<Page>
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 811-02224
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MML Series Investment Fund
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(Exact name of registrant as specified in charter)
1295 State Street, Springfield, MA 01111
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(Address of principal executive offices) (Zip code)
Frederick C. Castellani
1295 State Street, Springfield, MA 01111
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(Name and address of agent for service)
Registrant's telephone number, including area code: 413-788-8411
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Date of fiscal year end: 12/31/2003
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Date of reporting period: 12/31/2003
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<Page>
ITEM 1 REPORTS TO STOCKHOLDERS.
(Annual Report for the period 1/1/03 through 12/31/03 is filed herewith)
<Page>
MML SERIES INVESTMENT FUND
ANNUAL REPORT FOR THE YEAR ENDED DECEMBER 31, 2003
[GRAPHIC]
MML MONEY MARKET FUND
MML MANAGED BOND FUND
MML BLEND FUND
MML EQUITY FUND
[MASSMUTUAL FINANCIAL GROUP(SM) LOGO]
YOU CAN'T PREDICT. YOU CAN PREPARE(R).
INVEST
INSURE
RETIRE
<Page>
TABLE OF CONTENTS
<Table>
LETTER TO SHAREHOLDERS 1
STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2003 11
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
MML Equity Fund
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003 12
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
MML Equity Fund
STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2003 AND
FOR THE YEAR ENDED DECEMBER 31, 2002 13
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
MML Equity Fund
FINANCIAL HIGHLIGHTS
MML Money Market Fund 14
MML Managed Bond Fund 15
MML Blend Fund 16
MML Equity Fund 17
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003
MML Money Market Fund 18
MML Managed Bond Fund 19
MML Blend Fund 25
MML Equity Fund 34
NOTES TO FINANCIAL STATEMENTS 40
INDEPENDENT AUDITORS' REPORT 48
DIRECTORS AND OFFICERS (UNAUDITED) 49
FEDERAL TAX INFORMATION (UNAUDITED) 52
</Table>
<Page>
MML SERIES INVESTMENT FUND - LETTER TO SHAREHOLDERS
December 31, 2003
TO OUR SHAREHOLDERS
[PHOTO OF FREDERICK C. CASTELLANI]
FREDERICK C. CASTELLANI
"THE RENEWED STRENGTH IN ECONOMIC GROWTH AND THE RALLY IN THE EQUITY MARKETS
DURING 2003 HIGHLIGHT WHY WE BELIEVE IT IS IMPORTANT FOR PARTICIPANTS TO STAY
THE COURSE - AS WELL AS MAINTAIN A PROPERLY DIVERSIFIED PORTFOLIO. WE BELIEVE
THIS IS THE BEST STRATEGY WHEN TRYING TO ACHIEVE LONG-TERM RETIREMENT GOALS."
2003: A YEAR OF MANY HAPPY RETURNS
Good times returned in 2003 for many equity investors. The stock market indexes
and most equity funds generated returns in excess of 25%, with more aggressive
strategies doubling that advance. The bond market lagged with single-digit
returns in the plain vanilla, high quality corporate and government agency
categories, but compelling gains of over 25% also were found in the high yield
and foreign bond markets.
Only a year ago, investors were faced with three straight years of stock market
losses - with grave concerns about a possible fourth "down" year. Their
pessimism was not without merit: the economy was sluggish, unemployment was
rising and war was on the horizon. Fortunately, the fundamentals improved as the
year progressed, leading to increased optimism and strong performance.
Stronger-than-expected economic growth and improving corporate profitability
fueled the equity markets. U.S. Gross Domestic Product, a broad measure of
economic activity, grew by an 8.2% annualized rate in the third quarter, the
strongest advance in nearly 20 years. Providing the foundation were strong
corporate earnings reports, evidence of recovery in business investment,
continued strength in consumer spending, the Federal Reserve (Fed) policy of
maintaining low interest rates, tax reductions, increased government spending
and positive strides in the war on terror.
AGGRESSIVE STOCKS PREVAILED
As in a typical market rally, during the third and fourth quarters, the more
aggressive categories led the way, with small-cap outperforming large-cap,
international leading domestic, growth leading value, and high yield leading
Treasuries. The technology-heavy NASDAQ led the major stock indexes, with the
Russell 2000 small-cap index close behind, followed by the MSCI EAFE
international equity benchmark. Bringing up the rear were the Dow Jones
Industrial Average and the S&P 500(R) Index - but both still turned in
impressive double-digit returns for the six-month period.
BOND RETURNS LAGGED
Over the six months ending December 31, 2003, bonds trailed stocks by a wide
margin. In the third quarter, the bond market's woes were punctuated by a brutal
July, when the Lehman Brothers Aggregate Bond Index had its worst monthly
decline in over 20 years. This left many investors who had flocked to the
"safety" of the bond market - leaving stocks behind - rudely surprised. (This
turn of events also underscores why we continuously caution investors not to use
the recent past performance of any asset category as the primary reason for
investing.) The fourth quarter was not much better for bond investors, as the
Lehman Brothers Aggregate Bond Index advanced a paltry 0.32%.
(Continued)
1
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THE 2004 OUTLOOK - TEMPERED OPTIMISM
The broad-based stock market rally in 2003 was supported by several factors that
continue to provide favorable indicators for 2004, including:
- - A U.S. economy that seems to be in the early stages of expansion
- - Interest rates which are at a 45-year low
- - Low inflation, which should allow the Fed to maintain current interest rate
policy
- - Reduced taxes
- - Improving corporate profitability and earnings growth
Conversely, it is unlikely that the market will be as strong or as broad based
in 2004 as it was last year, due to several factors:
- - High unemployment
- - Interest rates that are more likely to rise than decline
- - High debt ratios for consumers and government
- - Easier comparisons for corporate profit growth (the low or negative profit
numbers companies posted in 2001/2002) are now behind us.
In closing, as the euphoria of 2003's investment performance abates, pressure
will be on the economy and stock prices to sustain the rally. Emphasis will
likely be on inflation and interest rates, earnings growth and employment. While
last year's gains in the market are encouraging and give stock investors a
reason to smile, we continue to urge all investors to maintain focus on
long-term investment objectives. This should include maintaining a diversified
portfolio in an effort to better weather the stock market's inevitable ups and
downs.
/s/ Frederick C. Castellani
Frederick C. Castellani
PRESIDENT
2
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MML MONEY MARKET FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT The objective of the Fund is to achieve high current
OBJECTIVE OF THE MML income, preserve capital and liquidity by investing in:
MONEY MARKET FUND? - a diversified portfolio of money market instruments;
and
- high quality debt instruments with remaining
maturity not to exceed 397 days.
HOW DID THE FUND For the 12 months ending December 31, 2003, the Fund's
PERFORM DURING 2003? shares had a return of 0.62%, equaling the 0.62% return
of the Lipper Taxable Money Market Fund Index.
WHAT WAS THE INVESTMENT The third quarter was characterized by positive
BACKGROUND DURING THE economic surprises, with many companies announcing
PERIOD? better-than-expected results. While stocks continued
their positive performance through July, the central
bank rate cut in late June saw the main bond indexes
post negative returns in July. On a more positive note,
Gross Domestic Product was revised upward for the
second quarter to an annual rate of 3.3%. This positive
economic and business momentum continued during the
closing quarter of the year, as investors became
increasingly confident.
Another positive development has been the increase in
hiring within the temporary sector of the job market -
often viewed as a precursor to an improvement in the
permanent job sector. Conversely, non-farm payrolls,
which posted seven straight months of declines through
August, showed only a modest increase in September,
making this a "jobless recovery." Also a positive for
the markets, the monetary stimulus that the Federal
Reserve (Fed) initiated in 2002 remained in place, with
interest rates left unchanged. It is widely believed
that the Fed has room to keep rates at current levels
well into 2004. Finally, the unemployment rate, which
was one of the last economic indicators to turn
positive during 2003, continued to decline, albeit
slowly. With reduced inventories and increasing demand
now coming through, we expect this trend to continue in
2004.
HOW IS THE FUND Since there was little short-end commercial paper
INVESTED? issuance in 2003, we held almost 50% of the portfolio
in Treasuries at year-end. We have also been reducing
our exposure to agency discount notes issued by Freddie
Mac and Fannie Mae, in the wake of accounting scandals
associated with those quasi-government agencies.
WHAT IS YOUR OUTLOOK? We believe that money market returns will remain
subdued in the coming months.
3
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GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MML Money Market Fund and the Lipper Taxable Money
Market Fund Index
MML SERIES INVESTMENT FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR TEN YEAR
ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 12/31/03 1/1/99 - 12/31/03 1/1/94 - 12/31/03
MML Money
Market Fund 0.62% 3.26% 4.10%
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Lipper Taxable Money
Market Fund Index 0.62% 3.23% 4.06%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
<Table>
<Caption>
MML MONEY MARKET FUND LIPPER TAXABLE MONEY MARKET FUND INDEX
1/1/94 $ 10,000 $ 10,000
12/94 $ 10,384 $ 10,373
12/95 $ 10,964 $ 10,947
12/96 $ 11,513 $ 11,495
12/97 $ 12,109 $ 12,087
12/98 $ 12,733 $ 12,704
12/99 $ 13,342 $ 13,306
12/00 $ 14,147 $ 14,097
12/01 $ 14,665 $ 14,634
12/02 $ 14,854 $ 14,803
12/03 $ 14,947 $ 14,895
</Table>
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE
WITH MARKET CONDITIONS SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A
PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE LIPPER TAXABLE MONEY MARKET FUND
INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY
BY INVESTORS. THE FUND'S RETURN REFLECTS CHANGES IN THE NET ASSET VALUE PER
SHARE WITHOUT THE DEDUCTION OF ANY PRODUCT CHARGES. THE INCLUSION OF THESE
CHARGES WOULD HAVE REDUCED THE PERFORMANCE SHOWN HERE. PAST PERFORMANCE IS NO
INDICATION OF FUTURE RESULTS.
AN INVESTMENT IN THE MML MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH
THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT
IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND
4
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MML MANAGED BOND FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT The objective of the Fund is to achieve as high a total
OBJECTIVE OF THE MML rate of return on an annual basis as is considered
MANAGED BOND FUND? consistent with the preservation of capital by
investing primarily in a diversified portfolio of
investment-grade, fixed-income securities.
HOW DID THE FUND For the 12 months ending December 31, 2003, the Fund's
PERFORM DURING 2003? shares returned 5.59%, outperforming the 4.11% return
of the Lehman Brothers Aggregate Bond Index, an index
of fixed-income securities primarily from the Treasury,
mortgage-backed, and corporate asset classes.
WHAT WAS THE INVESTMENT The third quarter was characterized by positive
BACKGROUND DURING THE economic surprises, with many companies announcing
PERIOD? better-than-expected results. Gross Domestic Product
was revised upward for the second quarter to an annual
rate of 3.3%. This positive economic and business
momentum continued during the fourth quarter, as
investors became increasingly confident. Another
positive development was the increase in hiring within
the temporary sector of the job market - often viewed
as a precursor to an improvement in the permanent job
sector. Conversely, non-farm payrolls, which posted
seven straight months of declines through August,
showed only a modest increase in September, making this
a "jobless recovery." The positive economic and
business momentum seen in the third quarter continued
during the closing quarter of 2003. Investors'
increased confidence was unabated through year-end.
HOW DID YOU RESPOND TO During the beginning of the third quarter, we were
THESE EVENTS? buyers of higher coupon mortgages, as they became
attractive when they fell out of favor in the market.
As the quarter progressed and interest rate volatility
continued, these mortgages came back into favor and we
cashed in our gains, reducing our exposure to a near
market weight by quarter-end. We continued this
strategy into the fourth quarter, when mortgages
continued to perform well, and we sold on this
strength. As a result, at year-end we held an
underweight position in mortgages (23.3%) versus the
benchmark (35.8%).
HOW IS THE FUND Besides mortgages, we are also underweight in
INVESTED? Treasuries, on the belief that there are better
opportunities for yield. On the other hand, we hold
overweight positions in both corporate bonds and BBB
rated bonds, which are at the lowest end of the
investment-grade spectrum.
WHAT IS YOUR OUTLOOK? Looking forward, we expect a continuation of the
improving outlook. We expect the Federal Reserve to
remain on the sidelines as far as interest rates are
concerned, at least through the first half of 2004.
We will continue to look for opportunities in corporate
bonds, which should perform well in an improving
economy. While the strong spread tightening that we
witnessed throughout 2003 is unlikely to be repeated in
2004, we believe there are still selective
opportunities in corporates.
5
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[CHART]
DURATION DIVERSIFICATION (12/31/03)
MML MANAGED BOND FUND
AVERAGE DURATION=4.59 YEARS
<Table>
LESS THAN 1 Year 12.6%
1-3 Years 31.6%
3-5 Years 20.0%
5-10 Years 23.1%
10-20 Years 12.7%
</Table>
QUALITY STRUCTURE (12/31/03)
MML MANAGED BOND FUND
<Table>
U.S. Governments Cash Equivalents Aaa/AAA 47.1%
Aa/AA 3.6%
A 17.0%
Baa/BBB 30.0%
Ba/BB 1.5%
B 0.8%
</Table>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MML Managed
Bond Fund and the Lehman Brothers
Aggregate Bond Index
MML SERIES INVESTMENT FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR TEN YEAR
ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 12/31/03 1/1/99 - 12/31/03 1/1/94 - 12/31/03
MML Managed
Bond Fund 5.59% 6.15% 6.61%
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Lehman Brothers
Aggregate Bond Index 4.11% 6.62% 6.95%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
<Table>
<Caption>
MML MANAGED BOND FUND LEHMAN BROTHERS AGGREGATE BOND INDEX
1/1/94 $ 10,000 $ 10,000
12/94 $ 9,624 $ 9,708
12/95 $ 11,465 $ 11,502
12/96 $ 11,838 $ 11,919
12/97 $ 13,012 $ 13,070
12/98 $ 14,070 $ 14,206
12/99 $ 13,813 $ 14,089
12/00 $ 15,359 $ 15,728
12/01 $ 16,570 $ 17,056
12/02 $ 17,963 $ 18,805
12/03 $ 18,967 $ 19,576
</Table>
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE
WITH MARKET CONDITIONS SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A
PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE LEHMAN BROTHERS AGGREGATE BOND
INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY
BY INVESTORS. THE FUND'S RETURN REFLECTS CHANGES IN THE NET ASSET VALUE PER
SHARE WITHOUT THE DEDUCTION OF ANY PRODUCT CHARGES. THE INCLUSION OF THESE
CHARGES WOULD HAVE REDUCED THE PERFORMANCE SHOWN HERE. PAST PERFORMANCE IS NO
INDICATION OF FUTURE RESULTS.
6
<Page>
MML BLEND FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT The objective of the Fund is to achieve as high a level
OBJECTIVE OF THE MML of total rate of return over an extended period of time
BLEND FUND? as is consistent with prudent investment risk and the
preservation of capital - by investing in a diversified
portfolio of equity securities, fixed-income securities
and money market instruments.
HOW DID THE FUND For the 12 months ending December 31, 2003, the Fund's
PERFORM DURING 2003? shares returned 18.71%, lagging the 19.94% return of
the Lipper Balanced Fund Index, an unmanaged index of
stock and bond portfolios.
WHAT WAS THE INVESTMENT The equity market rally that began in March 2003
BACKGROUND DURING THE continued in the third quarter, fueled by positive
PERIOD? corporate earnings reports and largely favorable
economic indicators. As has been the case for much of
2003, the third quarter saw investors continuing to
embrace market risk, small-cap stocks and growth
investing. This resulted in an environment in which
small caps continued to outperform large caps by a wide
margin and economically sensitive sectors outpaced
sectors associated with low risk in almost all equity
market indexes. This trend continued into the fourth
quarter. For the full year, small-cap stocks led the
U.S. equity market, outperforming large caps by
approximately 20%. During 2003, investments in
higher-risk stocks with exposure to the economic cycle
generated the highest returns in all investment styles,
most notably in the small-cap space.
WHAT ASSET ALLOCATION In the beginning of the fourth quarter, we moved to an
DECISIONS WERE MADE? overweight position in equities, where we remained at
year-end. This position added value, as equity markets
continued to advance. For the full year, our asset
allocation moves were highly favorable.
HOW DID THE FUND'S The Fund's stock portfolios kept pace with their
STOCK SELECTION MODEL respective benchmarks, the Russell 1000 Index and S&P
OPERATE DURING THE 500 Index, during the third quarter, but failed to add
PERIOD? value above index returns. This resulted from the
persistent market trend of favoring high-risk stocks -
characterized by generally volatile earnings, poor
balance sheets, low stock prices and high debt levels -
over quality companies. Repeating this trend in the
fourth quarter, the stock portfolios once again failed
to generate value, as the key to outperformance was
still to employ an investment strategy that favored
increased exposure to economic growth factors and
higher-risk, low priced issues.
HOW DID THE BOND The Fund's bond portfolio for full-year 2003 remained
PORTFOLIO PERFORM? strong relative to the Lehman Brothers Aggregate Bond
Index. During the beginning of the third quarter, we
were buyers of higher coupon mortgages, as they became
attractive when they fell out of favor in the market.
As the quarter progressed and interest rate volatility
continued, these mortgages came back into favor and we
cashed in our gains, reducing our exposure to a near
market weight by quarter-end. Corporate bond spreads
continued to tighten over the quarter, but still offer
improved yields versus Treasuries. Our overweight
position in corporate bonds added significant value
throughout much of the year. We will continue to look
for opportunities in corporate bonds, which we expect
to perform well in an improving economy. While the
strong spread tightening realized throughout 2003 is
unlikely to be repeated in 2004, we believe there still
will be selective opportunities to add value from this
sector.
WHAT IS YOUR OUTLOOK? Financial markets currently have tremendous momentum
and, until they are impacted by another force, such as
rising bond yields, will likely remain on their current
path. In 2004, interest rates could be the big story.
If they do not go up much, 2004 could be a big "up"
year for financial markets. If they rise sharply, the
opposite could be true.
7
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[CHART]
MML BLEND FUND
ASSET ALLOCATION
(% OF INVESTMENTS) ON 12/31/03
<Table>
Common Stocks 61.2%
Bonds 26.7%
Short-term Issues 12.1%
</Table>
MML BLEND FUND
LARGEST STOCK HOLDINGS (12/31/03)
General Electric Co.
Microsoft Corp.
Citigroup, Inc.
Intel Corp.
Pfizer, Inc.
Exxon Mobil Corp.
Wal-Mart Stores, Inc.
Cisco Systems, Inc.
International Business Machines Corp.
Bank of America Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MML Blend Fund and the corresponding indices
MML SERIES INVESTMENT FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR TEN YEAR
ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 12/31/03 1/1/99 - 12/31/03 1/1/94 - 12/31/03
MML Blend Fund 18.71% -0.45% 6.81%
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Lehman Brothers
Aggregate Bond Index 4.11% 6.62% 6.95%
Lipper Balanced
Fund Index 19.94% 2.95% 8.20%
S&P 500 Index 28.67% -0.57% 11.06%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
<Table>
<Caption>
LEHMAN BROTHERS LIPPER BALANCED
MML BLEND FUND AGGREGATE BOND INDEX FUND INDEX S&P 500 INDEX
1/1/94 $ 10,000 $ 10,000 $ 10,000 $ 10,000
12/94 $ 10,248 $ 9,708 $ 9,751 $ 10,132
12/95 $ 12,633 $ 11,502 $ 12,149 $ 13,934
12/96 $ 14,395 $ 11,919 $ 13,728 $ 17,132
12/97 $ 17,403 $ 13,070 $ 16,480 $ 22,845
12/98 $ 19,763 $ 14,206 $ 19,013 $ 29,373
12/99 $ 19,518 $ 14,089 $ 20,720 $ 35,553
12/00 $ 19,522 $ 15,728 $ 21,215 $ 32,319
12/01 $ 18,400 $ 17,056 $ 20,529 $ 28,481
12/02 $ 16,279 $ 18,805 $ 18,335 $ 22,189
12/03 $ 19,324 $ 19,576 $ 21,990 $ 28,550
</Table>
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE
WITH MARKET CONDITIONS SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A
PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE LIPPER BALANCED FUND INDEX, THE
S&P 500 INDEX AND THE LEHMAN BROTHERS AGGREGATE BOND INDEX ARE UNMANAGED AND DO
NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. THE FUND'S
RETURN REFLECTS CHANGES IN THE NET ASSET VALUE PER SHARE WITHOUT THE DEDUCTION
OF ANY PRODUCT CHARGES. THE INCLUSION OF THESE CHARGES WOULD HAVE REDUCED THE
PERFORMANCE SHOWN HERE. PAST PERFORMANCE IS NO INDICATION OF FUTURE RESULTS.
8
<Page>
MML EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT The objective of the Fund is to provide a superior
OBJECTIVE OF THE MML total rate of return over an extended period of time
EQUITY FUND? from both capital appreciation and current income. The
Fund seeks to achieve this objective by investing in a
diversified portfolio of equity securities of larger,
well established firms (generally with market
capitalizations exceeding $2 billion), using a
value-oriented investment strategy.
HOW DID THE FUND For the 12 months ending December 31, 2003, the Fund's
PERFORM DURING 2003? shares returned 27.49%, lagging both the 28.67% return
of the Standard & Poor's 500 Index and the 30.03%
return of the Russell 1000 Value Index.
The Russell 1000 Value Index measures the performance
of those companies in the Russell 1000 Index with
attributes common to the value universe. The Russell
1000 Index tracks the performance of the 1,000 largest
U.S. companies based on total market capitalization.
The S&P 500 is a market capitalization-weighted,
unmanaged index of 500 common stocks.
WHAT WAS THE INVESTMENT The U.S. stock market rallied during the third quarter
BACKGROUND DURING THE on increased optimism about the outlook for the economy
PERIOD? and corporate earnings. Following a trend established
earlier in the year, investors continued to embrace
market risk, small stocks and growth investing. Both
the market surge and the aforementioned investor
sentiment continued into the fourth quarter. For the
full year, small-cap stocks outperformed their
large-cap counterparts by approximately 20%. Although
exposure to equities during the year added value
irrespective of asset class or style segmentation,
investments in high-risk stocks with exposure to the
economic cycle generated the highest returns in all
investment styles, most notably the small-cap space.
WHAT FACTORS Contributing to performance in the third quarter was
CONTRIBUTED TO THE favorable stock selection in the technology, consumer
FUND'S PERFORMANCE? discretionary and consumer staples sectors. Detractors
came from various sectors, including financial
services, health care and producer durables. In the
fourth quarter, results were driven by weak stock
selection in the technology, financial services and
utilities sectors. Consumer discretionary stocks lagged
the market due to disappointing holiday sales.
Conversely, energy companies advanced - with their
prices moving in the same direction as the price of
oil.
The stocks that suffered the most during the bear
market, such as technology issues, rebounded strongly
in 2003. Additionally, economically sensitive sectors,
including producer durables and materials & processing,
once denounced as "old economy," had a very strong run.
Meanwhile, sectors generally characterized as
defensive, such as utilities, consumer staples and
health care, trailed for the year.
WHAT IS YOUR OUTLOOK? The equity market currently has tremendous momentum and
until it is impacted by another force, such as rising
bond yields, it will likely remain on its current path.
However, it should be noted that this is currently the
consensus forecast, and therefore it is likely already
priced into the market. In 2004, interest rates could
be the big story. If they do not go up much, 2004 could
be a big up year for equities. If they rise sharply,
the opposite could be true.
9
<Page>
MML EQUITY FUND
LARGEST STOCK HOLDINGS (12/31/03)
Citigroup, Inc.
Exxon Mobil Corp.
American International Group, Inc.
Weyerhaeuser Co.
Rockwell Collins, Inc.
Wells Fargo & Co.
PPG Industries, Inc.
Pfizer, Inc.
McDonald's Corp.
Verizon Communications, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MML Equity Fund and the S&P 500 Index
MML SERIES INVESTMENT FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR TEN YEAR
ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 12/31/03 1/1/99 - 12/31/03 1/1/94 - 12/31/03
MML Equity Fund 27.49% -2.85% 7.82%
- --------------------------------------------------------------------------------
S&P 500 Index 28.67% -0.57% 11.06%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
<Table>
<Caption>
MML EQUITY FUND S&P 500 INDEX
1/1/94 $ 10,000 $ 10,000
12/94 $ 10,410 $ 10,132
12/95 $ 13,651 $ 13,934
12/96 $ 16,416 $ 17,132
12/97 $ 21,109 $ 22,845
12/98 $ 24,528 $ 29,373
12/99 $ 23,591 $ 35,553
12/00 $ 24,265 $ 32,319
12/01 $ 20,694 $ 28,481
12/02 $ 16,648 $ 22,189
12/03 $ 21,224 $ 28,550
</Table>
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE
WITH MARKET CONDITIONS SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A
PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND
DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. THE
FUND'S RETURN REFLECTS CHANGES IN THE NET ASSET VALUE PER SHARE WITHOUT THE
DEDUCTION OF ANY PRODUCT CHARGES. THE INCLUSION OF THESE CHARGES WOULD HAVE
REDUCED THE PERFORMANCE SHOWN HERE. PAST PERFORMANCE IS NO INDICATION OF FUTURE
RESULTS.
10
<Page>
MML SERIES INVESTMENT FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2003
<Table>
<Caption>
MML MML
MONEY MANAGED MML MML
MARKET BOND BLEND EQUITY
FUND FUND FUND FUND
-------------- --------------- --------------- ---------------
ASSETS:
Investments, at value (cost $0, $346,753,904,
$823,164,324, and $1,096,062,270, respectively)
(NOTE 2) $ - $ 358,524,909 $ 1,000,520,102 $ 1,323,353,772
Short-term investments, at amortized cost (NOTE 2) 141,915,296 39,599,262 137,506,616 49,561,963
-------------- --------------- --------------- ---------------
Total Investments (including securities on loan
with market values of $0, $22,424,305,
$54,726,325, and $47,801,340, respectively) 141,915,296 398,124,171 1,138,026,718 1,372,915,735
-------------- --------------- --------------- ---------------
Cash 2,483 34,849 48,783 16,078,549
Receivables from:
Investments sold - - - -
Fund shares sold 409,647 236,234 65,492 110,049
Interest and dividends - 3,972,976 4,264,188 2,010,182
Settlement of investments purchased on a
commitment basis (NOTE 2) - 6,094 6,094 -
-------------- --------------- --------------- ---------------
Total assets 142,327,426 402,374,324 1,142,411,275 1,391,114,515
-------------- --------------- --------------- ---------------
LIABILITIES:
Payables for:
Investments purchased - - - 2,092,006
Dividends (NOTE 2) 57,156 - - -
Fund shares repurchased 548,938 172,271 234,598 438,501
Securities on loan (NOTE 2) - 23,017,763 56,533,709 49,561,963
Directors' fees and expenses (NOTE 3) 13,309 25,010 77,219 85,316
Affiliates (NOTE 3):
Investment management fees 62,803 155,040 379,171 451,598
Accrued expenses and other liabilities 23,709 13,328 44,156 47,053
-------------- --------------- --------------- ---------------
Total liabilities 705,915 23,383,412 57,268,853 52,676,437
-------------- --------------- --------------- ---------------
NET ASSETS $ 141,621,511 $ 378,990,912 $ 1,085,142,422 $ 1,338,438,078
============== =============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 141,798,366 $ 372,310,749 $ 1,218,714,776 $ 1,401,283,864
Undistributed net investment income
(distributions in excess of net investment income) 23,871 (1,094,753) (335,246) (69,461)
Accumulated net realized loss on investments
and forward commitments (200,726) (4,002,183) (310,598,980) (290,067,827)
Net unrealized appreciation on investments and
forward commitments - 11,777,099 177,361,872 227,291,502
-------------- --------------- --------------- ---------------
$ 141,621,511 $ 378,990,912 $ 1,085,142,422 $ 1,338,438,078
============== =============== =============== ===============
Shares outstanding: 141,771,962 30,291,683 74,024,390 64,274,154
============== =============== =============== ===============
Net asset value, offering price and redemption
price per share: $ 1.00 $ 12.51 $ 14.66 $ 20.82
============== =============== =============== ===============
</Table>
The accompanying notes are an integral part of the financial statements.
11
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
MML MML
MONEY MANAGED MML MML
MARKET BOND BLEND EQUITY
FUND FUND FUND FUND
------------- ------------- ------------- -------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $0, $0, $0,
and $283,630, respectively) $ - $ 65,625 $ 11,731,920 $ 25,877,396
Interest (including securities lending income of $0,
$28,418, $53,537, and $81,901, respectively) 1,917,884 19,986,817 18,021,501 131,543
------------- ------------- ------------- -------------
Total investment income 1,917,884 20,052,442 29,753,421 26,008,939
------------- ------------- ------------- -------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 800,238 1,798,127 4,093,119 4,625,623
Custody fees 16,100 - 129,564 129,510
Trustee reporting 13,446 - 13,446 13,446
Audit and legal fees 23,709 18,281 44,149 47,683
Shareholder reporting fees 1,442 - 10,325 11,723
Directors' fees (NOTE 3) 11,167 26,610 68,950 74,990
------------- ------------- ------------- -------------
Total expenses 866,102 1,843,018 4,359,553 4,902,975
------------- ------------- ------------- -------------
NET INVESTMENT INCOME 1,051,782 18,209,424 25,393,868 21,105,964
------------- ------------- ------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions and forward commitments 6,912 4,113,006 (8,103,350) (81,586,348)
Closed futures contracts - - 778,066 -
------------- ------------- ------------- -------------
Net realized gain (loss) 6,912 4,113,006 (7,325,284) (81,586,348)
------------- ------------- ------------- -------------
Net change in unrealized appreciation
(depreciation) on investments and
forward commitments - (790,234) 160,549,385 355,529,848
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN 6,912 3,322,772 153,224,101 273,943,500
------------- ------------- ------------- -------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 1,058,694 $ 21,532,196 $ 178,617,969 $ 295,049,464
============= ============= ============= =============
</Table>
The accompanying notes are an integral part of the financial statements.
12
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED DECEMBER 31, 2003
------------------------------------------------------------------------
MML MML
MONEY MANAGED MML MML
MARKET BOND BLEND EQUITY
FUND FUND FUND FUND
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,051,782 $ 18,209,424 $ 25,393,868 $ 21,105,964
Net realized gain (loss) on
investment transactions
and forward commitments 6,912 4,113,006 (7,325,284) (81,586,348)
Net change in unrealized
appreciation (depreciation)
on investments and
forward commitments - (790,234) 160,549,385 355,529,848
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING
FROM OPERATIONS 1,058,694 21,532,196 178,617,969 295,049,464
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
(NOTE 2):
From net investment income (1,051,782) (20,809,869) (27,002,708) (21,136,767)
From net realized gains - - - -
NET FUND SHARE TRANSACTIONS
(NOTE 5) (50,637,354) (7,958,705) (114,913,552) (90,714,246)
--------------- --------------- --------------- ---------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS (50,630,442) (7,236,378) 36,701,709 183,198,451
--------------- --------------- --------------- ---------------
NET ASSETS:
Beginning of year 192,251,953 386,227,290 1,048,440,713 1,155,239,627
--------------- --------------- --------------- ---------------
End of year $ 141,621,511 $ 378,990,912 $ 1,085,142,422 $ 1,338,438,078
=============== =============== =============== ===============
Undistributed net investment
income (distributions in
excess of net investment
income) included in net
assets at end of the year $ 23,871 $ (1,094,753) $ (335,246) $ (69,461)
=============== =============== =============== ===============
<Caption>
YEAR ENDED DECEMBER 31, 2002
------------------------------------------------------------------------
MML MML
MONEY MANAGED MML MML
MARKET BOND BLEND EQUITY
FUND FUND FUND FUND
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 2,524,071 $ 18,503,138 $ 34,519,056 $ 18,533,759
Net realized gain (loss) on
investment transactions
and forward commitments 27,832 (805,419) (101,474,131) (206,958,175)
Net change in unrealized
appreciation (depreciation)
on investments and
forward commitments - 10,079,576 (89,670,562) (121,104,698)
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING
FROM OPERATIONS 2,551,903 27,777,295 (156,625,637) (309,529,114)
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
(NOTE 2):
From net investment income (2,524,071) (19,436,802) (35,476,768) (18,498,334)
From net realized gains - (1,952,654) - (19,274,161)
NET FUND SHARE TRANSACTIONS
(NOTE 5) (11,467,228) 86,730,303 (210,580,090) (165,123,797)
--------------- --------------- --------------- ---------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS (11,439,396) 93,118,142 (402,682,495) (512,425,406)
--------------- --------------- --------------- ---------------
NET ASSETS:
Beginning of year 203,691,349 293,109,148 1,451,123,208 1,667,665,033
--------------- --------------- --------------- ---------------
End of year $ 192,251,953 $ 386,227,290 $ 1,048,440,713 $ 1,155,239,627
=============== =============== =============== ===============
Undistributed net investment
income (distributions in
excess of net investment
income) included in net
assets at end of the year $ 23,871 $ (890,097) $ (8,837) $ 72,403
=============== =============== =============== ===============
</Table>
The accompanying notes are an integral part of the financial statements.
13
<Page>
MML MONEY MARKET FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/03 12/31/02 12/31/01 12/31/00 12/31/99
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.01 0.01 0.04 0.06 0.05
Net realized and unrealized gain (loss) on investments 0.00+ 0.00+ (0.00)+ - -
---------- ---------- ---------- ---------- ----------
Total income from investment operations 0.01 0.01 0.04 0.06 0.05
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.01) (0.01) (0.04) (0.06) (0.05)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
TOTAL RETURN (a) 0.62% 1.29% 3.66% 6.03% 4.78%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 141,622 $ 192,252 $ 203,691 $ 182,008 $ 200,570
Net expenses to average daily net assets 0.52% 0.52% 0.50% 0.51% 0.50%
Net investment income to average daily net assets 0.63% 1.27% 3.67% 5.86% 4.68%
</Table>
+ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS IS LESS THAN $0.01
PER SHARE.
(a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE 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.
The accompanying notes are an integral part of the financial statements.
14
<Page>
MML MANAGED BOND FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/03 12/31/02 12/31/01 (b) 12/31/00 12/31/99
---------- ---------- ------------ ---------- ----------
NET ASSET VALUE, BEGINNING OF YEAR $ 12.49 $ 12.27 $ 12.19 $ 11.61 $ 12.60
---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.57 0.67 0.74 0.77* 0.75
Net realized and unrealized gain (loss) on investments 0.11 0.33 0.20 0.50 (0.98)
---------- ---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.68 1.00 0.94 1.27 (0.23)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.66) (0.70) (0.86) (0.69) (0.76)
From net realized gains - (0.08) - - -
---------- ---------- ---------- ---------- ----------
Total distributions (0.66) (0.78) (0.86) (0.69) (0.76)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF YEAR $ 12.51 $ 12.49 $ 12.27 $ 12.19 $ 11.61
========== ========== ========== ========== ==========
TOTAL RETURN (a) 5.59% 8.40% 7.89% 11.19% (1.83)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 378,991 $ 386,227 $ 293,109 $ 232,431 $ 239,910
Net expenses to average daily net assets 0.46% 0.47% 0.48% 0.49% 0.50%
Net investment income to average daily net assets 4.56% 5.51% 5.98% 6.54% 6.19%
Portfolio turnover rate 77% 41% 53% 20% 41%
</Table>
* PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARE METHOD.
(a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE 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.
(b) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING GUIDE
FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND DISCOUNTS ON
DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR ENDED DECEMBER 31,
2001 WAS A DECREASE TO NET INVESTMENT INCOME PER SHARE OF $0.01, AN
INCREASE TO NET REALIZED AND UNREALIZED GAINS AND LOSSES PER SHARE OF $0.01
AND A DECREASE OF THE RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS
FROM 6.11% TO 5.98%. PER SHARE DATA AND RATIOS/SUPPLEMENTAL DATA FOR
PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT BEEN RESTATED TO REFLECT THIS
CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
15
<Page>
MML BLEND FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/03 12/31/02 12/31/01 (b) 12/31/00 12/31/99
----------- ----------- ------------ ----------- -----------
NET ASSET VALUE, BEGINNING OF YEAR $ 12.67 $ 14.76 $ 19.51 $ 23.51 $ 25.08
----------- ----------- ----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.34 0.39 0.47 0.76* 0.84
Net realized and unrealized gain (loss) on investments 2.01 (2.08) (1.69) (0.73) (1.13)
----------- ----------- ----------- ----------- -----------
Total income (loss) from investment operations 2.35 (1.69) (1.22) 0.03 (0.29)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.36) (0.40) (0.56) (0.70) (0.84)
From net realized gains - - (2.97) (3.33) (0.44)
----------- ----------- ----------- ----------- -----------
Total distributions (0.36) (0.40) (3.53) (4.03) (1.28)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF YEAR $ 14.66 $ 12.67 $ 14.76 $ 19.51 $ 23.51
=========== =========== =========== =========== ===========
TOTAL RETURN (a) 18.71% (11.53)% (5.75)% 0.02% (1.24)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 1,085,142 $ 1,048,441 $ 1,451,123 $ 1,836,095 $ 2,636,321
Net expenses to average daily net assets 0.42% 0.42% 0.40% 0.39% 0.38%
Net investment income to average daily net assets 2.44% 2.80% 2.85% 3.30% 3.34%
Portfolio turnover rate 101% 90% 87% 103% 21%
</Table>
* PER SHARE AMOUNT CALCULATED USING THE AVERAGE SHARES METHOD.
(a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE 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.
(b) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING GUIDE
FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUM AND DISCOUNTS ON DEBT
SECUTITIES. THE EFFECT OF THIS CHARGE FOR THE YEAR ENDED DECEMBER 31, 2001
WAS A DECREASE TO NET INVESTMENT INCOME PER SHARE OF $0.003, AN INCREASE TO
NET REALIZED AND UNREALIZED GAINS AND LOSSES OF $0.003 AND A DECREASE OF
THE RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS FROM 2.87% TO
2.85%. PER SHARE DATA AND RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO
JANUARY 1, 2001 HAVE NOT BEEN RESTATED TO REFLECT THIS PRESENTATION.
The accompanying notes are an integral part of the financial statements.
16
<Page>
MML EQUITY FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
12/31/03 12/31/02 12/31/01 12/31/00 12/31/99
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF YEAR $ 16.60 $ 21.28 $ 34.30 $ 36.56 $ 39.20
----------- ----------- ----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.33 0.27 0.35 0.53* 0.71
Net realized and unrealized gain (loss) on investments 4.22 (4.41) (5.23) 0.53 (2.21)
----------- ----------- ----------- ----------- -----------
Total income (loss) from investment operations 4.55 (4.14) (4.88) 1.06 (1.50)
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.33) (0.27) (0.62) (0.30) (0.71)
From net realized gains -- (0.27) (7.52) (3.02) (0.43)
----------- ----------- ----------- ----------- -----------
Total distributions (0.33) (0.54) (8.14) (3.32) (1.14)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF YEAR $ 20.82 $ 16.60 $ 21.28 $ 34.30 $ 36.56
=========== =========== =========== =========== ===========
TOTAL RETURN (a) 27.49% (19.55)% (14.72)% 2.86% (3.82)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 1,338,438 $ 1,155,240 $ 1,667,665 $ 2,180,741 $ 2,748,155
Net expenses to average daily net assets 0.41% 0.42% 0.40% 0.40% 0.37%
Net investment income to average daily net assets 1.77% 1.33% 1.22% 1.47% 1.78%
Portfolio turnover rate 61% 67% 101% 69% 16%
</Table>
* PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
(a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE 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.
The accompanying notes are an integral part of the financial statements.
17
<Page>
MML MONEY MARKET FUND - PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
SHORT-TERM INVESTMENTS -- 100.2%
Commercial Paper -- 47.5%
American Honda
Finance Corp.
1.030% 01/28/2004 $ 3,100,000 $ 3,097,605
Anheuser-Busch
Cos., Inc.
1.010% 02/06/2004 3,525,000 3,521,440
Bemis Co., Inc.
1.060% 01/14/2004 3,600,000 3,598,622
BP Amoco Capital PLC
1.040% 02/09/2004 910,000 908,975
BP Amoco Capital PLC
1.040% 03/02/2004 2,630,000 2,625,366
CIT Group, Inc.
1.090% 01/16/2004 2,040,000 2,039,074
Clorox Co.
1.020% 01/23/2004 3,325,000 3,322,927
The Coca-Cola Co.
1.030% 02/13/2004 1,720,000 1,717,884
Dow Jones & Co., Inc.+
1.060% 02/17/2004 3,600,000 3,595,018
Equitable Resources, Inc.+
1.050% 01/26/2004 2,800,000 2,797,958
Equitable Resources, Inc.+
1.060% 01/08/2004 675,000 674,861
Florida Power & Light Co.
1.050% 03/03/2004 3,500,000 3,493,671
Gannett Co.
1.020% 01/27/2004 2,230,000 2,228,357
Gannett Co.
1.030% 01/12/2004 1,015,000 1,014,681
General Electric
Capital Corp.
1.050% 05/07/2004 3,310,000 3,297,739
Goldman Sachs
Group, Inc.
1.140% 05/27/2004 3,500,000 3,483,707
Household Finance Corp.
1.100% 02/02/2004 3,050,000 3,047,018
Kimberly-Clark Worldwide+
1.020% 01/13/2004 3,425,000 3,423,836
Nestle Capital Corp.+
1.020% 01/22/2004 2,115,000 2,113,742
Nestle Capital Corp.+
1.040% 01/06/2004 1,600,000 1,599,769
Northern Illinois Gas Co.
1.100% 03/02/2004 1,830,000 1,826,589
Paccar Financial Corp.
1.050% 03/18/2004 2,450,000 2,444,498
Paccar Financial Corp.
1.050% 02/03/2004 $ 1,080,000 $ 1,078,961
Pfizer, Inc.+
1.010% 01/20/2004 3,070,000 3,068,364
Pfizer, Inc.+
1.030% 01/20/2004 325,000 324,823
Toyota Motor
Credit Corp.+
1.040% 01/30/2004 3,385,000 3,382,164
Verizon Network Funding
1.030% 02/04/2004 3,500,000 3,496,595
-------------
67,224,244
-------------
DISCOUNT NOTES -- 5.5%
Federal Farm Credit Bank
0.990% 03/01/2004 3,775,000 3,768,771
Federal Home Loan Bank
1.020% 06/15/2004 1,390,000 1,383,462
Federal Home Loan Bank
1.120% 01/22/2004 1,430,000 1,429,066
Federal Home Loan
Mortgage Corp.
1.130% 01/15/2004 1,190,000 1,189,476
-------------
7,770,775
-------------
U.S. TREASURY BILLS -- 47.2%
U.S. Treasury Bill
0.850% 03/18/2004 1,265,000 1,262,703
U.S. Treasury Bill
0.865% 01/29/2004 1,745,000 1,743,826
U.S. Treasury Bill
0.900% 03/11/2004 1,825,000 1,821,806
U.S. Treasury Bill
0.905% 01/15/2004 5,700,000 5,697,994
U.S. Treasury Bill
0.915% 02/26/2004 2,950,000 2,945,801
U.S. Treasury Bill
0.915% 05/20/2004 2,290,000 2,281,851
U.S. Treasury Bill
0.920% 06/03/2004 2,680,000 2,669,453
U.S. Treasury Bill
0.925% 04/15/2004 4,140,000 4,128,831
U.S. Treasury Bill
0.930% 03/11/2004 1,900,000 1,896,564
U.S. Treasury Bill
0.940% 03/04/2004 2,380,000 2,376,085
U.S. Treasury Bill
0.945% 02/05/2004 3,890,000 3,886,426
U.S. Treasury Bill
0.953% 02/19/2004 3,450,000 3,445,527
U.S. Treasury Bill
0.955% 03/25/2004 $ 1,620,000 $ 1,616,390
U.S. Treasury Bill
0.960% 01/29/2004 3,075,000 3,072,704
U.S. Treasury Bill
0.965% 05/06/2004 2,790,000 2,780,577
U.S. Treasury Bill
0.965% 06/24/2004 1,610,000 1,602,448
U.S. Treasury Bill
0.975% 01/15/2004 1,520,000 1,519,424
U.S. Treasury Bill
0.975% 04/01/2004 2,810,000 2,803,074
U.S. Treasury Bill
0.977% 01/02/2004 2,875,000 2,874,921
U.S. Treasury Bill
0.980% 04/08/2004 3,495,000 3,485,676
U.S. Treasury Bill
0.987% 04/29/2004 2,920,000 2,910,473
U.S. Treasury Bill
0.990% 01/08/2004 2,840,000 2,839,453
U.S. Treasury Bill
0.990% 03/18/2004 1,150,000 1,147,565
U.S. Treasury Bill
1.003% 04/15/2004 1,225,000 1,221,418
U.S. Treasury Bill
1.005% 04/22/2004 2,535,000 2,527,074
U.S. Treasury Bill
1.010% 02/12/2004 2,365,000 2,362,213
-------------
66,920,277
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST)* 141,915,296
-------------
TOTAL INVESTMENTS -- 100.2%
OTHER ASSETS/
(LIABILITIES) -- (0.2%) (293,785)
-------------
NET ASSETS -- 100.0% $ 141,621,511
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Aggregate cost for Federal tax purposes. (NOTE 7).
+ 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 December 31,
2003 these securities amounted to a value of $20,980,535 or 14.8% of net
assets.
The accompanying notes are an integral part of the financial statements.
18
<Page>
MML MANAGED BOND FUND - PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 0.4%
AUTOMOTIVE & PARTS
General Motors Corp.
Series B
Convertible Preferred 50,000 $ 1,343,500
-------------
TOTAL EQUITIES
(COST $1,250,000) 1,343,500
-------------
<Caption>
PRINCIPAL
AMOUNT
-------------
BONDS & NOTES -- 94.2%
ASSET BACKED SECURITIES -- 4.0%
Capital Auto Receivables
Asset Trust
Series 2003-1,
Class A2A
2.270% 01/17/2006 $ 1,375,000 1,384,883
Chase Mortgage
Finance Co. Series
2003-S11, Class 1A-1
5.000% 10/25/2033 3,074,477 2,999,346
Conseco Finance
Securitizations Corp.
Series 2001-1, Class A4
6.210% 07/01/2032 925,000 937,896
Ford Credit Auto
Owner Trust
Series 2003-A,
Class A3A
2.200% 07/17/2006 1,475,000 1,484,219
Metlife Capital
Equipment Loan Trust
Series 1997-A, Class A
6.850% 05/20/2008 143,665 144,989
MMCA Automobile
Trust Series 2002-3,
Class A3
2.970% 03/15/2007 1,875,000 1,874,707
National City
Auto Receivables
Trust Series 2002-A,
Class A4
4.830% 08/15/2009 3,000,000 3,131,250
New Century
Home Equity Loan Trust
Series 1997-NC5,
Class A6
6.700% 10/25/2028 2,768 2,849
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Oakwood Mortgage
Investors, Inc.
Series 2001-C, Class A2
5.920% 09/15/2017 $ 319,299 $ 238,778
Option One Mortgage
Securities Corp.
Trust Series 2002-2A,
Class CFTS+
8.830% 06/26/2032 7,123 7,134
Railcar Trust
Series 1992-1, Class A
7.750% 06/01/2004 147,160 149,643
Travelers Funding Limited
Series 1A, Class A1+
6.300% 02/18/2014 1,204,754 1,264,992
Vanderbilt Mortgage and
Finance, Inc.
Series 2002-C, Class A2
4.230% 02/07/2015 1,475,000 1,503,578
-------------
TOTAL ASSET BACKED
SECURITIES
(COST $15,099,373) 15,124,264
-------------
CORPORATE DEBT -- 52.2%
Albertson's, Inc.
7.750% 06/15/2026 1,000,000 1,115,933
Alcan Aluminum Limited
6.250% 11/01/2008 800,000 883,670
American General
Finance Corp.
5.875% 07/14/2006 1,000,000 1,079,129
American Honda
Finance Corp.+
3.850% 11/06/2008 850,000 855,885
Anheuser-Busch Cos., Inc.
5.050% 10/15/2016 850,000 844,402
Anheuser-Busch Cos., Inc.
6.500% 02/01/2043 965,000 1,048,245
Aramark Services, Inc.
8.150% 05/01/2005 1,200,000 1,284,194
Arrow Electronics, Inc.*
8.700% 10/01/2005 660,000 721,632
Avery-Dennison Corp.
6.760% 04/15/2005 1,200,000 1,274,125
Avnet, Inc.
8.000% 11/15/2006 205,000 221,913
Bank of America Corp.
3.250% 08/15/2008 500,000 493,925
Barrick Gold Corp.
7.500% 05/01/2007 2,000,000 2,275,980
BHP Finance
(USA) Limited*
6.420% 03/01/2026 $ 2,000,000 $ 2,137,246
Boeing Capital Corp.
7.100% 09/27/2005 555,000 600,226
Bombardier Capital, Inc.+
7.500% 08/15/2004 1,000,000 1,036,250
BP Capital Markets PLC
2.750% 12/29/2006 2,500,000 2,503,910
Brascan Corp.
7.375% 03/01/2033 1,000,000 1,109,116
British Telecom PLC
8.875% 12/15/2030 1,200,000 1,569,125
Buckeye Partners LP
4.625% 07/15/2013 500,000 480,790
Cabot Corp.+
5.250% 09/01/2013 525,000 520,535
Capitol Records, Inc.+
8.375% 08/15/2009 2,000,000 2,101,514
Carolina Power &
Light Co.
6.125% 09/15/2033 800,000 822,238
CarrAmerica Realty Corp.
6.625% 03/01/2005 450,000 470,944
Cendant Corp.
6.875% 08/15/2006 700,000 767,999
Cendant Corp.
7.375% 01/15/2013 900,000 1,031,670
Certegy, Inc.
4.750% 09/15/2008 270,000 276,800
Champion
International Corp.
6.400% 02/15/2026 1,500,000 1,632,381
Chevron Phillips
Chemical Co. LLC
5.375% 06/15/2007 750,000 798,502
Cinergy Corp.
6.250% 09/01/2004 1,000,000 1,025,799
Cingular Wireless
5.625% 12/15/2006 200,000 214,532
CIT Group, Inc.
4.125% 02/21/2006 1,400,000 1,448,731
CIT Group, Inc.
7.375% 04/02/2007 600,000 677,694
Citigroup, Inc.
6.750% 12/01/2005 2,000,000 2,172,772
Clear Channel
Communications, Inc.
6.875% 06/15/2018 500,000 556,590
</Table>
The accompanying notes are an integral part of the financial statements.
19
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
CNF, Inc.
8.875% 05/01/2010 $ 600,000 $ 641,335
Colonial Pipeline Co.+
7.630% 04/15/2032 500,000 611,852
Comcast Cable
Communications, Inc.
8.375% 05/01/2007 1,250,000 1,449,224
Comcast Corp.
6.500% 01/15/2015 500,000 542,510
ConAgra Foods, Inc.
7.000% 10/01/2028 1,250,000 1,373,819
ConAgra Foods, Inc.
7.500% 09/15/2005 1,000,000 1,086,455
Conoco, Inc.
6.350% 04/15/2009 500,000 560,918
Consolidated Natural
Gas Co. Series C
6.250% 11/01/2011 650,000 718,019
Cooper Industries Limited
5.250% 07/01/2007 1,500,000 1,603,760
Countrywide Home
Loans, Inc.
3.500% 12/19/2005 750,000 770,893
Countrywide Home
Loans, Inc.
5.500% 02/01/2007 800,000 857,196
Cox Communications, Inc.
6.750% 03/15/2011 475,000 538,135
Cox Enterprises, Inc.+
4.375% 05/01/2008 1,250,000 1,269,852
Crane Co.
5.500% 09/15/2013 250,000 255,821
CRH America, Inc.
6.400% 10/15/2033 400,000 409,091
CSX Corp.*
7.250% 05/01/2027 2,000,000 2,240,160
DaimlerChrysler NA
Holding Corp.
4.050% 06/04/2008 500,000 496,596
DaimlerChrysler NA
Holding Corp.
6.900% 09/01/2004 1,280,000 1,320,412
DaimlerChrysler NA
Holding Corp.
7.300% 01/15/2012 970,000 1,080,044
Deutsche Telekom
International Finance BV
5.250% 07/22/2013 450,000 454,599
Deutsche Telekom
International Finance BV
8.250% 06/15/2005 1,000,000 1,084,755
Dominion Resources, Inc.
2.800% 02/15/2005 $ 900,000 $ 909,278
Dominion
Resources, Inc.
7.820% 09/15/2004 1,000,000 1,043,598
Donnelley (R.R.) &
Sons Co.
6.625% 04/15/2029 1,000,000 1,036,830
Dover Corp.
6.250% 06/01/2008 750,000 827,656
DPL, Inc.
8.250% 03/01/2007 1,000,000 1,090,000
Duke Energy Field
Services Corp.
7.875% 08/16/2010 800,000 937,246
Ecolab, Inc.
6.875% 02/01/2011 1,100,000 1,233,873
Electronic Data
Systems Corp. Series B
6.000% 08/01/2013 300,000 294,790
Emerald Investment
Grade CBO Limited+
1.967% 05/24/2011 984,196 934,986
Enbridge Energy
Partners LP
4.750% 06/01/2013 500,000 482,941
Entergy Gulf States, Inc.+
5.250% 08/01/2015 2,400,000 2,317,500
Enterprise Products
Operating LP
7.500% 02/01/2011 1,175,000 1,313,080
Equifax, Inc.
4.950% 11/01/2007 500,000 522,958
ERAC USA Finance Co.+
6.750% 05/15/2007 2,000,000 2,204,750
Exelon Generation Co. LLC
6.950% 06/15/2011 425,000 477,275
FBG Finance Limited+
7.875% 06/01/2016 1,250,000 1,564,140
First Industrial LP
7.000% 12/01/2006 1,000,000 1,093,801
Fiserv, Inc.
4.000% 04/15/2008 650,000 646,938
Ford Motor Co.
6.375% 02/01/2029 1,420,000 1,266,816
Ford Motor Co.
6.625% 02/15/2028 1,296,000 1,193,196
Ford Motor Credit Co.
5.625% 10/01/2008 400,000 410,637
Ford Motor Credit Co.
7.000% 10/01/2013 950,000 1,001,945
Ford Motor Credit Co.
7.375% 10/28/2009 $ 3,000,000 $ 3,294,483
France Telecom SA
9.750% 03/01/2031 380,000 504,897
Franklin Resources, Inc.
3.700% 04/15/2008 960,000 954,791
General American
Transportation Corp.
6.750% 03/01/2006 1,010,000 1,050,166
General Electric Co.
5.000% 02/01/2013 1,650,000 1,668,703
General Mills, Inc.
2.625% 10/24/2006 4,000,000 3,978,052
General Mills, Inc.
8.900% 06/15/2006 1,000,000 1,151,067
General Motors
Acceptance Corp.
6.150% 04/05/2007 1,000,000 1,071,759
General Motors Corp.
7.200% 01/15/2011 1,600,000 1,759,178
General Motors Corp.
8.375% 07/15/2033 730,000 847,393
Goodrich (B.F.) Co.
7.500% 04/15/2008 900,000 1,024,849
The Goodyear
Tire & Rubber Co.
8.500% 03/15/2007 535,000 525,637
Hershey Foods Corp.*
7.200% 08/15/2027 1,250,000 1,459,064
Household Finance Corp.
4.125% 12/15/2008 850,000 857,433
Household Finance Corp.
6.375% 10/15/2011 500,000 550,592
Household Finance Corp.
6.375% 11/27/2012 1,825,000 2,002,124
Humana, Inc.
7.250% 08/01/2006 995,000 1,087,155
ICI Wilmington, Inc.
7.050% 09/15/2007 550,000 608,559
Idex Corp.
6.875% 02/15/2008 775,000 838,163
Inco Limited
5.700% 10/15/2015 650,000 656,574
International
Game Technology
8.375% 05/15/2009 675,000 808,014
International Paper Co.
5.500% 01/15/2014 600,000 602,229
Interpool, Inc.
7.350% 08/01/2007 500,000 480,625
</Table>
The accompanying notes are an integral part of the financial statements.
20
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Jefferies Group, Inc.
7.500% 08/15/2007 $ 300,000 $ 337,226
Jefferies Group, Inc.
7.750% 03/15/2012 715,000 799,860
Jet Equipment Trust
Series 1995-A+
8.235% 11/01/2012 1,558,063 841,354
JP Morgan Chase & Co.
3.125% 12/11/2006 1,000,000 1,008,137
Kern River
Funding Corp.+
4.893% 04/30/2018 1,073,129 1,067,956
KeySpan Gas East Corp.
Series MTNA
6.900% 01/15/2008 1,105,000 1,243,997
Kimco Realty Corp.
Series MTNB
7.860% 11/01/2007 1,100,000 1,269,531
Kinder Morgan
Energy Partners LP
5.350% 08/15/2007 1,100,000 1,178,550
The Kroger Co.
6.750% 04/15/2012 1,000,000 1,108,020
The Kroger Co.
7.000% 05/01/2018 500,000 559,328
Lasmo (USA), Inc.
6.750% 12/15/2007 2,000,000 2,243,198
Leucadia National Corp.*
7.750% 08/15/2013 2,000,000 2,090,000
Liberty Media Corp.
3.500% 09/25/2006 2,600,000 2,612,992
Liberty Media Corp.
8.250% 02/01/2030 1,000,000 1,196,521
Lockheed Martin Corp.
8.500% 12/01/2029 925,000 1,212,095
Marriott International,
Inc. Series E
7.000% 01/15/2008 1,445,000 1,609,863
Masco Corp.
6.750% 03/15/2006 1,230,000 1,338,919
Meritor Automotive, Inc.
6.800% 02/15/2009 1,000,000 1,050,000
MGM Grand, Inc.
6.950% 02/01/2005 750,000 780,000
MidAmerican Energy
Holdings Co.
3.500% 05/15/2008 1,300,000 1,278,062
Miller Brewing Co.+
5.500% 08/15/2013 700,000 715,150
Millipore Corp.
7.500% 04/01/2007 1,000,000 1,090,000
Mobil Corp.*
8.625% 08/15/2021 $ 1,000,000 $ 1,338,544
Mohawk Industries, Inc.
Series D
7.200% 04/15/2012 500,000 567,940
Morgan Stanley Dean
Witter & Co.
5.625% 01/20/2004 1,300,000 1,302,262
Motorola, Inc.
6.750% 02/01/2006 500,000 538,643
National Rural
Utilities Cooperative
Finance Corp.
4.375% 10/01/2010 500,000 502,057
National Rural
Utilities Cooperative
Finance Corp.
8.000% 03/01/2032 1,350,000 1,681,416
Newell Rubbermaid, Inc.
4.000% 05/01/2010 450,000 435,401
News America
Holdings, Inc.
9.250% 02/01/2013 2,000,000 2,580,006
Nisource Finance Corp.
3.200% 11/01/2006 570,000 574,603
Norfolk Southern Corp.
7.050% 05/01/2037 1,000,000 1,121,818
Norske
Skogindustrier ASA+
6.125% 10/15/2015 835,000 845,530
Nortel Networks Limited
6.125% 02/15/2006 380,000 384,750
Oak Hill Securities
Fund II+
8.920% 10/15/2006 700,000 743,149
Park Place
Entertainment Corp.
8.500% 11/15/2006 1,000,000 1,107,500
Piedmont Natural
Gas Co. Series E
6.000% 12/19/2033 475,000 469,799
Precision
Castparts Corp.+
5.600% 12/15/2013 1,315,000 1,322,886
Progress Energy, Inc.
6.550% 03/01/2004 775,000 780,781
PSEG Power LLC
5.500% 12/01/2015 725,000 726,025
Public Service Co.
of Colorado Series 15
5.500% 04/01/2014 1,100,000 1,143,736
Qwest Capital
Funding, Inc.
7.750% 02/15/2031 $ 500,000 $ 460,000
Qwest Corp.+
9.125% 03/15/2012 550,000 631,125
Reliant Energy
Resources Corp.
Series B
8.125% 07/15/2005 1,235,000 1,319,026
Republic Services, Inc.
7.125% 05/15/2009 1,000,000 1,148,923
The Rouse Co.
5.375% 11/26/2013 600,000 596,857
Ryder System, Inc.
6.600% 11/15/2005 750,000 798,091
Safeway, Inc.
2.500% 11/01/2005 1,900,000 1,881,600
Sealed Air Corp.+
5.625% 07/15/2013 950,000 972,126
Simon Property Group LP
7.375% 01/20/2006 1,000,000 1,098,186
SLM Corp.
5.000% 10/01/2013 2,850,000 2,831,848
Sonoco Products Co.
6.500% 11/15/2013 1,500,000 1,653,672
Sony Capital Corp.+
4.950% 11/01/2006 1,500,000 1,592,013
SP PowerAssets Limited+
5.000% 10/22/2013 500,000 502,657
Sprint Capital Corp.
6.900% 05/01/2019 750,000 766,154
Sprint Capital Corp.
8.375% 03/15/2012 825,000 963,435
Steelcase, Inc.
6.375% 11/15/2006 375,000 392,153
SuperValu, Inc.
7.500% 05/15/2012 400,000 454,381
SuperValu, Inc.*
7.875% 08/01/2009 1,500,000 1,749,666
TCI Communications, Inc.
6.875% 02/15/2006 350,000 380,011
Temple-Inland, Inc.
Series MTND
8.125% 12/15/2006 600,000 665,402
Tenet Healthcare Corp.
6.375% 12/01/2011 950,000 912,000
Textron Financial Corp.
Series E
2.690% 10/03/2006 1,205,000 1,196,886
Thomas & Betts Corp.
8.250% 01/15/2004 1,500,000 1,500,000
</Table>
The accompanying notes are an integral part of the financial statements.
21
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
The Thomson Corp.
6.200% 01/05/2012 $ 650,000 $ 713,783
Time Warner
Companies, Inc.
7.570% 02/01/2024 500,000 565,432
Timken Co. Series A
6.750% 08/21/2006 600,000 613,589
Toro Co.
7.800% 06/15/2027 850,000 937,150
Toyota Motor Credit Corp.
4.350% 12/15/2010 1,650,000 1,672,514
TransAlta Corp.
5.750% 12/15/2013 1,200,000 1,205,993
Tri-State Generation &
Transmission Association
Series 2003, Class A+
6.040% 01/31/2018 650,000 667,706
Tri-State Generation &
Transmission Association
Series 2003, Class B+
7.144% 07/31/2033 500,000 532,105
Tyco International
Group SA
6.375% 02/15/2006 1,100,000 1,171,500
Tyco International
Group SA
6.375% 10/15/2011 275,000 293,906
Union Tank Car Co.
6.790% 05/01/2010 2,000,000 2,237,322
United Air Lines,
Inc. Series 91B** ++
10.110% 02/19/2006 280,959 91,663
US Airways, Inc. Cl. B** ++
7.500% 04/15/2008 869,681 -
USA Interactive
7.000% 01/15/2013 850,000 937,191
Verizon Global
Funding Corp.
7.750% 12/01/2030 850,000 998,504
Verizon New England, Inc.
6.500% 09/15/2011 730,000 804,381
VF Corp.+
6.000% 10/15/2033 375,000 370,852
Vodafone Group PLC
5.375% 01/30/2015 350,000 353,242
Vulcan Materials Co.
6.000% 04/01/2009 800,000 870,221
The Walt Disney Co.
6.750% 03/30/2006 800,000 870,117
Washington Mutual, Inc.
2.400% 11/03/2005 1,900,000 1,904,815
Weyerhaeuser Co.
5.500% 03/15/2005 1,100,000 1,145,162
Weyerhaeuser Co.
5.950% 11/01/2008 $ 1,000,000 $ 1,074,884
Williams Gas Pipelines
Central, Inc.+
7.375% 11/15/2006 950,000 1,035,500
WorldCom, Inc.** ++
6.500% 05/15/2004 1,560,000 522,600
WorldCom, Inc.** ++
8.250% 05/15/2031 425,000 142,375
WPP Finance (USA) Corp.
6.625% 07/15/2005 1,100,000 1,144,928
-------------
TOTAL CORPORATE DEBT
(Cost $190,210,929) 198,146,836
-------------
MUNICIPAL OBLIGATIONS -- 0.5%
GENERAL OBLIGATIONS
Illinois State
Taxable Pension
5.100% 06/01/2033 2,100,000 1,930,887
-------------
TOTAL MUNICIPAL OBLIGATIONS
(Cost $2,100,000) 1,930,887
-------------
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 4.4%
Asset Securitization Corp.
Series 1995-MD4,
Class A1
7.100% 08/13/2029 537,210 575,798
CS First Boston Mortgage
Securities Corp.
Series 1998-C2, Class A1
5.960% 11/11/2030 582,371 618,818
CS First Boston Mortgage
Securities Corp.
Series 2002-H1N,
Class A+
8.000% 08/27/2032 48,992 48,992
GE Capital Commercial
Mortgage Corp.
Series 2002-1A,
Class A1
5.033% 12/10/2035 758,161 792,632
GMAC Mortgage Corp.
Loan Trust
Series 2001-J5,
Class A7
6.750% 11/25/2031 1,408,609 1,411,550
GSR Mortgage Loan
Trust Series 2002-8F,
Class 3AA1
6.500% 09/25/2032 372,370 375,239
MASTR Asset Securitization
Trust Series 2002-6,
Class 6A1
6.500% 10/25/2032 437,114 450,070
Merrill Lynch Mortgage
Investors, Inc. Series
1998-C1, Class A1
6.310% 11/15/2026 $ 673,980 $ 693,700
Residential Accredit
Loans, Inc.
Series 2000-QS8,
Class A4
8.000% 07/25/2030 572,140 574,540
Salomon Brothers
Mortgage Securities
Series 1997-TZH,
Class B+
7.491% 03/25/2022 1,250,000 1,328,662
Salomon Brothers
Mortgage Securities
Series 2001-MMA,
Class A1+
5.323% 02/18/2034 1,427,310 1,480,266
Starwood Commercial
Mortgage Trust
Series 1999-C1A,
Class B+
6.920% 02/03/2014 1,000,000 1,127,087
Structured Asset
Securities Corp.
Series 1998-ALS2,
Class 1A
6.750% 03/25/2029 125,778 127,557
Structured Asset
Securities Corp.
Series 2003-30,
Class 1A1
5.500% 10/25/2033 2,552,037 2,582,691
Vendee Mortgage Trust
Series 1992-1, Class 2Z
7.750% 05/15/2022 899,171 968,175
Washington Mutual, Inc.
Series 2003-S11,
Class A1
5.000% 11/25/2033 3,733,641 3,642,446
-------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $16,546,515) 16,798,223
-------------
SOVEREIGN DEBT OBLIGATIONS 0.3%
Chile Government
International Bond
5.500% 01/15/2013 600,000 617,100
United Mexican States
8.300% 08/15/2031 500,000 563,750
-------------
TOTAL SOVEREIGN DEBT OBLIGATIONS
(Cost $1,119,865) 1,180,850
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
22
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 25.3%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 2.9%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.4%
FHLMC Series 2178,
Class PB
7.000% 08/15/2029 $ 1,200,000 $ 1,282,922
FHLMC Series W067,
Class A
6.420% 12/01/2005 317,251 339,781
-------------
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS 1,622,703
-------------
PASS-THROUGH SECURITIES -- 2.5%
FHLMC
5.500% 11/01/2031 1,810,923 1,839,078
FHLMC
6.000% 09/01/2016-
02/01/2018 1,159,868 1,220,524
FHLMC
6.500% 09/01/2016-
08/01/2032 5,295,732 5,582,651
FHLMC
7.500% 10/01/2030-
03/01/2031 396,781 426,384
FHLMC
8.000% 03/01/2027 281,291 305,937
FHLMC
9.000% 03/01/2017 19,877 21,785
-------------
TOTAL PASS-THROUGH SECURITIES 9,396,359
-------------
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) 11,019,062
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 16.8%
PASS-THROUGH SECURITIES
FNMA
4.500% 05/01/2018-
09/01/2018 14,761,372 14,803,382
FNMA
5.000% 03/01/2018-
09/01/2033 16,148,041 16,159,058
FNMA
5.500% 03/01/2033-
05/01/2033 1,443,870 1,465,189
FNMA
6.000% 06/01/2016-
03/01/2033 14,625,136 15,148,493
FNMA
6.420% 11/01/2008 1,245,568 1,376,479
FNMA
6.500% 07/01/2016-
09/01/2032 $ 10,864,223 $ 11,398,723
FNMA
7.000% 03/01/2031-
04/01/2031 794,826 843,074
FNMA
7.500% 08/01/2029-
06/01/2031 673,227 722,405
FNMA
8.000% 11/01/2029-
09/01/2031 1,469,865 1,589,530
FNMA
9.000% 05/01/2009 73,516 79,915
-------------
TOTAL PASS-THROUGH SECURITIES 63,586,248
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 5.4%
PASS-THROUGH SECURITIES
GNMA
5.000% 10/15/2033 8,413,088 8,354,591
GNMA
6.000% 02/15/2029-
08/15/2032 4,325,575 4,508,949
GNMA
6.500% 05/15/2023-
11/15/2028 2,575,073 2,721,905
GNMA
6.625% 11/20/2025-
11/20/2027 88,269 90,857
GNMA
7.000% 09/15/2023-
08/15/2032 2,446,919 2,617,347
GNMA
7.250% 11/20/2021-
01/20/2022 476,855 512,306
GNMA
7.500% 03/15/2017-
06/15/2024 749,338 806,522
GNMA
8.000% 03/15/2004-
04/15/2008 754,950 795,494
-------------
TOTAL PASS-THROUGH SECURITIES 20,407,971
-------------
Other Agencies -- 0.2%
PASS-THROUGH SECURITIES
New Valley Generation IV
4.687% 01/15/2022 550,000 533,680
-------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $93,994,905) 95,546,961
-------------
U.S. TREASURY OBLIGATIONS -- 7.5%
U.S. TREASURY BONDS -- 1.3%
U.S. Treasury Bond
6.125% 08/15/2029 $ 4,270,000 $ 4,839,778
-------------
U.S. TREASURY NOTES -- 3.0%
U.S. Treasury Note
3.250% 05/31/2004 11,400,000 11,505,094
-------------
U.S. TREASURY STRIPS -- 3.2%
U.S. Treasury Strip-
Principal Only
0.000% 05/15/2016 21,000,000 11,405,115
U.S. Treasury Strips
0.000% 11/15/2021 1,850,000 703,401
-------------
TOTAL U.S. TREASURY STRIPS 12,108,516
-------------
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $26,432,317) 28,453,388
-------------
TOTAL BONDS & NOTES
(Cost $345,503,904) 357,181,409
-------------
TOTAL LONG TERM INVESTMENTS
(Cost $346,753,904) 358,524,909
-------------
SHORT-TERM INVESTMENTS -- 10.4%
CASH EQUIVALENTS -- 6.0%***
Bank of Montreal
Eurodollar Time Deposit
1.060% 01/15/2004 62,482 62,482
Bank of Montreal
Eurodollar Time Deposit
1.060% 02/17/2004 330,144 330,144
Bank of Nova Scotia
Eurodollar Time Deposit
1.080% 03/03/2004 990,428 990,428
Bank of Scotland
Eurodollar Time Deposit
1.060% 04/02/2004 247,608 247,608
Bank of the West
Eurodollar Time Deposit
1.075% 01/14/2004 247,608 247,608
Barclays
Eurodollar Time Deposit
1.090% 03/05/2004 825,357 825,357
BNP Paribas
Eurodollar Time Deposit
0.970% 01/07/2004 330,143 330,143
Canadian Imperial
Bank of Commerce
Bank Note
0.990% 05/18/2004 1,650,713 1,650,713
</Table>
The accompanying notes are an integral part of the financial statements.
23
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Citigroup
Eurodollar Time Deposit
1.080% 01/05/2004 $ 165,071 $ 165,071
Citigroup
Eurodollar Time Deposit
1.090% 03/04/2004 660,285 660,285
Citigroup
Eurodollar Time Deposit
1.100% 01/22/2004 165,071 165,071
Credit Agricole
Indosuez
Eurodollar Time Deposit
1.080% 01/06/2004 1,700,235 1,700,235
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 907,892 907,892
Fannie Mae
Discount Note
1.062% 01/02/2004 495,214 495,214
Fleet National Bank
Bank Note
1.000% 01/21/2004 825,357 825,357
Freddie Mac
Discount Note
1.062% 01/27/2004 658,924 658,924
General Electric
Capital Corp.
1.092% 01/05/2004 823,857 823,857
Goldman Sachs
Financial Square
Prime Obligations
Money Market Fund 330,143 330,143
Harris Trust &
Savings Bank
Eurodollar Time Deposit
1.050% 01/29/2004 181,578 181,578
Merrill Lynch Premier
Institutional Money
Market Fund 1,135,710 1,135,710
Merrimac Money
Market Fund 2,740,184 2,740,184
Morgan Stanley
Dean Witter & Co.
1.080% 01/29/2004 858,371 858,371
National Bank of
Commerce Bank Note
1.120% 05/19/2004 412,678 412,678
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 02/27/2004 412,678 412,678
Royal Bank of Scotland
Eurodollar Time Deposit
1.080% 01/09/2004 $ 330,143 $ 330,143
Royal Bank of Scotland
Eurodollar Time Deposit
1.080% 01/15/2004 825,357 825,357
Royal Bank of Scotland
Eurodollar Time Deposit
1.090% 03/03/2004 412,678 412,678
Southtrust Bank
Eurodollar Time Deposit
1.090% 02/17/2004 495,214 495,214
Svenska Handlesbanken
Eurodollar Time Deposit
1.080% 02/04/2004 412,678 412,678
Svenska Handlesbanken
Eurodollar Time Deposit
1.085% 01/15/2004 412,678 412,678
Svenska Handlesbanken
Eurodollar Time Deposit
1.090% 02/24/2004 825,357 825,357
Toronto Dominion Bank
Eurodollar Time Deposit
1.100% 01/08/2004 165,071 165,071
Wells Fargo
Eurodollar Time Deposit
1.070% 01/20/2004 1,980,856 1,980,856
-------------
23,017,763
-------------
COMMERCIAL PAPER -- 4.4%
Countrywide Home
Loans, Inc.*
1.120% 01/08/2004 2,235,000 2,234,513
COX
Communications, Inc.*+
1.170% 01/05/2004 3,825,000 3,824,503
Kellogg Co.*+
1.150% 01/06/2004 2,890,000 2,889,538
Kellogg Co.*+
1.150% 01/15/2004 1,500,000 1,499,329
Praxair, Inc.*
1.080% 01/14/2004 2,135,000 2,134,167
Time Warner, Inc.*
1.130% 01/07/2004 2,740,000 2,739,484
Washington
Mutual Finance*
1.001% 01/02/2004 $ 1,260,000 $ 1,259,965
-------------
16,581,499
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 39,599,262
-------------
TOTAL INVESTMENTS -- 105.0%
(COST $386,353,166)**** 398,124,171
OTHER ASSETS/
(LIABILITIES) -- (5.0%) (19,133,259)
-------------
NET ASSETS -- 100.0% $ 378,990,912
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* All or a portion of this security is segregated to cover forward purchase
commitments. (NOTE 2).
** Non-income producing security.
*** Represents investments of security lending collateral. (NOTE 2).
**** Aggregate cost for Federal tax purposes. (NOTE 7).
+ 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 December 31,
2003 these securities amounted to a value of $38,727,876 or 10.2% of net
assets.
++ Security is currently in default.
The accompanying notes are an integral part of the financial statements.
24
<Page>
MML BLEND FUND - PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 64.2%
ADVERTISING -- 0.1%
Monster Worldwide, Inc.* 4,200 $ 92,232
Omnicom Group, Inc. 10,000 873,300
-------------
965,532
-------------
AEROSPACE & DEFENSE -- 1.2%
Boeing Co. 79,200 3,337,488
General Dynamics Corp. 13,500 1,220,265
Goodrich Corp. 70,100 2,081,269
Honeywell International, Inc. 57,487 1,921,790
Lockheed Martin Corp. 6,900 354,660
Northrop Grumman Corp. 12,400 1,185,440
Raytheon Co. 2,800 84,112
Rockwell Collins, Inc. 12,100 363,363
United Technologies Corp. 32,000 3,032,640
-------------
13,581,027
-------------
AIR TRANSPORTATION -- 0.1%
Delta Air Lines, Inc. 8,300 98,023
Southwest Airlines Co. 47,600 768,264
-------------
866,287
-------------
APPAREL, TEXTILES & SHOES -- 0.4%
The Gap, Inc. 60,600 1,406,526
Jones Apparel Group, Inc. 10,200 359,346
Limited Brands 33,900 611,217
Liz Claiborne, Inc. 8,800 312,048
Nike, Inc. Cl. B 18,100 1,239,126
Nordstrom, Inc. 9,100 312,130
Reebok International Limited 4,868 191,410
VF Corp. 7,400 319,976
-------------
4,751,779
-------------
AUTOMOTIVE & PARTS -- 0.7%
AutoNation, Inc.* 100,600 1,848,022
Cooper Tire & Rubber Co. 3,800 81,244
Dana Corp. 9,900 181,665
Delphi Corp. 38,300 391,043
Ford Motor Co. 144,909 2,318,544
General Motors Corp. 38,400 2,050,560
Paccar, Inc. 7,750 659,680
-------------
7,530,758
-------------
BANKING, SAVINGS & LOANS -- 8.1%
AmSouth Bancorp. 23,500 575,750
Bank of America Corp. 135,800 10,922,394
Bank One Corp. 77,100 3,514,989
BB&T Corp. 8,500 328,440
Capital One Financial Corp. 15,600 956,124
Charter One Financial, Inc. 15,260 527,233
Citigroup, Inc. 403,485 $ 19,585,162
Comerica, Inc. 11,400 639,084
Fannie Mae 103,400 7,761,204
Fifth Third Bancorp 6,000 354,600
First Tennessee
National Corp. 8,300 366,030
FleetBoston Financial Corp. 71,800 3,134,070
Freddie Mac 79,700 4,648,104
Golden West Financial Corp. 14,300 1,475,617
J.P. Morgan Chase & Co. 204,182 7,499,605
KeyCorp 17,700 518,964
Marshall and Ilsley Corp. 15,700 600,525
Mellon Financial Corp. 17,400 558,714
National City Corp. 41,000 1,391,540
North Fork
Bancorporation, Inc. 6,200 250,914
Northern Trust Corp. 14,800 687,016
Providian Financial Corp.* 19,900 231,636
Regions Financial Corp. 14,600 543,120
SLM Corp. 30,700 1,156,776
SouthTrust Corp. 22,000 720,060
State Street Corp. 22,000 1,145,760
SunTrust Banks, Inc. 3,600 257,400
Synovus Financial Corp. 400 11,568
U.S. Bancorp 131,400 3,913,092
Union Planters Corp. 1,100 34,639
Wachovia Corp. 133,100 6,201,129
Washington Mutual, Inc. 62,150 2,493,458
Wells Fargo & Co. 77,800 4,581,642
Zions Bancorp 6,700 410,911
-------------
87,997,270
-------------
BEVERAGES -- 1.5%
Anheuser-Busch
Companies, Inc. 40,100 2,112,468
The Coca-Cola Co. 168,500 8,551,375
Coca-Cola Enterprises, Inc. 31,100 680,157
Coors (Adolph) Co. Cl. B 3,000 168,300
The Pepsi
Bottling Group, Inc. 18,400 444,912
PepsiCo, Inc. 96,210 4,485,310
-------------
16,442,522
-------------
BROADCASTING, PUBLISHING & PRINTING -- 1.6%
American Greetings
Corp. Cl. A* 5,400 118,098
Comcast Corp. Cl. A* 73,972 2,431,460
Dow Jones & Co., Inc. 45,800 2,283,130
Gannett Co., Inc. 12,600 1,123,416
Knight Ridder, Inc. 6,000 464,220
The McGraw-Hill
Companies, Inc. 10,100 $ 706,192
Meredith Corp. 3,700 180,597
New York Times Co. Cl. A 11,000 525,690
Time Warner, Inc.* 333,306 5,996,175
Tribune Co. 2,100 108,360
Univision Communications,
Inc. Cl. A* 23,700 940,653
Viacom, Inc. Cl. B 62,400 2,769,312
-------------
17,647,303
-------------
BUILDING MATERIALS & CONSTRUCTION -- 0.3%
Louisiana-Pacific Corp.* 58,700 1,049,556
Masco Corp. 31,100 852,451
Vulcan Materials Co. 37,100 1,764,847
-------------
3,666,854
-------------
CHEMICALS -- 0.7%
Air Products &
Chemicals, Inc. 500 26,415
Dow Chemical Co. 62,700 2,606,439
Du Pont (E.I.)
de Nemours & Co. 23,500 1,078,415
Engelhard Corp. 8,500 254,575
Hercules, Inc.* 8,100 98,820
International Flavors &
Fragrances, Inc. 400 13,968
Monsanto Co. 67,500 1,942,650
PPG Industries, Inc. 11,600 742,632
Praxair, Inc. 1,000 38,200
Rohm & Haas Co. 15,100 644,921
-------------
7,447,035
-------------
COMMERCIAL SERVICES -- 1.3%
Apollo Group, Inc. Cl. A* 13,000 884,000
Block (H&R), Inc. 32,300 1,788,451
Cendant Corp.* 119,800 2,667,946
Concord EFS, Inc.* 33,300 494,172
Convergys Corp.* 97,700 1,705,842
Donnelley (R.R.) & Sons Co. 6,600 198,990
Ecolab, Inc. 600 16,422
Equifax, Inc. 7,400 181,300
Fluor Corp. 34,000 1,347,760
Moody's Corp. 26,200 1,586,410
Paychex, Inc. 35,200 1,309,440
PerkinElmer, Inc. 42,900 732,303
Quest Diagnostics, Inc.* 7,200 526,392
Robert Half
International, Inc.* 5,900 137,706
Ryder System, Inc. 4,300 146,845
-------------
13,723,979
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
25
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
COMMUNICATIONS -- 1.3%
ADC
Telecommunications, Inc.* 54,900 $ 163,053
Andrew Corp.* 10,500 120,855
Avaya, Inc.* 33,700 436,078
Citizens
Communications Co.* 19,400 240,948
Lucent
Technologies, Inc.* 284,000 806,560
Network Appliance, Inc.* 23,400 480,402
Nextel Communications,
Inc. Cl. A* 75,000 2,104,500
Qualcomm, Inc. 54,100 2,917,613
SBC Communications, Inc. 226,836 5,913,615
Scientific-Atlanta, Inc. 29,400 802,620
Tellabs, Inc.* 25,400 214,122
-------------
14,200,366
-------------
COMMUNICATIONS EQUIPMENT -- 0.3%
Motorola, Inc. 196,000 2,757,720
-------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.1%
Autodesk, Inc. 9,400 231,052
Computer Sciences Corp.* 11,600 513,068
Teradyne, Inc.* 11,700 297,765
Unisys Corp.* 24,600 365,310
-------------
1,407,195
-------------
COMPUTERS & INFORMATION -- 2.4%
Apple Computer, Inc.* 34,100 728,717
Cisco Systems, Inc.* 479,094 11,637,193
Comverse Technology, Inc.* 10,500 184,695
Dell, Inc.* 224,200 7,613,832
EMC Corp.* 185,300 2,394,076
Gateway, Inc.* 22,200 102,120
International Game
Technology 25,500 910,350
Jabil Circuit, Inc.* 11,700 331,110
Lexmark International, Inc.* 20,000 1,572,800
Solectron Corp.* 103,800 613,458
Symbol Technologies, Inc. 13,500 228,015
-------------
26,316,366
-------------
COMPUTERS & OFFICE EQUIPMENT -- 1.6%
Electronic Data
Systems Corp. 32,700 802,458
Hewlett-Packard Co. 208,362 4,786,075
International Business
Machines Corp. 118,100 10,945,508
Pitney Bowes, Inc. 15,500 629,610
-------------
17,163,651
-------------
CONTAINERS -- 0.2%
Ball Corp. 4,600 274,022
Bemis Co., Inc. 3,500 175,000
Pactiv Corp.* 10,700 $ 255,730
Sealed Air Corp.* 15,100 817,514
Temple-Inland, Inc. 15,200 952,584
-------------
2,474,850
-------------
COSMETICS & PERSONAL CARE -- 1.5%
Alberto-Culver Co. Cl. B 4,200 264,936
Avon Products, Inc. 16,200 1,093,338
Colgate-Palmolive Co. 18,300 915,915
The Gillette Co. 70,000 2,571,100
Kimberly-Clark Corp. 34,700 2,050,423
The Procter & Gamble Co. 88,952 8,884,526
-------------
15,780,238
-------------
DATA PROCESSING & PREPARATION -- 0.5%
Automatic Data
Processing, Inc. 40,800 1,616,088
Deluxe Corp. 19,700 814,201
First Data Corp. 28,200 1,158,738
Fiserv, Inc.* 12,600 497,826
IMS Health, Inc. 17,700 440,022
NCR Corp.* 21,200 822,560
-------------
5,349,435
-------------
ELECTRIC UTILITIES -- 1.6%
AES Corp.* 25,300 238,832
Ameren Corp. 10,800 496,800
American Electric
Power Co. 17,000 518,670
Calpine Corp.* 27,200 130,832
CenterPoint Energy, Inc. 53,400 517,446
Cinergy Corp. 7,300 283,313
Consolidated Edison, Inc. 4,900 210,749
Constellation Energy
Group, Inc. 10,900 426,844
Dominion Resources, Inc. 15,400 982,982
DTE Energy Co. 6,900 271,860
Duke Energy Corp. 36,500 746,425
Edison International* 109,200 2,394,756
Entergy Corp. 16,700 954,071
Exelon Corp. 32,100 2,130,156
FirstEnergy Corp. 7,500 264,000
FPL Group, Inc. 12,300 804,666
NiSource, Inc. 18,500 405,890
PG&E Corp.* 27,600 766,452
Pinnacle West Capital Corp. 600 24,012
PPL Corp. 12,500 546,875
Progress Energy, Inc. 10,400 470,704
Public Service
Enterprise Group, Inc. 16,700 731,460
Southern Co. 72,300 2,187,075
TXU Corp. 22,000 521,840
-------------
17,026,710
-------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 5.0%
Advanced Micro
Devices, Inc.* 36,600 $ 545,340
Altera Corp.* 26,100 592,470
American Power
Conversion Corp. 12,200 298,290
Analog Devices, Inc. 24,900 1,136,685
Applied Micro
Circuits Corp.* 23,000 137,540
Broadcom Corp. Cl. A* 20,300 692,027
Emerson Electric Co. 28,400 1,838,900
General Electric Co. 683,900 21,187,222
Intel Corp. 517,700 16,669,940
JDS Uniphase Corp.* 97,600 356,240
Johnson Controls, Inc. 5,900 685,108
Kla-Tencor Corp.* 5,900 346,153
Linear Technology Corp. 21,300 896,091
LSI Logic Corp.* 23,400 207,558
Maxim Integrated
Products, Inc. 22,100 1,100,580
Micron Technology, Inc.* 41,600 560,352
Molex, Inc. 12,500 436,125
National
Semiconductor Corp.* 16,800 662,088
Novellus Systems, Inc.* 5,500 231,275
PMC-Sierra, Inc.* 12,100 243,815
Qlogic Corp.* 6,100 314,760
Rockwell Automation, Inc. 10,800 384,480
Sanmina-SCI Corp.* 40,200 506,922
Texas Instruments, Inc. 118,100 3,469,778
Thomas & Betts Corp. 4,200 96,138
Xilinx, Inc.* 23,200 898,768
-------------
54,494,645
-------------
ENERGY -- 4.3%
Amerada Hess Corp. 5,700 303,069
Anadarko Petroleum Corp. 21,500 1,096,715
Apache Corp. 10,161 824,057
Burlington Resources, Inc. 12,700 703,326
ChevronTexaco Corp. 99,992 8,638,309
ConocoPhillips 86,154 5,649,118
Devon Energy Corp. 32,300 1,849,498
EOG Resources, Inc. 7,200 332,424
Exxon Mobil Corp. 390,898 16,026,818
Halliburton Co. 41,400 1,076,400
Kerr-McGee Corp. 300 13,947
KeySpan Corp. 10,600 390,080
Kinder Morgan, Inc. 8,700 514,170
Marathon Oil Corp. 27,100 896,739
Nabors Industries Limited* 13,800 572,700
Nicor, Inc. 3,500 119,140
Noble Corp.* 12,600 450,828
Occidental Petroleum Corp. 25,700 1,085,568
</Table>
The accompanying notes are an integral part of the financial statements.
26
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
Peoples Energy Corp. 2,700 $ 113,508
Schlumberger Limited 55,100 3,015,072
Sempra Energy 30,600 919,836
Sunoco, Inc. 18,200 930,930
Unocal Corp. 2,900 106,807
The Williams
Companies, Inc. 49,100 482,162
Xcel Energy, Inc. 26,800 455,064
-------------
46,566,285
-------------
ENTERTAINMENT & LEISURE -- 0.4%
Brunswick Corp. 5,100 162,333
Harrah's
Entertainment, Inc. 9,400 467,838
The Walt Disney Co. 150,900 3,520,497
-------------
4,150,668
-------------
FINANCIAL SERVICES -- 2.4%
American Express Co. 43,900 2,117,297
Apartment Investment &
Management Co. Cl. A 6,300 217,350
Bear Stearns
Companies, Inc. 17,800 1,423,110
Countrywide
Financial Corp. 20,800 1,577,680
Franklin Resources, Inc. 16,600 864,196
The Goldman Sachs
Group, Inc. 31,900 3,149,487
Huntington
Bancshares, Inc. 17,500 393,750
Janus Capital
Group, Inc. 16,300 267,483
Lehman Brothers
Holdings, Inc. 26,500 2,046,330
MBNA Corp. 117,350 2,916,148
Merrill Lynch &
Co., Inc. 62,900 3,689,085
Morgan Stanley 74,300 4,299,741
PNC Financial
Services Group, Inc. 18,400 1,007,032
Price (T. Rowe)
Group, Inc. 8,700 412,467
ProLogis Trust 1,900 60,971
The Schwab
(Charles) Corp. 92,400 1,094,016
Simon Property
Group, Inc. 8,500 393,890
-------------
25,930,033
-------------
FOODS -- 1.0%
Archer-Daniels-Midland Co. 60,535 921,343
Campbell Soup Co. 17,900 479,720
ConAgra Foods, Inc. 23,500 620,165
General Mills, Inc. 10,100 457,530
Heinz (H. J.) Co. 24,200 $ 881,606
Hershey Foods Corp. 9,000 692,910
Kellogg Co. 28,000 1,066,240
The Kroger Co.* 51,600 955,116
McCormick & Co., Inc. 1,000 30,100
Sara Lee Corp. 53,200 1,154,972
Starbucks Corp.* 17,500 578,550
SuperValu, Inc. 8,900 254,451
Sysco Corp. 71,500 2,661,945
Wrigley (Wm.) Jr. Co. 5,600 314,776
-------------
11,069,424
-------------
FOREST PRODUCTS & PAPER -- 0.4%
Boise Cascade Corp. 4,100 134,726
Georgia-Pacific Corp. 41,700 1,278,939
International Paper Co. 19,000 819,090
MeadWestvaco Corp. 13,900 413,525
Plum Creek
Timber Co., Inc. 600 18,270
Weyerhaeuser Co. 19,000 1,216,000
-------------
3,880,550
-------------
HEALTHCARE -- 0.4%
Express Scripts, Inc.* 5,000 332,150
Humana, Inc.* 11,200 255,920
Manor Care, Inc. 6,100 210,877
UnitedHealth Group, Inc. 41,200 2,397,016
Wellpoint Health
Networks, Inc.* 14,000 1,357,860
-------------
4,553,823
-------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.2%
Centex Corp. 3,300 355,245
KB Home 2,700 195,804
Maytag Corp. 4,100 114,185
Pulte Homes, Inc. 13,900 1,301,318
Whirlpool Corp. 4,300 312,395
-------------
2,278,947
-------------
HOUSEHOLD PRODUCTS -- 0.5%
Black & Decker Corp. 31,100 1,533,852
The Clorox Co. 14,900 723,544
Corning, Inc.* 122,000 1,272,460
Fortune Brands, Inc. 7,100 507,579
Newell Rubbermaid, Inc. 8,200 186,714
Sherwin-Williams Co. 25,700 892,818
Snap-On, Inc. 1,900 61,256
The Stanley Works 2,600 98,462
Tupperware Corp. 3,800 65,892
-------------
5,342,577
-------------
INDUSTRIAL - DIVERSIFIED -- 1.4%
3M Co. 53,400 4,540,602
Cooper Industries
Limited Cl. A 7,000 $ 405,510
Danaher Corp. 10,200 935,850
Eaton Corp. 7,400 799,052
Illinois Tool Works, Inc. 21,000 1,762,110
ITT Industries, Inc. 6,300 467,523
Textron, Inc. 39,400 2,248,164
Tyco International Limited 136,331 3,612,772
-------------
14,771,583
-------------
INFORMATION RETRIEVAL SERVICES -- 0.2%
Yahoo!, Inc.* 43,400 1,960,378
-------------
INSURANCE -- 2.9%
ACE Limited 18,200 753,844
Aetna, Inc. 10,700 723,106
AFLAC, Inc. 34,500 1,248,210
Allstate Corp. 48,100 2,069,262
Ambac Financial
Group, Inc. 7,900 548,181
American International
Group, Inc. 131,015 8,683,674
Anthem, Inc.* 9,600 720,000
Aon Corp. 12,900 308,826
Chubb Corp. 12,700 864,870
Cigna Corp. 23,600 1,357,000
Cincinnati Financial Corp. 6,500 272,220
The Hartford Financial
Services Group, Inc. 11,000 649,330
Jefferson-Pilot Corp. 9,600 486,240
John Hancock
Financial Services, Inc. 19,200 720,000
Lincoln National Corp. 46,800 1,889,316
Loews Corp. 7,800 385,710
Marsh & McLennan
Companies, Inc. 5,600 268,184
MBIA, Inc. 13,750 814,413
Metlife, Inc. 72,500 2,441,075
Principal Financial
Group, Inc. 30,000 992,100
Progressive Corp. 14,300 1,195,337
Prudential Financial, Inc. 37,300 1,558,021
Safeco Corp. 9,200 358,156
The St. Paul
Companies, Inc. 21,000 832,650
Torchmark Corp. 8,200 373,428
Travelers Property
Casualty Corp. Cl. B 67,700 1,148,869
UnumProvident Corp. 19,900 313,823
XL Capital Limited Cl. A 700 54,285
-------------
32,030,130
-------------
LODGING -- 0.2%
Hilton Hotels Corp. 27,900 477,927
</Table>
The accompanying notes are an integral part of the financial statements.
27
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
Marriott International,
Inc. Cl. A 17,300 $ 799,260
Starwood Hotels &
Resorts Worldwide, Inc. 14,900 535,953
-------------
1,813,140
-------------
MACHINERY & COMPONENTS -- 0.3%
Baker Hughes, Inc. 500 16,080
Caterpillar, Inc. 200 16,604
Cummins, Inc. 2,800 137,032
Deere & Co. 16,000 1,040,800
Dover Corp. 13,900 552,525
Ingersoll-Rand Co. Cl. A 11,600 787,408
Pall Corp. 8,700 233,421
Parker-Hannifin Corp. 7,500 446,250
-------------
3,230,120
-------------
MANUFACTURING -- 0.2%
American Standard
Companies, Inc.* 200 20,140
Applied Materials, Inc.* 113,100 2,539,095
-------------
2,559,235
-------------
MEDICAL SUPPLIES -- 1.3%
Agilent Technologies, Inc.* 41,900 1,225,156
Allergan, Inc. 900 69,129
Applied Biosystems Group-
Applera Corp. 14,500 300,295
Bard (C.R.), Inc. 12,900 1,048,125
Bausch & Lomb, Inc. 19,800 1,027,620
Baxter International, Inc. 41,500 1,266,580
Becton, Dickinson & Co. 17,700 728,178
Biomet, Inc. 1,900 69,179
Boston Scientific Corp.* 33,200 1,220,432
Guidant Corp. 38,400 2,311,680
Medtronic, Inc. 57,200 2,780,492
St. Jude Medical, Inc.* 700 42,945
Stryker Corp. 13,800 1,173,138
Tektronix, Inc. 6,300 199,080
Thermo Electron Corp.* 500 12,600
Waters Corp.* 5,100 169,116
Zimmer Holdings, Inc.* 9,800 689,920
-------------
14,333,665
-------------
METALS & MINING -- 0.3%
Alcoa, Inc. 39,000 1,482,000
Crane Co. 4,400 135,256
Freeport-McMoRan
Copper & Gold,
Inc. Cl. B 7,900 332,827
Newmont Mining Corp. 20,300 986,783
Phelps Dodge Corp.* 4,200 319,578
-------------
3,256,444
-------------
PHARMACEUTICALS -- 5.7%
Abbott Laboratories 108,400 $ 5,051,440
AmerisourceBergen Corp. 12,300 690,645
Amgen, Inc.* 89,508 5,531,594
Bristol-Myers Squibb Co. 134,500 3,846,700
Cardinal Health, Inc. 3,500 214,060
Eli Lilly & Co. 54,400 3,825,952
Genzyme Corp.* 8,700 429,258
Johnson & Johnson 205,920 10,637,827
King
Pharmaceuticals, Inc.* 108,200 1,651,132
McKesson Corp. 32,000 1,029,120
Medco Health
Solutions, Inc.* 18,379 624,702
Merck & Co., Inc. 155,300 7,174,860
Pfizer, Inc. 460,043 16,253,319
Schering-Plough Corp. 3,700 64,343
Sigma-Aldrich Corp. 5,700 325,926
Watson
Pharmaceutical, Inc.* 7,500 345,000
Wyeth 90,800 3,854,460
-------------
61,550,338
-------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.1%
Eastman Kodak Co. 22,700 582,709
-------------
PREPACKAGED SOFTWARE -- 3.2%
Adobe Systems, Inc. 30,900 1,214,370
BMC Software, Inc.* 17,500 326,375
Citrix Systems, Inc.* 32,000 678,720
Computer Associates
International, Inc. 38,800 1,060,792
Compuware Corp.* 15,700 94,828
Electronic Arts, Inc.* 15,600 745,368
Intuit, Inc.* 14,000 740,740
Microsoft Corp. 738,162 20,328,981
Novell, Inc.* 27,100 285,092
Oracle Corp.* 357,260 4,715,832
Peoplesoft, Inc.* 34,100 777,480
Siebel Systems, Inc.* 33,700 467,419
SunGard Data
Systems, Inc.* 19,200 532,032
Symantec Corp.* 41,800 1,448,370
Veritas Software Corp.* 41,789 1,552,879
-------------
34,969,278
-------------
REAL ESTATE -- 0.1%
Equity Office
Properties Trust 37,800 1,082,970
Equity Residential 18,000 531,180
-------------
1,614,150
-------------
RESTAURANTS -- 0.4%
Darden Restaurants, Inc. 7,350 154,644
McDonald's Corp. 126,200 $ 3,133,546
Wendy's International, Inc. 9,700 380,628
Yum! Brands, Inc.* 21,700 746,480
-------------
4,415,298
-------------
RETAIL -- 4.1%
AutoZone, Inc.* 17,800 1,516,738
Bed Bath & Beyond, Inc.* 19,700 853,995
Best Buy Co., Inc. 32,350 1,689,964
Big Lots, Inc.* 8,800 125,048
Costco Wholesale Corp.* 41,300 1,535,534
CVS Corp. 35,600 1,285,872
Dollar General Corp. 36,000 755,640
Family Dollar Stores, Inc. 12,600 452,088
Federated
Department Stores, Inc. 32,900 1,550,577
The Home Depot, Inc. 201,400 7,147,686
J.C. Penney Company, Inc. 18,000 473,040
Lowe's Companies, Inc. 71,000 3,932,690
The May
Department Stores Co. 25,900 752,913
RadioShack Corp. 56,500 1,733,420
Sears, Roebuck and Co. 26,900 1,223,681
Staples, Inc.* 32,600 889,980
TJX Companies, Inc. 34,000 749,700
Walgreen Co. 68,000 2,473,840
Wal-Mart Stores, Inc. 290,160 15,392,988
-------------
44,535,394
-------------
RETAIL - GROCERY -- 0.1%
Albertson's, Inc. 24,400 552,660
Winn-Dixie Stores, Inc. 10,600 105,470
-------------
658,130
-------------
TELEPHONE UTILITIES -- 1.5%
Alltel Corp. 13,100 610,198
AT&T Corp. 87,180 1,769,754
BellSouth Corp. 176,700 5,000,610
CenturyTel, Inc. 10,100 329,462
Sprint Corp. (FON Group) 105,600 1,733,952
Sprint Corp. (PCS Group)* 42,400 238,288
Verizon
Communications, Inc. 188,068 6,597,425
-------------
16,279,689
-------------
TOBACCO -- 0.8%
Altria Group, Inc. 139,200 7,575,264
Reynolds (R.J.)
Tobacco Holdings, Inc. 6,600 383,790
UST, Inc. 6,900 246,261
-------------
8,205,315
-------------
TOYS, GAMES -- 0.1%
Hasbro, Inc. 75,200 1,600,256
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
28
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
TRANSPORTATION -- 1.2%
Burlington Northern
Santa Fe Corp. 22,700 $ 734,345
Carnival Corp. 46,500 1,847,445
CSX Corp. 600 21,564
FedEx Corp. 25,000 1,687,500
Norfolk Southern Corp. 14,300 338,195
Union Pacific Corp. 15,500 1,076,940
United Parcel Service,
Inc. Cl. B 100,400 7,484,820
-------------
13,190,809
-------------
TRAVEL -- 0.0%
Sabre Holdings Corp. 4,500 97,155
-------------
TOTAL EQUITIES
(COST $531,991,607) 697,017,045
-------------
RIGHTS -- 0.0%
Computers & Information
Seagate Technology*+ 21,700 -
-------------
TOTAL RIGHTS
(COST $0) -
-------------
<Caption>
PRINCIPAL
AMOUNT
-------------
BONDS & NOTES -- 28.0%
ASSET BACKED SECURITIES -- 0.8%
Chase Mortgage Finance Co.
Series 2003-S11, Class 1A-1
5.000% 10/25/2033 $ 2,628,182 2,563,957
Conseco Finance
Securitizations Corp.
Series 2001-1, Class A4
6.210% 07/01/2032 1,900,000 1,926,490
Metlife Capital Equipment
Loan Trust Series
1997-A, Class A
6.850% 05/20/2008 359,163 362,474
Option One Mortgage
Securities Corp. Trust
Series 2002-2A,
Class CFTS++
8.830% 06/26/2032 9,970 9,981
Railcar Trust
Series 1992-1, Class A
7.750% 06/01/2004 133,180 135,427
Travelers Funding Limited
Series 1A, Class A1++
6.300% 02/18/2014 2,925,831 3,072,123
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Vanderbilt Mortgage
and Finance, Inc.
Series 2002-C, Class A2
4.230% 02/07/2015 $ 1,250,000 $ 1,274,219
-------------
TOTAL ASSET BACKED
SECURITIES
(COST $9,124,558) 9,344,671
-------------
CORPORATE DEBT -- 13.9%
American General
Finance Corp.
5.875% 07/14/2006 775,000 836,325
American Honda
Finance Corp.++
3.850% 11/06/2008 700,000 704,847
Anheuser-Busch Cos., Inc.
5.050% 10/15/2016 725,000 720,225
Anheuser-Busch Cos., Inc.
6.500% 02/01/2043 775,000 841,855
AOL Time Warner, Inc.
5.625% 05/01/2005 2,040,000 2,135,458
Aramark Services, Inc.
8.150% 05/01/2005 750,000 802,621
Arrow Electronics, Inc.**
8.700% 10/01/2005 1,460,000 1,596,338
Avnet, Inc.
8.000% 11/15/2006 545,000 589,962
BP Capital Markets PLC
2.750% 12/29/2006 2,000,000 2,003,128
Buckeye Partners LP
4.625% 07/15/2013 350,000 336,553
Cabot Corp.++
5.250% 09/01/2013 425,000 421,385
Carolina Power & Light Co.
6.125% 09/15/2033 650,000 668,069
Cendant Corp.
7.375% 01/15/2013 750,000 859,725
Certegy, Inc.
4.750% 09/15/2008 220,000 225,541
Champion
International Corp.
6.400% 02/15/2026 1,000,000 1,088,254
Cinergy Corp.
6.250% 09/01/2004 2,000,000 2,051,598
CIT Group, Inc.
7.375% 04/02/2007 900,000 1,016,541
Colonial Pipeline Co.++
7.630% 04/15/2032 750,000 917,777
Comcast Cable
Communications, Inc.
8.375% 05/01/2007 2,500,000 2,898,447
Cox Communications, Inc.
6.750% 03/15/2011 400,000 453,166
Cox Enterprises, Inc.++
4.375% 05/01/2008 $ 350,000 $ 355,559
Crane Co.
5.500% 09/15/2013 200,000 204,657
CRH America, Inc.
6.400% 10/15/2033 325,000 332,386
CSX Corp.
7.250% 05/01/2027 2,200,000 2,464,176
DaimlerChrysler
NA Holding Corp.
4.050% 06/04/2008 2,000,000 1,986,384
Deutsche Telekom
International Finance BV
5.250% 07/22/2013 325,000 328,321
Deutsche Telekom
International Finance BV
8.250% 06/15/2005 850,000 922,042
Diageo Finance BV
3.000% 12/15/2006 500,000 502,615
Dominion
Resources, Inc.**
7.820% 09/15/2004 2,130,000 2,222,864
Donnelley (R.R.) &
Sons Co.
6.625% 04/15/2029 1,000,000 1,036,830
Duke Energy Field
Services Corp.
7.875% 08/16/2010 1,800,000 2,108,804
Electronic Data Systems
Corp. Series B
6.000% 08/01/2013 125,000 122,829
Emerald Investment
Grade CBO Limited++
1.967% 05/24/2011 2,952,588 2,804,958
Enbridge Energy
Partners LP
4.750% 06/01/2013 350,000 338,058
Entergy Gulf States, Inc.++
5.250% 08/01/2015 1,675,000 1,617,422
ERAC USA Finance Co.++
6.750% 05/15/2007 1,000,000 1,102,375
Exelon
Generation Co. LLC
6.950% 06/15/2011 350,000 393,050
First Industrial LP
7.600% 05/15/2007 700,000 789,367
Ford Motor Co.
6.375% 02/01/2029 965,000 860,900
Ford Motor Co.
6.625% 02/15/2028 900,000 828,608
Ford Motor Credit Co.
5.625% 10/01/2008 300,000 307,978
Ford Motor Credit Co.
7.000% 10/01/2013 800,000 843,743
</Table>
The accompanying notes are an integral part of the financial statements.
29
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Ford Motor Credit Co.**
7.375% 10/28/2009 $ 750,000 $ 823,621
France Telecom SA
9.750% 03/01/2031 300,000 398,602
Franklin Resources, Inc.
3.700% 04/15/2008 800,000 795,659
General American
Transportation Corp.
6.750% 03/01/2006 790,000 821,417
General Mills, Inc.
2.625% 10/24/2006 3,325,000 3,306,756
General Mills, Inc.
8.900% 06/15/2006 2,250,000 2,589,901
General Motors
Acceptance Corp.
6.150% 04/05/2007 1,000,000 1,071,759
General Motors Corp.
7.200% 01/15/2011 950,000 1,044,512
General Motors Corp.
8.375% 07/15/2033 520,000 603,623
Goodrich (B.F.) Co.
7.500% 04/15/2008 1,800,000 2,049,698
The Goodyear Tire &
Rubber Co.
8.500% 03/15/2007 500,000 491,250
Household Finance Corp.
4.125% 12/15/2008 1,800,000 1,815,741
Household Finance Corp.
6.375% 10/15/2011 1,125,000 1,238,832
Household Finance Corp.
6.375% 11/27/2012 775,000 850,217
ICI Wilmington, Inc.
7.050% 09/15/2007 735,000 813,256
Inco Limited
5.700% 10/15/2015 550,000 555,563
International Game
Technology
8.375% 05/15/2009 325,000 389,044
International Paper Co.
5.500% 01/15/2014 800,000 802,972
Interpool, Inc.
7.350% 08/01/2007 1,000,000 961,250
Jefferies Group, Inc.
7.750% 03/15/2012 900,000 1,006,816
JP Morgan Chase & Co.
3.125% 12/11/2006 1,000,000 1,008,137
Kern River
Funding Corp.++
4.893% 04/30/2018 731,679 728,152
Kimco Realty Corp.
Series MTNB
7.860% 11/01/2007 1,325,000 1,529,208
The Kroger Co.
6.750% 04/15/2012 1,000,000 1,108,020
Leucadia
National Corp.**
7.750% 08/15/2013 $ 1,150,000 $ 1,201,750
Liberty Media Corp.
3.500% 09/25/2006 500,000 502,498
Liberty Media Corp.
8.250% 02/01/2030 2,695,000 3,224,624
Lockheed Martin Corp.
8.500% 12/01/2029 1,425,000 1,867,282
Marriott International,
Inc. Series E
7.000% 01/15/2008 690,000 768,723
Meritor Automotive, Inc.
6.800% 02/15/2009 2,000,000 2,100,000
Merrill Lynch & Co., Inc.
2.940% 01/30/2006 3,150,000 3,190,635
MidAmerican Energy
Holdings Co.
3.500% 05/15/2008 1,050,000 1,032,281
Miller Brewing Co.++
5.500% 08/15/2013 500,000 510,821
Millipore Corp.
7.500% 04/01/2007 4,250,000 4,632,500
Mobil Corp.
8.625% 08/15/2021 2,000,000 2,677,088
Mohawk Industries,
Inc. Series D
7.200% 04/15/2012 750,000 851,911
National Rural
Utilities Cooperative
Finance Corp.
8.000% 03/01/2032 1,950,000 2,428,711
Newell Rubbermaid, Inc.
4.000% 05/01/2010 320,000 309,619
News America
Holdings, Inc.
9.250% 02/01/2013 2,000,000 2,580,006
Nisource Finance Corp.
3.200% 11/01/2006 480,000 483,876
Norske
Skogindustrier ASA++
6.125% 10/15/2015 675,000 683,512
North Finance
(Bermuda) Limited++
7.000% 09/15/2005 4,000,000 4,269,400
Oak Hill
Securities Fund II++
8.920% 10/15/2006 500,000 530,821
Piedmont Natural Gas Co.
Series E
6.000% 12/19/2033 400,000 395,620
Precision
Castparts Corp.++
5.600% 12/15/2013 1,125,000 1,131,747
Progress Energy, Inc.
6.550% 03/01/2004 $ 1,490,000 $ 1,501,115
PSEG Power LLC
5.500% 12/01/2015 600,000 600,848
Public Service Co.
of Colorado Series 15
5.500% 04/01/2014 850,000 883,796
Qwest Corp.++
9.125% 03/15/2012 850,000 975,375
The Rouse Co.
5.375% 11/26/2013 500,000 497,380
Ryder System, Inc.
6.600% 11/15/2005 3,500,000 3,724,427
Safeway, Inc.
2.500% 11/01/2005 1,600,000 1,584,506
Sealed Air Corp.++
5.625% 07/15/2013 675,000 690,721
Simon Property Group LP
6.875% 11/15/2006 750,000 835,601
SLM Corp.
5.000% 10/01/2013 2,475,000 2,459,237
SP PowerAssets
Limited++
5.000% 10/22/2013 425,000 427,258
Sprint Capital Corp.
6.900% 05/01/2019 2,000,000 2,043,078
Sprint Capital Corp.
8.375% 03/15/2012 200,000 233,560
Steelcase, Inc.
6.375% 11/15/2006 300,000 313,723
SuperValu, Inc.**
7.875% 08/01/2009 2,000,000 2,332,888
Tenet Healthcare Corp.
6.375% 12/01/2011 750,000 720,000
Textron Financial Corp.
Series E
2.690% 10/03/2006 1,710,000 1,698,485
Thomas & Betts Corp.
8.250% 01/15/2004 1,000,000 1,000,000
Timken Co. Series A
6.750% 08/21/2006 500,000 511,324
Toro Co.
7.800% 06/15/2027 1,300,000 1,433,288
Toyota Motor
Credit Corp.
4.350% 12/15/2010 1,400,000 1,419,103
TransAlta Corp.
5.750% 12/15/2013 1,000,000 1,004,994
Tri-State Generation &
Transmission Association
Series 2003, Class A++
6.040% 01/31/2018 550,000 564,982
</Table>
The accompanying notes are an integral part of the financial statements.
30
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Tri-State Generation &
Transmission Association
Series 2003, Class B++
7.144% 07/31/2033 $ 425,000 $ 452,289
Tyco International
Group SA
6.375% 02/15/2006 1,300,000 1,384,500
Tyco International
Group SA
6.375% 10/15/2011 1,350,000 1,442,812
US Airways,
Inc. Cl. B* +++
7.500% 04/15/2008 869,681 -
USA Interactive
7.000% 01/15/2013 700,000 771,805
Verizon Global
Funding Corp.
7.750% 12/01/2030 1,400,000 1,644,594
VF Corp.++
6.000% 10/15/2033 300,000 296,682
Vodafone Group PLC
5.375% 01/30/2015 100,000 100,926
Vulcan Materials Co.
6.000% 04/01/2009 1,250,000 1,359,720
The Walt Disney Co.
6.750% 03/30/2006 650,000 706,970
Washington Mutual, Inc.
2.400% 11/03/2005 1,600,000 1,604,054
Wells Fargo
Financial Corp.
7.000% 11/01/2005 2,500,000 2,724,750
Weyerhaeuser Co.
5.500% 03/15/2005 850,000 884,898
WorldCom, Inc.* +++
6.500% 05/15/2004 1,810,000 606,350
WorldCom, Inc.* +++
8.250% 05/15/2031 610,000 204,350
WPP Finance (USA) Corp.
6.625% 07/15/2005 2,550,000 2,654,152
-------------
TOTAL CORPORATE DEBT
(COST $145,201,945) 150,113,713
=============
MUNICIPAL OBLIGATIONS -- 0.1%
GENERAL OBLIGATIONS
Illinois State
Taxable Pension
5.100% 06/01/2033 1,450,000 1,333,232
-------------
TOTAL MUNICIPAL OBLIGATIONS
(COST $1,450,000) 1,333,232
=============
NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS -- 2.0%
COLLATERALIZED MORTGAGE OBLIGATIONS
Asset Securitization Corp.
Series 1995-MD4,
Class A1
7.100% 08/13/2029 $ 1,396,746 $ 1,497,075
CS First Boston Mortgage
Securities Corp.
Series 1998-C2, Class A1
5.960% 11/11/2030 1,747,113 1,856,453
CS First Boston Mortgage
Securities Corp.
Series 2002-H1N,
Class A++
8.000% 08/27/2032 70,767 70,767
MASTR Asset
Securitization Trust
Series 2002-6, Class 6A1
6.500% 10/25/2032 437,114 450,070
Merrill Lynch Mortgage
Investors, Inc.
Series 1998-C1, Class A1
6.310% 11/15/2026 1,733,093 1,783,800
Salomon Brothers
Mortgage Securities
Series 1997-TZH,
Class B++
7.491% 03/25/2022 3,000,000 3,188,789
Salomon Brothers
Mortgage Securities
Series 2001-MMA,
Class A1++
5.323% 02/18/2034 2,140,965 2,220,399
Starwood Commercial
Mortgage Trust
Series 1999-C1A,
Class B++
6.920% 02/03/2014 3,000,000 3,381,260
Structured Asset
Securities Corp.
Series 1998-ALS2,
Class 1A
6.750% 03/25/2029 503,111 510,230
Structured Asset
Securities Corp.
Series 2003-30,
Class 1A1
5.500% 10/25/2033 2,552,037 2,582,691
Vendee Mortgage Trust
Series 1992-1, Class 2Z
7.750% 05/15/2022 1,258,840 1,355,445
Washington Mutual,
Inc. Series 2003-S11,
Class A1
5.000% 11/25/2033 $ 3,235,822 $ 3,156,786
-------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $21,332,862) 22,053,765
=============
U.S. GOVERNMENT
AGENCY OBLIGATIONS -- 8.1%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 0.9%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.1%
FHLMC Series W067,
Class A
6.420% 12/01/2005 819,085 877,253
=============
PASS-THROUGH SECURITIES -- 0.8%
FHLMC
6.000% 09/01/2016-
02/01/2018 1,593,762 1,676,518
FHLMC
6.500% 08/01/2016-
08/01/2032 4,101,866 4,319,555
FHLMC
7.500% 02/01/2030-
03/01/2031 2,234,559 2,402,583
FHLMC
8.000% 08/01/2026-
03/01/2028 606,861 660,791
FHLMC
9.000% 03/01/2017 59,631 65,356
-------------
TOTAL PASS-THROUGH SECURITIES 9,124,803
-------------
TOTAL FEDERAL HOME LOAN
MORTGAGE CORPORATION (FHLMC) 10,002,056
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 4.9%
PASS-THROUGH SECURITIES
FNMA
4.500% 05/01/2018-
09/01/2018 12,893,662 12,929,925
FNMA
5.000% 08/01/2033-
09/01/2033 13,863,608 13,737,969
FNMA
5.500% 02/01/2018 2,483,062 2,587,350
FNMA
6.000% 05/01/2016-
03/01/2033 12,099,080 12,536,329
FNMA
6.500% 10/01/2031-
09/01/2032 4,579,419 4,798,016
</Table>
The accompanying notes are an integral part of the financial statements.
31
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
FNMA
7.000% 01/01/2031-
05/01/2031 $ 3,393,882 $ 3,606,029
FNMA
7.500% 09/01/2029-
05/01/2030 1,210,347 1,298,760
FNMA
8.000% 05/01/2013-
09/01/2031 1,014,768 1,098,001
-------------
TOTAL PASS-THROUGH SECURITIES 52,592,379
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 2.3%
PASS-THROUGH SECURITIES
GNMA
5.000% 07/15/2033-
08/15/2033 9,111,120 9,047,769
GNMA
6.000% 01/15/2032-
08/15/2032 4,649,697 4,845,493
GNMA
6.500% 10/15/2028-
03/15/2029 5,185,530 5,490,344
GNMA
7.000% 04/15/2023-
08/15/2032 1,135,053 1,217,196
GNMA
7.250% 06/20/2021-
05/20/2022 1,899,111 2,040,432
GNMA
7.500% 09/15/2016-
10/15/2017 731,211 787,316
GNMA
8.000% 05/15/2005-
05/15/2008 831,703 879,456
GNMA
9.000% 08/15/2008-
09/15/2009 241,615 262,479
-------------
TOTAL PASS-THROUGH SECURITIES 24,570,485
-------------
OTHER AGENCIES -- 0.0%
PASS-THROUGH SECURITIES
New Valley Generation IV
4.687% 01/15/2022 375,000 363,873
-------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $84,354,147) 87,528,793
=============
U.S. TREASURY OBLIGATIONS -- 3.1%
U.S. TREASURY BONDS -- 2.2%
U.S. Treasury Bond
4.375% 08/15/2012 2,350,000 2,397,367
U.S. Treasury Bond
6.125% 08/15/2029 $ 2,785,000 $ 3,156,623
U.S. Treasury Bond**
8.750% 05/15/2017 13,000,000 18,230,469
-------------
TOTAL U.S. TREASURY BONDS 23,784,459
-------------
U.S. TREASURY NOTES -- 0.7%
U.S. Treasury Note
3.625% 05/15/2013 450,000 432,703
U.S. Treasury Note
3.875% 02/15/2013 3,125,000 3,060,059
U.S. Treasury Note
5.625% 05/15/2008 3,875,000 4,292,773
-------------
TOTAL U.S. TREASURY NOTES 7,785,535
-------------
U.S. TREASURY STRIPS -- 0.2%
U.S. Treasury Strips
0.000% 11/15/2021 4,100,000 1,558,889
-------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $29,709,205) 33,128,883
=============
TOTAL BONDS & NOTES
(COST $291,172,717) 303,503,057
=============
TOTAL LONG TERM
INVESTMENTS
(COST $823,164,324) 1,000,520,102
=============
SHORT-TERM INVESTMENTS -- 12.7%
CASH EQUIVALENTS 5.2%***
Bank of Montreal
Eurodollar Time Deposit
1.060% 01/15/2004 153,463 153,463
Bank of Montreal
Eurodollar Time Deposit
1.060% 02/17/2004 810,860 810,860
Bank of Nova Scotia
Eurodollar Time Deposit
1.080% 03/03/2004 2,432,581 2,432,581
Bank of Scotland
Eurodollar Time Deposit
1.060% 04/02/2004 608,145 608,145
Bank of the West
Eurodollar Time Deposit
1.075% 01/14/2004 608,145 608,145
Barclays
Eurodollar Time Deposit
1.090% 03/05/2004 2,027,151 2,027,151
BNP Paribas
Eurodollar Time Deposit
0.970% 01/07/2004 810,860 810,860
Canadian Imperial Bank
of Commerce Bank Note
0.990% 05/18/2004 $ 4,054,302 $ 4,054,302
Citigroup
Eurodollar Time Deposit
1.080% 01/05/2004 405,430 405,430
Citigroup
Eurodollar Time Deposit
1.090% 03/04/2004 1,621,721 1,621,721
Citigroup
Eurodollar Time Deposit
1.100% 01/22/2004 405,430 405,430
Credit Agricole Indosuez
Eurodollar Time Deposit
1.080% 01/06/2004 4,175,931 4,175,931
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 2,229,866 2,229,866
Fannie Mae
Discount Note
1.062% 01/02/2004 1,216,290 1,216,290
Fleet National Bank
Bank Note
1.000% 01/21/2004 2,027,151 2,027,151
Freddie Mac
Discount Note
1.062% 01/27/2004 1,618,378 1,618,378
General Electric
Capital Corp.
1.092% 01/05/2004 2,023,468 2,023,468
Goldman Sachs
Financial Square Prime
Obligations Money
Market Fund 810,860 810,860
Harris Trust &
Savings Bank
Eurodollar Time Deposit
1.050% 01/29/2004 445,973 445,973
Merrill Lynch Premier
Institutional Money
Market Fund 2,789,406 2,789,406
Merrimac Money
Market Fund 6,730,141 6,730,141
Morgan Stanley
Dean Witter & Co.
1.080% 01/29/2004 2,108,237 2,108,237
National Bank of
Commerce Bank Note
1.120% 05/19/2004 1,013,575 1,013,575
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 02/27/2004 1,013,575 1,013,575
</Table>
The accompanying notes are an integral part of the financial statements.
32
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- --------------
Royal Bank of Scotland
Eurodollar Time Deposit
1.080% 01/09/2004 $ 810,860 $ 810,860
Royal Bank of Scotland
Eurodollar Time Deposit
1.080% 01/15/2004 2,027,151 2,027,151
Royal Bank of Scotland
Eurodollar Time Deposit
1.090% 03/03/2004 1,013,575 1,013,575
Southtrust Bank
Eurodollar Time Deposit
1.090% 02/17/2004 1,216,290 1,216,290
Svenska Handlesbanken
Eurodollar Time Deposit
1.080% 02/04/2004 1,013,575 1,013,575
Svenska Handlesbanken
Eurodollar Time Deposit
1.085% 01/15/2004 1,013,575 1,013,575
Svenska Handlesbanken
Eurodollar Time Deposit
1.090% 02/24/2004 2,027,151 2,027,151
Toronto Dominion Bank
Eurodollar Time Deposit
1.100% 01/08/2004 405,431 405,431
Wells Fargo
Eurodollar Time Deposit
1.070% 01/20/2004 4,865,162 4,865,162
--------------
56,533,709
--------------
COMMERCIAL PAPER -- 7.5%
Baxter International, Inc.
1.070% 01/20/2004 1,355,000 1,354,234
Boston Scientific Corp.
1.160% 01/28/2004 2,095,000 2,093,177
British Aero
North America
1.250% 01/12/2004 2,935,000 2,933,879
Campbell Soup Co.
1.060% 01/27/2004 3,215,000 3,212,539
Campbell Soup Co.
1.100% 01/05/2004 350,000 349,957
Consolidated
Natural Gas Co.
1.190% 01/15/2004 $ 1,960,000 $ 1,959,093
Countrywide Home
Loans, Inc.
1.010% 01/02/2004 3,310,000 3,309,907
Dominion Resources, Inc.
1.150% 01/22/2004 5,030,000 5,026,626
Elsevier Finance SA
1.180% 01/07/2004 1,550,000 1,549,695
Elsevier Finance SA
1.200% 01/05/2004 3,915,000 3,914,478
General Mills, Inc.
1.140% 01/23/2004 4,000,000 3,997,213
General Mills, Inc.
1.150% 02/06/2004 2,975,000 2,971,579
ITT Industries, Inc.
1.150% 01/16/2004 3,000,000 2,998,562
KeySpan Corp.
1.110% 01/21/2004 3,000,000 2,998,150
KeySpan Corp.
1.120% 01/14/2004 1,420,000 1,419,426
Kinder Morgan
Energy Partners LP
1.150% 01/15/2004 2,700,000 2,698,793
Kinder Morgan
Energy Partners LP
1.170% 01/16/2004 1,400,000 1,399,318
Newell Rubbermaid, Inc.
1.150% 01/06/2004 3,000,000 2,999,521
Praxair, Inc.
1.170% 01/09/2004 3,500,000 3,499,090
Reed Elsevier, Inc.
1.120% 02/03/2004 2,930,000 2,926,992
Reed Elsevier, Inc.
1.150% 01/07/2004 2,000,000 1,999,617
Reed Elsevier, Inc.
1.180% 01/13/2004 1,640,000 1,639,355
Time Warner, Inc.
1.140% 01/20/2004 2,925,000 2,923,240
Time Warner, Inc.
1.150% 01/29/2004 3,300,000 3,297,048
Walt Disney Co.
1.100% 01/12/2004 $ 3,000,000 $ 2,998,992
Washington
Mutual Finance
1.100% 01/08/2004 4,155,000 4,154,111
Wisconsin
Electric Power Co.
1.080% 01/30/2004 2,500,000 2,497,825
Wisconsin
Electric Power Co.
1.100% 01/13/2004 3,750,000 3,748,626
Wisconsin Gas Co.
1.100% 01/26/2004 4,105,000 4,101,864
--------------
80,972,907
--------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 137,506,616
--------------
TOTAL INVESTMENTS -- 104.9%
(COST $960,670,940)**** 1,138,026,718
OTHER ASSETS/
(LIABILITIES) -- (4.9%) (52,884,296)
--------------
NET ASSETS -- 100.0% $1,085,142,422
--------------
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** All or a portion of this security is segregated to cover forward purchase
commitments. (NOTE 2).
*** Represents investments of security lending collateral. (NOTE 2).
**** Aggregate cost for Federal tax purposes. (NOTE 7).
+ This security is valued in good faith under procedures established by the
board of directors.
++ 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 December 31,
2003 these securities amounted to a value of $31,129,402 or 2.9% of net
assets.
+++ Security is currently in default.
The accompanying notes are an integral part of the financial statements.
33
<Page>
MML EQUITY FUND - PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2003
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
EQUITIES -- 98.9%
ADVERTISING -- 0.0%
Monster
Worldwide, Inc.* 1,600 $ 35,136
Omnicom Group, Inc. 2,500 218,325
---------------
253,461
---------------
AEROSPACE & DEFENSE -- 4.3%
Boeing Co. 17,500 737,450
General Dynamics Corp. 3,000 271,170
Goodrich Corp. 49,600 1,472,624
Honeywell
International, Inc. 17,200 574,996
Lockheed Martin Corp. 379,900 19,526,860
Northrop
Grumman Corp. 2,700 258,120
Raytheon Co. 700 21,028
Rockwell Collins, Inc. 1,145,900 34,411,377
United
Technologies Corp. 7,100 672,867
---------------
57,946,492
---------------
AIR TRANSPORTATION -- 0.0%
Delta Air Lines, Inc. 1,900 22,439
Southwest Airlines Co. 11,700 188,838
---------------
211,277
---------------
APPAREL, TEXTILES & SHOES -- 2.1%
The Gap, Inc. 13,500 313,335
Jones Apparel
Group, Inc. 2,400 84,552
Limited Brands 1,442,400 26,006,472
Liz Claiborne, Inc. 1,800 63,828
Nike, Inc. Cl. B 4,100 280,686
Nordstrom, Inc. 2,100 72,030
Reebok
International Limited 1,000 39,320
VF Corp. 22,400 968,576
---------------
27,828,799
---------------
AUTOMOTIVE & PARTS -- 0.6%
American Axle &
Manufacturing
Holdings, Inc.* 8,000 323,360
Autoliv, Inc. 19,700 741,705
AutoNation, Inc.* 22,300 409,651
BorgWarner, Inc. 3,300 280,731
Cooper Tire &
Rubber Co. 500 10,690
Dana Corp. 30,600 561,510
Delphi Corp. 8,500 86,785
Ford Motor Co. 32,200 515,200
General Motors Corp. 40,200 $ 2,146,680
Genuine Parts Co. 26,900 893,080
Lear Corp. 20,400 1,251,132
Magna
International, Inc. Cl. A 11,400 912,570
Paccar, Inc. 5,400 459,648
---------------
8,592,742
---------------
BANKING, SAVINGS & LOANS -- 17.0%
AmSouth Bancorp 52,300 1,281,350
Bank of America Corp. 365,700 29,413,251
Bank One Corp. 72,900 3,323,511
BB&T Corp. 1,900 73,416
Capital One
Financial Corp. 3,500 214,515
Charter One
Financial, Inc. 3,365 116,261
Citigroup, Inc. 1,030,900 50,039,886
Comerica, Inc. 21,100 1,182,866
Fannie Mae 32,400 2,431,944
Fifth Third Bancorp 253,000 14,952,300
First Tennessee
National Corp. 1,900 83,790
FleetBoston
Financial Corp. 78,700 3,435,255
Freddie Mac 519,900 30,320,568
Golden West
Financial Corp. 18,800 1,939,972
J.P. Morgan Chase & Co. 100,800 3,702,384
KeyCorp 47,500 1,392,700
Marshall and Ilsley Corp. 3,200 122,400
Mellon Financial Corp. 3,900 125,229
National City Corp. 411,800 13,976,492
North Fork
Bancorporation, Inc. 1,300 52,611
Northern Trust Corp. 3,200 148,544
Providian
Financial Corp.* 4,400 51,216
Regions Financial Corp. 33,800 1,257,360
SLM Corp. 538,800 20,301,984
SouthTrust Corp. 4,900 160,377
State Street Corp. 4,900 255,192
SunTrust Banks, Inc. 20,400 1,458,600
Synovus Financial Corp. 100 2,892
U.S. Bancorp 124,900 3,719,522
Union Planters Corp. 31,050 977,764
UnionBanCal Corp. 21,500 1,237,110
Wachovia Corp. 94,300 4,393,437
Washington Mutual, Inc. 65,100 2,611,812
Wells Fargo & Co. 562,000 33,096,180
Zions Bancorp 1,400 85,862
---------------
227,938,553
---------------
BEVERAGES -- 2.6%
Anheuser-Busch
Companies, Inc. 8,900 $ 468,852
The Coca-Cola Co. 37,300 1,892,975
Coca-Cola
Enterprises, Inc. 8,200 179,334
Coors (Adolph) Co. Cl. B 700 39,270
Diageo PLC Sponsored
ADR (United Kingdom) 575,000 30,394,500
The Pepsi Bottling
Group, Inc. 4,800 116,064
PepsiCo, Inc. 21,400 997,668
---------------
34,088,663
---------------
BROADCASTING, PUBLISHING & PRINTING -- 2.5%
American
Greetings Corp. Cl. A* 1,200 26,244
Comcast Corp. Cl. A* 80,089 2,632,525
Dow Jones & Co., Inc. 10,100 503,485
Gannett Co., Inc. 280,700 25,027,212
Knight Ridder, Inc. 1,500 116,055
Liberty
Media Corp. Cl. A* 53,500 636,115
The McGraw-Hill
Companies, Inc. 2,300 160,816
Meredith Corp. 800 39,048
New York
Times Co. Cl. A 2,400 114,696
Time Warner, Inc.* 168,700 3,034,913
Tribune Co. 500 25,800
Univision
Communications,
Inc. Cl. A* 5,200 206,388
Viacom, Inc. Cl. B 24,400 1,082,872
---------------
33,606,169
---------------
BUILDING MATERIALS & CONSTRUCTION -- 0.1%
Louisiana-Pacific Corp.* 13,000 232,440
Masco Corp. 7,200 197,352
Vulcan Materials Co. 8,200 390,074
---------------
819,866
---------------
CHEMICALS -- 5.7%
Air Products &
Chemicals, Inc. 200 10,566
Ashland, Inc. 19,400 854,764
Dow Chemical Co. 564,800 23,478,736
Du Pont (E.I.) de
Nemours & Co. 379,500 17,415,255
Engelhard Corp. 1,600 47,920
Hercules, Inc.* 1,700 20,740
</Table>
The accompanying notes are an integral part of the financial statements.
34
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
International Flavors &
Fragrances, Inc. 100 $ 3,492
The Lubrizol Corp. 17,200 559,344
Monsanto Co. 23,500 676,330
PPG Industries, Inc. 516,200 33,047,124
Praxair, Inc. 12,600 481,320
Rohm & Haas Co. 3,300 140,943
---------------
76,736,534
---------------
COMMERCIAL SERVICES -- 2.2%
Apollo Group, Inc. Cl. A* 3,300 224,400
Block (H&R), Inc. 7,200 398,664
Cendant Corp.* 52,700 1,173,629
Concord EFS, Inc.* 7,400 109,816
Convergys Corp.* 23,000 401,580
Donnelley (R.R.) &
Sons Co. 1,400 42,210
Ecolab, Inc. 200 5,474
Equifax, Inc. 1,900 46,550
Fluor Corp. 7,500 297,300
Moody's Corp. 5,800 351,190
Paychex, Inc. 7,800 290,160
PerkinElmer, Inc. 9,500 162,165
Quest Diagnostics, Inc.* 1,600 116,976
Robert Half
International, Inc.* 1,300 30,342
Ryder System, Inc. 1,000 34,150
Waste Management, Inc. 866,200 25,639,520
---------------
29,324,126
---------------
COMMUNICATIONS -- 1.4%
ADC
Telecommunications, Inc.* 258,900 768,933
Andrew Corp.* 2,400 27,624
Avaya, Inc.* 8,900 115,166
BCE, Inc. 431,200 9,641,632
Ciena Corp.* 3,800 25,232
Citizens
Communications Co.* 2,600 32,292
Lucent
Technologies, Inc.* 193,200 548,688
Network
Appliance, Inc.* 5,200 106,756
Nextel
Communications,
Inc. Cl. A* 16,600 465,796
Nortel Networks Corp.* 339,600 1,436,508
Qualcomm, Inc. 12,000 647,160
SBC
Communications, Inc. 124,800 3,253,536
Scientific-Atlanta, Inc. 6,800 185,640
Tellabs, Inc.* 117,400 989,682
---------------
18,244,645
---------------
COMMUNICATIONS EQUIPMENT -- 0.1%
Motorola, Inc. 42,000 $ 590,940
---------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.0%
Autodesk, Inc. 1,600 39,328
Computer
Sciences Corp.* 2,500 110,575
Teradyne, Inc.* 2,600 66,170
Unisys Corp.* 4,600 68,310
---------------
284,383
---------------
COMPUTER RELATED SERVICES -- 0.1%
Ingram Micro, Inc. Cl. A* 40,600 645,540
---------------
COMPUTERS & INFORMATION -- 2.4%
Apple Computer, Inc.* 1,185,100 25,325,587
Cisco Systems, Inc.* 106,100 2,577,169
Comverse Technology, Inc.* 2,400 42,216
Dell, Inc.* 49,600 1,684,416
EMC Corp.* 39,700 512,924
Gateway, Inc.* 5,000 23,000
International
Game Technology 5,700 203,490
Jabil Circuit, Inc.* 3,000 84,900
Lexmark
International, Inc.* 4,400 346,016
Quantum Corp.* 52,200 162,864
Solectron Corp.* 169,400 1,001,154
Symbol
Technologies, Inc. 3,000 50,670
Tech Data Corp.* 17,600 698,544
---------------
32,712,950
---------------
COMPUTERS & OFFICE EQUIPMENT -- 2.5%
Electronic Data
Systems Corp. 7,200 176,688
Hewlett-Packard Co. 183,365 4,211,894
International Business
Machines Corp. 300,900 27,887,412
Pitney Bowes, Inc. 11,000 446,820
---------------
32,722,814
---------------
CONTAINERS -- 0.0%
Ball Corp. 1,000 59,570
Bemis Co., Inc. 700 35,000
Pactiv Corp.* 2,400 57,360
Sealed Air Corp.* 3,400 184,076
Temple-Inland, Inc. 3,300 206,811
---------------
542,817
---------------
COSMETICS & PERSONAL CARE -- 0.3%
Alberto-Culver Co. Cl. B 1,000 63,080
Avon Products, Inc. 3,600 242,964
Colgate-Palmolive Co. 4,100 205,205
The Gillette Co. 15,600 572,988
Kimberly-Clark Corp. 7,600 $ 449,084
The Procter & Gamble Co. 26,500 2,646,820
---------------
4,180,141
---------------
DATA PROCESSING & PREPARATION -- 1.0%
Automatic Data
Processing, Inc. 306,600 12,144,426
Deluxe Corp. 19,500 805,935
First Data Corp. 6,300 258,867
Fiserv, Inc.* 2,700 106,677
IMS Health, Inc. 3,600 89,496
NCR Corp.* 4,600 178,480
---------------
13,583,881
---------------
ELECTRIC UTILITIES -- 4.5%
AES Corp.* 5,600 52,864
Alliant Energy Corp. 25,200 627,480
Ameren Corp. 9,700 446,200
American Electric
Power Co. 43,900 1,339,389
Calpine Corp.* 5,700 27,417
CenterPoint Energy, Inc. 10,700 103,683
Cinergy Corp. 30,300 1,175,943
Consolidated Edison, Inc. 1,100 47,311
Constellation Energy
Group, Inc. 31,500 1,233,540
Dominion Resources, Inc. 3,400 217,022
DTE Energy Co. 1,600 63,040
Duke Energy Corp. 8,100 165,645
Edison International* 86,000 1,885,980
Entergy Corp. 488,400 27,902,292
Exelon Corp. 169,500 11,248,020
FirstEnergy Corp. 1,600 56,320
FPL Group, Inc. 2,700 176,634
NiSource, Inc. 4,400 96,536
Northeast Utilities 35,125 708,471
NSTAR 196,900 9,549,650
PG&E Corp.* 6,100 169,397
Pinnacle West
Capital Corp. 200 8,004
PPL Corp. 26,600 1,163,750
Progress Energy, Inc. 2,300 104,098
Public Service
Enterprise Group, Inc. 3,400 148,920
Puget Energy, Inc. 9,800 232,946
Southern Co. 16,000 484,000
TXU Corp. 4,900 116,228
---------------
59,550,780
---------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 1.2%
Advanced Micro
Devices, Inc.* 8,200 122,180
Altera Corp.* 5,300 120,310
</Table>
The accompanying notes are an integral part of the financial statements.
35
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
American Power
Conversion Corp. 2,500 $ 61,125
Analog Devices, Inc. 5,500 251,075
Applied Micro
Circuits Corp.* 4,800 28,704
Arrow Electronics, Inc.* 30,600 708,084
Avnet, Inc.* 32,800 710,448
Broadcom Corp. Cl. A* 4,500 153,405
Emerson Electric Co. 6,300 407,925
Flextronics
International Limited* 53,900 799,876
General Electric Co. 151,500 4,693,470
Hubbell, Inc. Cl. B 16,500 727,650
Intel Corp. 114,700 3,693,340
JDS Uniphase Corp.* 19,500 71,175
Johnson Controls, Inc. 1,400 162,568
Kla-Tencor Corp.* 1,300 76,271
Linear Technology Corp. 4,300 180,901
LSI Logic Corp.* 5,200 46,124
Maxim Integrated
Products, Inc. 4,900 244,020
Micron Technology, Inc.* 9,200 123,924
Molex, Inc. 2,800 97,692
National
Semiconductor Corp.* 3,700 145,817
Novellus Systems, Inc.* 1,200 50,460
PMC-Sierra, Inc.* 2,400 48,360
Qlogic Corp.* 1,400 72,240
Rockwell
Automation, Inc. 2,800 99,680
Sanmina-SCI Corp.* 47,900 604,019
Texas Instruments, Inc. 26,100 766,818
Thomas & Betts Corp. 20,100 460,089
Xilinx, Inc.* 4,700 182,078
---------------
15,909,828
---------------
ENERGY -- 8.4%
Amerada Hess Corp. 1,300 69,121
Anadarko
Petroleum Corp. 4,700 239,747
Apache Corp. 2,205 178,825
BP PLC Sponsored
ADR (United Kingdom) 510,300 25,183,305
Burlington
Resources, Inc. 2,900 160,602
ChevronTexaco Corp. 55,400 4,786,006
ConocoPhillips 53,196 3,488,062
Devon Energy Corp. 7,100 406,546
EOG Resources, Inc. 1,600 73,872
Exxon Mobil Corp. 1,131,100 46,375,100
Halliburton Co. 9,100 236,600
Kerr-McGee Corp. 100 4,649
KeySpan Corp. 2,300 84,640
Kinder Morgan, Inc. 1,900 $ 112,290
Marathon Oil Corp. 42,900 1,419,561
Nabors
Industries Limited* 3,000 124,500
Nicor, Inc. 700 23,828
Noble Corp.* 2,800 100,184
Occidental
Petroleum Corp. 44,100 1,862,784
Peoples Energy Corp. 600 25,224
Royal Dutch
Petroleum Co.
NY Shares 449,500 23,549,305
Schlumberger Limited 12,200 667,584
Sempra Energy 39,700 1,193,382
Sunoco, Inc. 4,100 209,715
Unocal Corp. 700 25,781
Valero Energy Corp. 21,800 1,010,212
The Williams
Companies, Inc. 28,800 282,816
Xcel Energy, Inc. 26,400 448,272
---------------
112,342,513
---------------
ENTERTAINMENT & LEISURE -- 1.3%
Brunswick Corp. 1,200 38,196
Harrah's
Entertainment, Inc. 2,000 99,540
The Walt Disney Co. 751,600 17,534,828
---------------
17,672,564
---------------
FINANCIAL SERVICES -- 4.4%
American Express Co. 502,400 24,230,752
Apartment Investment &
Management Co. Cl. A 1,400 48,300
Bear Stearns
Companies, Inc. 16,600 1,327,170
Countrywide
Financial Corp. 29,066 2,204,657
Franklin Resources, Inc. 3,700 192,622
The Goldman Sachs
Group, Inc. 20,700 2,043,711
Huntington
Bancshares, Inc. 52,900 1,190,250
Janus Capital Group, Inc. 3,600 59,076
Lehman Brothers
Holdings, Inc. 25,700 1,984,554
MBNA Corp. 26,700 663,495
Merrill Lynch & Co., Inc. 37,100 2,175,915
Morgan Stanley 370,400 21,435,048
PNC Financial Services
Group, Inc. 4,200 229,866
Price (T. Rowe)
Group, Inc. 1,700 80,597
ProLogis Trust 400 12,836
The Schwab
(Charles) Corp. 20,200 $ 239,168
Simon Property
Group, Inc. 1,900 88,046
---------------
58,206,063
---------------
FOODS -- 4.1%
Archer-Daniels-Midland Co. 84,600 1,287,612
Campbell Soup Co. 4,000 107,200
ConAgra Foods, Inc. 53,900 1,422,421
General Mills, Inc. 2,300 104,190
Heinz (H. J.) Co. 698,100 225,431,783
Hershey Foods Corp. 2,000 153,980
Kellogg Co. 550,100 20,947,808
The Kroger Co.* 52,000 962,520
McCormick & Co., Inc. 300 9,030
Safeway, Inc.* 40,900 896,119
Sara Lee Corp. 52,300 1,135,433
Starbucks Corp.* 3,800 125,628
SuperValu, Inc. 2,000 57,180
Sysco Corp. 15,900 591,957
Tyson Foods, Inc. Cl. A 65,400 865,896
Wrigley (Wm.) Jr. Co. 1,300 73,073
---------------
54,171,830
---------------
FOREST PRODUCTS & PAPER -- 3.0%
Boise Cascade Corp. 20,900 686,774
Georgia-Pacific Corp. 48,700 1,493,629
International Paper Co. 4,200 181,062
MeadWestvaco Corp. 36,500 1,085,875
Plum Creek
Timber Co., Inc. 200 6,090
Weyerhaeuser Co. 564,900 36,153,600
---------------
39,607,030
---------------
HEALTHCARE -- 0.3%
Express Scripts, Inc.* 1,100 73,073
GlaxoSmithKline PLC
ADR (United Kingdom) 18,700 871,794
Health Net, Inc.* 34,100 1,115,070
Humana, Inc.* 49,400 1,128,790
Manor Care, Inc. 1,400 48,398
UnitedHealth Group, Inc. 8,600 500,348
Wellpoint Health
Networks, Inc.* 3,100 300,669
---------------
4,038,142
---------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.3%
Centex Corp. 800 86,120
KB Home 18,100 1,312,612
Leggett & Platt, Inc. 36,000 778,680
Pulte Homes, Inc. 20,400 1,909,848
Whirlpool Corp. 4,600 334,190
---------------
4,421,450
---------------
</Table>
The accompanying notes are an integral part of the financial statements.
36
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
HOUSEHOLD PRODUCTS -- 0.4%
Black & Decker Corp. 25,600 $ 1,262,592
The Clorox Co. 3,300 160,248
Corning, Inc.* 188,000 1,960,840
Fortune Brands, Inc. 1,600 114,384
Newell Rubbermaid, Inc. 1,800 40,986
Sherwin-Williams Co. 32,800 1,139,472
Snap-On, Inc. 600 19,344
The Stanley Works 1,000 37,870
Tupperware Corp. 500 8,670
---------------
4,744,406
---------------
INDUSTRIAL - DIVERSIFIED -- 0.4%
3M Co. 11,800 1,003,354
Cooper Industries
Limited Cl. A 19,400 1,123,842
Danaher Corp. 2,200 201,850
Eaton Corp. 1,600 172,768
Illinois Tool Works, Inc. 4,400 369,204
ITT Industries, Inc. 1,300 96,473
Textron, Inc. 22,700 1,295,262
Tyco International Limited 50,000 1,325,000
---------------
5,587,753
---------------
INFORMATION RETRIEVAL SERVICES -- 0.0%
Yahoo!, Inc.* 9,600 433,632
---------------
INSURANCE -- 8.7%
ACE Limited 15,200 629,584
Aetna, Inc. 30,300 2,047,674
AFLAC, Inc. 369,200 13,357,656
Allstate Corp. 530,300 22,813,506
Ambac Financial
Group, Inc. 1,600 111,024
American International
Group, Inc. 559,000 37,050,520
Anthem, Inc.* 2,200 165,000
Aon Corp. 2,900 69,426
Chubb Corp. 18,100 1,232,610
Cigna Corp. 5,200 299,000
Cincinnati Financial Corp. 1,400 58,632
Everest Re Group Limited 162,100 13,713,660
The Hartford Financial
Services Group, Inc. 2,500 147,575
Jefferson-Pilot Corp. 2,100 106,365
John Hancock Financial
Services, Inc. 4,300 161,250
Lincoln National Corp. 10,300 415,811
Loews Corp. 1,700 84,065
Marsh & McLennan
Companies, Inc. 1,300 62,257
MBIA, Inc. 3,100 183,613
Metlife, Inc. 48,900 1,646,463
PartnerRe Limited 6,500 377,325
Principal Financial
Group, Inc. 6,700 $ 221,569
Progressive Corp. 3,100 259,129
Prudential Financial, Inc. 8,300 346,691
Radian Group, Inc. 407,300 19,855,875
RenaissanceRe
Holdings Limited 7,800 382,590
Safeco Corp. 2,100 81,753
The St. Paul
Companies, Inc. 4,600 182,390
Torchmark Corp. 1,700 77,418
Travelers Property
Casualty Corp. Cl. A 5,124 85,981
Travelers Property
Casualty Corp. Cl. B 25,627 434,890
UnumProvident Corp. 4,500 70,965
XL Capital Limited Cl. A 200 15,510
---------------
116,747,777
---------------
LODGING -- 0.0%
Hilton Hotels Corp. 7,100 121,623
Marriott
International, Inc. Cl. A 4,400 203,280
Starwood Hotels &
Resorts Worldwide, Inc. 3,300 118,701
---------------
443,604
---------------
MACHINERY & COMPONENTS -- 1.0%
Baker Hughes, Inc. 200 6,432
Caterpillar, Inc. 100 8,302
Cummins, Inc. 700 34,258
Deere & Co. 3,500 227,675
Dover Corp. 3,100 123,225
Ingersoll-Rand Co. Cl. A 7,000 475,160
Pall Corp. 2,000 53,660
Parker-Hannifin Corp. 211,500 12,584,250
---------------
13,512,962
---------------
MANUFACTURING -- 0.0%
American Standard
Companies, Inc.* 100 10,070
Applied Materials, Inc.* 25,000 561,250
---------------
571,320
---------------
MEDICAL SUPPLIES -- 0.3%
Agilent Technologies, Inc.* 9,200 269,008
Allergan, Inc. 200 15,362
Applied Biosystems
Group-Applera Corp. 1,900 39,349
Bard (C.R.), Inc. 2,800 227,500
Bausch & Lomb, Inc. 4,400 228,360
Baxter International, Inc. 9,200 280,784
Becton, Dickinson & Co. 3,900 160,446
Biomet, Inc. 400 14,564
Boston Scientific Corp.* 7,400 272,024
Guidant Corp. 23,900 $ 1,438,780
Medtronic, Inc. 12,700 617,347
St. Jude Medical, Inc.* 200 12,270
Stryker Corp. 3,000 255,030
Tektronix, Inc. 1,300 41,080
Thermo Electron Corp.* 100 2,520
Waters Corp.* 1,100 36,476
Zimmer Holdings, Inc.* 2,100 147,840
---------------
4,058,740
---------------
METALS & MINING -- 0.1%
Alcoa, Inc. 8,700 330,600
Crane Co. 900 27,666
Freeport-McMoRan
Copper & Gold,
Inc. Cl. B 1,800 75,834
Newmont Mining Corp. 4,500 218,745
Phelps Dodge Corp.* 900 68,481
---------------
721,326
---------------
PHARMACEUTICALS -- 5.1%
Abbott Laboratories 29,300 1,365,380
AmerisourceBergen Corp. 2,700 151,605
Amgen, Inc.* 19,452 1,202,134
Bristol-Myers Squibb Co. 880,500 25,182,300
Cardinal Health, Inc. 800 48,928
Eli Lilly & Co. 11,900 836,927
Genzyme Corp.* 2,000 98,680
Johnson & Johnson 45,600 2,355,696
King Pharmaceuticals, Inc.* 25,600 390,656
McKesson Corp. 7,100 228,336
Medco Health
Solutions, Inc.* 3,979 135,246
Merck & Co., Inc. 62,900 2,905,980
Pfizer, Inc. 903,720 31,928,428
Schering-Plough Corp. 1,600 27,824
Sigma-Aldrich Corp. 1,200 68,616
Watson
Pharmaceutical, Inc.* 1,700 78,200
Wyeth 20,200 857,490
---------------
67,862,426
---------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.0%
Eastman Kodak Co. 5,100 130,917
---------------
PREPACKAGED SOFTWARE -- 0.6%
Adobe Systems, Inc. 6,900 271,170
BMC Software, Inc.* 3,300 61,545
Citrix Systems, Inc.* 7,100 150,591
Computer Associates
International, Inc. 8,600 235,124
Compuware Corp.* 5,400 32,616
Electronic Arts, Inc.* 3,200 152,896
Intuit, Inc.* 3,100 164,021
Microsoft Corp. 163,600 4,505,544
</Table>
The accompanying notes are an integral part of the financial statements.
37
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
Novell, Inc.* 5,200 $ 54,704
Oracle Corp.* 77,600 1,024,320
Peoplesoft, Inc.* 7,500 171,000
Siebel Systems, Inc.* 7,400 102,638
SunGard Data
Systems, Inc.* 4,300 119,153
Symantec Corp.* 9,200 318,780
Veritas Software Corp.* 9,200 341,872
---------------
7,705,974
---------------
REAL ESTATE -- 0.0%
Equity Office Properties Trust 8,300 237,795
Equity Residential 4,000 118,040
---------------
355,835
---------------
RESTAURANTS -- 2.3%
Darden Restaurants, Inc. 1,950 41,028
McDonald's Corp. 1,232,000 30,590,560
Wendy's International, Inc. 2,100 82,404
Yum! Brands, Inc.* 5,500 189,200
---------------
30,903,192
---------------
RETAIL -- 1.8%
AutoZone, Inc.* 4,000 340,840
Bed Bath & Beyond, Inc.* 4,400 190,740
Best Buy Co., Inc. 7,200 376,128
Big Lots, Inc.* 1,800 25,578
Costco Wholesale Corp.* 9,100 338,338
CVS Corp. 8,200 296,184
Dollar General Corp. 7,300 153,227
Family Dollar Stores, Inc. 2,500 89,700
Federated Department
Stores, Inc. 7,300 344,049
Foot Locker, Inc. 1,400 32,830
The Home Depot, Inc. 44,600 1,582,854
J.C. Penney Company, Inc. 4,000 105,120
Lowe's Companies, Inc. 15,800 875,162
The May
Department Stores Co. 35,300 1,026,171
RadioShack Corp. 12,600 386,568
Rite Aid Corp.* 1,987,600 12,005,104
Sears, Roebuck and Co. 47,600 2,165,324
Staples, Inc.* 7,300 199,290
TJX Companies, Inc. 7,600 167,580
Walgreen Co. 15,000 545,700
Wal-Mart Stores, Inc. 64,300 3,411,115
---------------
24,657,602
---------------
RETAIL - GROCERY -- 0.0%
Albertson's, Inc. 17,100 387,315
Winn-Dixie Stores, Inc. 2,100 20,895
---------------
408,210
---------------
TELEPHONE UTILITIES -- 2.8%
Alltel Corp. 2,900 135,082
AT&T Corp. 20,140 $ 408,842
BellSouth Corp. 92,600 2,620,580
CenturyTel, Inc. 2,000 65,240
Qwest Communications
International, Inc.* 179,300 774,576
Sprint Corp. (FON Group) 109,000 1,789,780
Sprint Corp. (PCS Group)* 139,200 782,304
Verizon
Communications, Inc. 870,600 30,540,648
---------------
37,117,052
---------------
TOBACCO -- 0.5%
Altria Group, Inc. 97,600 5,311,392
Reynolds (R.J.) Tobacco
Holdings, Inc. 1,400 81,410
UST, Inc. 27,100 967,199
---------------
6,360,001
---------------
TOYS, GAMES -- 0.0%
Hasbro, Inc. 16,600 353,248
---------------
TRANSPORTATION -- 2.5%
Burlington Northern
Santa Fe Corp. 45,000 1,455,750
Carnival Corp. 10,400 413,192
CSX Corp. 31,900 1,146,486
FedEx Corp. 5,500 371,250
Norfolk Southern Corp. 50,200 1,187,230
Union Pacific Corp. 398,300 27,673,884
United Parcel
Service, Inc. Cl. B 22,200 1,655,010
---------------
33,902,802
---------------
TOTAL EQUITIES
(COST $1,096,062,270) 1,323,353,772
===============
<Caption>
PRINCIPAL
AMOUNT
-------------
SHORT-TERM INVESTMENTS -- 3.7%
CASH EQUIVALENTS**
Bank of Montreal
Eurodollar Time Deposit
1.060% 01/15/2004 $ 134,537 134,537
Bank of Montreal
Eurodollar Time Deposit
1.060% 02/17/2004 710,864 710,864
Bank of Nova Scotia
Eurodollar Time Deposit
1.080% 03/03/2004 2,132,594 2,132,594
Bank of Scotland
Eurodollar Time Deposit
1.060% 04/02/2004 533,150 533,150
Bank of the West
Eurodollar Time Deposit
1.075% 01/14/2004 533,150 533,150
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- ---------------
Barclays
Eurodollar Time Deposit
1.090% 03/05/2004 $ 1,777,162 $ 1,777,162
BNP Paribas
Eurodollar Time Deposit
0.970% 01/07/2004 710,864 710,864
Canadian Imperial
Bank of Commerce
Bank Note
0.990% 05/18/2004 3,554,325 3,554,325
Citigroup
Eurodollar Time Deposit
1.080% 01/05/2004 355,433 355,433
Citigroup
Eurodollar Time Deposit
1.090% 03/04/2004 1,421,730 1,421,730
Citigroup
Eurodollar Time Deposit
1.100% 01/22/2004 355,433 355,433
Credit Agricole Indosuez
Eurodollar Time Deposit
1.080% 01/06/2004 3,660,954 3,660,954
Dreyfus Cash Management
Plus, Inc. Money
Market Fund 1,954,878 1,954,878
Fannie Mae Discount Note
1.062% 01/02/2004 1,066,298 1,066,298
Fleet National Bank
Bank Note
1.000% 01/21/2004 1,777,162 1,777,162
Freddie Mac
Discount Note
1.062% 01/27/2004 1,418,799 1,418,799
General Electric
Capital Corp.
1.092% 01/05/2004 1,773,934 1,773,934
Goldman Sachs
Financial Square Prime
Obligations Money
Market Fund 710,864 710,864
Harris Trust &
Savings Bank
Eurodollar Time Deposit
1.050% 01/29/2004 390,976 390,976
Merrill Lynch Premier
Institutional Money
Market Fund 2,445,416 2,445,416
Merrimac Money
Market Fund 5,900,179 5,900,179
Morgan Stanley Dean
Witter & Co.
1.080% 01/29/2004 1,848,249 1,848,249
</Table>
The accompanying notes are an integral part of the financial statements.
38
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- ---------------
National Bank of
Commerce Bank Note
1.120% 05/19/2004 $ 888,581 $ 888,581
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 02/27/2004 888,581 888,581
Royal Bank of Scotland
Eurodollar Time Deposit
1.080% 01/09/2004 710,864 710,864
Royal Bank of Scotland
Eurodollar Time Deposit
1.080% 01/15/2004 1,777,162 1,777,162
Royal Bank of Scotland
Eurodollar Time Deposit
1.090% 03/03/2004 888,581 888,581
Southtrust Bank
Eurodollar Time Deposit
1.090% 02/17/2004 1,066,298 1,066,298
Svenska Handlesbanken
Eurodollar Time Deposit
1.080% 02/04/2004 888,581 888,581
Svenska Handlesbanken
Eurodollar Time Deposit
1.085% 01/15/2004 888,581 888,581
Svenska Handlesbanken
Eurodollar Time Deposit
1.090% 02/24/2004 1,777,162 1,777,162
Toronto Dominion Bank
Eurodollar Time Deposit
1.100% 01/08/2004 355,433 355,433
Wells Fargo
Eurodollar Time Deposit
1.070% 01/20/2004 4,265,188 4,265,188
---------------
49,561,963
---------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 49,561,963
---------------
TOTAL INVESTMENTS -- 102.6%
(COST $1,145,624,233)*** 1,372,915,735
OTHER ASSETS/
(LIABILITIES) -- (2.6%) (34,477,657)
---------------
NET ASSETS -- 100.0% $ 1,338,438,078
===============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
The remainder of this page is intentionally left blank.
The accompanying notes are an integral part of the financial statements.
39
<Page>
NOTES TO FINANCIAL STATEMENTS
1. THE FUND MML Series Investment Fund ("MML 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 May 14, 1993, as
amended. The following are four series of the Trust
(each individually referred to as a "Fund" or
collectively as the "Funds"): MML Money Market Fund
("Money Market Fund"), MML Managed Bond Fund ("Managed
Bond Fund"), MML Blend Fund ("Blend Fund") and MML
Equity Fund ("Equity Fund"). The MML Trust was
established by Massachusetts Mutual Life Insurance
Company ("MassMutual") for the purpose of providing
vehicles for the investment of assets of various
separate investment accounts established by MassMutual
and by life insurance companies which are subsidiaries
of MassMutual. Shares of MML Trust are not offered to
the general public.
2. SIGNIFICANT The following is a summary of significant accounting
ACCOUNTING policies followed consistently by each Fund in the
POLICIES 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 Equity securities are valued on the basis of valuations
VALUATION furnished by a pricing service, authorized by the Board
of Trustees ("Trustees"), which provides the last
reported sale price for securities listed on a national
securities exchange or the official closing price on
the NASDAQ National Market System, or in the case of
over-the-counter securities not so listed, the last
reported bid price. Debt securities (other than
short-term obligations with a remaining maturity of
sixty days or less) are valued on the basis of
valuations furnished by a pricing service, authorized
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. For the Managed Bond Fund, Blend Fund and Equity
Fund, short-term securities with a remaining maturity
of sixty days or less are valued at either amortized
cost or at original cost plus accrued interest,
whichever approximates current market value. The Money
Market Fund's portfolio securities are valued at
amortized cost in accordance with Rule 2a-7 under the
Investment Company Act of 1940, as amended, pursuant to
which the Money Market Fund must adhere to certain
conditions. It is the intention of the Money Market
Fund to maintain a per-share net asset value of $1.00.
All other securities and other assets, including debt
securities for which the prices supplied by a pricing
agent are deemed by MassMutual not to be representative
of market values, including restricted securities and
securities for which no market quotation is available,
are valued at fair value in accordance with procedures
approved by and determined in good faith by the
Trustees, although the actual calculation may be done
by others.
Portfolio securities traded on more than one national
securities exchange are valued at the last price on the
business day as of which such value is being determined
at the close of the exchange representing the principal
market for such securities. All assets and liabilities
expressed in foreign currencies will be converted into
U.S. dollars at the mean between the buying and selling
rates of such currencies against U.S. dollars last
quoted by any major bank. If such quotations are not
available, the rate of exchange will be determined in
accordance with policies established by the Trustees.
SECURITIES LENDING The Managed Bond Fund, Blend Fund and Equity Fund may
lend their securities to qualified brokers; however,
securities 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 the
Equity Fund taken at current value. The loans are
collateralized at all times with cash or securities
with a market value at least equal to 100% of the
market value of the securities on loan. As with other
extensions of credit, the Funds may bear the risk of
delay in recovery or even loss of rights in the
collateral should the borrower of the securities fail
financially. The Funds receive compensation for lending
their securities. At December 31, 2003, the
40
<Page>
Funds loaned securities having the following market
values, collateralized by cash, which was invested in
short-term instruments in the following amounts:
<Table>
<Caption>
SECURITIES ON LOAN COLLATERAL
------------------ ----------
Managed Bond Fund $ 22,424,305 $ 23,017,763
Blend Fund 54,726,325 56,533,709
Equity Fund 47,801,340 49,561,963
</Table>
REPURCHASE The Money Market Fund, Managed Bond Fund and Blend Fund
AGREEMENTS 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. The Funds, through their custodian,
take possession of the securities collateralizing the
repurchase agreement. The collateral is marked to
market daily to ensure that the market value of the
underlying assets remains sufficient to protect the
Funds in the event of default by the seller. Collateral
for repurchase agreements is held at the counterparty's
custodian in a segregated account for the benefit of
the Funds and the counterparty. In connection with
transactions in repurchase agreements, if the seller
defaults and the value of the collateral declines or if
the seller enters insolvency proceedings, realization
of collateral by the Funds may be delayed or limited.
ACCOUNTING FOR Investment transactions are accounted for on the trade
INVESTMENTS date. Realized gains and losses on sales of investments
and unrealized appreciation and depreciation of
investments are computed on the specific identification
cost method. 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.
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 (the "Code"), applicable to a
regulated investment company. Under such provisions,
the Funds will 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, no
Federal income tax provision is required.
DIVIDENDS AND Dividends from net investment income are declared and
DISTRIBUTIONS TO paid quarterly for the Managed Bond and Blend Fund and
SHAREHOLDERS 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 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. These differences are
primarily due to investments in forward contracts,
passive foreign investment companies, the deferral of
wash sale losses, and paydowns on certain
mortgage-backed securities. As a result, net investment
income and net realized gain on investment transactions
for a reporting period may differ significantly from
distributions during such period.
Accordingly, the Funds may periodically make
reclassifications among certain of their capital
accounts without impacting the net asset value of the
Funds.
41
<Page>
During the year ended December 31, 2003, the following
amounts were reclassified due to the differences
between book and tax accounting:
<Table>
<Caption>
ACCUMULATED
NET REALIZED UNDISTRIBUTED
PAID-IN GAIN (LOSS) ON NET INVESTMENT
CAPITAL INVESTMENTS INCOME (LOSS)
------------ -------------- --------------
Managed Bond Fund $ (57,127) $ (2,338,662) $ 2,395,789
Blend Fund (89,731) (1,192,700) 1,282,431
Equity Fund (245,401) 356,462 (111,061)
</Table>
FOREIGN CURRENCY The books and records of the Funds are maintained in
TRANSLATION 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 recorded on
the books of the Funds and the amount actually
received.
FORWARD FOREIGN The Managed Bond and Blend Funds may enter into forward
CURRENCY foreign currency contracts in order to hedge the effect
CONTRACTS of currency movements of foreign denominated securities
or obligations. A forward foreign currency contract is
an agreement between two parties to buy and sell a
currency at a set price on a future date. The market
value of a forward foreign currency contract fluctuates
with changes in foreign currency exchange and interest
rates. 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. 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.
Forward foreign currency contracts involve a risk of
loss from the potential inability of counterparties to
meet the terms of their contracts and from
unanticipated movements in foreign currency values and
interest rates.
The notional or contractual amounts of these
instruments represent the investments the Funds have in
particular classes of financial instruments and 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 are considered.
At December 31, 2003, the Funds had no open forward
foreign currency contracts.
FORWARD Each Fund may purchase or sell securities on a "when
COMMITMENTS issued" or delayed delivery or on a forward commitment
basis. The Funds use forward commitments to manage
interest rate exposure or as a temporary substitute for
purchasing or selling particular debt securities.
Delivery and payment for securities purchased on a
forward commitment basis can take place a month or more
after the date of the transaction. The Funds instruct
the custodian to segregate assets in a separate account
with a current market value at least equal to the
amount of its forward purchase commitments. The price
of the
42
<Page>
underlying security and the date when the securities
will be delivered and paid for are fixed at the time
the transaction is negotiated. Forward commitments are
valued on the basis of valuations furnished by a
pricing service, authorized 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 and determined
in good faith by the Trustees, although the actual
calculation may be done by others. The Funds record on
a daily basis the unrealized appreciation
(depreciation) based upon changes in the value of the
forward commitment. When a forward commitment contract
is closed, 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. Forward
commitments involve a risk of loss if the value of the
security to be purchased declines prior to the
settlement date. The Funds could also be exposed to
loss if they cannot close out their forward commitments
because of an illiquid secondary market, or the
inability of counterparties to perform. The Funds
monitor exposure to ensure counterparties are
creditworthy and concentration of exposure is
minimized.
A summary of open obligations for the Managed Bond Fund
and the Blend Fund under these forward commitments at
December 31, 2003, is as follows:
<Table>
<Caption>
FORWARD EXPIRATION AGGREGATE
COMMITMENT OF FACE VALUE MARKET UNREALIZED
CONTRACTS TO BUY CONTRACTS OF CONTRACTS COST VALUE APPRECIATION
--------------------- ---------- ------------ ---------- ----------- ------------
MML MANAGED BOND FUND
MASTR Asset
Securitization Trust
Series 2003-12,
Class 6A1
5.0% 12/25/2033 January-04 $ 3,000,000 $ 2,933,906 $ 2,940,000 $ 6,094
MML BLEND FUND
MASTR Asset
Securitization Trust
Series 2003-12,
Class 6A1
5.0% 12/25/2033 January-04 $ 3,000,000 $ 2,933,906 $ 2,940,000 $ 6,094
</Table>
FINANCIAL FUTURES The Funds may purchase or sell financial futures
CONTRACTS contracts and options on such futures contracts for the
purpose of hedging the market risk on existing
securities or as a substitute for the purchase of
securities. Futures contracts are contracts for delayed
delivery of securities at a specific future date and at
a specific price or yield. Upon entering into a
contract, the Funds deposit and maintain as collateral
such initial margin as required by the exchange on
which the transaction is effected. Pursuant to the
contract, the Fund agrees to receive from or pay to the
broker an amount of cash equal to the daily fluctuation
in value of the contract. Such receipts or payments are
known as variation margin and are recorded by the Funds
as unrealized gains or losses. When the contract is
closed, each 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.
At December 31, 2003, the Funds had no open futures
contracts.
43
<Page>
3. MANAGEMENT
FEES AND OTHER
TRANSACTIONS
INVESTMENT Under agreements between the Trust and MassMutual on
MANAGEMENT FEE behalf of each Fund, MassMutual is responsible for
providing investment management services for each Fund.
In return for this service, MassMutual receives
advisory fees monthly from each Fund at the annual rate
of 0.50% of the first $100,000,000, 0.45% of the next
$200,000,000, 0.40% of the next $200,000,000 and 0.35%
of any excess over $500,000,000 of the average daily
net asset value of each Fund.
MassMutual has entered into an investment sub-advisory
agreement with David L. Babson & Company, Inc. ("DLB"),
pursuant to which DLB serves as the Funds' sub-adviser
providing day-to-day management of the Funds'
investments. DLB is a wholly-owned subsidiary of DLB
Acquisition Corporation, which is a controlled
subsidiary of MassMutual. DLB receives a fee from
MassMutual equal to an annual rate of 0.13% of the
average daily net asset value of the portion of the
assets of the Equity Fund that DLB manages, 0.13% of
the average daily net assets of the Equity Segment of
the Blend Fund, 0.09% of the average daily net assets
of the Money Market and Bond Segments of the Blend
Fund, 0.05% of the average daily net assets of the
Money Market Fund and 0.10% of the average daily net
assets of the Managed Bond Fund.
MassMutual has also entered into an investment
sub-advisory agreement with Alliance Capital Management
L.P. ("Alliance Capital"). Alliance Capital is a
limited partnership, the majority ownership interests
in which are held by its affiliates: Alliance Capital
Management Holding L.P., a publicly traded partnership;
and AXA Financial, Inc. ("AXA Financial") together with
certain wholly-owned subsidiaries of AXA Financial. AXA
Financial is a wholly-owned subsidiary of AXA. The
sub-advisory agreement with Alliance Capital provides
that Alliance Capital manage a portion of the
investment and reinvestment of the assets of the Equity
Fund. MassMutual pays a sub-advisory fee to Alliance
Capital based upon the aggregate net assets under
management which include (1) the average daily net
asset value of the portion of the assets of the Equity
Fund that Alliance Capital manages, and (2) the average
daily net assets of all other funds or accounts of
MassMutual or its affiliates for which Alliance Capital
provides sub-advisory services and which have
substantially the same investment objectives, policies
and investment strategies.
EXPENSE WAIVERS MassMutual has agreed, at least through April 30, 2004,
to bear the expenses of each Fund to the extent that
the aggregate expenses (excluding each Fund's
management fee, interest, taxes, brokerage commissions
and extraordinary expenses) incurred during the Fund's
fiscal year exceed 0.11% of the average daily net asset
value of each Fund for such year. No waivers have been
required as a result of this agreement for the year
ended December 31, 2003.
OTHER Certain officers and trustees of the Funds are also
officers of MassMutual. The compensation of each
trustee who is not an officer or employee of MassMutual
is borne by the Funds.
DEFERRED Trustees of the Funds that are not employees of
COMPENSATION MassMutual or its subsidiaries may elect to defer
receipt of their annual fees in accordance with terms
of the Non-Qualified Deferred Compensation Plan. Any
amounts deferred shall accrue interest at a rate equal
to eight percent (8%) per annum.
For the year ended December 31, 2003, no significant
amounts have been deferred.
44
<Page>
4. PURCHASES AND Cost of purchases and proceeds from sales of investment
SALES OF securities (excluding short-term investments) for the
INVESTMENTS year ended December 31, 2003, were as follows:
<Table>
<Caption>
LONG-TERM U.S. OTHER LONG-TERM
GOVERNMENT SECURITIES SECURITIES
--------------------- ---------------
PURCHASES
Managed Bond Fund $ 155,903,637 $ 128,688,403
Blend Fund 111,131,671 831,799,249
Equity Fund - 716,561,072
SALES
Managed Bond Fund $ 226,094,535 $ 109,558,859
Blend Fund 145,791,287 913,191,691
Equity Fund - 802,429,068
</Table>
5. CAPITAL SHARE The Funds are authorized to issue an unlimited number
TRANSACTIONS of shares, with no par value in each class of shares.
Changes in shares outstanding for each Fund are as
follows:
<Table>
<Caption>
YEAR ENDED DECEMBER 31, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
-------------- ---------------- -------------- ----------------
MONEY MARKET FUND
Sold 105,705,023 $ 105,590,864 165,193,610 $ 165,008,566
Issued as reinvestment of dividends 1,152,760 1,151,593 2,684,850 2,681,623
Redeemed (157,549,810) (157,379,811) (179,358,620) (179,157,417)
-------------- ---------------- -------------- ----------------
Net increase (decrease) (50,692,027) $ (50,637,354) (11,480,160) $ (11,467,228)
============== ================ ============== ================
MANAGED BOND FUND
Sold 7,918,246 $ 99,825,935 10,984,290 $ 135,540,613
Issued as reinvestment of dividends 1,653,061 20,809,869 1,746,822 21,389,456
Redeemed (10,213,932) (128,594,509) (5,688,928) (70,199,766)
-------------- ---------------- -------------- ----------------
Net increase (decrease) (642,625) $ (7,958,705) 7,042,184 $ 86,730,303
============== ================ ============== ================
BLEND FUND
Sold 2,306,539 $ 31,049,864 3,317,565 $ 45,740,765
Issued as reinvestment of dividends 1,979,001 27,002,708 2,662,705 35,476,768
Redeemed (12,990,744) (172,966,124) (21,550,926) (291,797,623)
-------------- ---------------- -------------- ----------------
Net increase (decrease) (8,705,204) $ (114,913,552) (15,570,656) $ (210,580,090)
============== ================ ============== ================
EQUITY FUND
Sold 2,869,073 $ 51,938,991 3,970,790 $ 75,723,259
Issued as reinvestment of dividends 1,019,277 21,136,767 2,191,725 37,772,495
Redeemed (9,220,071) (163,790,004) (14,913,474) (278,619,551)
-------------- ---------------- -------------- ----------------
Net increase (decrease) (5,331,721) $ (90,714,246) (8,750,959) $ (165,123,797)
============== ================ ============== ================
</Table>
6. FOREIGN The Funds may also invest in foreign securities,
SECURITIES subject to certain percentage restrictions. Investing
in securities of foreign companies and foreign
governments involves special risks and considerations
not typically associated with investing in securities
issued by U.S. companies and the U.S. Government. These
risks include revaluation of currencies and future
adverse political and economic developments. Moreover,
securities of many foreign companies and foreign
governments and their markets may be less liquid and
their prices more volatile than those of securities of
comparable U.S. companies and the U.S. Government.
45
<Page>
7. FEDERAL INCOME At December 31, 2003, the cost of securities and the
TAX INFORMATION unrealized appreciation (depreciation) in the value of
investments owned by the Funds, as computed on a
Federal income tax basis, were as follows:
<Table>
<Caption>
FEDERAL TAX BASIS TAX BASIS NET UNREALIZED
INCOME TAX UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------------- -------------- -------------- --------------
Managed Bond Fund $ 387,451,557 $ 14,944,305 $ (4,271,691) $ 10,672,614
Blend Fund 990,782,324 155,724,483 (8,480,089) 147,244,394
Equity Fund 1,162,637,853 221,172,513 (10,894,631) 210,277,882
</Table>
Note: The aggregate cost for investments for the Money
Market Fund as of December 31, 2003, is the same for
financial reporting and Federal income tax purposes.
At December 31, 2003, the following Funds had
available, for Federal income tax purposes, unused
capital losses:
<Table>
<Caption>
EXPIRING EXPIRING EXPIRING
2009 2010 2011
-------------- -------------- -------------
Money Market Fund $ 200,726 $ - $ -
Managed Bond Fund - 3,720,523 -
Blend Fund 138,677,965 96,826,930 44,214,404
Equity Fund - 178,923,645 94,130,260
</Table>
Net capital loss carryforwards may be applied against
any net realized taxable gains in each succeeding year,
or until their respective expiration dates, whichever
occurs first.
Certain differences exist from the amounts reflected in
the Statement of Changes in Net Assets primarily due to
the character of short-term capital gains treated as
ordinary income for tax purposes. The tax character of
distributions paid during the year ended December 31,
2003 was as follows:
<Table>
<Caption>
ORDINARY LONG TERM RETURN OF
INCOME CAPITAL GAIN CAPITAL
------------- ------------- -------------
Money Market Fund $ 1,051,782 $ - $ -
Managed Bond Fund 20,809,869 - -
Blend Fund 27,002,708 - -
Equity Fund 21,136,767 - -
</Table>
At December 31, 2003, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED LONG TERM UNREALIZED
ORDINARY CAPITAL GAIN/ APPRECIATION/
INCOME (LOSS) (CAPITAL LOSS CARRYOVER) (DEPRECIATION)*
------------- ------------------------ ---------------
Money Market Fund $ 32,835 $ (200,726) $ -
Managed Bond Fund - (4,002,183) 11,777,099
Blend Fund - (310,598,980) 177,361,872
Equity Fund - (290,067,827) 227,291,502
</Table>
* INCLUDES UNREALIZED APPRECIATION (DEPRECIATION) ON
INVESTMENTS, DERIVATIVES AND FOREIGN CURRENCY
DENOMINATED ASSETS AND LIABILITIES, IF ANY.
46
<Page>
The following Funds have elected to defer to January 1,
2004 post-October losses:
<Table>
<Caption>
AMOUNT
-----------
Managed Bond Fund $ 10,185
Blend Fund 766,582
</Table>
47
<Page>
INDEPENDENT AUDITORS' REPORT
THE BOARD OF TRUSTEES AND SHAREHOLDERS OF MML SERIES INVESTMENT FUND
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of the MML Money Market Fund, the MML Managed Bond
Fund, the MML Blend Fund, and the MML Equity Fund (collectively the "Funds")
which are components of the MML Series Investment Fund ("The MML Trust"), as of
December 31, 2003, and the related statements of operations for the year then
ended, the statements of changes in net assets for the two years in the period
ended December 2003 and the financial highlights for the five years in the
period ended December 2003. The financial statements and financial highlights
are the responsibility of the MML Trust's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 2003 by correspondence with the custodian and brokers; where
replies were not received from brokers, we performed other auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the Funds as of
December 31, 2003, and the results of their operations, the changes in their net
assets and their financial highlights for the respective stated periods in
conformity with accounting principles generally accepted in the United States of
America.
/s/ Deloitte & Touche LLP
Deloitte & Touche LLP
Boston, Massachusetts
February 11, 2004
48
<Page>
TRUSTEES AND OFFICERS (UNAUDITED)
The following table lists the Trust's trustees and
officers; their address and age; their position with
the Trust; the length of time holding that position
with the Trust; their principal occupation(s) during
the past five years; the number of portfolios in the
fund complex they oversee; and other directorships they
hold in companies subject to registration or reporting
requirements of the Securities Exchange Act of 1934
(generally called "public companies") or in registered
investment companies. The Trust's Statement of
Additional Information includes additional information
about the Trust's trustees and is available, without
charge, upon request by calling 1-888-309-3539 or by
writing MML Series Investment Fund, c/o Massachusetts
Mutual Life Insurance Company, 1295 State Street,
Springfield, Massachusetts 01111-0111, Attention:
Retirement Services Marketing.
DISINTERESTED
TRUSTEES
<Table>
<Caption>
TERM NUMBER OF
OF OFFICE** PORTFOLIOS IN
AND FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER
NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS
AND AGE TRUST SERVED PAST 5 YEARS TRUSTEE HELD BY TRUSTEE
- -------------------------- ------------ ----------- ----------------------------- ------------- ------------------------------
Ronald J. Abdow Trustee of Since President, Abdow Corporation 46 Trustee, Abdow G&R Trust and
Age: 71 the Trust 1993 (operator of restaurants). Abdow G&R Co. (owners and
operators or restaurant
properties); Chairman, Western
Mass Development Corp.;
Chairman, American
International College; Trustee
(since 2002), Oppenheimer
Tremont Market Neutral Fund
LLC, Oppenheimer Tremont
Opportunity Fund LLC and
Oppenheimer Real Estate Fund.
Richard H. Ayers Trustee of Since Retired. 46 Director, Applera Corporation;
Age: 60 the Trust 1999 Director (since 2002), Instron
Corporation.
Mary E. Boland Trustee of Since Attorney at Law, Egan, 46 Director (since 1999),
Age: 63 the Trust 1973 Flanagan and Cohen, P.C. (law BankNorth Massachusetts;
firm), Springfield, MA. Director (since 1999),
Massachusetts Educational
Financing Authority.
Richard W. Greene Trustee of Since Retired; Vice President for 46
Age: 67 the Trust 1999 Investments and Treasurer
(1998-2000), University of
Rochester (private
university).
</Table>
49
<Page>
<Table>
<Caption>
TERM NUMBER OF
OF OFFICE** PORTFOLIOS IN
AND FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER
NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS
AND AGE TRUST SERVED PAST 5 YEARS TRUSTEE HELD BY TRUSTEE
- -------------------------- ------------ ----------- ----------------------------- ------------- ------------------------------
Beverly L. Hamilton Trustee of Since President ARCO Investment 46 Director (since 1991),
Age: 56 the Trust 1999 Management Co. (1991-2000). American Funds Emerging
Markets Growth Fund
(open-interval mutual fund);
Trustee (since 2000), Monterey
Institute for International
Studies; Trustee (since 2001),
The California Endowment;
Trustee (since 2002),
Community Hospital of the
Monterey Peninsula; Trustee
(since 2002), Board II
Oppenheimer Funds; Investment
Advisory Committees of
Rockefeller Foundation,
Unilever (Holland) pension
fund, CFSB Sprout, University
of Michigan endowment and
Hartford Hospital.
F. William Marshall, Jr. Trustee of Since Consultant (since 1999); 46 Trustee (since 2000), Board II
Age: 61 the Trust 1996 Chairman (1999), Family Bank, Oppenheimer Funds.
F.S.B. (formerly SIS Bank);
Executive Vice President
(1999), Peoples Heritage
Financial Group; President,
Chief Executive Officer and
Director (1993-1999), SIS
Bancorp, Inc. and SIS Bank
(formerly, Springfield
Institution for Savings).
Allan W. Blair Trustee of Since President and Chief Executive 46 Director (since 2001), Future
Age: 55 the Trust 2003 Officer (since 1996), Works, Inc.
Economic Development Council
of Western Massachusetts;
President and Chief Operating
Officer (since 1993),
Westmass Area Development
Corporation; President and
Chief Operating Officer
(since 1984), Westover
Metropolitan Development
Corporation.
R. Alan Hunter, Jr. Trustee of Since Retired. 46
Age: 56 the Trust 2003
</Table>
50
<Page>
INTERESTED
TRUSTEES
<Table>
<Caption>
TERM NUMBER OF
OF OFFICE** PORTFOLIOS IN
AND FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER
NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS
AND AGE TRUST SERVED PAST 5 YEARS TRUSTEE HELD BY TRUSTEE
- -------------------------- ------------ ----------- ---------------------------- ------------- ------------------------------
Stuart H. Reese Chairman Since Executive Vice President and 46 Director (since 1994), Merrill
Age: 48 and Trustee 1999 Chief Investment Officer Lynch Derivative Products;
of the Trust (since 1999), Chief Chairman (since 1999),
Executive Director Director (since 1996), Antares
(1997-1999), MassMutual; Capital Corporation (finance
Chairman and Chief Executive company); Director (since
Officer (since 2001), 1996), HYP Management, Inc.
President and Chief (managing member of MassMutual
Executive Officer High Yield Partners LLC), and
(1999-2001), David L. Babson MMHC Investment, Inc.
& Company Inc. (investment (investor in funds sponsored
adviser); Chairman (since by MassMutual); Director
1999), President (since 1994), MassMutual
(1995-1999), MassMutual Corporate Value Partners
Corporate Investors and Limited (investor in debt and
MassMutual Participation equity securities) and
Investors (closed-end MassMutual Corporate Value
investment companies). Limited (parent of MassMutual
Corporate Value Partners
Limited); President (since
1997), MassMutual/ Darby CBO
IM Inc. (manager of
MassMutual/ Darby CBO LLC, a
high yield bond fund);
Advisory Board Member (since
1995), Kirtland Capital
Partners.
Frederick C. Castellani Trustee and Since Executive Vice President 46
Age: 56 President 2001 (since 2001), Senior Vice
of the Trust President (1996-2001),
MassMutual.
Robert E. Joyal Trustee of Since Retired; President 46 Director (since 1996), Antares
Age: 58 the Trust 2003 (2001-2003), Director Leverage Capital Corp.;
(2000-2003) and Managing Director (since 1996),
Director (2000-2001), David L. MassMutual High Yield Partners
Babson & Company Inc.; II, LLC; Director (since
Executive Director 1999), MassMutual Corporate
(1997-1999), Massachusetts Value Partners Limited;
Mutual Life Insurance Company. President (since 1999),
MassMutual Corporate Investors
(closed-end investment
company); President (since
1999), MassMutual
Participation Investors
(closed-end investment
company).
</Table>
51
<Page>
PRINCIPAL OFFICERS
WHO ARE NOT
TRUSTEES
<Table>
<Caption>
NUMBER OF
PORTFOLIOS IN
FUND
POSITION(S) LENGTH PRINCIPAL COMPLEX
NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(s) DURING OVERSEEN BY
AND AGE TRUST SERVED PAST 5 YEARS OFFICER
- -------------------------- ------------ ----------- ----------------------------------- -------------
James S. Collins Chief Since Vice President (since 1999), Second 46
Age: 45 Financial 2000 Vice President (1990-1999),
Officer and MassMutual.
Treasurer
of Trust
Thomas M. Kinzler Vice Since Vice President and Associate 46
Age: 47 President 1999 General Counsel (since 1999),
and Second Vice President and Associate
Secretary General Counsel (1996-1999),
of the Trust MassMutual.
Vernon J. Meyer Vice Since Vice President (since 1998), 46
Age: 38 President 1999 MassMutual.
of the Trust
David W. O'Leary Vice Since Senior Vice President (since 14
Age: 42 President 2001 2001), MassMutual; Senior Vice
of the Trust President (1999-2001), Vice
President (1996-1999), Aetna
Financial Services.
Toby Slodden Vice Since Executive Vice President (since 46
Age: 46 President 2003 2003), Senior Vice President
of the Trust (1999-2003), Vice President
(1997-1999), MassMutual.
</Table>
* The address of each Trustee and Principal Officer is the same as that for
the Trust; 1295 State Street, Springfield, Massachusetts 01111.
** Each Trustee of the Trust serves until the next meeting of shareholders
called for the purpose of electing Trustees and until the election and
qualification of his successor or until he dies, resigns or is removed.
Notwithstanding the foregoing, a Trustee shall retire and cease to serve as
a Trustee as of the first board meeting following the date on which the
Trustee attains the age of seventy-two years. Except, any Trustee who
attained the age of seventy-two years during 2001 shall retire and cease to
serve as a Trustee on or before June 1, 2003.
FEDERAL TAX INFORMATION (UNAUDITED)
For corporate shareholders, a portion of the ordinary dividends paid during the
Fund's year ended December 31, 2003 qualified for the dividends received
deduction, as follows:
<Table>
Managed Bond Fund 0.32%
Blend Fund 41.43%
Equity Fund 100.00%
</Table>
52
<Page>
[MASSMUTUAL FINANCIAL GROUP(SM) LOGO]
Massachusetts Mutual Life Insurance Company
and affiliates, Springfield, MA 01111-0001
www.massmutual.com
MassMutual Financial Group is a marketing designation
(or fleet name) for Massachusetts Mutual Life Insurance
Company (MassMutual) and its affiliates. L4540 204
<Page>
ITEM 2 CODE OF ETHICS.
As of December 31, 2003, the Registrant adopted a Code of Ethics that
applies to the Principal Executive Officer and Principal Financial Officer
pursuant to the Sarbanes-Oxley Act of 2002. For the year ended December 31,
2003, there were no amendments to a provision of the Code of Ethics. A copy of
its Code of Ethics is filed with this Form N-CSR under item 10 (a).
ITEM 3 AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees has determined that Richard H. Ayers
and Richard W. Greene, both members of the Audit Committee, are audit committee
financial experts as defined by the Securities and Exchange Commission (the
"SEC"). Mr. Ayers and Mr. Greene are "independent" as defined by the SEC for
purposes of audit committee financial expert determinations.
ITEM 4 PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES: The aggregate fees paid and accrued by the Registrant
for professional services rendered by its independent auditors,
Deloitte & Touche LLP, for the audit of the Registrant's annual
financial statements for 2003 and 2002 were $78,100 and $68,628,
respectively.
(b) AUDIT RELATED FEES: No such fees were billed to the Registrant by
Deloitte & Touche LLP for 2003 or 2002.
(c) TAX FEES: The aggregate fees paid or accrued by the Registrant for
professional services rendered by Deloitte & Touche LLP for the
review of Form 1120-RIC, Form 8613, excise distribution
projections, distribution calculation and reasonable out of pocket
expenses.for 2003 and 2002 were $21,580 and $11,257, respectively.
(d) ALL OTHER FEES: No such fees were billed to the Registrant by
Deloitte & Touche LLP for 2003 or 2002.
(e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICY: All services to be
performed for the Registrant by Deloitte & Touche LLP must be
pre-approved by the audit committee. All services performed during
2003 and 2002 were pre-approved by the committee.
(2) Not applicable.
(f) Not applicable.
(g) Not applicable.
(h) Not applicable.
ITEM 5 AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6 [RESERVED]
ITEM 7 DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
<Page>
ITEM 8 [RESERVED]
ITEM 9 CONTROLS AND PROCEDURES.
(a) The Registrant's Principal Executive Officer and Principal
Financial Officer concluded that the Registrant's disclosure controls
and procedures are effective based on their evaluation of the
Registrant's disclosure controls and procedures as of a date within 90
days prior to the filing date of this report (the "Evaluation Date").
(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 last fiscal
half-year (the Registrant's second fiscal half-year in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the Registrant's internal control over financial
reporting.
ITEM 10 (EXHIBITS):
(a)(1) Code of Ethics Described in Item 2 is attached.
(a)(2) Certifications of the Principal Executive Officer and Principal
Financial Officer of the Registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940 (17 CFR 270.30a-2(a) are attached
hereto as Exhibit 99CERT.302
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are attached hereto as Exhibit 99CERT.906.
<Page>
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
By (Signature and Title): /s/ Frederick C. Castellani
-------------------------------------------
Frederick C. Castellani, President and Principal
Executive Officer
Date February 11, 2004
--------------------
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/ Frederick C. Castellani
-------------------------------------------
Frederick C. Castellani, President and Principal
Executive Officer
Date February 11, 2004
--------------------
By (Signature and Title): /s/ James S. Collins
-------------------------------------------
James S. Collins, Treasurer and Principal
Financial Officer
Date February 11, 2004
--------------------