prior to July 1, 2017, the expenses were capped at 1.40% and 1.65%, respectively. |
MML Advisers has agreed to waive 0.10% of the advisory fee of the High Yield Fund through April 30, 2018.
MML Advisers has agreed to voluntarily waive 0.04% of the advisory fee of the Strategic Emerging Markets Fund through April 30, 2018. MML Advisers may amend or discontinue this waiver at any time without advance notice.
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Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
Elaine A. Sarsynski resigned as a Trustee of the Trust effective as of February 1, 2017. Teresa Hassara became a Trustee of the Trust effective as of June 6, 2017.
4. Purchases and Sales of Investments
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the period ended June 30, 2017, were as follows:
Purchases | Sales | |||||||||||||||
Long-Term U.S. Government Securities | Other Long-Term Securities | Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||||||||
Asset Momentum Fund | $ | - | $ | 4,039,075 | $ | - | $ | 2,588,457 | ||||||||
Dynamic Bond Fund | 98,847,805 | 99,365,068 | 108,115,493 | 84,746,766 | ||||||||||||
Equity Rotation Fund | - | 7,252,585 | - | 6,729,109 | ||||||||||||
High Yield Fund | - | 54,942,009 | - | 49,476,131 | ||||||||||||
Inflation-Protected and Income Fund | 37,540,978 | 20,355,463 | 36,041,128 | 83,224,397 | ||||||||||||
Short-Duration Bond Fund | 23,207,894 | 53,464,100 | 27,096,577 | 47,602,671 | ||||||||||||
Small Cap Equity Fund | - | 25,770,680 | - | 28,608,710 | ||||||||||||
Special Situations Fund | - | 1,744,550 | - | 1,536,386 | ||||||||||||
Strategic Emerging Markets Fund | - | 19,778,416 | - | 25,220,952 |
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Asset Momentum Fund Class II |
| |||||||||||||||
Sold | - | $ | - | |||||||||||||
Issued as reinvestment of dividends | 13,802 | 143,267 | ||||||||||||||
Redeemed | - | - | ||||||||||||||
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|
|
| |||||||||||||
Net increase (decrease) | 13,802 | $ | 143,267 | |||||||||||||
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|
|
| �� | ||||||||||||
Asset Momentum Fund Service Class I |
| |||||||||||||||
Sold | 32,320 | $ | 357,728 | 79,133 | $ | 769,914 | ||||||||||
Issued as reinvestment of dividends | - | - | 472 | 4,891 | ||||||||||||
Redeemed | (22,191 | ) | (248,573 | ) | (13,993 | ) | (139,613 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 10,129 | $ | 109,155 | 65,612 | $ | 635,192 | ||||||||||
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|
|
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Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Dynamic Bond Fund Class II |
| |||||||||||||||
Sold | 389,752 | $ | 3,896,708 | 1,967,334 | $ | 19,730,005 | ||||||||||
Issued as reinvestment of dividends | 565,186 | 5,606,648 | 1,238,887 | 12,384,957 | ||||||||||||
Redeemed | - | - | (1,811,608 | ) | (18,518,299 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 954,938 | $ | 9,503,356 | 1,394,613 | $ | 13,596,663 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Dynamic Bond Fund Service Class I |
| |||||||||||||||
Sold | 89,205 | $ | 887,977 | 306,722 | $ | 3,060,637 | ||||||||||
Issued as reinvestment of dividends | 4,130 | 40,894 | 6,138 | 61,280 | ||||||||||||
Redeemed | (27,739 | ) | (276,513 | ) | (58,001 | ) | (585,364 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 65,596 | $ | 652,358 | 254,859 | $ | 2,536,553 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Rotation Fund Class II |
| |||||||||||||||
Sold | - | $ | - | |||||||||||||
Issued as reinvestment of dividends | 22,578 | 257,157 | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 22,578 | $ | 257,157 | |||||||||||||
|
|
|
| |||||||||||||
Equity Rotation Fund Service Class I |
| |||||||||||||||
Sold | 40,294 | $ | 489,743 | 26,050 | $ | 261,848 | ||||||||||
Issued as reinvestment of dividends | - | - | 376 | 4,270 | ||||||||||||
Redeemed | (6,288 | ) | (77,996 | ) | (1,273 | ) | (13,560 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 34,006 | $ | 411,747 | 25,153 | $ | 252,558 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class II |
| |||||||||||||||
Sold | 64,660 | $ | 656,290 | 295,975 | $ | 2,921,195 | ||||||||||
Issued as reinvestment of dividends | 172,709 | 1,742,629 | 854,296 | 8,197,683 | ||||||||||||
Redeemed | (437,210 | ) | (4,456,289 | ) | (3,988,962 | ) | (39,527,479 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (199,841 | ) | $ | (2,057,370 | ) | (2,838,691 | ) | $ | (28,408,601 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Service Class I |
| |||||||||||||||
Sold | 579,485 | $ | 5,898,326 | 598,074 | $ | 5,781,914 | ||||||||||
Issued as reinvestment of dividends | 61,144 | 615,111 | 206,300 | 1,979,564 | ||||||||||||
Redeemed | (292,670 | ) | (2,988,239 | ) | (568,429 | ) | (5,393,673 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 347,959 | $ | 3,525,198 | 235,945 | $ | 2,367,805 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Initial Class |
| |||||||||||||||
Sold | 2,571,153 | $ | 26,335,224 | 3,173,898 | $ | 32,854,113 | ||||||||||
Issued as reinvestment of dividends | 244,155 | 2,509,913 | 874,258 | 9,077,612 | ||||||||||||
Redeemed | (2,578,412 | ) | (26,455,366 | ) | (5,541,789 | ) | (57,254,526 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 236,896 | $ | 2,389,771 | (1,493,633 | ) | $ | (15,322,801 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Service Class |
| |||||||||||||||
Sold | 367,662 | $ | 3,750,989 | 556,761 | $ | 5,721,767 | ||||||||||
Issued as reinvestment of dividends | 28,139 | 287,854 | 98,067 | 1,014,617 | ||||||||||||
Redeemed | (389,047 | ) | (3,974,505 | ) | (861,017 | ) | (8,847,076 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 6,754 | $ | 64,338 | (206,189 | ) | $ | (2,110,692 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class II |
| |||||||||||||||
Sold | 1,982,719 | $ | 19,397,723 | 8,113,707 | $ | 79,725,554 | ||||||||||
Issued as reinvestment of dividends | 148,583 | 1,451,658 | 382,932 | 3,741,339 | ||||||||||||
Redeemed | (2,126,400 | ) | (20,835,500 | ) | (3,648,831 | ) | (35,740,980 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,902 | $ | 13,881 | 4,847,808 | $ | 47,725,913 | ||||||||||
|
|
|
|
|
|
|
|
119
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short-Duration Bond Fund Service Class I |
| |||||||||||||||
Sold | 664,808 | $ | 6,505,002 | 1,611,348 | $ | 15,759,014 | ||||||||||
Issued as reinvestment of dividends | 20,458 | 199,672 | 57,403 | 560,359 | ||||||||||||
Redeemed | (810,412 | ) | (7,929,785 | ) | (892,832 | ) | (8,732,232 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (125,146 | ) | $ | (1,225,111 | ) | 775,919 | $ | 7,587,141 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Equity Fund Initial Class |
| |||||||||||||||
Sold | 422,412 | $ | 4,129,576 | 810,550 | $ | 6,946,646 | ||||||||||
Issued as reinvestment of dividends | - | - | 344,289 | 2,985,481 | ||||||||||||
Redeemed | (902,851 | ) | (8,836,412 | ) | (1,650,378 | ) | (14,045,628 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (480,439 | ) | $ | (4,706,836 | ) | (495,539 | ) | $ | (4,113,501 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Equity Fund Service Class |
| |||||||||||||||
Sold | 217,738 | $ | 2,105,630 | 196,340 | $ | 1,662,742 | ||||||||||
Issued as reinvestment of dividends | - | - | 42,763 | 365,594 | ||||||||||||
Redeemed | (134,039 | ) | (1,293,660 | ) | (182,294 | ) | (1,519,077 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 83,699 | $ | 811,970 | 56,809 | $ | 509,259 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Special Situations Fund Class II |
| |||||||||||||||
Sold | - | $ | - | |||||||||||||
Issued as reinvestment of dividends | 11,263 | 110,492 | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 11,263 | $ | 110,492 | |||||||||||||
|
|
|
| |||||||||||||
Special Situations Fund Service Class I |
| |||||||||||||||
Sold | 15,050 | $ | 153,959 | 16,009 | $ | 140,095 | ||||||||||
Issued as reinvestment of dividends | - | - | 144 | 1,404 | ||||||||||||
Redeemed | (2,205 | ) | (22,590 | ) | (897 | ) | (8,232 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 12,845 | $ | 131,369 | 15,256 | $ | 133,267 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class II | ||||||||||||||||
Sold | 240,113 | $ | 2,300,884 | 1,403,238 | $ | 11,815,350 | ||||||||||
Issued as reinvestment of dividends | - | - | 44,808 | 401,484 | ||||||||||||
Redeemed | (858,396 | ) | (8,194,298 | ) | (1,811,377 | ) | (15,695,357 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (618,283 | ) | $ | (5,893,414 | ) | (363,331 | ) | $ | (3,478,523 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Service Class I | ||||||||||||||||
Sold | 164,437 | $ | 1,575,555 | 288,730 | $ | 2,431,282 | ||||||||||
Issued as reinvestment of dividends | - | - | 2,531 | 22,753 | ||||||||||||
Redeemed | (91,415 | ) | (887,433 | ) | (175,761 | ) | (1,511,499 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 73,022 | $ | 688,122 | 115,500 | $ | 942,536 | ||||||||||
|
|
|
|
|
|
|
|
120
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
6. | Federal Income Tax Information |
At June 30, 2017, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Asset Momentum Fund | $ | 22,867,278 | $ | 2,133,514 | $ | (102,788 | ) | $ | 2,030,726 | |||||||
Dynamic Bond Fund | 439,932,394 | 6,860,086 | (5,704,243 | ) | 1,155,843 | |||||||||||
Equity Rotation Fund | 21,780,176 | 5,056,500 | (293,792 | ) | 4,762,708 | |||||||||||
High Yield Fund | 130,128,434 | 5,134,828 | (3,259,439 | ) | 1,875,389 | |||||||||||
Inflation-Protected and Income Fund | 739,612,173 | 8,832,656 | (6,159,203 | ) | 2,673,453 | |||||||||||
Short-Duration Bond Fund | 236,067,642 | 2,351,131 | (1,767,696 | ) | 583,435 | |||||||||||
Small Cap Equity Fund | 106,817,387 | 25,190,923 | (2,717,319 | ) | 22,473,604 | |||||||||||
Special Situations Fund | 17,735,739 | 3,803,844 | (80,684 | ) | 3,723,160 | |||||||||||
Strategic Emerging Markets Fund | 92,150,691 | 20,703,232 | (4,987,691 | ) | 15,715,541 |
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.
At December 31, 2016, for federal income tax purposes, there were no unused capital losses.
At December 31, 2016, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term Capital Loss Carryforward | Long Term Capital Loss Carryforward | |||||||
Equity Rotation Fund | $ | 947,113 | $ | 67,116 | ||||
High Yield Fund | 1,782,122 | 3,597,135 | ||||||
Inflation-Protected and Income Fund | 1,113,437 | 2,670,484 | ||||||
Short-Duration Bond Fund | - | 2,992,400 | ||||||
Special Situations Fund | 2,340,615 | 123,693 | ||||||
Strategic Emerging Markets Fund | 4,346,122 | 8,984,330 |
Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
121
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2016, was as follows:
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
Asset Momentum Fund | $ | 148,158 | $ | - | $ | - | ||||||
Dynamic Bond Fund | 12,446,237 | - | - | |||||||||
Equity Rotation Fund | 261,427 | - | - | |||||||||
High Yield Fund | 10,177,247 | - | - | |||||||||
Inflation-Protected and Income Fund | 10,092,229 | - | - | |||||||||
Short-Duration Bond Fund | 4,301,698 | - | - | |||||||||
Small Cap Equity Fund | 1,043,899 | 2,307,176 | - | |||||||||
Special Situations Fund | 76,278 | - | 35,618 | |||||||||
Strategic Emerging Markets Fund | 424,237 | - | - |
The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2016:
Amount | ||||
Strategic Emerging Markets Fund | $ | 115,234 |
Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2016, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies, non-taxable dividends basis adjustments, the deferral of wash sale losses, and deferred Trustee compensation.
At December 31, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Asset Momentum Fund | $ | 76,241 | $ | 477,709 | $ | (711 | ) | $ | 144,666 | |||||||
Dynamic Bond Fund | 2,142,034 | 573,480 | (14,837 | ) | (7,223,494 | ) | ||||||||||
Equity Rotation Fund | 755 | (1,014,229 | ) | (723 | ) | 3,652,244 | ||||||||||
High Yield Fund | 86,450 | (5,379,257 | ) | (16,787 | ) | 1,243,612 | ||||||||||
Inflation-Protected and Income Fund | 580,281 | (3,783,921 | ) | 19,863 | (1,771,005 | ) | ||||||||||
Short-Duration Bond Fund | 446,042 | (2,992,400 | ) | (29,547 | ) | (1,998,060 | ) | |||||||||
Small Cap Equity Fund | 1,270,461 | 4,523,958 | (30,299 | ) | 22,710,044 | |||||||||||
Special Situations Fund | - | (2,464,308 | ) | (661 | ) | 1,968,296 | ||||||||||
Strategic Emerging Markets Fund | 81,599 | (13,330,452 | ) | (9,419 | ) | (1,694,431 | ) |
The Funds did not have any unrecognized tax benefits at June 30, 2017, nor were there any increases or decreases in unrecognized tax benefits for the period then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the period ended June 30, 2017, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
122
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
7. Indemnifications
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
8. New Accounting Pronouncements
In October 2016, the Securities and Exchange Commission (“SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments. Management is still evaluating the impact of the Rule; however, management believes that many of the Regulation S-X amendments are consistent with the Funds’ current financial statement presentation and expects that each Fund will be able to comply with the Rule’s Regulation S-X amendments by the August 1, 2017 compliance date.
In November 2016, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2016-18, “Statement of Cash Flows (Topic 230), Restricted Cash, a consensus of the FASB’s Emerging Issues Task Force” (“ASU 2016-18”). ASU 2016-18 requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. The amendments in ASU 2016-18 do not provide a definition of restricted cash or restricted cash equivalents. ASU 2016-18 is effective for interim and annual reporting periods beginning after December 15, 2017. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.
In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is still evaluating the potential impact of ASU 2017-08 but believes that adoption of ASU 2017-08 will not have a material effect on each Fund’s financial position or its results of operations.
9. Legal Proceedings
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.
The potential amount sought to be recovered from the Small Cap Equity Fund, plus interest and the Official Committee’s court costs, is approximately $93,500.
The Fund cannot predict the outcome of this proceeding. Accordingly, the Fund has not accrued any amounts related to this proceeding. If the proceeding were to be decided in a manner adverse to the Fund, or if the Fund was to enter into a settlement agreement with the Official Committee, the payment of such judgment or settlement could potentially have a material adverse effect on the Fund’s net asset value depending on the net assets of the Fund at the time of such judgment or settlement.
123
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
10. Subsequent Events
In preparation of these financial statements, management has evaluated the events and transactions subsequent to June 30, 2017, through the date when the financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ financial statements other than those disclosed below.
124
Table of Contents
Other Information (Unaudited)
A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Trustees’ Approval of Investment Advisory Contracts
At their meetings in May and June 2017, the Contract Committee (the “Committee”) and the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MML Advisers, or the subadvisers (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreements (collectively, the “Contracts”) for each of the Asset Momentum Fund, Dynamic Bond Fund, Equity Rotation Fund, High Yield Fund, Inflation-Protected and Income Fund, Short-Duration Bond Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets Fund. In preparation for the meetings, the Trustees requested, and MML Advisers and the subadvisers provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.
The Committee received in advance of the meetings (i) a memorandum from MML Advisers discussing the nature and quality of the services it provides as investment adviser to the Funds; (ii) a profitability analysis prepared by MML Advisers; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to each Fund prepared by an independent third-party vendor (the “Third-Party”). The Third Party Report provided detailed comparative advisory fee, total expense, and performance information for each Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MML Advisers and each of the subadvisers.
The Committee considered the nature, scope, and quality of services MML Advisers provides to the Funds, including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the Funds, and the needs of the Funds for administrative and shareholder services.
The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over various time periods against peer funds and a benchmark index). In connection with the Committee’s review, MML Advisers provided commentary and analysis regarding each Fund’s performance and expenses. The Committee also noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (ii) a wide range of information about each subadviser and its personnel with responsibility for providing services to the respective Fund and the fees payable to each subadviser by MML Advisers. MML Advisers reviewed with the Committee in detail the work MML Advisers does in its oversight roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to provide those services. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning each Fund.
125
Table of Contents
Other Information (Unaudited) (Continued)
The Committee reviewed the expense and performance information for each Fund. (References to any one- or three-year period below are to periods ended December 31, 2016. The three-year periods do not apply for any Fund that does not yet have a three-year performance history. In all cases, the comparative expense information is that of a Fund’s “peer group” and the comparative performance information is that of a Fund’s “performance category.”)
The Committee considered that, in the case of a number of Funds, total net expense information showed the Funds to be in the first or second comparative quartile of their peer groups (least expensive), and performance information showed the Funds to have had first or second comparative quartile investment performance in their performance categories for the most recent one- and (where applicable) three-year periods. These Funds included the Short-Duration Bond Fund, Dynamic Bond Fund, High Yield Fund, Equity Rotation Fund, and Special Situations Fund.
For the MML Asset Momentum Fund, the Committee noted that the Fund had achieved performance in the first comparative quartile for the one-year period. The Committee noted, as well, that, although the Fund had total net expenses in the third comparative quartile, it had a net advisory fee in the second comparative quartile. The Committee considered MML Advisers’ statement that the administrative service fees paid by the Fund to support shareholder servicing contributed significantly to the high relative net total expense ratio.
For the Inflation-Protected and Income Fund, the Committee noted that the Fund had achieved performance in the second and first comparative quartiles for the one- and three-year periods (30th and 13th percentiles, respectively). The Committee noted, as well, that, although the Fund had total net expenses in the fourth comparative quartile (80th percentile) and had a net advisory fee in the fourth comparative quartile (90th percentile), the Committee considered MML Advisers’ statement that administrative service fees paid by the Fund to support shareholder servicing contributed significantly to the high relative net total expense ratio and net advisory fee.
For the Small Cap Equity Fund, the Committee considered that the Fund’s total net expense ratio was in the first comparative quartile (6th percentile), and that the Fund’s net advisory fee was also in the first comparative quartile (22nd percentile). The Committee considered MML Advisers’ statement that, although the Fund had underperformed in the past two years, with performance in the third comparative quartile for each period (74th percentile in 2016, 70th percentile in 2015), it had nonetheless achieved first quartile comparative performance (23rd percentile) for the three-year period and had favorable long-term performance with top half results in six of the last 10 years.
For the Strategic Emerging Markets Fund, the Committee considered that the Fund has total net expenses in the fourth comparative quartile (87th percentile), and that the Fund’s net advisory fee is in the second comparative quartile (40th percentile). The Committee considered MML Advisers’ statement that administrative service fees paid by the Fund to support shareholder servicing contributed significantly to the high relative net total expense ratio. The Committee noted that the Fund’s performance had improved from the fourth comparative quartile (84th percentile) to the third comparative quartile (64th percentile) for the three- and one-year periods. The Committee considered MML Advisers’ statement that the Fund’s underperformance was due in part to broad market factors and that, although the Fund is on Under Review status for performance reasons, MML Advisers remains very committed to the current subadviser and portfolio management team and the strategy. It was noted that the principal source of the underperformance was an overweight in Russian stocks in 2014-2015 that hurt performance for the three-year period significantly. In response to the Committee’s concerns, MML Advisers proposed to continue to voluntarily waive 0.04% of management fees until April 30, 2018 and to reduce the already capped expense ratios by an additional 0.05%.
The Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting, concerning economies of scale and the profitability of MML Advisers’ advisory relationship with the various Funds, including: (i) a description of the revenue (including advisory fees and administrative and shareholder services fees, as applicable) and expense allocation methodology employed by MML Advisers; and (ii) profitability information for each individual Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the Funds and the so-called “fallout benefits” to MML Advisers, such as any reputational value derived from serving as investment adviser to the Funds, and benefits accruing to subadvisers due to so-called “soft-dollar arrangements.”
Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee weighed the foregoing matters in light of the advice given to them by their
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Other Information (Unaudited) (Continued)
independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.
As to each of the Funds, the Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MML Advisers’ oversight of each Fund and the subadvisory process; (ii) MML Advisers’ levels of profitability from its relationship with the various Funds are not excessive and the advisory fees payable under the Contracts and each Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadvisers generally appear well suited to the Funds, given their investment objectives and policies; (iv) either the relative or absolute performance of a Fund (in each case, taking into account the applicable investment strategy and risk profile of the Fund), or the steps MML Advisers has proposed in respect of the underperformance of a Fund, are sufficient to warrant continuation of the Contracts for each of the Funds; and (v) the terms of the Contracts are fair and reasonable with respect to each Fund and are in the best interests of each Fund’s shareholders.
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Other Information (Unaudited) (Continued)
Expense Examples:
The following information is in regards to expenses for the six months ended June 30, 2017:
As a shareholder of the Funds, you incur ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended June 30, 2017.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. 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 under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide 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 shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Asset Momentum Fund | ||||||||||||||||||||||||
Class II | $ | 1,000 | 0.80 | % | $ | 1,133.70 | $ | 4.23 | $ | 1,020.80 | $ | 4.01 | ||||||||||||
Service Class I | 1,000 | 1.05 | % | 1,133.10 | 5.55 | 1,019.60 | 5.26 | |||||||||||||||||
Dynamic Bond Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.59 | % | 1,030.70 | 2.97 | 1,021.90 | 2.96 | |||||||||||||||||
Service Class I | 1,000 | 0.84 | % | 1,029.10 | 4.23 | 1,020.60 | 4.21 | |||||||||||||||||
Equity Rotation Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.65 | % | 1,118.80 | 3.41 | 1,021.60 | 3.26 | |||||||||||||||||
Service Class I | 1,000 | 0.90 | % | 1,116.20 | 4.72 | 1,020.30 | 4.51 | |||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.74 | % | 1,061.80 | 3.78 | 1,021.10 | 3.71 | |||||||||||||||||
Service Class I | 1,000 | 0.99 | % | 1,060.40 | 5.06 | 1,019.90 | 4.96 |
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Other Information (Unaudited) (Continued)
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||||||
Initial Class | $ | 1,000 | 0.59 | % | $ | 1,010.60 | $ | 2.94 | $ | 1,021.90 | $ | 2.96 | ||||||||||||
Service Class | 1,000 | 0.84 | % | 1,009.00 | 4.18 | 1,020.60 | 4.21 | |||||||||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.55 | % | 1,017.50 | 2.75 | 1,022.10 | 2.76 | |||||||||||||||||
Service Class I | 1,000 | 0.80 | % | 1,016.90 | 4.00 | 1,020.80 | 4.01 | |||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.71 | % | 1,070.90 | 3.65 | 1,021.30 | 3.56 | |||||||||||||||||
Service Class | 1,000 | 0.96 | % | 1,069.60 | 4.93 | 1,020.00 | 4.81 | |||||||||||||||||
Special Situations Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.80 | % | 1,076.20 | 4.12 | 1,020.80 | 4.01 | |||||||||||||||||
Service Class I | 1,000 | 1.05 | % | 1,075.30 | 5.40 | 1,019.60 | 5.26 | |||||||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||||||||||
Class II | 1,000 | 1.40 | % | 1,180.60 | 7.57 | 1,017.90 | 7.00 | |||||||||||||||||
Service Class I | 1,000 | 1.65 | % | 1,179.00 | 8.91 | 1,016.60 | 8.25 |
* | Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2017, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year, unless stated otherwise. The annualized expense ratio does not reflect expenses deducted under the variable life insurance or variable annuity contract through which the Funds are invested in. Inclusion of these expenses would increase the annualized expense ratios shown. |
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Underwriter:
MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, CT 06082-1981 |
© 2017 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC | RS-42893-00 |
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Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Investments.
Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this filing.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable to this filing.
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”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this Form N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(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 (17 CFR 270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of Ethics (Item 2) is not applicable to this filing.
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(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT.
(a)(3) Not applicable to this filing.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the 1940 Act (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto as Exhibit 99.906CERT.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | MML Series Investment Fund II |
By (Signature and Title) | /s/ Tina Wilson | |
Tina Wilson, President and Principal Executive Officer | ||
Date 8/23/2017 |
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 (Signature and Title) | /s/ Tina Wilson | |
Tina Wilson, President and Principal Executive Officer | ||
Date 8/23/2017 | ||
By (Signature and Title) | /s/ Renee Hitchcock | |
Renee Hitchcock, Treasurer and Principal Financial Officer | ||
Date 8/23/2017 |