<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)
David W. O'Leary
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: 12/31/2004
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Date of reporting period: 12/31/2004
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ITEM 1 REPORTS TO STOCKHOLDERS.
(Annual Report for the period 1/1/04 through 12/31/04 is filed herewith)
<Page>
MML SERIES INVESTMENT FUND
ANNUAL REPORT
FOR THE YEAR ENDED
DECEMBER 31, 2004
[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)
[GRAPHIC]
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TABLE OF CONTENTS
<Table>
LETTER TO SHAREHOLDERS 1
PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004
MML Money Market Fund 12
MML Managed Bond Fund 13
MML Blend Fund 20
MML Equity Fund 30
STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2004 36
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
MML Equity Fund
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004 37
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, 2004 AND
FOR THE YEAR ENDED DECEMBER 31, 2003 38
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
MML Equity Fund
FINANCIAL HIGHLIGHTS
MML Money Market Fund 40
MML Managed Bond Fund 41
MML Blend Fund 42
MML Equity Fund 43
NOTES TO FINANCIAL STATEMENTS 44
INDEPENDENT AUDITORS' REPORT 52
DIRECTORS AND OFFICERS (UNAUDITED) 53
FEDERAL TAX INFORMATION (UNAUDITED) 56
FUND EXPENSES (UNAUDITED) 57
</Table>
THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS FOR THE
MML SERIES INVESTMENT FUND. INVESTORS SHOULD CONSIDER A FUND'S INVESTMENT
OBJECTIVE, RISKS AND CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THIS AND
OTHER INFORMATION ABOUT THE INVESTMENT COMPANY IS AVAILABLE IN THE PROSPECTUS.
READ IT CAREFULLY BEFORE INVESTING.
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MML SERIES INVESTMENT FUND - LETTER TO SHAREHOLDERS
December 31, 2004
TO OUR SHAREHOLDERS
[PHOTO OF DAVID W. O'LEARY]
DAVID W. O'LEARY
"IN MASSMUTUAL'S VIEW, INVESTORS SHOULD FOCUS ON THE LONG TERM, WITH A PORTFOLIO
THAT IS APPROPRIATELY DIVERSIFIED BASED ON THEIR FINANCIAL GOALS, TIME HORIZON
AND RISK COMFORT LEVEL. STAYING THE COURSE WITH TIME-TESTED PRINCIPLES, SUCH AS
DIVERSIFICATION, HAS HISTORICALLY PROVEN TO BE A SOUND STRATEGY."
A LOOK BACK AT 2004
During the first half of 2004, the strong market advance of 2003 lost much of
its momentum, as unsettling geopolitical developments, a nebulous market
environment and the uncertainty surrounding the U.S. presidential election
weighed on investors' minds. Although the larger-cap and technology-oriented
market indexes lost some traction in the first quarter, the S&P 500 Index(R)*
held its ground and small-cap and international stocks advanced. The bond market
also benefited from slightly lower interest rates.
A seesaw of positives and negatives kept many investors from making definitive
moves in the second quarter. Despite stronger economic growth and corporate
profits, greater consumer confidence and improving employment statistics, higher
oil prices, renewed inflation concerns and continued terrorist threats unnerved
investors. As a result, many market indexes turned in nearly flat returns.
In the third quarter, stocks lost ground as high energy prices, rising interest
rates, presidential election jitters and the worst hurricane season in 40 years
kept investors on the defensive. Bonds outperformed stocks, despite two
increases in short-term interest rates by the Federal Reserve (Fed).
As 2004 drew to a close, many investors saw gains in the major stock indexes for
both the fourth quarter and the year itself. The fixed income rally that had
buoyed bond prices for a good portion of the year slowed considerably in the
middle of the fourth quarter. Underscoring investor preference for technology
stocks over blue chips as 2004 wound down, the Nasdaq Composite Index and Dow
Jones Industrial Average returned 14.69% and 7.48% for the quarter and 8.59% and
5.29% for the year, respectively. Small-cap stocks easily outdistanced large
caps on both a quarterly basis and for the year. International stocks benefited
from the continued weakening of the dollar relative to other currencies, as the
MSCI EAFE Index outperformed nearly every other major equity index. Despite an
investment trend away from fixed income and toward equities, many bond investors
still notched positive returns for the year.
As with much of the year, economic news in the fourth quarter was generally
mixed. Many investors were encouraged by a swift resolution to the presidential
election and reports of an overall improvement in economic fundamentals.
However, gyrating oil prices, predictions about a weak holiday retailing season,
weak statistics for new home sales and mortgage applications and concerns about
corporate earnings kept an equity rally from sustaining momentum until the
second half of the fourth quarter, when a series of economic reports pointed to
solid expansion and an improved outlook.
THE ROLE OF THE WEAKENING DOLLAR
In the fourth quarter of 2004, the U.S. dollar declined dramatically relative to
its key benchmark currencies, including the euro, the Japanese yen and the
British pound. The strong performance of international markets in 2004 directly
correlates to the dollar's weakness. Currency rates suddenly became a focus for
investors, who wondered about the impact to their portfolios and whether a
falling dollar could be both negative and positive. The answer seems to be yes -
depending on your perspective.
Put simply, a dollar that is strengthening can buy more units of a foreign
currency; a weakening dollar will buy fewer. When the dollar strengthens, the
prices of goods and services produced abroad go down for American consumers, who
have more purchasing power to buy foreign securities, and a
* Indexes are unmanaged, do not incur fees or expenses and cannot be purchased
directly for investment.
1
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better rate of exchange when traveling abroad. Viewed differently, a strong
dollar means that U.S. companies have greater difficulty doing business
internationally, as they must compete with the lower prices of foreign products.
Conversely, when the value of the dollar declines, foreign products become more
expensive for U.S. buyers, U.S. companies can offer more competitive pricing on
products overseas, foreign travelers find the U.S. to be more affordable, and
securities denominated in dollars become more attractive. On the other hand, the
prices of foreign-produced goods become higher for U.S. buyers - whose travel to
other countries may become cost-prohibitive and whose foreign securities
purchasing power diminishes.
OUTLOOK
The weakening dollar notwithstanding, as we look toward 2005, there are various
encouraging economic signs on the horizon. Inflation and interest rates are
still low and economic expansion has been widely substantiated. Reports on
personal income, consumer confidence and durable goods have suggested the
economy may sustain above-average growth in the near term, all of which could
translate into stronger corporate earnings figures and higher stock prices. The
Fed will likely continue to raise interest rates at a measured pace - in tandem
with a potentially stronger equity environment, this may present a challenge to
bond investors.
In summary, MassMutual continues to believe that investors should focus on the
long term, with a portfolio that is appropriately diversified based on their
financial goals, time horizon and risk comfort level. Staying the course with
time-tested principles, such as diversification, has historically helped
investors reach their goals, although past performance is no guarantee of future
results.
/s/ David W. O'Leary
David W. O'Leary
PRESIDENT
THE OPINIONS EXPRESSED HEREIN ARE THOSE OF MASS MUTUAL AS OF JANUARY 1, 2005 AND
ARE SUBJECT TO CHANGE WITHOUT NOTICE. THIS INFORMATION IS NOT TO BE CONSTRUED AS
TAX, LEGAL OR INVESTMENT ADVICE.
2
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MML MONEY MARKET FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MML MONEY MARKET FUND?
This Fund seeks to maximize current income to the extent consistent with
liquidity and the preservation of capital by investing in a diversified
portfolio of money market instruments.
HOW DID THE FUND PERFORM DURING 2004?
For the 12 months ended December 31, 2004, the Fund's shares had a return of
0.79%, outperforming the 0.77% return of the Lipper Taxable Money Market Fund
Index.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The first quarter of 2004 was characterized by a lackluster stock market,
positive total returns for bonds, and a Federal Reserve (Fed) that remained on
hold. The biggest factor behind the strong bond performance was anemic job
growth, which signaled weak economic expansion and led investors to prefer the
relative safety of bonds compared to stocks. Inflation remained in check,
despite rising oil and commodity prices.
Stock and bond returns were subdued in the second quarter. Stocks DID outperform
bonds, however, as bond prices were negatively impacted by higher interest
rates. On June 30, the Federal Reserve Open Market Committee (FOMC) raised its
target for the federal funds level 0.25% to 1.25%.
Bonds performed well during the third quarter of 2004, despite rising oil prices
and the FOMC's two interest rate increases. In contrast, both the S&P 500 and
the Dow Industrials had negative returns during the period. The final release of
second quarter Gross Domestic Product (GDP) was 3.3%, a substantial revision
from the earlier estimate of 2.7%. Inventory rebuilding, investment spending and
net exports fueled the increase.
Bond and money market returns were muted and unexciting during the fourth
quarter. The excitement was elsewhere - an active Fed (two rate increases), the
U.S. presidential election, a dramatic weakening of the U.S. dollar and a strong
rally in the equity markets.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter, short-term yields were at or near historical lows, so
the Fund retained a defensive posture from a credit perspective, choosing to
give up yield in lieu of holding riskier corporate names. As a result of the
turmoil with Fannie Mae and Freddie Mac, the Fund reduced its exposure to the
Government Sponsored Enterprises, preferring to hold U.S. Treasury bills.
In the second quarter of 2004, the anticipation of Fed rate increases drove
rates higher - and prices lower - across the yield curve, but particularly in
the shorter and intermediate maturities. Bond prices move in the opposite
direction to interest rates (or yields); when yields rise, the prices of
existing bonds fall - and vice versa. At June 30, the two-year note yield had
risen by 1.10% to 2.67%; three-year notes ended the quarter yielding 3.07%
versus 1.94% at the end of March. The five-year Treasury note increased by 1% in
yield to 3.76%.
Turning to the three months ended September 30, longer-maturity Treasuries
outperformed, resulting in a flattening of the yield curve. The two-year note
fell by 0.07% to yield 2.61%. In reaction to the Fed's tightening, three- and
six-month bill yields rose substantially by 0.44% and 0.35% to yield 1.70% and
1.99%, respectively.
In the fourth quarter, corporate bonds, agencies, mortgages and other
securitized assets all generally outperformed the total return on Treasuries.
Long-maturity corporate bonds were the best-performing sector, outperforming
Treasuries of comparable maturity by 2.17%. Once again, lower-credit quality
outperformed versus higher-quality bonds. Bonds rated Baa outperformed
Treasuries by 1.20% for the quarter, versus the highest-quality bonds, rated
Aaa, which outperformed by 0.47%. High-yield outperformed investment-grade
corporate bonds. In a period of strong equity market performance, low levels of
corporate defaults, and investors' need to reach for yield, risk premiums - the
difference in yield attributable to higher-risk investments - continued to
decline.
WHAT IS YOUR OUTLOOK?
Entering 2005, we remain guardedly optimistic that the economy will continue to
grow in the 3+% range for the foreseeable future. Additionally, Federal Reserve
interest rate increases should work to improve money market yields going
forward.
3
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MML MONEY MARKET FUND
ASSET ALLOCATION
(% OF NET ASSETS) ON 12/31/04
<Table>
Commercial Paper 62.7%
Other Short-Term Debt 38.1%
Other Assets and Liabilities (0.8)%
-----
100.0%
=====
</Table>
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
1/1/04 - 12/31/04 1/1/00 - 12/31/04 1/1/95 - 12/31/04
MML Money
Market Fund 0.79% 2.46% 3.79%
Lipper Taxable
Money Market
Fund Index 0.77% 2.44% 3.76%
</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
1/1/95 $ 10,000 $ 10,000
12/95 $ 10,558 $ 10,553
12/96 $ 11,087 $ 11,082
12/97 $ 11,661 $ 11,652
12/98 $ 12,262 $ 12,247
12/99 $ 12,849 $ 12,828
12/00 $ 13,624 $ 13,590
12/01 $ 14,123 $ 14,108
12/02 $ 14,305 $ 14,271
12/03 $ 14,394 $ 14,359
12/04 $ 14,508 $ 14,470
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. 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. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY
ACCESSING THE WEBSITE AT www.massmutual.com.
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. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARD TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. 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. PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE;
PAST PERFORMANCE IS NOT PREDICTIVE 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 MANAGER BOND FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MML MANAGED BOND FUND?
This Fund seeks to achieve a high total rate of return consistent with
prudent investment risk and the preservation of capital by investing primarily
in a diversified portfolio of investment-grade fixed-income securities.
HOW DID THE FUND PERFORM DURING 2004?
For the 12 months ended December 31, 2004, the Fund's shares returned 4.47%,
outperforming the 4.34% 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 BACKGROUND DURING THE PERIOD?
The first quarter of 2004 was characterized by a lackluster stock market,
positive total returns for bonds, and a Federal Reserve (Fed) that remained on
hold. The biggest factor behind the strong bond performance was anemic job
growth, which signaled weak economic expansion and led investors to prefer the
relative safety of bonds compared to stocks. Inflation remained in check,
despite rising oil and commodity prices.
Stock and bond returns were subdued in the second quarter. Stocks DID outperform
bonds, however, as bond prices were negatively impacted by higher interest
rates. On June 30, the Federal Reserve Open Market Committee (FOMC) raised its
target for the federal funds level 0.25% to 1.25%.
Bonds performed well during the third quarter of 2004, despite rising oil prices
and the FOMC's two interest rate increases. In contrast, both the S&P 500 and
the Dow Industrials had negative returns during the period. The final release of
second quarter Gross Domestic Product (GDP) was 3.3%, a substantial revision
from the earlier estimate of 2.7%. Inventory rebuilding, investment spending and
net exports fueled the increase.
Bond market returns were muted and unexciting during the fourth quarter. The
excitement was elsewhere - an active Fed (two rate increases), the U.S.
presidential election, a dramatic weakening of the U.S. dollar and a strong
rally in the equity markets.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Asset-backed securities made up the best-performing sector in the first quarter.
Of note was the remarkably strong performance of Treasury Inflation-Protected
Securities (TIPS), with the 30-year benchmark rising in price by approximately
0.09%.
In the second quarter, anticipation of Fed action drove bond yields higher - and
prices lower - particularly in the shorter and intermediate maturities. Bond
prices move in the opposite direction to interest rates (or yields); when yields
rise, the prices of existing bonds fall - and vice versa. Mortgages slightly
outperformed credit during the period. In general, there were no dramatic
performance differences between different fixed-income sectors or between
higher- and lower-quality assets.
During the third quarter, longer-maturity Treasuries outperformed. The 30-year
bond declined by approximately 0.40% to yield 4.89% and the 10-year note closed
the quarter with a yield of 4.12%, a decline of 0.46%. The two-year note fell by
only 0.07% to yield 2.61%. Corporate bonds were the best-performing sector
during the period.
Turning to the final quarter of 2004, shorter-maturity bonds rose in yield as a
result of the Fed's tightenings. Corporate bonds, agencies, mortgages and other
securitized assets generally outperformed the total return on Treasuries.
Long-maturity corporate bonds were the best-performing sector, outperforming
comparable Treasuries. Lower-credit quality outperformed versus higher-quality
bonds. High-yield and emerging-markets debt outpaced investment-grade corporate
bonds. In a period of strong equity market performance, low levels of corporate
defaults, and investors' need to reach for yield, risk premiums - the difference
in yield attributable to higher-risk investments - continued to decline.
WHAT IS YOUR OUTLOOK?
We remain guardedly optimistic that the economy will continue to grow in the 3+%
range for the foreseeable future. This type of growth portends reasonable
corporate profitability and suggests to us that it is still fine to own
corporate bonds. It is unlikely that the extraordinary performance of bonds over
the last two years will be repeated; however, we will continue to upgrade the
portfolio where opportunities present themselves.
5
<Page>
MML MANAGED BOND FUND
QUALITY STRUCTURE
(% OF NET ASSETS) ON 12/31/04
<Table>
U.S. Governments, Aaa/AAA 47.4%
Aa/AA 2.9%
A 12.1%
Baa/BBB 29.5%
Ba/BB 5.8%
B 0.1%
Short-Term Investments and
Other Assets and Liabilities 2.2%
-----
100.0%
=====
</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
1/1/04 - 12/31/04 1/1/00 - 12/31/04 1/1/95 - 12/31/04
MML Managed
Bond Fund 4.47% 7.48% 7.49%
Lehman Brothers
Aggregate Bond
Index 4.34% 7.71% 7.72%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
<Table>
<Caption>
MML MANAGED BOND FUND LEHMAN BROTHERS AGGREGATE BOND INDEX
1/1/95 $ 10,000 $ 10,000
12/95 $ 11,914 $ 11,847
12/96 $ 12,301 $ 12,278
12/97 $ 13,521 $ 13,463
12/98 $ 14,621 $ 14,632
12/99 $ 14,354 $ 14,512
12/00 $ 15,959 $ 16,200
12/01 $ 17,218 $ 17,568
12/02 $ 18,665 $ 19,370
12/03 $ 19,709 $ 20,165
12/04 $ 20,590 $ 21,039
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. 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. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY
ACCESSING THE WEBSITE AT www.massmutual.com.
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. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARD TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. 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. PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE;
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS.
6
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MML BLEND FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MML BLEND FUND?
This Fund seeks to achieve a high total rate of return over an extended period
of time consistent with the preservation of capital by investing in a
diversified portfolio of equity securities, fixed-income securities and money
market instruments.
HOW DID THE FUND PERFORM DURING 2004?
For the 12 months ended December 31, 2004, the Fund's shares returned 8.68%,
outperforming the 7.00% return of the Lipper Balanced Fund Index, an unmanaged
index of stock and bond portfolios.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Equity markets recorded modest gains in the first quarter of 2004, as renewed
concerns over terrorism and rising oil prices dampened investor psychology.
Bonds outperformed stocks, also benefiting from lower interest rates. Bond
prices move in the opposite direction to interest rates (or yields); when yields
fall, the prices of existing bonds rise.
During the second quarter, the pace of the economic recovery quickened. In
response, interest rates increased by more than 1.00% on two- and three-year
Treasuries. The Federal Reserve (Fed) increased the federal funds rate by 0.25%
on June 30, a move the bond market had seemingly been anticipating for months.
Third quarter equity market performance resembled a roller-coaster ride. Early
in the quarter, factors such as higher interest rates, rising oil prices and
weak economic data drove markets lower. Things turned around in the middle of
August, when interest rates turned decisively lower and bargain hunters feasted
on attractive equity valuations. In September, however, headwinds - including
record oil prices and presidential election uncertainty - cast a chill on the
markets.
Equity markets closed 2004 on a strong note, finishing a second straight year in
positive territory. With a major element of uncertainty - political leadership -
eliminated, investors refocused on major economic indicators, such as
strengthening job creation and improved consumer confidence.
WHAT ASSET ALLOCATION DECISIONS WERE MADE?
We entered the first quarter significantly overweighted in stocks. During
January and early February, we shifted to a neutral position based on high
valuations and an overly ebullient sentiment. During mid-May, we increased the
weight of both bonds and stocks, as the market appeared to be discounting
still-higher interest rates. During the third quarter, we were primarily
overweighted stocks and bonds on the belief that the financial markets had
overly factored the impact of the June 30 interest rate hike. At the end of the
quarter, we shifted back to a more neutral posture. During the fourth quarter,
we leveraged investor sentiment, selling some stock to bring our equity
allocation to a more neutral positioning.
HOW DID THE FUND'S STOCK SELECTION AFFECT PERFORMANCE DURING THE PERIOD?
During the first quarter, performance drivers came from the financial services,
materials and processing, producer durables, consumer discretionary, and health
care sectors. In the second quarter, performance was mostly positive, but
relatively muted, as the portfolio experienced weakness in the consumer
discretionary, technology, producer durables, consumer holdings and health care
sectors. Bolstering results were the energy, autos and transportation, materials
and processing, technology, utilities, and financial services sectors. In the
third quarter, the Fund was relatively strong against the S&P 500 Index on a
broad basis. The only sectors showing weakness were consumer staples and
financial services. In the fourth quarter, results were highly favorable in
consumer sectors, materials and processing, technology, and autos and
transportation - while performance trailed the benchmark in financial services,
integrated oils, and producer durables.
HOW DID THE BOND PORTFOLIO PERFORM?
The Fund's bond portfolio slightly underperformed the Lehman Brothers Aggregate
Bond Index in the first quarter. Results for the second quarter were relatively
in line with the benchmark, as the Fund's reduced exposure to long corporate
bonds and its stake in lower-quality corporate bonds contributed. Turning to the
third quarter, the Fund's largely favorable results came from our overweighted
position in lower-quality corporate bonds, as well as opportunistic yield curve
positioning and minimal exposure to U.S. Agency obligations. In the fourth
quarter, we continued to benefit from an overweight position in the corporate
bond sector, particularly exposure to lower-credit quality issuers. However, our
reduced exposure to lower-quality, long-maturity corporates over the latter part
of the year - taken in favor of shorter-maturity issues - detracted slightly
from performance.
WHAT IS YOUR OUTLOOK?
As the market faces 2005, there are many potential threats on the horizon,
including the level debt in the system, a falling dollar, rising inflation,
changes in the tax code, Social Security reform, rising interest rates, and a
hard landing in China. However, the most disturbing factor for the market now is
the high level of existing bullishness, given the number of issues that could
become troublesome. Although we view this as a potentially bearish signal, if
the aforementioned threats fail to cause damage and long-term interest rates
remain low, stocks could enjoy another bullish year.
7
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MML BLEND FUND
ASSET ALLOCATION
(% OF NET ASSETS) ON 12/31/04
<Table>
Common Stocks 64.2%
Bonds 27.5%
Futures 0.0%
Short-Term
Investments and Other
Assets and Liabilities 8.3%
-----
100.0%
=====
</Table>
MML BLEND FUND
LARGEST STOCK HOLDINGS (12/31/04)
General Electric Co.
Exxon Mobil Corp.
Citigroup, Inc.
Microsoft Corp.
Pfizer, Inc.
Johnson & Johnson
Bank of America Corp.
Wal-Mart Stores, Inc.
International Business Machines Corp.
Intel 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
1/1/04 - 12/31/04 1/1/00 - 12/31/04 1/1/95 - 12/31/04
MML Blend Fund 8.68% 1.48% 7.44%
Lehman Brothers
Aggregate Bond
Index 4.34% 7.71% 7.72%
Lipper Balanced
Fund Index 7.00% 2.57% 9.21%
S&P 500 Index 10.88% -2.30% 12.07%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
<Table>
<Caption>
MML BLEND FUND LEHMAN BROTHERS AGGREGATE BOND INDEX LIPPER BALANCED FUND INDEX S&P 500 INDEX
1/1/95 $ 10,000 $ 10,000 $ 10,000 $ 10,000
12/95 $ 12,328 $ 11,847 $ 12,459 $ 13,753
12/96 $ 14,048 $ 12,278 $ 14,079 $ 16,909
12/97 $ 16,983 $ 13,463 $ 16,902 $ 22,548
12/98 $ 19,286 $ 14,632 $ 19,500 $ 28,992
12/99 $ 19,047 $ 14,512 $ 21,250 $ 35,092
12/00 $ 19,051 $ 16,200 $ 21,758 $ 31,900
12/01 $ 17,955 $ 17,568 $ 21,054 $ 28,111
12/02 $ 15,885 $ 19,370 $ 18,804 $ 21,901
12/03 $ 18,857 $ 20,165 $ 22,552 $ 28,179
12/04 $ 20,495 $ 21,039 $ 24,130 $ 31,244
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. 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. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY
ACCESSING THE WEBSITE AT www.massmutual.com.
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. INVESTORS SHOULD READ THE FUND'S PROSPECTUS
WITH REGARD TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES
IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. 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. PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS
NOT PREDICTIVE OF FUTURE RESULTS.
8
<Page>
MML EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MML EQUITY FUND?
This Fund seeks to achieve long-term growth of capital and income
by investing primarily in a diversified portfolio of equity securities of
larger, well-established companies.
HOW DID THE FUND PERFORM DURING 2004?
For the 12 months ended December 31, 2004, the Fund's shares returned 15.85%,
exceeding the 10.88% return of the Standard & Poor's 500 Index, but slightly
trailing the 16.50% return of the Russell 1000 Value Index.
The S&P 500 is a market capitalization-weighted, unmanaged index of 500 common
stocks. 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.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Equity markets recorded modest gains in the first quarter of 2004, as renewed
concerns over terrorism and rising oil prices dampened investor psychology.
Bonds outperformed stocks, also benefiting from lower interest rates. Bond
prices move in the opposite direction to interest rates (or yields); when yields
fall, the prices of existing bonds rise.
During the second quarter, the pace of the economic recovery quickened. In
response, interest rates increased by more than 1.00% on two- and three-year
Treasuries. The Federal Reserve (Fed) increased the federal funds rate by 0.25%
on June 30, a move the bond market had seemingly been anticipating for months.
Third quarter equity market performance resembled a roller-coaster ride. Early
in the quarter, factors such as higher interest rates, rising oil prices and
weak economic data drove markets lower. Things turned around in the middle of
August, when interest rates turned decisively lower and bargain hunters feasted
on attractive equity valuations. In September, however, headwinds - including
record oil prices and presidential election uncertainty - cast a chill on the
markets.
Equity markets closed 2004 on a strong note, finishing a second straight year in
positive territory. With a major element of uncertainty - political leadership -
eliminated, investors refocused on major economic indicators, such as
strengthening job creation and improved consumer confidence.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter, security selection was favorable in the technology,
auto/transportation, producer durables, consumer discretionary and utilities
sectors. Conversely, the Fund's underweight position in the strongly performing
financial services sector hampered relative performance.
In the second quarter, favorable stock selection in the technology and producer
durables sectors contributed to returns. In addition, strong stock selection
within the financial services sector made it one of our largest performance
drivers. Areas that detracted were the health care, retail and consumer
discretionary sectors.
In the three months ended September 30, the Fund benefited from strong stock
selection in areas such as consumer discretionary, producer durables and
technology. During the fourth quarter, the portfolio generated a positive return
in all economic sector categories except health care, where one of our largest
holdings, a pharmaceutical company, faced downward pressure. Also detracting
from performance was stock selection in the producer durables and materials and
processing sectors.
WHAT IS YOUR OUTLOOK?
Our 2005 outlook for the U.S. stock market assumes that profit growth will
decelerate from 2004 levels and settle in the 8% to 10% range. We expect the
market to face downward pressure on valuations as interest rates rise. These two
trends could provide for a lackluster year for equities. Conversely, the stock
market should be able to tolerate rising interest rates, as long as the
increases are gradual and inflation does not become troublesome.
9
<Page>
MML EQUITY FUND
INDUSTRY TABLE
(% OF NET ASSETS) ON 12/31/04
<Table>
Banking, Savings & Loans 15.1%
Insurance 9.0%
Energy 8.1%
Pharmaceuticals 5.0%
Financial Services 5.0%
Electric Utilities 4.3%
Broadcasting, Publishing & Printing 4.2%
Chemicals 4.0%
Foods 3.7%
Aerospace & Defense 3.4%
Computers & Information 3.4%
Telephone Utilities 2.8%
Forest Products & Paper 2.7%
Beverages 2.6%
Industrial - Diversified 2.5%
Apparel, Textiles & Shoes 2.3%
Transportation 2.2%
Commercial Services 2.1%
Restaurants 2.1%
Photography Equipment/Supplies 2.1%
Electrical Equipment & Electronics 1.9%
Communications 1.8%
Prepackaged Software 1.6%
Entertainment & Leisure 1.4%
Tobacco 1.2%
Data Processing & Preparation 0.9%
Retail 0.7%
Automotive & Parts 0.6%
Metals & Mining 0.5%
Household Products 0.4%
Computers & Office Equipment 0.4%
Cosmetics & Personal Care 0.3%
Medical Supplies 0.2%
Healthcare 0.2%
Computer Integrated Systems Design 0.1%
Machinery & Components 0.1%
Home Construction, Furnishings & Appliances 0.1%
Communications Equipment 0.1%
Building Materials & Construction 0.1%
Computer Related Services 0.1%
Lodging 0.1%
Information Retrieval Services 0.1%
Advertising 0.0%
Containers 0.0%
Manufacturing 0.0%
Real Estate 0.0%
Retail - Grocery 0.0%
Toys, Games 0.0%
Industrial - Distribution 0.0%
Computer Programming Services 0.0%
Travel 0.0%
Short-Term Investments and Other Assets and Liabilities 0.5%
-----
100.0%
=====
</Table>
MML EQUITY FUND
LARGEST STOCK HOLDINGS (12/31/04)
Citigroup, Inc.
Exxon Mobil Corp.
Weyerhaeuser Co.
Bank of America Corp.
Diageo PLC Sponsored ADR (United Kingdom)
Verizon Communications, Inc.
American International Group, Inc.
Wells Fargo & Co.
PPG Industries, Inc.
Pfizer, Inc.
10
<Page>
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
1/1/04 - 12/31/04 1/1/00 - 12/31/04 1/1/95 - 12/31/04
MML Equity Fund 15.85% 0.83% 8.97%
S&P 500 Index 10.88% -2.30% 12.07%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
<Table>
<Caption>
MML EQUITY FUND S&P 500 INDEX
1/1/95 $ 10,000 $ 10,000
12/95 $ 13,113 $ 13,753
12/96 $ 15,769 $ 16,909
12/97 $ 20,277 $ 22,548
12/98 $ 23,561 $ 28,992
12/99 $ 22,661 $ 35,092
12/00 $ 23,308 $ 31,900
12/01 $ 19,878 $ 28,111
12/02 $ 15,992 $ 21,901
12/03 $ 20,388 $ 28,179
12/04 $ 23,618 $ 31,244
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. 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. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY
ACCESSING THE WEBSITE AT www.massmutual.com.
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. INVESTORS SHOULD READ THE FUND'S PROSPECTUS
WITH REGARD TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES
IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. 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. PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS
NOT PREDICTIVE OF FUTURE RESULTS.
11
<Page>
MML MONEY MARKET FUND - PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2004
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
SHORT-TERM INVESTMENTS -- 100.8%
COMMERCIAL PAPER -- 62.7%
Abbott Laboratories+
2.050% 01/04/2005 $ 2,760,000 $ 2,759,529
American Honda
Finance Corp.
2.140% 01/10/2005 1,450,000 1,449,224
American Honda
Finance Corp.
2.270% 01/19/2005 1,450,000 1,448,354
Anheuser-Busch Cos., Inc.
1.950% 01/13/2005 1,700,000 1,698,895
Boston Edison Co.
2.250% 01/06/2005 2,900,000 2,899,094
BP Amoco Capital PLC
2.000% 01/03/2005 1,630,000 1,629,819
Caterpillar Financial
Services Corp.
2.260% 01/26/2005 2,825,000 2,820,566
CIT Group, Inc.
2.200% 04/04/2005 1,080,000 1,073,862
Citigroup Global Markets
1.990% 01/18/2005 2,560,000 2,557,594
Colgate-Palmolive Co.+
2.200% 01/07/2005 2,900,000 2,898,937
E.W. Scripps Co.+
2.170% 01/26/2005 1,865,000 1,862,190
Eli Lilly & Co.+
2.270% 02/01/2005 2,850,000 2,844,429
FCAR Owner Trust I
2.440% 04/15/2005 1,565,000 1,553,968
First Data Corp.
2.200% 01/14/2005 2,875,000 2,872,716
Florida Power & Light Co.
2.300% 01/07/2005 2,750,000 2,748,946
Gannett Co., Inc.
2.190% 01/21/2005 1,585,000 1,583,072
Gannett Co., Inc.
2.270% 01/10/2005 1,325,000 1,324,248
General Electric
Capital Corp.
2.290% 01/25/2005 2,680,000 2,675,909
Goldman Sachs
Group, Inc.
2.340% 01/24/2005 2,900,000 2,895,665
Govco, Inc.+
2.010% 01/12/2005 2,410,000 2,408,520
Harley-Davidson, Inc.+
2.190% 01/14/2005 1,250,000 1,249,011
Harley-Davidson, Inc.+
2.250% 01/11/2005 1,610,000 1,608,994
Hershey Foods Corp.+
2.170% 01/28/2005 $ 2,900,000 $ 2,895,280
International Business
Machines Corp.
2.260% 02/25/2005 2,910,000 2,899,952
Kimberly-Clark
Worldwide+
2.200% 01/28/2005 2,900,000 2,895,215
Kitty Hawk
Funding Corp.+
2.450% 03/21/2005 1,575,000 1,566,532
McCormick & Co., Inc.+
2.300% 02/22/2005 1,995,000 1,988,372
Minnesota Mining &
Manufacturing Co.
2.060% 01/03/2005 2,920,000 2,919,666
Nestle Capital Corp.+
2.250% 01/31/2005 2,900,000 2,894,563
PepsiCo, Inc.
2.220% 01/10/2005 765,000 764,575
PepsiCo, Inc.
2.250% 01/19/2005 1,405,000 1,403,419
Procter & Gamble Co.+
2.330% 02/14/2005 1,740,000 1,735,045
Procter & Gamble Co.+
2.380% 03/15/2005 1,150,000 1,144,450
United Technologies Corp.
2.280% 01/05/2005 2,530,000 2,529,359
----------------
72,499,970
----------------
U.S. TREASURY BILLS -- 38.1%
U.S. Treasury Bill
1.615% 01/06/2005 2,265,000 2,264,492
U.S. Treasury Bill
1.637% 02/03/2005 2,630,000 2,626,055
U.S. Treasury Bill
1.704% 02/10/2005 1,650,000 1,646,877
U.S. Treasury Bill
1.720% 01/20/2005 2,575,000 2,572,663
U.S. Treasury Bill
1.783% 01/27/2005 2,520,000 2,516,755
U.S. Treasury Bill
1.859% 02/17/2005 3,100,000 3,092,476
U.S. Treasury Bill
1.869% 02/24/2005 2,770,000 2,762,234
U.S. Treasury Bill
1.939% 03/31/2005 1,200,000 1,194,247
U.S. Treasury Bill
1.960% 03/03/2005 3,505,000 3,493,360
U.S. Treasury Bill
1.975% 01/27/2005 5,320,000 5,312,412
U.S. Treasury Bill
2.120% 03/24/2005 $ 3,175,000 $ 3,159,668
U.S. Treasury Bill
2.130% 02/24/2005 2,700,000 2,691,374
U.S. Treasury Bill
2.153% 04/07/2005 4,340,000 4,315,089
U.S. Treasury Bill
2.280% 04/21/2005 3,745,000 3,718,910
U.S. Treasury Bill
2.515% 06/23/2005 2,670,000 2,637,730
----------------
44,004,342
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST)* 116,504,312
----------------
TOTAL INVESTMENTS -- 100.8%
OTHER ASSETS/
(LIABILITIES) -- (0.8%) (887,459)
----------------
NET ASSETS -- 100.0% $ 115,616,853
================
</Table>
Notes to Portfolio of Investments
* See Note 7 for aggregate cost for Federal tax purposes.
+ 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,
2004, these securities amounted to a value of $30,751,067 or 26.6% of net
assets.
The accompanying notes are an integral part of the financial statements.
12
<Page>
MML MANAGED BOND FUND - PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2004
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
BONDS & NOTES -- 97.6%
ASSET BACKED SECURITIES -- 2.8%
Capital Auto Receivables
Asset Trust
Series 2003-1,
Class A2A
2.270% 01/17/2006 $ 924,784 $ 924,496
Chase Mortgage
Finance Co.
Series 2003-S11,
Class 1A-1
5.000% 10/25/2033 2,837,935 2,787,896
Ford Credit Auto Owner
Trust Series 2003-A,
Class A3A
2.200% 07/17/2006 1,182,440 1,181,517
MMCA Automobile Trust
Series 2002-3, Class A3
2.970% 03/15/2007 293,809 293,809
National City Auto
Receivables Trust
Series 2002-A, Class A4
4.830% 08/15/2009 2,746,862 2,787,636
New Century Home
Equity Loan Trust
Series 1997-NC5,
Class A6
6.700% 10/25/2028 252,387 252,939
Travelers Funding Limited
Series 1A, Class A1+
6.300% 02/18/2014 1,130,991 1,176,231
Vanderbilt Mortgage and
Finance, Inc.
Series 2002-C, Class A2
4.230% 02/07/2015 1,475,000 1,474,485
----------------
TOTAL ASSET BACKED
SECURITIES
(COST $10,910,615) 10,879,009
----------------
CORPORATE DEBT -- 50.1%
Alcan Aluminum Limited
6.250% 11/01/2008 800,000 862,197
Allied Waste
North America Series B
5.750% 02/15/2011 350,000 329,000
Allied Waste
North America, Inc.
8.875% 04/01/2008 210,000 224,700
American General
Finance Corp.
5.875% 07/14/2006 $ 1,000,000 $ 1,036,827
American Greetings Corp.
6.100% 08/01/2028 1,730,000 1,846,775
American Honda
Finance Corp.+
3.850% 11/06/2008 850,000 847,631
American Standard, Inc.
7.625% 02/15/2010 800,000 914,622
Ametek, Inc.
7.200% 07/15/2008 1,150,000 1,246,831
Anheuser-Busch
Cos., Inc.
5.050% 10/15/2016 850,000 849,934
Anheuser-Busch Cos., Inc.
6.500% 02/01/2043 965,000 1,099,411
Appalachian Power Co.,
Series G
3.600% 05/15/2008 560,000 553,312
Aramark Services, Inc.
8.150% 05/01/2005 1,200,000 1,217,518
Archstone-Smith
Operating Trust REIT
5.000% 08/15/2007 1,200,000 1,233,420
Australian Gas Light
Co. Limited+
6.400% 04/15/2008 850,000 911,321
Avery-Dennison Corp.
6.760% 04/15/2005 1,200,000 1,212,947
Avnet, Inc.
8.000% 11/15/2006 205,000 221,400
Bank of America Corp.
3.250% 08/15/2008 500,000 491,473
Bank of America Corp.
4.250% 10/01/2010 950,000 947,564
Barrick Gold Corp.
7.500% 05/01/2007 2,000,000 2,167,512
Bausch & Lomb, Inc.
7.125% 08/01/2028 815,000 868,381
Blyth, Inc.
7.900% 10/01/2009 550,000 619,917
Bombardier Capital, Inc.+
6.125% 06/29/2006 250,000 250,000
Bombardier, Inc.+ +++
6.750% 05/01/2012 310,000 284,425
BP Capital Markets PLC
2.750% 12/29/2006 2,500,000 2,474,418
Briggs & Stratton Corp.
8.875% 03/15/2011 1,650,000 1,984,125
Buckeye Partners LP
4.625% 07/15/2013 $ 500,000 $ 487,108
Burlington Northern
Santa Fe Corp.
6.750% 03/15/2029 740,000 832,812
Cabot Corp.+
5.250% 09/01/2013 525,000 525,564
Capitol Records, Inc.+
8.375% 08/15/2009 2,000,000 2,245,000
Carlisle Companies, Inc.
7.250% 01/15/2007 1,100,000 1,170,689
CarrAmerica
Realty Corp.
6.625% 03/01/2005 450,000 452,303
Caterpillar Financial
Services Corp.,
Series F
3.625% 11/15/2007 1,340,000 1,341,471
Cendant Corp.
6.875% 08/15/2006 700,000 736,446
Centerpoint Energy, Inc.
Series B+++
5.875% 06/01/2008 1,310,000 1,370,770
Certegy, Inc.
4.750% 09/15/2008 270,000 276,208
Champion
International Corp.
6.400% 02/15/2026 1,500,000 1,609,722
Chesapeake
Energy Corp.
7.500% 06/15/2014 500,000 546,250
Chevron Phillips
Chemical Co. LLC
5.375% 06/15/2007 750,000 777,428
Cingular Wireless
5.625% 12/15/2006 200,000 207,726
CIT Group, Inc.
3.650% 11/23/2007 20,000 19,923
CIT Group, Inc.
4.125% 02/21/2006 1,400,000 1,414,227
CIT Group, Inc.
7.375% 04/02/2007 600,000 647,851
Citigroup, Inc.
6.750% 12/01/2005 2,000,000 2,063,868
CNF, Inc.
8.875% 05/01/2010 600,000 711,879
Colonial Pipeline Co.+
7.630% 04/15/2032 500,000 644,043
Comcast Cable
Communications, Inc.
8.375% 05/01/2007 1,250,000 1,382,438
</Table>
The accompanying notes are an integral part of the financial statements.
13
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Consolidated Natural
Gas Co. Series C
6.250% 11/01/2011 $ 1,050,000 $ 1,152,506
Constellation
Brands, Inc.
8.000% 02/15/2008 260,000 282,750
Cooper Industries
Limited
5.250% 07/01/2007 1,500,000 1,554,030
Countrywide Home
Loans, Inc.
3.250% 05/21/2008 1,150,000 1,124,501
Cox
Communications, Inc.+
4.625% 01/15/2010 405,000 404,066
Cox
Communications, Inc.
6.750% 03/15/2011 475,000 520,122
Cox Enterprises, Inc.+
4.375% 05/01/2008 750,000 749,320
CSX Corp.
7.250% 05/01/2027 2,000,000 2,322,584
DaimlerChrysler NA
Holding Corp.
4.050% 06/04/2008 500,000 498,968
Delhaize America, Inc.
9.000% 04/15/2031 1,280,000 1,656,060
Deutsche Telekom
International
Finance BV
8.250% 06/15/2005 1,000,000 1,023,304
Dominion Resources, Inc.
2.800% 02/15/2005 900,000 900,488
Dominion Resources, Inc.
7.195% 09/15/2014 320,000 369,761
Dover Corp.
6.250% 06/01/2008 750,000 815,048
DPL, Inc.
8.250% 03/01/2007 1,000,000 1,083,988
Duke Energy Field
Services Corp.
7.875% 08/16/2010 800,000 933,050
Ecolab, Inc.
6.875% 02/01/2011 1,100,000 1,224,892
Electronic Data Systems
Corp. Series B+++
6.000% 08/01/2013 430,000 454,033
Emerald Investment
Grade CBO Limited+
3.090% 05/24/2011 903,680 902,550
Enbridge Energy
Partners, LP
4.000% 01/15/2009 1,000,000 985,117
Entergy Gulf States, Inc.
5.250% 08/01/2015 $ 2,400,000 $ 2,375,448
Enterprise Products
Operating LP+
4.000% 10/15/2007 150,000 149,634
Enterprise Products
Operating LP
7.500% 02/01/2011 1,275,000 1,445,589
EOP Operating, LP
6.750% 02/15/2008 800,000 864,586
Equifax, Inc.
4.950% 11/01/2007 500,000 517,149
ERAC USA Finance Co.+
6.700% 06/01/2034 880,000 955,740
ERAC USA Finance Co.+
6.750% 05/15/2007 2,000,000 2,133,558
FedEx Corp.
2.286% 04/01/2005 540,000 540,281
First Industrial LP
7.000% 12/01/2006 1,000,000 1,052,480
FirstEnergy Corp.
Series A
5.500% 11/15/2006 610,000 629,720
Fiserv, Inc.
4.000% 04/15/2008 650,000 652,188
Ford Motor Co.
6.375% 02/01/2029 965,000 868,438
Ford Motor Co.
6.625% 02/15/2028 446,000 416,337
FPL Group Capital, Inc.
3.250% 04/11/2006 800,000 800,427
France Telecom SA
9.250% 03/01/2031 830,000 1,125,141
Franklin Resources, Inc.
3.700% 04/15/2008 960,000 957,732
Fred Meyer, Inc.
7.450% 03/01/2008 750,000 826,901
General Mills, Inc.
2.625% 10/24/2006 4,000,000 3,931,988
General Mills, Inc.
8.900% 06/15/2006 1,000,000 1,075,621
General Motors
Acceptance Corp.
6.150% 04/05/2007 1,000,000 1,027,672
General Motors Corp.+++
7.200% 01/15/2011 1,600,000 1,641,027
General Motors Corp.
8.375% 07/15/2033 730,000 756,341
Glencore Funding LLC+
6.000% 04/15/2014 875,000 846,543
Goldman Sachs
Group LP
5.000% 10/01/2014 770,000 768,913
Goodrich (B.F.) Co.
7.500% 04/15/2008 $ 900,000 $ 996,357
GTECH Holdings Corp.+
4.500% 12/01/2009 315,000 314,979
Harrah's Operating
Co., Inc.
5.500% 07/01/2010 425,000 439,928
HCA, Inc.
6.950% 05/01/2012 950,000 1,000,260
Hershey Foods Corp.
7.200% 08/15/2027 1,250,000 1,526,665
Hilton Hotels Corp.
7.625% 05/15/2008 460,000 509,460
Hornbeck Offshore
Services, Inc.+
6.125% 12/01/2014 360,000 361,800
Household Finance Corp.
4.125% 12/15/2008 415,000 416,697
Household Finance Corp.
6.375% 10/15/2011 75,000 82,830
Hughes Supply, Inc.+
5.500% 10/15/2014 1,450,000 1,431,547
Humana, Inc.
7.250% 08/01/2006 995,000 1,047,513
ICI Wilmington, Inc.
7.050% 09/15/2007 550,000 593,700
Idex Corp.
6.875% 02/15/2008 775,000 832,624
International Paper Co.
3.800% 04/01/2008 920,000 916,220
Interpool, Inc.
7.350% 08/01/2007 500,000 507,500
Ipalco Enterprises, Inc.
8.375% 11/14/2008 1,225,000 1,378,125
iStar Financial, Inc. REIT
7.000% 03/15/2008 400,000 430,722
iStar Financial, Inc.
Series B
4.875% 01/15/2009 190,000 192,853
iStar Financial, Inc.
Series B
5.700% 03/01/2014 350,000 358,243
J.C. Penney Co., Inc.
7.950% 04/01/2017 490,000 573,300
Jefferies Group, Inc.
7.500% 08/15/2007 300,000 328,287
JP Morgan Chase & Co.
3.125% 12/11/2006 1,000,000 994,829
Kellwood Co.
7.625% 10/15/2017 825,000 907,327
Kellwood Co.
7.875% 07/15/2009 240,000 265,152
Kennametal, Inc.
7.200% 06/15/2012 1,048,000 1,164,574
</Table>
The accompanying notes are an integral part of the financial statements.
14
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Kern River
Funding Corp.+
4.893% 04/30/2018 $ 1,024,788 $ 1,043,285
KeySpan Gas East Corp.
Series MTNA
6.900% 01/15/2008 1,105,000 1,209,638
Kimco Realty Corp.
Series MTNB
7.860% 11/01/2007 1,100,000 1,229,854
Kinder Morgan Energy
Partners LP
5.350% 08/15/2007 1,100,000 1,138,738
The Kroger Co.
6.750% 04/15/2012 1,000,000 1,129,063
Lasmo (USA), Inc.
6.750% 12/15/2007 2,000,000 2,159,594
Leucadia National Corp.
7.750% 08/15/2013 2,000,000 2,160,000
Liberty Media Corp.
3.500% 09/25/2006 2,600,000 2,585,554
Marriott International,
Inc. Series E
7.000% 01/15/2008 1,445,000 1,575,114
Masco Corp.
6.750% 03/15/2006 1,230,000 1,280,171
May Department
Stores Co. (The)
3.950% 07/15/2007 430,000 430,727
MBNA Corp.
4.625% 09/15/2008 650,000 660,175
Meritor Automotive, Inc.
6.800% 02/15/2009 725,000 761,250
MGM Grand, Inc.
6.950% 02/01/2005 750,000 751,875
MGM Mirage, Inc.
6.000% 10/01/2009 360,000 369,000
MGM Mirage, Inc.
6.750% 09/01/2012 100,000 105,250
MidAmerican Energy
Holdings Co.
3.500% 05/15/2008 1,300,000 1,273,418
Miller Brewing Co.+
4.250% 08/15/2008 425,000 428,864
Millipore Corp.
7.500% 04/01/2007 1,000,000 1,059,920
Mobil Corp.
8.625% 08/15/2021 1,000,000 1,388,459
Mohawk Industries, Inc.
Series C
6.500% 04/15/2007 350,000 371,866
Mohawk Industries, Inc.
Series D
7.200% 04/15/2012 500,000 575,291
Monongahela
Power Co.+ +++
6.700% 06/15/2014 $ 450,000 $ 498,542
National Rural Utilities
Cooperative
Finance Corp.
4.375% 10/01/2010 500,000 503,404
National Rural Utilities
Cooperative
Finance Corp.
8.000% 03/01/2032 285,000 371,896
Navistar
International Corp.+++
7.500% 06/15/2011 750,000 804,375
Nevada Power Co.+
5.875% 01/15/2015 560,000 564,200
Newell Rubbermaid, Inc.
4.000% 05/01/2010 450,000 436,682
News America
Holdings, Inc.
8.875% 04/26/2023 2,000,000 2,600,260
Nextel
Communications, Inc.
5.950% 03/15/2014 220,000 227,700
Nisource Finance Corp.
3.200% 11/01/2006 570,000 564,883
Norfolk Southern Corp.
6.000% 04/30/2008 550,000 588,829
Norfolk Southern Corp.
7.350% 05/15/2007 750,000 811,725
Northwestern Corp.+
5.875% 11/01/2014 255,000 260,858
Oak Hill Securities
Fund II+
8.920% 10/15/2006 700,000 719,042
Pacific Bell, Note
6.125% 02/15/2008 350,000 372,517
Pacific Energy Partners,
LP/Pacific Energy
Finance Corp.
7.125% 06/15/2014 490,000 521,850
Pacific Gas & Electric Co.
6.050% 03/01/2034 645,000 669,907
Park Place
Entertainment Corp.
8.500% 11/15/2006 1,000,000 1,082,500
Pearson, Inc.+
7.375% 09/15/2006 1,000,000 1,062,935
Pentair, Inc.
7.850% 10/15/2009 850,000 971,435
Piedmont Natural Gas
Co. Series E
6.000% 12/19/2033 475,000 495,131
Pilgrims Pride Corp.
9.625% 09/15/2011 $ 135,000 $ 151,875
Plains All American
Pipeline Co.
5.625% 12/15/2013 590,000 606,879
Potomac Edison Co.+
5.350% 11/15/2014 425,000 428,307
Precision Castparts Corp.
5.600% 12/15/2013 1,315,000 1,340,882
The Premcor Refining
Group, Inc.
6.750% 05/01/2014 280,000 297,500
PSEG Power LLC
5.500% 12/01/2015 725,000 738,840
Qwest Corp.+
9.125% 03/15/2012 415,000 479,325
Republic Services, Inc.
7.125% 05/15/2009 1,000,000 1,114,897
Rogers Cable, Inc.
5.500% 03/15/2014 500,000 471,250
Rogers Wireless
Communications, Inc.+
5.525% 12/15/2010 250,000 261,875
Rogers Wireless
Communications, Inc.
6.375% 03/01/2014 410,000 405,900
Ryder System, Inc.
6.600% 11/15/2005 750,000 770,225
Simon Property
Group LP
7.375% 01/20/2006 1,000,000 1,038,798
SLM Corp.
5.000% 10/01/2013 1,450,000 1,468,322
SLM Corp.
5.625% 08/01/2033 700,000 692,444
Smithfield Foods, Inc.
7.000% 08/01/2011 1,025,000 1,094,188
Sonoco Products Co.
6.500% 11/15/2013 1,500,000 1,645,823
Sony Capital Corp.+
4.950% 11/01/2006 1,500,000 1,538,652
Sprint Capital Corp.
6.900% 05/01/2019 750,000 839,018
Starwood Hotels &
Resorts Worldwide, Inc.
7.875% 05/01/2012 620,000 708,350
Steelcase, Inc.
6.375% 11/15/2006 1,430,000 1,476,303
SuperValu, Inc.
7.500% 05/15/2012 400,000 466,866
SuperValu, Inc.
7.875% 08/01/2009 1,500,000 1,720,143
Tampa Electric Co.
5.375% 08/15/2007 875,000 910,239
</Table>
The accompanying notes are an integral part of the financial statements.
15
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
TCI
Communications, Inc.
6.875% 02/15/2006 $ 350,000 $ 362,192
Temple-Inland, Inc.
Series MTND
8.125% 12/15/2006 600,000 632,958
Textron Financial Corp.
Series E
2.690% 10/03/2006 1,205,000 1,187,913
Thomas & Betts Corp.
6.500% 01/15/2006 400,000 410,996
The Thomson Corp.
5.750% 02/01/2008 955,000 1,005,770
The Thomson Corp.
6.200% 01/05/2012 650,000 714,212
Timken Co.
5.750% 02/15/2010 1,035,000 1,054,323
Timken Co. Series A
6.750% 08/21/2006 600,000 618,431
Toro Co.
7.800% 06/15/2027 1,005,000 1,138,693
Toyota Motor
Credit Corp.
4.350% 12/15/2010 1,650,000 1,671,589
TransAlta Corp.
5.750% 12/15/2013 1,200,000 1,235,702
Tricon Global
Restaurants, Inc.
8.875% 04/15/2011 530,000 654,825
Tri-State Generation &
Transmission
Association
Series 2003, Class A+
6.040% 01/31/2018 525,000 554,652
Tri-State Generation &
Transmission
Association
Series 2003, Class B+
7.144% 07/31/2033 580,000 665,486
Tyco International
Group SA
6.375% 02/15/2006 1,100,000 1,136,652
Tyco International
Group SA
6.375% 10/15/2011 275,000 303,615
Tyco International
Group SA
6.875% 01/15/2029 300,000 343,653
Union Pacific Corp.
6.400% 02/01/2006 950,000 980,885
United Air Lines, Inc.
Series 91B* ++
10.110% 02/19/2006 280,959 109,574
US Airways, Inc. Cl. B* ++
7.500% 04/15/2008 $ 869,681 $ -
USA Interactive
7.000% 01/15/2013 1,000,000 1,103,068
Verizon Global
Funding Corp.
7.750% 12/01/2030 795,000 988,444
Verizon New
England, Inc.
6.500% 09/15/2011 730,000 803,034
Virginia Electric and
Power Co.
5.375% 02/01/2007 660,000 683,667
Vulcan Materials Co.
6.000% 04/01/2009 800,000 853,453
The Walt Disney Co.
6.750% 03/30/2006 800,000 833,532
Washington Mutual, Inc.
2.400% 11/03/2005 1,900,000 1,887,753
Weingarten Realty
Investors REIT,
Series A
7.500% 12/19/2010 955,000 1,109,744
Weyerhaeuser Co.
5.500% 03/15/2005 330,000 331,520
Williams Gas Pipelines
Central, Inc.+
7.375% 11/15/2006 950,000 1,007,000
Wisconsin Electric Power
3.500% 12/01/2007 845,000 841,607
WPP Finance (USA) Corp.
6.625% 07/15/2005 1,100,000 1,107,983
XTO Energy, Inc.
4.900% 02/01/2014 1,000,000 997,791
----------------
TOTAL CORPORATE DEBT
(COST $186,968,153) 192,860,866
----------------
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.4%
ABN AMRO
Mortgage Corp.
Series 2003-12,
Class 1A
5.000% 12/25/2033 1,919,111 1,885,300
AES Eastern Energy LP
Series 1999-1, Class A
9.000% 01/02/2017 549,388 623,555
Asset Securitization Corp.
Series 1995-MD4,
Class A1
7.100% 08/13/2029 493,588 509,544
Bank of America
Mortgage Securities,
Series 2004-G,
Class 2A7
4.635% 08/25/2034 $ 896,435 $ 897,043
Bear Stearns Adjustable
Rate Mortgage Trust,
Series 2004-5,
Class IIA
4.043% 07/25/2034 2,575,877 2,544,418
Countrywide Home
Loans, Inc.
Series 2003-42,
Class 1A1
3.762% 09/25/2033 882,701 876,548
Countrywide Home
Loans, Inc.
Series 2004-23,
Class 1A1
4.325% 02/25/2034 821,637 825,210
CS First Boston Mortgage
Securities Corp.
Series 1998-C2,
Class A1
5.960% 11/11/2030 413,638 423,491
CS First Boston Mortgage
Securities Corp.
Series 2003-7,
Class 1A24
4.500% 02/25/2033 1,051,405 1,050,243
CS First Boston Mortgage
Securities Corp.
Series 2004-C1,
Class A1
2.254% 01/15/2037 1,174,529 1,149,386
GE Capital Commercial
Mortgage Corp.
Series 2002-1A,
Class A1
5.033% 12/10/2035 597,248 609,407
GSR Mortgage Loan Trust
Series 2004-9
4.708% 08/25/2034 1,539,173 1,554,408
IndyMac Bancorp, Inc.
Mortgage Loan Trust
Series 2004-AR4,
Class 1A
4.783% 08/25/2034 2,520,055 2,548,197
Kiowa Power
Partners LLC+
4.811% 12/30/2013 400,000 401,068
</Table>
The accompanying notes are an integral part of the financial statements.
16
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
MASTR Asset
Securitization Trust
Series 2002-6,
Class 6A1
6.500% 10/25/2032 $ 212,430 $ 214,392
MASTR Asset
Securitization Trust
Series 2003-12,
Class 6A1
5.000% 12/25/2033 2,736,358 2,687,900
Merrill Lynch Mortgage
Investors, Inc.
Series 1998-C1,
Class A1
6.310% 11/15/2026 434,639 441,672
Merrill Lynch Mortgage
Investors, Inc.
Series 2003-A4,
Class IA
4.281% 07/25/2033 779,510 782,080
Merrill Lynch Mortgage
Investors, Inc.
Series 2004-A1,
Class IA
4.155% 02/25/2034 420,239 420,640
Morgan Stanley Mortgage
Loan Trust
Series 2004-2AR,
Class 1A
5.218% 02/25/2034 226,463 229,689
Starwood Commercial
Mortgage Trust
Series 1999-C1A,
Class B+
6.920% 02/03/2014 1,000,000 1,101,342
Structured Adjustable
Rate Mortgage Loan
Trust Series 2004-2,
Class 2A
5.070% 03/25/2034 1,836,062 1,852,139
Structured Asset
Securities Corp.
Series 2002-11A,
Class 2A1
5.600% 06/25/2032 694,339 706,460
Structured Asset
Securities Corp.
Series 2003-30,
Class 1A1
5.500% 10/25/2033 2,059,556 2,067,022
Tenaska Oklahoma+
6.528% 12/30/2014 500,000 504,615
Vendee Mortgage Trust
Series 1992-1,
Class 2Z
7.750% 05/15/2022 $ 664,038 $ 724,819
Washington Mutual MSC
Mortgage
Pass-Through
Certificates
Series 2004-RA1,
Class 2A
7.000% 03/25/2034 1,706,958 1,754,193
Washington Mutual MSC
Mortgage
Pass-Through
Certificates,
Series 2004-RA4,
Class 2A
6.500% 08/25/2034 633,629 652,803
Washington Mutual, Inc.
Series 2003-S11,
Class A1
5.000% 11/25/2033 3,507,370 3,445,534
Washington Mutual, Inc.
Series 2004-AR2,
Class A
2.995% 04/25/2044 2,594,521 2,614,769
Washington Mutual,
Series 2004-AR14,
Class A1
4.283% 01/25/2035 2,750,000 2,727,549
Wells Fargo Mortgage
Backed Securities
Trust Series 2004-P,
Class 2A1
4.278% 09/25/2034 2,205,626 2,193,401
Wells Fargo Mortgage
Backed Securities
Trust, Series 2004-Z,
Class 2A1
4.605% 12/25/2034 2,715,822 2,718,581
----------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $43,748,622) 43,737,418
----------------
SOVEREIGN DEBT OBLIGATIONS -- 0.5%
Chile Government
International Bond
5.500% 01/15/2013 600,000 630,420
Republic of South Africa
6.500% 06/02/2014 825,000 903,375
United Mexican States
8.300% 08/15/2031 $ 500,000 $ 586,000
----------------
TOTAL SOVEREIGN
DEBT OBLIGATIONS
(COST $1,934,660) 2,119,795
----------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 18.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 3.0%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.4%
FHLMC
Series 2178,
Class PB
7.000% 08/15/2029 1,154,522 1,212,229
FHLMC
Series W067,
Class A
6.420% 12/01/2005 310,916 318,677
----------------
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS 1,530,906
----------------
PASS-THROUGH SECURITIES -- 2.6%
FHLMC
4.250% 07/15/2009 1,860,000 1,892,329
FHLMC
5.500% 11/01/2031 1,277,214 1,301,910
FHLMC
6.000% 09/01/2016-
02/01/2018 768,971 806,097
FHLMC
6.500% 09/01/2016 1,334,381 1,413,922
FHLMC
6.625% 09/15/2009 3,610,000 4,033,452
FHLMC
7.500% 10/01/2030-
03/01/2031 203,232 217,879
FHLMC
8.000% 03/01/2027 276,848 301,332
FHLMC
9.000% 03/01/2017 13,224 14,280
----------------
TOTAL PASS-THROUGH SECURITIES 9,981,201
----------------
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) 11,512,107
----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 5.6%
PASS-THROUGH SECURITIES
FNMA
2.250% 05/15/2006 9,050,000 8,942,747
</Table>
The accompanying notes are an integral part of the financial statements.
17
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
FNMA
3.875% 11/17/2008 $ 3,600,000 $ 3,579,407
FNMA
4.625% 10/15/2013 3,800,000 3,833,845
FNMA
5.500% 05/01/2033 1,097,208 1,115,338
FNMA
6.000% 06/01/2016 151,043 158,524
FNMA
6.420% 11/01/2008 1,226,349 1,323,724
FNMA
6.500% 07/01/2016 582,876 618,714
FNMA
7.000% 03/01/2031-
04/01/2031 405,147 429,915
FNMA
7.500% 08/01/2029-
06/01/2031 335,879 360,251
FNMA
8.000% 11/01/2029-
09/01/2031 923,476 999,911
FNMA
9.000% 05/01/2009 59,555 63,601
----------------
TOTAL PASS-THROUGH SECURITIES 21,425,977
----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 9.7%
PASS-THROUGH SECURITIES
GNMA
4.625% 11/20/2025-
11/20/2027 58,455 59,675
GNMA
5.000% 05/15/2033-
02/15/2034 15,823,312 15,849,964
GNMA
5.500% 06/15/2033-
09/15/2034 13,711,855 14,008,880
GNMA
6.000% 02/15/2029-
08/15/2032 3,088,518 3,200,148
GNMA
6.500% 05/15/2023-
11/15/2028 1,796,265 1,904,659
GNMA
7.000% 09/15/2023-
08/15/2032 1,179,502 1,259,261
GNMA
7.250% 11/20/2021-
01/20/2022 294,684 316,518
GNMA
7.500% 03/15/2017-
06/15/2024 503,536 542,319
GNMA
8.000% 08/15/2005-
04/15/2008 $ 418,791 $ 455,762
----------------
TOTAL PASS-THROUGH SECURITIES 37,597,186
----------------
OTHER AGENCIES -- 0.1%
PASS-THROUGH SECURITIES
New Valley Generation IV
4.687% 01/15/2022 536,127 538,180
----------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $70,468,970) 71,073,450
----------------
U.S. TREASURY OBLIGATIONS -- 14.4%
U.S. TREASURY BONDS -- 1.2%
U.S. Treasury Bond+++
6.125% 08/15/2029 3,740,000 4,385,734
----------------
U.S. TREASURY NOTES -- 10.0%
U.S. Treasury Note+++
2.500% 10/31/2006 5,990,000 5,934,312
U.S. Treasury Note+++
3.375% 11/15/2008 18,240,000 18,192,975
U.S. Treasury Note
4.000% 02/15/2014 13,345,000 13,159,421
U.S. Treasury Note
5.000% 08/15/2011 1,165,000 1,239,997
----------------
TOTAL U.S. TREASURY NOTES 38,526,705
----------------
U.S. TREASURY STRIPS -- 3.2%
U.S. Treasury Strips -
Principal Only
0.000% 05/15/2016 21,000,000 12,436,448
----------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $52,357,380) 55,348,887
----------------
TOTAL BONDS & NOTES
(COST $366,388,400) 376,019,425
----------------
SHORT-TERM INVESTMENTS -- 10.3%
CASH EQUIVALENTS -- 8.3%**
American AAdvanage
Select Money
Market Fund 375,043 375,043
Bank of America
Bank Note
2.260% 02/15/2005 $ 280,179 280,179
Bank of America
Bank Note
2.270% 01/18/2005 653,752 653,752
Bank of America
Bank Note
2.270% 03/03/2005 $ 1,214,111 $ 1,214,111
Bank of America
Bank Note
2.300% 06/09/2005 653,752 653,752
Bank of Montreal
Eurodollar Time Deposit
2.125% 02/02/2005 284,850 284,850
Bank of Montreal
Eurodollar Time Deposit
2.260% 01/28/2005 295,980 295,980
BGI Institutional Money
Market Fund 3,362,153 3,362,153
BNP Paribas
Eurodollar Time Deposit
2.300% 01/03/2005 186,787 186,787
Calyon
Eurodollar Time Deposit
2.435% 03/16/2005 799,445 799,445
Canadian Imperial
Bank of Commerce
Bank Note
2.030% 05/18/2005 1,867,863 1,867,863
Citigroup
Eurodollar Time Deposit
2.080% 01/28/2005 733,136 733,136
Den Danske Bank
Eurodollar Time Deposit
2.260% 01/20/2005 1,120,718 1,120,718
Dexia Group
Eurodollar Time Deposit
2.040% 01/21/2005 373,573 373,573
Federal Home Loan
Bank Discount Note
2.184% 01/05/2005 1,160,216 1,160,216
Fortis Bank
Eurodollar Time Deposit
2.140% 01/12/2005 373,573 373,573
Fortis Bank
Eurodollar Time Deposit
2.200% 02/11/2005 280,179 280,179
Fortis Bank
Eurodollar Time Deposit
2.260% 01/05/2005 1,540,987 1,540,987
Freddie Mac
Discount Note
2.184% 01/04/2005 1,305,367 1,305,367
Freddie Mac
Discount Note
2.228% 02/01/2005 348,491 348,491
</Table>
The accompanying notes are an integral part of the financial statements.
18
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Freddie Mac
Discount Note
2.277% 02/01/2005 $ 1,630,864 $ 1,630,864
General Electric
Capital Corp.
2.294% 01/21/2005 531,843 531,843
General Electric
Capital Corp.
2.295% 01/10/2005 909,940 909,940
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
2.025% 01/21/2005 429,608 429,608
Lloyds TSB Bank
Eurodollar Time Deposit
2.280% 02/02/2005 457,626 457,626
Merrill Lynch Premier
Institutional Money
Market Fund 616,397 616,397
Merrimac Cash Fund,
Premium Class 1,400,897 1,400,897
Morgan Stanley Dean
Witter & Co.
2.393% 07/19/2005 1,232,790 1,232,790
Royal Bank of Canada
Eurodollar Time Deposit
2.250% 01/19/2005 933,931 933,931
Royal Bank of Canada
Eurodollar Time Deposit
2.260% 02/01/2005 747,145 747,145
Royal Bank of Scotland
Eurodollar Time Deposit
2.015% 01/21/2005 1,077,757 1,077,757
Royal Bank of Scotland
Eurodollar Time Deposit
2.270% 02/02/2005 560,359 560,359
Royal Bank of Scotland
Eurodollar Time Deposit
2.360% 02/17/2005 93,393 93,393
Toronto Dominion Bank
Eurodollar Time Deposit
2.420% 03/01/2005 933,931 933,931
Wells Fargo
Eurodollar Time Deposit
2.270% 01/25/2005 233,483 233,483
Wells Fargo
Eurodollar Time Deposit
2.310% 01/28/2005 933,931 933,931
Wells Fargo
Eurodollar Time Deposit
2.320% 01/14/2005 2,237,700 2,237,700
----------------
32,171,750
----------------
COMMERCIAL PAPER -- 2.0%
Albertson's, Inc.+
2.400% 01/03/2005 $ 1,145,000 $ 1,144,847
General Mills, Inc.+
2.260% 01/06/2005 2,000,000 1,999,372
Kinder Morgan Energy
Partners, LP+
2.400% 01/04/2005 2,600,000 2,599,480
National Fuel Gas Co.
2.400% 01/05/2005 510,000 509,864
Praxair, Inc.
2.290% 01/11/2005 1,335,000 1,334,151
----------------
7,587,714
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 39,759,464
----------------
TOTAL INVESTMENTS -- 107.9%
(COST $406,147,864)*** 415,778,889
OTHER ASSETS/
(LIABILITIES) -- (7.9%) (30,477,976)
----------------
NET ASSETS -- 100.0% $ 385,300,913
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
REIT - Real Estate Investment Trust
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** See Note 7 for aggregate cost for Federal tax purposes.
+ 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,
2004, these securities amounted to a value of $32,397,699 or 8.4% of net
assets.
++ Security is currently in default.
+++ Denotes all or a portion of security on loan.
The accompanying notes are an integral part of the financial statements.
19
<Page>
MML BLEND FUND - PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2004
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 64.2%
ADVERTISING -- 0.1%
Omnicom Group, Inc. 7,200 $ 607,104
----------------
AEROSPACE & DEFENSE -- 1.7%
Boeing Co. 92,900 4,809,433
General Dynamics Corp. 25,600 2,677,760
Goodrich Corp. 38,800 1,266,432
Honeywell
International, Inc. 48,600 1,720,926
Lockheed Martin Corp. 25,400 1,410,970
Northrop Grumman Corp. 21,700 1,179,612
Raytheon Co. 27,200 1,056,176
Rockwell Collins, Inc. 10,100 398,344
United Technologies Corp. 29,000 2,997,150
----------------
17,516,803
----------------
APPAREL, TEXTILES & SHOES -- 0.7%
Coach, Inc.* 7,100 400,440
The Gap, Inc.+ 98,700 2,084,544
Jones Apparel Group, Inc. 8,200 299,874
Limited Brands 59,000 1,358,180
Liz Claiborne, Inc. 6,600 278,586
Nike, Inc. Cl. B 17,300 1,568,937
Nordstrom, Inc. 10,200 476,646
Reebok
International Limited+ 4,100 180,400
VF Corp.+ 17,500 969,150
----------------
7,616,757
----------------
AUTOMOTIVE & PARTS -- 0.6%
AutoNation, Inc.* 10,200 195,942
Cooper Tire &
Rubber Co.+ 3,600 77,580
Ford Motor Co.+ 248,200 3,633,648
General Motors Corp.+ 300 12,018
Genuine Parts Co. 15,700 691,742
The Goodyear Tire &
Rubber Co.* + 10,000 146,600
Harley-Davidson, Inc. 13,300 807,975
Paccar, Inc.+ 9,875 794,740
----------------
6,360,245
----------------
BANKING, SAVINGS & LOANS -- 7.8%
AmSouth Bancorporation+ 34,300 888,370
Bank of America Corp. 245,200 11,521,948
Bank of New York Co., Inc. 28,100 939,102
BB&T Corp. 30,900 1,299,345
Citigroup, Inc. 356,700 17,185,806
Comerica, Inc. 22,500 1,372,950
Fannie Mae 58,300 4,151,543
Fifth Third Bancorp 32,700 1,546,056
First Horizon
National Corp.+ 8,000 $ 344,880
Freddie Mac 39,400 2,903,780
Golden West
Financial Corp. 17,600 1,080,992
JP Morgan Chase & Co. 214,216 8,356,566
KeyCorp 53,300 1,806,870
M&T Bank Corp. 7,200 776,448
Marshall and Ilsley Corp. 12,800 565,760
Mellon Financial Corp. 26,500 824,415
National City Corp.+ 84,500 3,172,975
North Fork
Bancorporation, Inc. 26,850 774,622
Northern Trust Corp. 7,500 364,350
Providian
Financial Corp.* + 78,900 1,299,483
Regions Financial Corp. 25,623 911,923
SLM Corp. 25,000 1,334,750
Sovereign Bancorp, Inc.+ 21,500 484,825
State Street Corp. 300 14,736
SunTrust Banks, Inc. 21,600 1,595,808
Synovus Financial Corp.+ 18,600 531,588
U.S. Bancorp 113,200 3,545,424
Wachovia Corp. 96,733 5,088,156
Washington Mutual, Inc. 48,550 2,052,694
Wells Fargo & Co. 58,300 3,623,345
Zions Bancorp 3,400 231,302
----------------
80,590,812
----------------
BEVERAGES -- 1.1%
Brown-Forman Corp. Cl. B 7,800 379,704
The Coca-Cola Co. 86,000 3,580,180
Coca-Cola Enterprises, Inc. 29,900 623,415
Coors (Adolph) Co. Cl. B+ 2,300 174,041
The Pepsi Bottling
Group, Inc.+ 38,100 1,030,224
PepsiCo, Inc. 108,000 5,637,600
----------------
11,425,164
----------------
BROADCASTING, PUBLISHING & PRINTING -- 1.7%
Clear Channel
Communications, Inc. 35,500 1,188,895
Comcast Corp. Cl. A* 83,900 2,792,192
Dow Jones & Co., Inc.+ 5,600 241,136
Gannett Co., Inc. 10,500 857,850
Knight Ridder, Inc. 4,700 314,618
The McGraw-Hill
Companies, Inc. 14,600 1,336,484
Meredith Corp. 11,200 607,040
New York Times Co. Cl. A+ 9,700 395,760
Time Warner, Inc.* 275,600 5,357,664
Tribune Co. 11,400 $ 480,396
Univision Communications,
Inc. Cl. A* + 1,200 35,124
Viacom, Inc. Cl. B 104,500 3,802,755
----------------
17,409,914
----------------
BUILDING MATERIALS & CONSTRUCTION -- 0.2%
Louisiana-Pacific Corp.+ 10,500 280,770
Masco Corp. 26,200 957,086
Vulcan Materials Co. 9,700 529,717
----------------
1,767,573
----------------
CHEMICALS -- 1.1%
Air Products &
Chemicals, Inc. 8,200 475,354
Ashland, Inc. 4,200 245,196
Dow Chemical Co. 56,500 2,797,315
Du Pont (E.I.) de
Nemours & Co. 60,100 2,947,905
Eastman Chemical Co. 5,000 288,650
Engelhard Corp. 8,100 248,427
International Flavors &
Fragrances, Inc. 5,800 248,472
Monsanto Co. 36,000 1,999,800
PPG Industries, Inc. 16,700 1,138,272
Rohm & Haas Co. 13,600 601,528
----------------
10,990,919
----------------
COMMERCIAL SERVICES -- 1.4%
Apollo Group, Inc. Cl. A* 400 32,284
Block (H&R), Inc.+ 11,900 583,100
Cendant Corp. 63,600 1,486,968
Cintas Corp. 10,900 478,074
Convergys Corp.* 8,800 131,912
Donnelley (R.R.) &
Sons Co. 5,200 183,508
eBay, Inc.* 39,900 4,639,572
Ecolab, Inc.+ 9,200 323,196
Equifax, Inc. 28,100 789,610
Moody's Corp. 11,700 1,016,145
Paychex, Inc. 19,400 661,152
PerkinElmer, Inc. 79,200 1,781,208
Quest Diagnostics, Inc. 5,500 525,525
Robert Half
International, Inc. 5,700 167,751
Ryder System, Inc. 3,700 176,749
Waste Management, Inc. 35,000 1,047,900
----------------
14,024,654
----------------
COMMUNICATIONS -- 1.3%
Avaya, Inc.* + 27,800 478,160
</Table>
The accompanying notes are an integral part of the financial statements.
20
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Citizens
Communications Co. 18,100 $ 249,599
Lucent
Technologies, Inc.* + 264,800 995,648
Network
Appliance, Inc.* + 22,400 744,128
Nextel Communications,
Inc. Cl. A* 18,400 552,000
Qualcomm, Inc. 69,700 2,955,280
SBC Communications, Inc. 262,600 6,767,202
Scientific-Atlanta, Inc. 9,300 306,993
Tellabs, Inc.* 25,600 219,904
----------------
13,268,914
----------------
COMMUNICATIONS EQUIPMENT -- 0.4%
Motorola, Inc. 260,100 4,473,720
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.6%
Autodesk, Inc. 27,400 1,039,830
Computer Sciences Corp.* 22,100 1,245,777
Parametric
Technology Corp.* 120,700 710,923
Sun Microsystems, Inc.* 537,000 2,889,060
Unisys Corp.* 12,200 124,196
----------------
6,009,786
----------------
COMPUTER PROGRAMMING SERVICES -- 0.0%
Mercury
Interactive Corp.* + 4,700 214,085
----------------
COMPUTERS & INFORMATION -- 3.0%
Apple Computer, Inc.* 23,500 1,513,400
Cisco Systems, Inc.* 416,400 8,036,520
Comverse
Technology, Inc.* 10,100 246,945
Dell, Inc.* 150,100 6,325,214
EMC Corp.* 144,600 2,150,202
Gateway, Inc.* 21,300 128,013
International Business
Machines Corp. 107,700 10,617,066
International
Game Technology 14,300 491,634
Jabil Circuit, Inc.* 12,900 329,982
Lexmark
International, Inc.* 8,400 714,000
Solectron Corp.* 2,000 10,660
Symbol
Technologies, Inc.+ 12,900 223,170
----------------
30,786,806
----------------
COMPUTERS & OFFICE EQUIPMENT -- 0.7%
Electronic Data
Systems Corp. 30,700 709,170
Hewlett-Packard Co. 181,900 3,814,443
Pitney Bowes, Inc. 14,400 $ 666,432
Xerox Corp.* 119,700 2,036,097
----------------
7,226,142
----------------
CONTAINERS -- 0.1%
Ball Corp. 8,800 387,024
Bemis Co., Inc. 8,700 253,083
Pactiv Corp.* 10,000 252,900
Sealed Air Corp.* 5,500 292,985
Temple-Inland, Inc. 3,400 232,560
----------------
1,418,552
----------------
COSMETICS & PERSONAL CARE -- 1.5%
Alberto-Culver Co. 6,000 291,420
Avon Products, Inc. 30,100 1,164,870
The Gillette Co. 63,600 2,848,008
Kimberly-Clark Corp. 31,300 2,059,853
The Procter & Gamble Co. 162,100 8,928,468
----------------
15,292,619
----------------
DATA PROCESSING & PREPARATION -- 0.6%
Affiliated Computer
Services, Inc. Cl. A* + 8,500 511,615
Automatic Data
Processing, Inc. 30,100 1,334,935
Deluxe Corp.+ 9,800 365,834
First Data Corp. 44,100 1,876,014
IMS Health, Inc. 14,700 341,187
NCR Corp.* 21,100 1,460,753
----------------
5,890,338
----------------
ELECTRIC UTILITIES -- 1.8%
Ameren Corp. 9,200 461,288
American Electric
Power Co. 18,600 638,724
CenterPoint Energy, Inc.+ 18,000 203,400
Cinergy Corp. 8,500 353,855
CMS Energy Corp.* + 4,600 48,070
Consolidated Edison, Inc.+ 11,400 498,750
Constellation Energy
Group, Inc. 8,300 362,793
Dominion Resources, Inc. 19,400 1,314,156
DTE Energy Co.+ 8,200 353,666
Duke Energy Corp. 105,000 2,659,650
Edison International 28,900 925,667
Entergy Corp. 10,700 723,213
Exelon Corp.+ 38,700 1,705,509
FirstEnergy Corp. 19,300 762,543
FPL Group, Inc.+ 9,600 717,600
NiSource, Inc. 12,400 282,472
PG&E Corp.* 18,900 628,992
Pinnacle West
Capital Corp. 4,300 190,963
PPL Corp. 22,200 $ 1,182,816
Progress Energy, Inc.+ 12,800 579,072
Public Service Enterprise
Group, Inc. 21,000 1,087,170
Southern Co.+ 43,300 1,451,416
Teco Energy, Inc.+ 10,300 158,002
TXU Corp.+ 17,400 1,123,344
----------------
18,413,131
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 3.8%
Altera Corp.* 3,100 64,170
American Power
Conversion Corp. 12,000 256,800
Analog Devices, Inc. 8,800 324,896
Broadcom Corp. Cl. A* 1,500 48,420
Emerson Electric Co. 40,800 2,860,080
Freescale Semiconductor,
Inc. Cl. B* 28,718 527,262
General Electric Co. 562,000 20,513,000
Intel Corp. 386,100 9,030,879
Johnson Controls, Inc. 6,800 431,392
Kla-Tencor Corp.* 1,800 83,844
Linear Technology Corp. 19,100 740,316
Maxim Integrated
Products, Inc. 3,400 144,126
Micron
Technology, Inc.* + 2,000 24,700
National
Semiconductor Corp. 800 14,360
Qlogic Corp.* 5,500 202,015
Rockwell Automation, Inc. 26,400 1,308,120
Texas Instruments, Inc. 104,300 2,567,866
Xilinx, Inc. 5,500 163,075
----------------
39,305,321
----------------
ENERGY -- 5.0%
Amerada Hess Corp. 10,700 881,466
Anadarko Petroleum Corp. 21,200 1,373,972
Apache Corp. 18,400 930,488
BJ Services Co. 5,900 274,586
Burlington Resources, Inc. 22,300 970,050
ChevronTexaco Corp. 113,200 5,944,132
ConocoPhillips 55,000 4,775,650
Devon Energy Corp. 41,000 1,595,720
Dynegy, Inc. Cl. A* + 21,200 97,944
El Paso Corp. 63,300 658,320
EOG Resources, Inc. 6,600 470,976
Exxon Mobil Corp. 377,000 19,325,020
Halliburton Co. 26,800 1,051,632
Kerr-McGee Corp. 17,800 1,028,662
KeySpan Corp. 9,000 355,050
Kinder Morgan, Inc. 7,500 548,475
Marathon Oil Corp. 19,500 733,395
</Table>
The accompanying notes are an integral part of the financial statements.
21
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Nabors Industries
Limited* 12,000 $ 615,480
Nicor, Inc.+ 2,500 92,350
Noble Corp.* 10,800 537,192
Occidental
Petroleum Corp. 42,400 2,474,464
Peoples Energy Corp. 2,600 114,270
Rowan Companies, Inc.* 8,600 222,740
Schlumberger Limited 21,300 1,426,035
Sempra Energy+ 27,600 1,012,368
Sunoco, Inc. 4,300 351,353
Transocean, Inc.* 16,300 690,957
Unocal Corp. 14,900 644,276
Valero Energy Corp. 24,100 1,094,140
The Williams
Companies, Inc. 33,700 548,973
Xcel Energy, Inc.+ 18,800 342,160
----------------
51,182,296
----------------
ENTERTAINMENT & LEISURE -- 0.5%
Brunswick Corp. 3,600 178,200
Harrah's
Entertainment, Inc.+ 7,600 508,364
News Corp., Inc. Cl. A+ 71,500 1,334,190
The Walt Disney Co. 123,900 3,444,420
----------------
5,465,174
----------------
FINANCIAL SERVICES -- 2.7%
American Express Co. 76,300 4,301,031
Apartment Investment &
Management Co. Cl. A 5,700 219,678
Bear Stearns
Companies, Inc. 9,300 951,483
CIT Group, Inc. 12,100 554,422
Countrywide
Financial Corp.+ 20,800 769,808
E Trade Financial Corp.* 12,500 186,875
Federated Investors,
Inc. Cl. B 6,700 203,680
Franklin Resources, Inc. 14,900 1,037,785
The Goldman Sachs
Group, Inc. 29,300 3,048,372
Huntington
Bancshares, Inc.+ 13,200 327,096
Janus Capital Group, Inc. 14,700 247,107
Lehman Brothers
Holdings, Inc. 26,300 2,300,724
MBNA Corp. 71,100 2,004,309
Merrill Lynch & Co., Inc. 56,600 3,382,982
Morgan Stanley 66,100 3,669,872
PNC Financial Services
Group, Inc. 16,200 930,528
Price (T. Rowe)
Group, Inc. 4,600 286,120
ProLogis Trust 11,400 $ 493,962
The Schwab
(Charles) Corp. 21,400 255,944
Simon Property
Group, Inc. 13,200 853,644
Standard and Poor's
Depository Receipts
Trust Series 1 15,000 1,813,050
----------------
27,838,472
----------------
FOODS -- 1.1%
Archer-Daniels-Midland Co. 42,400 945,944
Campbell Soup Co. 26,100 780,129
ConAgra Foods, Inc. 33,600 989,520
Heinz (H. J.) Co. 13,100 510,769
Hershey Foods Corp. 24,700 1,371,838
Kellogg Co. 25,100 1,120,966
McCormick & Co., Inc. 8,800 339,680
Safeway, Inc.* 30,200 596,148
Sara Lee Corp. 48,600 1,173,204
Starbucks Corp.* 23,900 1,490,404
SuperValu, Inc. 38,100 1,315,212
Wrigley (Wm.) Jr. Co. 8,400 581,196
----------------
11,215,010
----------------
FOREST PRODUCTS & PAPER -- 0.4%
Georgia-Pacific Corp. 25,600 959,488
International Paper Co. 100 4,200
MeadWestvaco Corp. 30,300 1,026,867
Neenah Paper, Inc.* + 948 30,905
Plum Creek Timber
Co., Inc. 24,700 949,468
Weyerhaeuser Co. 22,800 1,532,616
----------------
4,503,544
----------------
HEALTHCARE -- 0.7%
Caremark Rx, Inc.* 28,600 1,127,698
Express Scripts, Inc.* 7,500 573,300
HCA, Inc.+ 25,300 1,010,988
Humana, Inc.* 9,600 285,024
Laboratory Corp. of
America Holdings* 13,500 672,570
Manor Care, Inc. 4,800 170,064
UnitedHealth Group, Inc. 39,900 3,512,397
----------------
7,352,041
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.1%
Centex Corp.+ 6,000 357,480
KB Home 2,600 271,440
Leggett & Platt, Inc. 8,600 244,498
Pulte Homes, Inc. 4,300 274,340
Whirlpool Corp.+ 3,000 207,630
----------------
1,355,388
----------------
HOUSEHOLD PRODUCTS -- 0.5%
Black & Decker Corp.+ 11,200 $ 989,296
The Clorox Co. 9,700 571,621
Corning, Inc.* 83,900 987,503
Fortune Brands, Inc. 6,500 501,670
Newell Rubbermaid, Inc.+ 25,300 612,007
Sherwin-Williams Co. 9,700 432,911
Snap-On, Inc. 3,000 103,080
The Stanley Works+ 23,900 1,170,861
----------------
5,368,949
----------------
INDUSTRIAL - DISTRIBUTION -- 0.0%
Grainger (W.W.), Inc. 6,900 459,678
----------------
INDUSTRIAL - DIVERSIFIED -- 1.5%
3M Co. 25,500 2,092,785
Cooper Industries
Limited Cl. A 14,700 997,983
Danaher Corp. 28,200 1,618,962
Eaton Corp. 9,200 665,712
Illinois Tool Works, Inc. 16,900 1,566,292
ITT Industries, Inc. 5,800 489,810
Textron, Inc.+ 18,600 1,372,680
Tyco International Limited 192,231 6,870,336
----------------
15,674,560
----------------
INFORMATION RETRIEVAL SERVICES -- 0.3%
Yahoo!, Inc.* 70,000 2,637,600
----------------
INSURANCE -- 3.5%
ACE Limited 17,800 760,950
Aetna, Inc. 9,300 1,160,175
AFLAC, Inc. 18,200 725,088
Allstate Corp. 42,600 2,203,272
Ambac Financial
Group, Inc. 6,600 542,058
American International
Group, Inc. 114,900 7,545,483
Aon Corp. 19,100 455,726
Chubb Corp. 24,900 1,914,810
Cigna Corp. 19,800 1,615,086
Cincinnati Financial Corp. 6,510 288,133
The Hartford Financial
Services Group, Inc. 17,600 1,219,856
Jefferson-Pilot Corp. 8,400 436,464
Lincoln National Corp. 23,700 1,106,316
Loews Corp. 24,000 1,687,200
MBIA, Inc.+ 8,100 512,568
Metlife, Inc. 71,600 2,900,516
MGIC Investment Corp. 10,100 695,991
Principal Financial
Group, Inc. 18,800 769,672
Progressive Corp. 12,300 1,043,532
Prudential Financial, Inc. 50,200 2,758,992
Safeco Corp. 8,800 459,712
</Table>
The accompanying notes are an integral part of the financial statements.
22
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
St. Paul
Travelers Companies 40,235 $ 1,491,511
Torchmark Corp. 6,900 394,266
UnumProvident Corp. 18,900 339,066
WellPoint, Inc.* 18,300 2,104,500
XL Capital Limited Cl. A+ 8,700 675,555
----------------
35,806,498
----------------
LODGING -- 0.3%
Hilton Hotels Corp. 51,400 1,168,836
Marriott International,
Inc. Cl. A 15,700 988,786
Starwood Hotels &
Resorts Worldwide, Inc. 14,200 829,280
----------------
2,986,902
----------------
MACHINERY & COMPONENTS -- 0.4%
Baker Hughes, Inc. 20,200 861,934
Cummins, Inc. 6,400 536,256
Dover Corp. 11,600 486,504
Ingersoll-Rand Co. Cl. A 9,800 786,940
Pall Corp.+ 8,500 246,075
Parker-Hannifin Corp. 16,200 1,226,988
----------------
4,144,697
----------------
MANUFACTURING -- 0.1%
American Standard
Companies, Inc.* 12,000 495,840
Applied Materials, Inc.* 48,200 824,220
----------------
1,320,060
----------------
MEDICAL SUPPLIES -- 0.7%
Agilent Technologies, Inc.* 4,500 108,450
Applied Biosystems
Group-Applera Corp. 13,500 282,285
Bard (C.R.), Inc. 7,000 447,860
Bausch & Lomb, Inc.+ 10,100 651,046
Becton, Dickinson & Co. 25,200 1,431,360
Fisher
Scientific International* + 8,200 511,516
Medtronic, Inc. 24,300 1,206,981
St. Jude Medical, Inc.* 23,400 981,162
Tektronix, Inc. 5,600 169,176
Thermo Electron Corp.* 39,300 1,186,467
Waters Corp.* 4,900 229,271
----------------
7,205,574
----------------
METALS & MINING -- 0.4%
Alcoa, Inc. 10,200 320,484
Crane Co. 21,800 628,712
Nucor Corp.+ 15,200 795,568
Phelps Dodge Corp. 15,200 1,503,584
United States Steel Corp.+ 13,300 681,625
Worthington Industries, Inc. 5,100 99,858
----------------
4,029,831
----------------
PHARMACEUTICALS -- 5.6%
Abbott Laboratories 106,700 $ 4,977,555
AmerisourceBergen Corp.+ 10,100 592,668
Amgen, Inc.* 54,100 3,470,515
Biogen Idec, Inc.* 14,300 952,523
Bristol-Myers Squibb Co. 128,400 3,289,608
Cardinal Health, Inc. 32,300 1,878,245
Eli Lilly & Co. 24,400 1,384,700
Forest
Laboratories, Inc.* + 15,300 686,358
Genzyme Corp.* 9,500 551,665
Hospira, Inc.* 7,690 257,615
Johnson & Johnson 202,900 12,867,918
King
Pharmaceuticals, Inc.* 18,200 225,680
McKesson Corp. 26,300 827,398
Medco Health
Solutions, Inc.* 16,700 694,720
Merck & Co., Inc. 220,300 7,080,442
Pfizer, Inc. 516,000 13,875,240
Sigma-Aldrich Corp. 4,200 253,932
Wyeth 88,000 3,747,920
----------------
57,614,702
----------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.1%
Eastman Kodak Co.+ 22,000 709,500
----------------
PREPACKAGED SOFTWARE -- 3.0%
Adobe Systems, Inc. 15,200 953,648
BMC Software, Inc.* 68,900 1,281,540
Citrix Systems, Inc.* 53,500 1,312,355
Computer Associates
International, Inc.+ 53,800 1,671,028
Compuware Corp.* 24,400 157,868
Intuit, Inc.* 17,100 752,571
Microsoft Corp. 559,800 14,952,258
Novell, Inc.* 14,000 94,500
Oracle Corp.* 434,900 5,966,828
Peoplesoft, Inc.* 13,300 352,184
Siebel Systems, Inc.* 32,300 339,150
SunGard Data
Systems, Inc.* 18,400 521,272
Symantec Corp.* 80,400 2,071,104
Veritas Software Corp.* + 24,100 688,055
----------------
31,114,361
----------------
REAL ESTATE -- 0.1%
Equity Office
Properties Trust+ 26,200 762,944
Equity Residential 10,100 365,418
----------------
1,128,362
----------------
RESTAURANTS -- 0.5%
Darden Restaurants, Inc. 11,400 316,236
McDonald's Corp. 118,600 3,802,316
Wendy's
International, Inc. 200 $ 7,852
Yum! Brands, Inc. 19,300 910,574
----------------
5,036,978
----------------
RETAIL -- 3.1%
AutoZone, Inc.* 5,900 538,729
Best Buy Co., Inc. 23,500 1,396,370
Circuit City Stores, Inc.+ 104,900 1,640,636
Costco Wholesale Corp. 47,000 2,275,270
Dillards, Inc. Cl. A 6,100 163,907
Dollar General Corp. 100 2,077
Federated Department
Stores, Inc. 11,600 670,364
The Home Depot, Inc. 141,300 6,039,162
J.C. Penney Co., Inc. 30,300 1,254,420
Kohl's Corp.* 3,300 162,261
Lowe's Companies, Inc. 6,000 345,540
The May Department
Stores Co.+ 18,400 540,960
Office Depot, Inc.* 12,800 222,208
RadioShack Corp. 11,600 381,408
Sears, Roebuck and Co. 15,000 765,450
Staples, Inc. 35,800 1,206,818
Target Corp. 35,100 1,822,743
TJX Companies, Inc. 31,400 789,082
Wal-Mart Stores, Inc. 217,900 11,509,478
----------------
31,726,883
----------------
RETAIL - GROCERY -- 0.1%
Albertson's, Inc.+ 25,800 616,104
----------------
TELEPHONE UTILITIES -- 1.6%
Alltel Corp. 26,900 1,580,644
AT&T Corp. 101,600 1,936,496
BellSouth Corp. 59,900 1,664,621
CenturyTel, Inc. 12,000 425,640
Qwest Communications
International, Inc.* 12,400 55,056
Sprint Corp. (FON Group) 188,000 4,671,800
Verizon
Communications, Inc. 153,268 6,208,887
----------------
16,543,144
----------------
TOBACCO -- 0.7%
Altria Group, Inc. 81,100 4,955,210
Reynolds American, Inc. 9,700 762,420
UST, Inc. 22,800 1,096,908
----------------
6,814,538
----------------
TOYS, GAMES -- 0.0%
Hasbro, Inc. 8,900 172,482
Mattel, Inc. 20,000 389,800
----------------
562,282
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
23
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
TRANSPORTATION -- 1.0%
Burlington Northern
Santa Fe Corp. 26,300 $ 1,244,253
Carnival Corp. 500 28,815
CSX Corp. 13,200 529,056
FedEx Corp. 33,800 3,328,962
Norfolk Southern Corp. 45,100 1,632,169
United Parcel Service,
Inc. Cl. B 42,900 3,666,234
----------------
10,429,489
----------------
TRAVEL -- 0.0%
Sabre Holdings Corp. 5,300 117,448
----------------
TOTAL EQUITIES
(COST $485,223,090) 661,569,424
----------------
RIGHTS -- 0.0%
COMPUTERS & INFORMATION
Seagate Technology* ++ 21,700 -
----------------
TOTAL RIGHTS
(COST $0) -
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
BONDS & NOTES -- 27.5%
ASSET BACKED SECURITIES -- 0.6%
Chase Mortgage Finance
Co. Series 2003-S11,
Class 1A-1
5.000% 10/25/2033 $ 2,425,977 2,383,201
Travelers Funding
Limited Series 1A,
Class A1+++
6.300% 02/18/2014 2,746,693 2,856,561
Vanderbilt Mortgage and
Finance, Inc.
Series 2002-C,
Class A2
4.230% 02/07/2015 1,250,000 1,249,564
----------------
TOTAL ASSET BACKED
SECURITIES
(COST $6,340,822) 6,489,326
----------------
CORPORATE DEBT -- 14.1%
Allied Waste
North America Series B
5.750% 02/15/2011 300,000 282,000
Allied Waste
North America, Inc.
8.875% 04/01/2008 140,000 149,800
American General
Finance Corp.
5.875% 07/14/2006 $ 775,000 $ 803,541
American
Greetings Corp.
6.100% 08/01/2028 1,445,000 1,542,538
American Honda
Finance Corp.+++
3.850% 11/06/2008 700,000 698,049
American Standard, Inc.
7.625% 02/15/2010 700,000 800,295
Ametek, Inc.
7.200% 07/15/2008 1,040,000 1,127,569
Anheuser-Busch
Cos., Inc.
5.050% 10/15/2016 725,000 724,943
Anheuser-Busch
Cos., Inc.
6.500% 02/01/2043 775,000 882,947
AOL Time Warner, Inc.
5.625% 05/01/2005 2,040,000 2,058,786
Aramark Services, Inc.
8.150% 05/01/2005 750,000 760,949
Australian Gas Light Co.
Limited+++
6.400% 04/15/2008 710,000 761,221
Avnet, Inc.
8.000% 11/15/2006 545,000 588,600
Bank of America Corp.
4.250% 10/01/2010 1,200,000 1,196,923
Bausch & Lomb, Inc.
7.125% 08/01/2028 665,000 708,556
Bombardier
Capital, Inc.+++
6.125% 06/29/2006 210,000 210,000
Bombardier, Inc.+ +++
6.750% 05/01/2012 245,000 224,788
BP Capital Markets PLC
2.750% 12/29/2006 2,000,000 1,979,534
Briggs & Stratton Corp.
8.875% 03/15/2011 1,370,000 1,647,425
Buckeye Partners LP
4.625% 07/15/2013 350,000 340,975
Burlington Northern
Santa Fe Corp.
6.750% 03/15/2029 595,000 669,626
Cabot Corp.+++
5.250% 09/01/2013 425,000 425,456
Capitol
Records, Inc.+++
8.375% 08/15/2009 995,000 1,116,887
Centerpoint Energy, Inc.
Series B
5.875% 06/01/2008 1,085,000 1,135,332
Certegy, Inc.
4.750% 09/15/2008 $ 220,000 $ 225,059
Champion
International Corp.
6.400% 02/15/2026 1,000,000 1,073,148
Chesapeake
Energy Corp.
7.500% 06/15/2014 440,000 480,700
CIT Group, Inc.
7.375% 04/02/2007 900,000 971,777
Colonial Pipeline Co.+++
7.630% 04/15/2032 750,000 966,065
Comcast Cable
Communications, Inc.
8.375% 05/01/2007 2,500,000 2,764,875
Consolidated Natural
Gas Co. Series C
6.250% 11/01/2011 200,000 219,525
Constellation
Brands, Inc.
8.000% 02/15/2008 210,000 228,375
Countrywide Home
Loans, Inc.
3.250% 05/21/2008 920,000 899,601
COX
Communications, Inc.+++
4.625% 01/15/2010 565,000 563,697
Cox
Communications, Inc.
6.750% 03/15/2011 400,000 437,998
CSX Corp.
7.250% 05/01/2027 2,200,000 2,554,842
DaimlerChrysler NA
Holding Corp.
4.050% 06/04/2008 2,000,000 1,995,872
Delhaize America, Inc.
9.000% 04/15/2031 915,000 1,183,824
Deutsche
Telekom International
Finance BV
8.250% 06/15/2005 850,000 869,808
Diageo Finance BV
3.000% 12/15/2006 500,000 495,761
Dominion
Resources, Inc.
7.195% 09/15/2014 770,000 889,737
Duke Energy Field
Services Corp.
7.875% 08/16/2010 1,800,000 2,099,363
Electronic Data Systems
Corp. Series B
6.000% 08/01/2013 310,000 327,326
</Table>
The accompanying notes are an integral part of the financial statements.
24
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Emerald Investment
Grade CBO
Limited+++
3.090% 05/24/2011 $ 2,711,039 $ 2,707,650
Entergy Gulf States, Inc.
5.250% 08/01/2015 1,675,000 1,657,865
Enterprise Products
Operating LP+++
4.000% 10/15/2007 45,000 44,890
Enterprise Products
Operating LP
7.500% 02/01/2011 975,000 1,105,450
ERAC USA
Finance Co.+++
6.700% 06/01/2034 820,000 890,576
ERAC USA
Finance Co.+++
6.750% 05/15/2007 1,000,000 1,066,779
FedEx Corp.
2.286% 04/01/2005 475,000 475,247
First Industrial LP
7.600% 05/15/2007 700,000 758,539
Ford Motor Co.
6.375% 02/01/2029 890,000 800,943
Ford Motor Co.
6.625% 02/15/2028 300,000 280,048
Foster's
Finance Corp.+++
6.875% 06/15/2011 835,000 942,146
France Telecom SA
9.250% 03/01/2031 700,000 948,914
Franklin Resources, Inc.
3.700% 04/15/2008 800,000 798,110
General Mills, Inc.
2.625% 10/24/2006 3,325,000 3,268,465
General Mills, Inc.
8.900% 06/15/2006 2,250,000 2,420,147
General Motors
Acceptance Corp.
6.150% 04/05/2007 1,440,000 1,479,848
General Motors Corp.+
7.200% 01/15/2011 950,000 974,360
General Motors Corp.
8.375% 07/15/2033 520,000 538,763
Glencore
Funding LLC+++
6.000% 04/15/2014 750,000 725,609
Goldman Sachs
Group, Inc.
5.150% 01/15/2014 775,000 785,393
Goodrich (B.F.) Co.
7.500% 04/15/2008 1,800,000 1,992,713
Harrah's Operating
Co., Inc.
5.500% 07/01/2010 $ 385,000 $ 398,523
HCA, Inc.
6.950% 05/01/2012 825,000 868,647
Household
Finance Corp.
4.125% 12/15/2008 875,000 878,578
Household
Finance Corp.
6.375% 10/15/2011 750,000 828,297
ICI Wilmington, Inc.
7.050% 09/15/2007 735,000 793,399
Interpool, Inc.
7.350% 08/01/2007 1,000,000 1,015,000
Ipalco Enterprises, Inc.
8.375% 11/14/2008 975,000 1,096,875
iStar Financial, Inc.
Series B
4.875% 01/15/2009 165,000 167,478
iStar Financial, Inc.
Series B
5.700% 03/01/2014 310,000 317,301
J.C. Penney Co., Inc.
7.950% 04/01/2017 415,000 485,550
JP Morgan Chase & Co.
3.125% 12/11/2006 1,000,000 994,829
Kellwood Co.
7.625% 10/15/2017 635,000 698,367
Kellwood Co.
7.875% 07/15/2009 165,000 182,292
Kennametal, Inc.
7.200% 06/15/2012 920,000 1,022,336
Kern River
Funding Corp.+++
4.893% 04/30/2018 698,719 711,331
Kimco Realty Corp.
Series MTNB
7.860% 11/01/2007 1,325,000 1,481,415
The Kroger Co.
6.750% 04/15/2012 1,000,000 1,129,063
Leucadia National Corp.
7.750% 08/15/2013 1,150,000 1,242,000
Liberty Media Corp.
3.500% 09/25/2006 500,000 497,222
Marriott International,
Inc. Series E
7.000% 01/15/2008 690,000 752,130
May Department Stores
Co. (The)
3.950% 07/15/2007 365,000 365,617
Meritor Automotive, Inc.
6.800% 02/15/2009 655,000 687,750
Merrill Lynch & Co., Inc.
2.940% 01/30/2006 $ 3,150,000 $ 3,139,876
MGM Mirage, Inc.
6.000% 10/01/2009 250,000 256,250
MGM Mirage, Inc.
6.750% 09/01/2012 725,000 763,063
MidAmerican Energy
Holdings Co.
3.500% 05/15/2008 1,050,000 1,028,530
Midamerican
Funding LLC
6.750% 03/01/2011 145,000 161,360
Millipore Corp.
7.500% 04/01/2007 4,250,000 4,504,660
Mobil Corp.
8.625% 08/15/2021 1,050,000 1,457,882
Mohawk Industries, Inc.
Series D
7.200% 04/15/2012 750,000 862,936
Monongahela
Power Co.+++
6.700% 06/15/2014 400,000 443,149
National Rural
Utilities Cooperative
Finance Corp.
8.000% 03/01/2032 245,000 319,700
Navistar
International Corp.
7.500% 06/15/2011 640,000 686,400
Nevada Power Co.+++
5.875% 01/15/2015 450,000 453,375
Newell Rubbermaid, Inc.
4.000% 05/01/2010 320,000 310,530
News America
Holdings, Inc.
8.875% 04/26/2023 2,000,000 2,600,260
Nextel
Communications, Inc.
5.950% 03/15/2014 180,000 186,300
Nisource Finance Corp.
3.200% 11/01/2006 480,000 475,691
Norfolk Southern Corp.
6.000% 04/30/2008 450,000 481,769
North Finance
(Bermuda) Limited+++
7.000% 09/15/2005 4,000,000 4,069,352
Northwestern Corp.+++
5.875% 11/01/2014 205,000 209,709
Oak Hill
Securities Fund II+++
8.920% 10/15/2006 500,000 513,602
</Table>
The accompanying notes are an integral part of the financial statements.
25
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Pacific Energy Partners,
LP/Pacific Energy
Finance Corp.
7.125% 06/15/2014 $ 365,000 $ 388,725
Pacific Gas &
Electric Co.
6.050% 03/01/2034 570,000 592,011
Piedmont Natural
Gas Co. Series E
6.000% 12/19/2033 400,000 416,953
Pilgrims Pride Corp.
9.625% 09/15/2011 110,000 123,750
Plains All American
Pipeline Co.
5.625% 12/15/2013 520,000 534,876
Potomac Edison Co.+++
5.350% 11/15/2014 325,000 327,529
Precision Castparts Corp.
5.600% 12/15/2013 1,125,000 1,147,142
The Premcor Refining
Group, Inc.
6.750% 05/01/2014 230,000 244,375
PSEG Power LLC
5.500% 12/01/2015 600,000 611,453
Qwest Corp.+++
9.125% 03/15/2012 300,000 346,500
Rogers Cable, Inc.
5.500% 03/15/2014 425,000 400,563
Rogers Wireless
Communications, Inc.
6.375% 03/01/2014 350,000 346,500
Ryder System, Inc.
6.600% 11/15/2005 3,500,000 3,594,384
Simon Property
Group LP
6.875% 11/15/2006 750,000 794,246
SLM Corp.
5.000% 10/01/2013 1,245,000 1,260,732
SLM Corp.
5.625% 08/01/2033 615,000 608,361
Smithfield Foods, Inc.
7.000% 08/01/2011 860,000 918,050
Sprint Capital Corp.
6.900% 05/01/2019 525,000 587,312
Starwood Hotels &
Resorts Worldwide, Inc.
7.875% 05/01/2012 495,000 565,538
Steelcase, Inc.
6.375% 11/15/2006 1,150,000 1,187,237
SuperValu, Inc.
7.875% 08/01/2009 2,000,000 2,293,524
Tampa Electric Co.
5.375% 08/15/2007 700,000 728,191
Textron Financial Corp.
Series E
2.690% 10/03/2006 $ 1,710,000 $ 1,685,752
Thomas & Betts Corp.
6.500% 01/15/2006 340,000 349,346
Timken Co.
5.750% 02/15/2010 825,000 840,403
Timken Co. Series A
6.750% 08/21/2006 500,000 515,359
Toro Co.
7.800% 06/15/2027 1,300,000 1,472,936
Toyota Motor
Credit Corp.
4.350% 12/15/2010 1,400,000 1,418,318
TransAlta Corp.
5.750% 12/15/2013 1,000,000 1,029,752
Tricon Global
Restaurants, Inc.
8.875% 04/15/2011 460,000 568,339
Tri-State Generation &
Transmission
Association
Series 2003, Class A+++
6.040% 01/31/2018 430,000 454,286
Tri-State Generation &
Transmission
Association
Series 2003, Class B+++
7.144% 07/31/2033 525,000 602,380
Tyco International
Group SA
6.375% 02/15/2006 1,300,000 1,343,316
Tyco International
Group SA
6.375% 10/15/2011 1,350,000 1,490,476
Tyco International
Group SA
6.875% 01/15/2029 125,000 143,189
Union Pacific Corp.
6.400% 02/01/2006 750,000 774,383
US Airways,
Inc. Cl. B* ++++
7.500% 04/15/2008 869,681 -
USA Interactive
7.000% 01/15/2013 900,000 992,761
Verizon Global
Funding Corp.
7.750% 12/01/2030 720,000 895,195
Vulcan Materials Co.
6.000% 04/01/2009 1,250,000 1,333,520
The Walt Disney Co.
6.750% 03/30/2006 650,000 677,245
Washington Mutual, Inc.
2.400% 11/03/2005 $ 1,600,000 $ 1,589,686
Weingarten Realty
Investors REIT,
Series A
7.500% 12/19/2010 770,000 894,768
Weyerhaeuser Co.
5.500% 03/15/2005 255,000 256,174
WPP Finance
(USA) Corp.
6.625% 07/15/2005 2,550,000 2,568,505
XTO Energy, Inc.
4.900% 02/01/2014 850,000 848,122
----------------
TOTAL CORPORATE DEBT
(COST $140,671,588) 145,047,105
----------------
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 3.3%
COLLATERALIZED MORTGAGE OBLIGATIONS
ABN AMRO Mortgage
Corp. Series 2003-12,
Class 1A
5.000% 12/25/2033 1,679,222 1,649,638
AES Eastern Energy LP
Series 1999-1, Class A
9.000% 01/02/2017 468,174 531,377
Asset Securitization Corp.
Series 1995-MD4,
Class A1
7.100% 08/13/2029 1,283,328 1,324,815
Countrywide Home
Loans, Inc.
Series 2003-42,
Class 1A1
3.762% 09/25/2033 754,567 749,308
Countrywide Home
Loans, Inc.
Series 2004-23,
Class 1A1
4.325% 02/25/2034 732,004 735,187
CS First Boston Mortgage
Securities Corp.
Series 1998-C2,
Class A1
5.960% 11/11/2030 1,240,913 1,270,472
CS First Boston Mortgage
Securities Corp.
Series 2003-7,
Class 1A24
4.500% 02/25/2033 903,839 902,841
</Table>
The accompanying notes are an integral part of the financial statements.
26
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
CS First Boston Mortgage
Securities Corp.
Series 2004-C1,
Class A1
2.254% 01/15/2037 $ 1,048,687 $ 1,026,238
GSR Mortgage Loan
Trust Series 2004-9
4.708% 08/25/2034 1,316,450 1,329,481
IndyMac Bancorp, Inc.
Mortgage Loan Trust
Series 2004-AR4,
Class 1A
4.783% 08/25/2034 2,172,461 2,196,721
MASTR Asset
Securitization Trust
Series 2002-6,
Class 6A1
6.500% 10/25/2032 212,430 214,392
MASTR Asset
Securitization Trust
Series 2003-12,
Class 6A1
5.000% 12/25/2033 2,736,358 2,687,900
Merrill Lynch Mortgage
Investors, Inc.
Series 1998-C1,
Class A1
6.310% 11/15/2026 1,117,644 1,135,728
Merrill Lynch Mortgage
Investors, Inc.
Series 2003-A4,
Class IA
4.281% 07/25/2033 695,240 697,531
Merrill Lynch Mortgage
Investors, Inc.
Series 2004-A1,
Class IA
4.155% 02/25/2034 367,709 368,061
Morgan Stanley
Mortgage Loan Trust
Series 2004-2AR,
Class 1A
5.218% 02/25/2034 198,155 200,978
Starwood Commercial
Mortgage Trust
Series 1999-C1A,
Class B+++
6.920% 02/03/2014 3,000,000 3,304,026
Structured Adjustable
Rate Mortgage Loan
Trust Series 2004-2,
Class 2A
5.070% 03/25/2034 1,576,242 1,590,044
Structured Asset
Securities Corp.
Series 2002-11A,
Class 2A1
5.600% 06/25/2032 $ 578,615 $ 588,716
Structured Asset
Securities Corp.
Series 2003-30,
Class 1A1
5.500% 10/25/2033 2,059,556 2,067,022
Vendee Mortgage Trust
Series 1992-1,
Class 2Z
7.750% 05/15/2022 929,653 1,014,746
Washington Mutual
MSC Mortgage Pass-
Through Certificates
Series 2004-RA1,
Class 2A
7.000% 03/25/2034 1,446,575 1,486,604
Washington Mutual
MSC Mortgage Pass-
Through Certificates,
Series 2004-RA4,
Class 2A
6.500% 08/25/2034 508,753 528,109
Washington Mutual, Inc.
Series 2003-S11,
Class A1
5.000% 11/25/2033 3,039,721 2,986,129
Washington Mutual, Inc.
Series 2004-AR2,
Class A
2.995% 04/25/2044 2,162,305 2,179,180
Wells Fargo Mortgage
Backed Securities
Trust Series 2004-P,
Class 2A1
4.278% 09/25/2034 1,783,272 1,773,388
----------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $34,304,884) 34,538,632
----------------
SOVEREIGN DEBT OBLIGATIONS -- 0.2%
Republic of South Africa
6.500% 06/02/2014 725,000 793,875
United Mexican States
8.375% 01/14/2011 685,000 804,533
----------------
TOTAL SOVEREIGN
DEBT OBLIGATIONS
(COST $1,482,802) 1,598,408
----------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 5.7%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 1.2%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.1%
FHLMC
Series W067, Class A
6.420% 12/01/2005 $ 802,728 $ 822,765
----------------
PASS-THROUGH SECURITIES -- 1.1%
FHLMC
4.250% 07/15/2009 3,820,000 3,886,395
FHLMC
6.000% 09/01/2016-
02/01/2018 981,982 1,029,392
FHLMC
6.500% 08/01/2016-
09/01/2016 722,578 765,651
FHLMC
6.625% 09/15/2009 3,250,000 3,631,224
FHLMC
7.500% 02/01/2030-
03/01/2031 1,344,156 1,442,953
FHLMC
8.000% 08/01/2026-
03/01/2028 369,729 402,606
FHLMC
9.000% 03/01/2017 39,671 42,841
----------------
TOTAL PASS-THROUGH SECURITIES 11,201,062
----------------
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) 12,023,827
================
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 1.0%
PASS-THROUGH SECURITIES
FNMA
2.250% 05/15/2006 4,225,000 4,174,929
FNMA
4.625% 10/15/2013 2,900,000 2,925,829
FNMA
6.000% 05/01/2016-
06/01/2016 393,842 413,349
FNMA
7.000% 01/01/2031-
05/01/2031 1,770,107 1,878,318
FNMA
7.500% 09/01/2029-
05/01/2030 573,322 615,122
FNMA
8.000% 05/01/2013-
09/01/2031 528,678 573,302
----------------
TOTAL PASS-THROUGH SECURITIES 10,580,849
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
27
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 3.4%
PASS-THROUGH SECURITIES
GNMA
5.000% 02/15/2034 $ 5,175,307 $ 5,183,596
GNMA
5.500% 06/15/2033-
09/15/2034 20,032,186 20,468,339
GNMA
6.000% 01/15/2032-
08/15/2032 3,051,147 3,161,482
GNMA
6.500% 10/15/2028-
03/15/2029 2,984,054 3,162,397
GNMA
7.000% 04/15/2023-
08/15/2032 591,259 632,044
GNMA
7.250% 06/20/2021-
05/20/2022 1,351,863 1,451,245
GNMA
7.500% 09/15/2016-
10/15/2017 570,448 614,367
GNMA
8.000% 05/15/2005-
05/15/2008 490,167 533,438
GNMA
9.000% 08/15/2008-
09/15/2009 164,209 174,645
----------------
TOTAL PASS-THROUGH SECURITIES 35,381,553
----------------
OTHER AGENCIES -- 0.1%
PASS-THROUGH SECURITIES
New Valley Generation IV
4.687% 01/15/2022 365,541 366,941
----------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $57,536,430) 58,353,170
----------------
U.S. TREASURY OBLIGATIONS -- 3.6%
U.S. TREASURY BONDS -- 1.8%
U.S. Treasury Bond+
6.125% 08/15/2029 3,235,000 3,793,543
U.S. Treasury Bond**
8.750% 05/15/2017 10,750,000 15,055,040
----------------
TOTAL U.S. TREASURY BONDS 18,848,583
----------------
U.S. TREASURY NOTES -- 1.8%
U.S. Treasury Note+
2.500% 10/31/2006 1,150,000 1,139,309
U.S. Treasury Note+
3.375% 11/15/2008 4,025,000 4,014,623
U.S. Treasury Note
4.000% 02/15/2014 $ 10,210,000 $ 10,068,018
U.S. Treasury Note
5.625% 05/15/2008 2,675,000 2,869,146
----------------
TOTAL U.S. TREASURY NOTES 18,091,096
----------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $34,155,471) 36,939,679
----------------
TOTAL BONDS & NOTES
(COST $274,491,997) 282,966,320
----------------
TOTAL LONG TERM INVESTMENTS
(COST $759,715,087) 944,535,744
----------------
SHORT-TERM INVESTMENTS -- 13.2%
CASH EQUIVALENTS -- 4.8%***
American AAdvanage
Select Money
Market Fund 577,768 577,768
Bank of America
Bank Note
2.260% 02/15/2005 $ 431,627 431,627
Bank of America
Bank Note
2.270% 01/18/2005 1,007,129 1,007,129
Bank of America
Bank Note
2.270% 03/03/2005 1,870,383 1,870,383
Bank of America
Bank Note
2.300% 06/09/2005 1,007,129 1,007,129
Bank of Montreal
Eurodollar Time Deposit
2.125% 02/02/2005 438,821 438,821
Bank of Montreal
Eurodollar Time Deposit
2.260% 01/28/2005 455,968 455,968
BGI Institutional Money
Market Fund 5,179,521 5,179,521
BNP Paribas
Eurodollar Time Deposit
2.300% 01/03/2005 287,751 287,751
Calyon
Eurodollar Time Deposit
2.435% 03/16/2005 1,231,575 1,231,575
Canadian Imperial
Bank of Commerce
Bank Note
2.030% 05/18/2005 2,877,512 2,877,512
Citigroup
Eurodollar Time
Deposit
2.080% 01/28/2005 1,129,423 1,129,423
Den Danske Bank
Eurodollar Time Deposit
2.260% 01/20/2005 $ 1,726,507 $ 1,726,507
Dexia Group
Eurodollar Time Deposit
2.040% 01/21/2005 575,502 575,502
Federal Home Loan
Bank Discount Note
2.184% 01/05/2005 1,787,355 1,787,355
Fortis Bank
Eurodollar Time Deposit
2.140% 01/12/2005 575,502 575,502
Fortis Bank
Eurodollar Time Deposit
2.200% 02/11/2005 431,627 431,627
Fortis Bank
Eurodollar Time Deposit
2.260% 01/05/2005 2,373,947 2,373,947
Freddie Mac
Discount Note
2.184% 01/04/2005 2,010,965 2,010,965
Freddie Mac
Discount Note
2.228% 02/01/2005 536,863 536,863
Freddie Mac
Discount Note
2.277% 02/01/2005 2,512,405 2,512,405
General Electric
Capital Corp.
2.294% 01/21/2005 819,324 819,324
General Electric
Capital Corp.
2.295% 01/10/2005 1,401,797 1,401,797
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
2.025% 01/21/2005 661,828 661,828
Lloyds TSB Bank
Eurodollar Time Deposit
2.280% 02/02/2005 704,990 704,990
Merrill Lynch Premier
Institutional Money
Market Fund 949,583 949,583
Merrimac Cash Fund,
Premium Class 2,158,134 2,158,134
Morgan Stanley Dean
Witter & Co.
2.393% 07/19/2005 1,899,158 1,899,158
Royal Bank of Canada
Eurodollar Time Deposit
2.250% 01/19/2005 1,438,756 1,438,756
Royal Bank of Canada
Eurodollar Time Deposit
2.260% 02/01/2005 1,151,005 1,151,005
</Table>
The accompanying notes are an integral part of the financial statements.
28
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Royal Bank of Scotland
Eurodollar Time Deposit
2.015% 01/21/2005 $ 1,660,324 $ 1,660,324
Royal Bank of Scotland
Eurodollar Time Deposit
2.270% 02/02/2005 863,253 863,253
Royal Bank of Scotland
Eurodollar Time Deposit
2.360% 02/17/2005 143,876 143,876
Toronto Dominion Bank
Eurodollar Time Deposit
2.420% 03/01/2005 1,438,756 1,438,756
Wells Fargo
Eurodollar Time Deposit
2.270% 01/25/2005 359,689 359,689
Wells Fargo
Eurodollar Time Deposit
2.310% 01/28/2005 1,438,756 1,438,756
Wells Fargo
Eurodollar Time Deposit
2.320% 01/14/2005 3,447,259 3,447,259
----------------
49,561,768
----------------
COMMERCIAL PAPER -- 8.4%
Albertson's, Inc.+++
2.150% 01/24/2005 2,900,000 2,896,016
Alcoa, Inc.
2.350% 02/16/2005 4,900,000 4,885,286
Alcoa, Inc.
2.370% 02/07/2005 1,400,000 1,396,590
Autoliv ASP, Inc.+++
2.310% 01/06/2005 2,500,000 2,499,198
Clorox Co.
2.400% 01/14/2005 1,600,000 1,598,613
Clorox Co.
2.430% 01/13/2005 3,100,000 3,097,489
DaimlerChrysler North
America Holding Corp.
2.500% 01/20/2005 3,000,000 2,996,042
DaimlerChrysler North
America Holding Corp.
2.540% 01/26/2005 1,210,000 1,207,866
Dominion
Resources, Inc.+++
2.400% 01/12/2005 3,000,000 2,997,800
Dominion
Resources, Inc.+++
2.420% 01/05/2005 3,780,000 3,778,985
Dow Jones &
Co., Inc.+++
2.200% 01/10/2005 2,500,000 2,498,625
Exelon Corp.+++
2.400% 01/19/2005 2,700,000 2,696,760
Gannett Co., Inc.
2.180% 01/07/2005 $ 4,000,000 $ 3,998,547
General Mills, Inc.+++
2.300% 01/18/2005 3,000,000 2,996,742
General Mills, Inc.+++
2.470% 01/10/2005 500,000 499,691
John Deere
Capital Corp.+++
2.370% 01/04/2005 2,775,000 2,774,452
John Deere
Capital Corp.+++
2.420% 01/21/2005 1,585,000 1,582,869
Kellogg Co.+++
2.400% 01/12/2005 1,250,000 1,249,083
Kellogg Co.+++
2.400% 01/25/2005 2,575,000 2,570,880
KeySpan Corp.+++
2.300% 01/19/2005 2,900,000 2,896,665
KeySpan Corp.+++
2.370% 01/20/2005 1,455,000 1,453,180
KeySpan Corp.+++
2.440% 01/25/2005 2,500,000 2,495,933
L'Oreal USA, Inc.+++
2.330% 01/31/2005 4,000,000 3,992,233
National Fuel Gas Co.
2.400% 01/14/2005 1,790,000 1,788,449
OGE Energy Corp.+++
2.300% 01/03/2005 3,235,000 3,234,587
Reed Elsevier+++
2.310% 01/03/2005 3,000,000 2,999,615
Textron Financial Corp.
2.360% 01/11/2005 2,700,000 2,698,230
Textron Financial Corp.
2.400% 01/21/2005 1,250,000 1,248,333
Textron Financial Corp.
2.410% 01/28/2005 1,225,000 1,222,786
Textron Financial Corp.
2.430% 02/04/2005 1,410,000 1,406,764
Tribune Co.+++
2.320% 01/27/2005 1,930,000 1,926,766
Walt Disney Co.
2.200% 01/05/2005 2,310,000 2,309,435
Walt Disney Co.
2.310% 01/19/2005 1,850,000 1,847,863
Walt Disney Co.
2.370% 01/24/2005 1,140,000 1,138,274
WellPoint, Inc.+++
2.380% 01/13/2005 1,210,000 1,209,040
WellPoint, Inc.+++
2.410% 01/12/2005 2,010,000 2,008,520
WellPoint, Inc.+++
2.410% 01/18/2005 $ 2,640,000 $ 2,636,995
----------------
86,735,202
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 136,296,970
----------------
TOTAL INVESTMENTS -- 104.9%
(COST $896,012,057)**** 1,080,832,714
OTHER ASSETS/
(LIABILITIES) -- (4.9%) (50,791,644)
----------------
NET ASSETS -- 100.0% $ 1,030,041,070
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
REIT - Real Estate Investment Trust
* Non-income producing security.
** This security is held as collateral for open futures contracts. (NOTE 2).
*** Represents investments of security lending collateral. (NOTE 2).
**** See Note 7 for aggregate cost for Federal tax purposes.
+ Denotes all or a portion of security on loan.
++ This security is valued in good faith under procedures established by the
board of trustees.
+++ 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,
2004, these securities amounted to a value of $79,530,248 or 7.7% of net
assets.
++++ Security is currently in default.
The accompanying notes are an integral part of the financial statements.
29
<Page>
MML EQUITY FUND - PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2004
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 99.5%
ADVERTISING -- 0.0%
Interpublic Group of
Companies, Inc.* + 30,600 $ 410,040
Omnicom Group, Inc. 1,900 160,208
----------------
570,248
----------------
AEROSPACE & DEFENSE -- 3.4%
Boeing Co. 49,500 2,562,615
General Dynamics Corp. 6,700 700,820
Goodrich Corp. 44,100 1,439,424
Honeywell
International, Inc. 16,800 594,888
Lockheed Martin Corp. 269,900 14,992,945
Northrop Grumman Corp. 5,700 309,852
Raytheon Co. 7,200 279,576
Rockwell Collins, Inc. 677,400 26,716,656
United Technologies Corp. 7,600 785,460
----------------
48,382,236
----------------
APPAREL, TEXTILES & SHOES -- 2.3%
Coach, Inc.* 1,900 107,160
The Gap, Inc. 25,900 547,008
Jones Apparel Group, Inc. 23,900 874,023
Limited Brands 1,209,500 27,842,690
Liz Claiborne, Inc. 1,700 71,757
Nike, Inc. Cl. B 4,100 371,829
Nordstrom, Inc. 14,500 677,585
Reebok International
Limited+ 1,000 44,000
VF Corp.+ 25,300 1,401,114
----------------
31,937,166
----------------
AUTOMOTIVE & PARTS -- 0.6%
American Axle &
Manufacturing
Holdings, Inc. 15,800 484,428
Autoliv, Inc. 19,700 951,510
AutoNation, Inc.* 2,600 49,946
BorgWarner, Inc. 16,200 877,554
Cooper Tire &
Rubber Co.+ 900 19,395
Dana Corp. 28,400 492,172
Ford Motor Co.+ 65,100 953,064
General Motors Corp.+ 31,800 1,273,908
Genuine Parts Co. 4,100 180,646
The Goodyear Tire &
Rubber Co.* + 2,700 39,582
Harley-Davidson, Inc. 2,700 164,025
Lear Corp. 20,400 1,244,604
Magna International,
Inc. Cl. A+ 11,400 941,070
Paccar, Inc. 8,300 $ 667,984
SPX Corp.+ 1,600 64,096
----------------
8,403,984
----------------
BANKING, SAVINGS & LOANS -- 15.1%
AmSouth Bancorporation+ 9,000 233,100
Bank of America Corp. 736,400 34,603,436
Bank of New York
Co., Inc. 7,400 247,308
BB&T Corp. 8,300 349,015
Capital One
Financial Corp. 2,600 218,946
Citigroup, Inc.+ 1,078,500 51,962,130
Comerica, Inc. 28,100 1,714,662
Fannie Mae 27,800 1,979,638
Fifth Third Bancorp 8,600 406,608
First Horizon
National Corp.+ 1,900 81,909
Freddie Mac 382,000 28,153,400
Golden West
Financial Corp. 4,600 282,532
JP Morgan Chase & Co. 216,952 8,463,298
KeyCorp+ 57,500 1,949,250
M&T Bank Corp. 1,700 183,328
Marshall and Ilsley Corp. 3,400 150,280
Mellon Financial Corp. 6,400 199,104
National City Corp.+ 68,700 2,579,685
North Fork
Bancorporation, Inc. 7,050 203,393
Northern Trust Corp. 2,000 97,160
Providian
Financial Corp.* + 21,100 347,517
Regions Financial Corp. 44,124 1,570,373
SLM Corp. 381,100 20,346,929
Sovereign Bancorp, Inc. 5,300 119,515
State Street Corp. 100 4,912
SunTrust Banks, Inc. 29,900 2,209,012
Synovus Financial Corp. 4,800 137,184
U.S. Bancorp 124,200 3,889,944
Wachovia Corp. 285,349 15,009,357
Washington Mutual, Inc. 64,200 2,714,376
Wells Fargo & Co. 513,700 31,926,455
Zions Bancorp 1,400 95,242
----------------
212,428,998
----------------
BEVERAGES -- 2.6%
Brown-Forman
Corp. Cl. B 1,900 92,492
The Coca-Cola Co. 21,700 903,371
Coca-Cola
Enterprises, Inc. 7,800 162,630
Coors (Adolph) Co. Cl. B+ 600 45,402
Diageo PLC
Sponsored ADR
(United Kingdom)+ 580,200 $ 33,581,976
The Pepsi Bottling
Group, Inc.+ 10,100 273,104
PepsiCo, Inc. 28,300 1,477,260
----------------
36,536,235
----------------
BROADCASTING, PUBLISHING & PRINTING -- 4.2%
Clear Channel
Communications, Inc.+ 9,300 311,457
Comcast Corp. Cl. A* 85,700 2,852,096
Dow Jones & Co., Inc.+ 1,400 60,284
Gannett Co., Inc. 308,900 25,237,130
Knight Ridder, Inc.+ 1,300 87,022
The McGraw-Hill
Companies, Inc. 3,800 347,852
Meredith Corp. 2,900 157,180
New York Times
Co. Cl. A+ 2,300 93,840
Time Warner, Inc.* 167,100 3,248,424
Tribune Co. 2,900 122,206
Univision
Communications,
Inc. Cl. A* + 400 11,708
Viacom, Inc. Cl. A+ 36,100 1,338,588
Viacom, Inc. Cl. B 676,740 24,626,569
----------------
58,494,356
----------------
BUILDING MATERIALS & CONSTRUCTION -- 0.1%
Louisiana-Pacific Corp. 2,800 74,872
Martin Marietta
Materials, Inc. 12,000 643,920
Masco Corp. 6,900 252,057
Vulcan Materials Co. 2,500 136,525
----------------
1,107,374
----------------
CHEMICALS -- 4.0%
Air Products &
Chemicals, Inc. 2,200 127,534
Ashland, Inc. 10,400 607,152
Dow Chemical Co. 435,200 21,546,752
Du Pont (E.I.) de
Nemours & Co. 24,000 1,177,200
Eastman Chemical Co. 4,800 277,104
Engelhard Corp. 1,600 49,072
International Flavors &
Fragrances, Inc. 1,400 59,976
Monsanto Co. 17,900 994,345
PPG Industries, Inc. 459,700 31,333,152
Rohm & Haas Co. 3,600 159,228
----------------
56,331,515
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
30
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
COMMERCIAL SERVICES -- 2.1%
Apollo Group, Inc. Cl. A* 100 $ 8,071
Block (H&R), Inc.+ 2,900 142,100
Cendant Corp. 30,000 701,400
Cintas Corp. 2,600 114,036
Convergys Corp.* 2,200 32,978
Donnelley (R.R.) &
Sons Co. 1,200 42,348
eBay, Inc.* + 10,500 1,220,940
Ecolab, Inc.+ 2,400 84,312
Equifax, Inc. 7,300 205,130
Moody's Corp. 3,100 269,235
Paychex, Inc. 5,100 173,808
PerkinElmer, Inc. 20,700 465,543
Quest Diagnostics, Inc.+ 1,300 124,215
Robert Half
International, Inc. 1,300 38,259
Ryder System, Inc. 1,000 47,770
Waste Management, Inc. 885,660 26,516,660
----------------
30,186,805
----------------
COMMUNICATIONS -- 1.8%
ADC
Telecommunications, Inc.* 246,700 661,156
Avaya, Inc.* + 7,300 125,560
BCE, Inc.+ 732,400 17,672,812
Citizens
Communications Co. 4,800 66,192
Lucent
Technologies, Inc.* + 209,000 785,840
Network
Appliance, Inc.* + 5,200 172,744
Nextel Communications,
Inc. Cl. A* 4,800 144,000
Nortel Networks Corp.* 165,400 577,246
Qualcomm, Inc. 18,300 775,920
SBC Communications, Inc. 144,700 3,728,919
Scientific-Atlanta, Inc. 2,400 79,224
Tellabs, Inc.* 118,500 1,017,915
----------------
25,807,528
----------------
COMMUNICATIONS EQUIPMENT -- 0.1%
Motorola, Inc. 68,300 1,174,760
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.1%
Autodesk, Inc. 7,200 273,240
Computer Sciences Corp.* 5,800 326,946
Parametric
Technology Corp.* 31,700 186,713
Sun Microsystems, Inc.* 140,900 758,042
Unisys Corp.* 4,600 46,828
----------------
1,591,769
----------------
COMPUTER PROGRAMMING SERVICES -- 0.0%
Mercury
Interactive Corp.* + 1,200 54,660
----------------
COMPUTER RELATED SERVICES -- 0.1%
Ingram Micro, Inc. Cl. A* 40,600 $ 844,480
----------------
COMPUTERS & INFORMATION -- 3.4%
Apple Computer, Inc.* 236,400 15,224,160
Cisco Systems, Inc.* 109,200 2,107,560
Comverse
Technology, Inc.* 2,400 58,680
Dell, Inc.* 39,300 1,656,102
EMC Corp.* 37,900 563,573
International Business
Machines Corp. 268,800 26,498,304
International
Game Technology 3,800 130,644
Jabil Circuit, Inc.* 3,200 81,856
Lexmark
International, Inc.* 2,100 178,500
Quantum Corp.* 49,300 129,166
Solectron Corp.* 155,700 829,881
Symbol
Technologies, Inc.+ 3,000 51,900
Tech Data Corp.* + 17,600 799,040
----------------
48,309,366
----------------
COMPUTERS & OFFICE EQUIPMENT -- 0.4%
Electronic Data
Systems Corp. 7,400 170,940
Hewlett-Packard Co. 199,124 4,175,630
Pitney Bowes, Inc. 3,500 161,980
Xerox Corp.* 31,400 534,114
----------------
5,042,664
----------------
CONTAINERS -- 0.0%
Ball Corp. 3,000 131,940
Bemis Co., Inc. 1,400 40,726
Pactiv Corp.* 2,500 63,225
Sealed Air Corp.* 2,100 111,867
Temple-Inland, Inc. 900 61,560
----------------
409,318
----------------
COSMETICS & PERSONAL CARE -- 0.3%
Alberto-Culver Co. 1,500 72,855
Avon Products, Inc. 7,900 305,730
Colgate-Palmolive Co. 300 15,348
The Gillette Co. 16,900 756,782
Kimberly-Clark Corp. 7,900 519,899
The Procter & Gamble Co. 42,600 2,346,408
----------------
4,017,022
----------------
DATA PROCESSING & PREPARATION -- 0.9%
Affiliated Computer
Services, Inc. Cl. A* + 2,000 120,380
Automatic Data
Processing, Inc. 7,900 350,365
Deluxe Corp.+ 2,600 97,058
First Data Corp. 12,500 $ 531,750
Fiserv, Inc.* 262,600 10,553,894
IMS Health, Inc. 3,600 83,556
NCR Corp.* 5,500 380,765
----------------
12,117,768
----------------
ELECTRIC UTILITIES -- 4.3%
Alliant Energy Corp. 25,200 720,720
Ameren Corp.+ 2,600 130,364
American Electric
Power Co.+ 45,800 1,572,772
CenterPoint Energy, Inc.+ 4,700 53,110
Cinergy Corp. 2,600 108,238
CMS Energy Corp.* + 2,700 28,215
Consolidated
Edison, Inc.+ 3,800 166,250
Constellation Energy
Group, Inc. 31,500 1,376,865
Dominion Resources, Inc. 5,100 345,474
DTE Energy Co. 2,700 116,451
Duke Energy Corp. 27,500 696,575
Edison International 69,400 2,222,882
Entergy Corp. 324,300 21,919,437
Exelon Corp.+ 403,700 17,791,059
FirstEnergy Corp. 5,100 201,501
FPL Group, Inc. 2,700 201,825
NiSource, Inc. 4,300 97,954
Northeast Utilities 35,125 662,106
NSTAR 178,900 9,710,692
PG&E Corp.* 6,100 203,008
Pinnacle West
Capital Corp. 1,300 57,733
PPL Corp. 29,800 1,587,744
Progress Energy, Inc.+ 3,400 153,816
Public Service Enterprise
Group, Inc. 5,500 284,735
Southern Co.+ 10,100 338,552
Teco Energy, Inc.+ 2,700 41,418
TXU Corp.+ 4,100 264,696
----------------
61,054,192
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 1.9%
Agere Systems, Inc. Cl. A* 216,100 296,057
Altera Corp.* 900 18,630
American Power
Conversion Corp. 3,100 66,340
Analog Devices, Inc. 2,300 84,916
Arrow Electronics, Inc.* 30,600 743,580
Avnet, Inc.* 32,800 598,272
Broadcom Corp. Cl. A* 500 16,140
Celestica, Inc.* + 42,800 603,908
Emerson Electric Co. 10,700 750,070
Flextronics International
Limited* 53,900 744,898
</Table>
The accompanying notes are an integral part of the financial statements.
31
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Freescale Semiconductor,
Inc. Cl. B* 7,541 $ 138,453
General Electric Co. 472,000 17,228,000
Hubbell, Inc. Cl. B 16,500 862,950
Intel Corp. 101,300 2,369,407
Johnson Controls, Inc. 1,800 114,192
Kla-Tencor Corp.* 500 23,290
Linear Technology Corp.+ 4,700 182,172
Maxim Integrated
Products, Inc. 900 38,151
Micron
Technology, Inc.* + 600 7,410
National
Semiconductor Corp. 300 5,385
Qlogic Corp.* 1,500 55,095
Rockwell Automation, Inc. 6,900 341,895
Sanmina-SCI Corp.* + 39,000 330,330
Texas Instruments, Inc. 27,300 672,126
Thomas & Betts Corp.* + 19,600 602,700
Xilinx, Inc. 1,500 44,475
----------------
26,938,842
----------------
ENERGY -- 8.1%
Amerada Hess Corp. 2,800 230,664
Anadarko Petroleum Corp. 5,500 356,455
Apache Corp. 4,900 247,793
BJ Services Co. 1,600 74,464
BP PLC Sponsored ADR
(United Kingdom) 434,800 25,392,320
Burlington Resources, Inc. 6,000 261,000
ChevronTexaco Corp. 116,300 6,106,913
ConocoPhillips 51,347 4,458,460
Devon Energy Corp. 10,700 416,444
Dynegy, Inc. Cl. A* + 5,600 25,872
El Paso Corp. 16,600 172,640
EOG Resources, Inc. 1,600 114,176
Exxon Mobil Corp. 988,000 50,644,880
Halliburton Co. 7,100 278,604
Kerr-McGee Corp. 4,600 265,834
KeySpan Corp. 2,400 94,680
Kinder Morgan, Inc. 2,600 190,138
Marathon Oil Corp. 41,600 1,564,576
Nabors Industries
Limited* 3,200 164,128
Nicor, Inc.+ 700 25,858
Noble Corp.* 2,800 139,272
Occidental
Petroleum Corp. 324,200 18,920,312
Peoples Energy Corp. 600 26,370
Rowan Companies, Inc.* 2,300 59,570
Schlumberger Limited 5,500 368,225
Sempra Energy+ 40,200 1,474,536
Sunoco, Inc. 1,200 98,052
Transocean, Inc.* 4,100 $ 173,799
Unocal Corp. 3,600 155,664
Valero Energy Corp. 6,300 286,020
The Williams
Companies, Inc. 11,200 182,448
Xcel Energy, Inc. 26,400 480,480
----------------
113,450,647
----------------
ENTERTAINMENT & LEISURE -- 1.4%
Brunswick Corp. 900 44,550
Harrah's
Entertainment, Inc.+ 2,000 133,780
News Corp., Inc. Cl. A+ 18,700 348,942
The Walt Disney Co. 700,600 19,476,680
----------------
20,003,952
----------------
FINANCIAL SERVICES -- 5.0%
American Express Co. 467,500 26,352,975
Apartment Investment &
Management Co. Cl. A 1,400 53,956
Bear Stearns
Companies, Inc. 15,200 1,555,112
CIT Group, Inc. 3,200 146,624
Countrywide
Financial Corp. 5,498 203,481
E Trade Financial Corp.* 5,500 82,225
Federated Investors,
Inc. Cl. B 1,700 51,680
Franklin Resources, Inc. 3,900 271,635
The Goldman Sachs
Group, Inc. 26,000 2,705,040
Huntington
Bancshares, Inc.+ 53,000 1,313,340
Janus Capital Group, Inc. 3,900 65,559
Lehman Brothers
Holdings, Inc. 27,100 2,370,708
MBNA Corp. 19,200 541,248
Merrill Lynch & Co., Inc. 45,300 2,707,581
Morgan Stanley 561,240 31,160,045
PNC Financial Services
Group, Inc. 4,300 246,992
Price (T. Rowe)
Group, Inc. 1,200 74,640
ProLogis Trust 2,800 121,324
The Schwab
(Charles) Corp. 5,600 66,976
Simon Property
Group, Inc. 3,200 206,944
Standard and Poor's
Depository Receipts
Trust Series 1 4,000 483,600
----------------
70,781,685
----------------
FOODS -- 3.7%
Archer-Daniels-Midland Co. 81,600 $ 1,820,496
Campbell Soup Co. 6,800 203,252
ConAgra Foods, Inc. 8,800 259,160
Heinz (H. J.) Co. 643,200 25,078,368
Hershey Foods Corp. 6,400 355,456
Kellogg Co. 452,600 20,213,116
The Kroger Co.* 40,800 715,632
McCormick & Co., Inc. 2,300 88,780
Safeway, Inc.* 74,400 1,468,656
Sara Lee Corp. 53,500 1,291,490
Starbucks Corp.* 6,200 386,632
SuperValu, Inc. 10,000 345,200
Wrigley (Wm.) Jr. Co. 2,200 152,218
----------------
52,378,456
----------------
FOREST PRODUCTS & PAPER -- 2.7%
Georgia-Pacific Corp. 45,300 1,697,844
International Paper Co. 100 4,200
MeadWestvaco Corp. 41,300 1,399,657
Neenah Paper, Inc.* 239 7,791
Plum Creek Timber
Co., Inc. 6,500 249,860
Weyerhaeuser Co. 516,400 34,712,408
----------------
38,071,760
----------------
HEALTHCARE -- 0.2%
Caremark Rx, Inc.* 7,500 295,725
Express Scripts, Inc.* 1,900 145,236
GlaxoSmithKline PLC ADR
(United Kingdom)+ 18,700 886,193
HCA, Inc. 6,600 263,736
Humana, Inc.* 2,600 77,194
Laboratory Corp. of
America Holdings* 3,500 174,370
Manor Care, Inc. 1,200 42,516
UnitedHealth Group, Inc. 10,400 915,512
----------------
2,800,482
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.1%
Centex Corp.+ 1,600 95,328
KB Home 700 73,080
Leggett & Platt, Inc. 37,800 1,074,654
Pulte Homes, Inc. 1,100 70,180
Whirlpool Corp.+ 1,400 96,894
----------------
1,410,136
----------------
HOUSEHOLD PRODUCTS -- 0.4%
Black & Decker Corp.+ 2,600 229,658
The Clorox Co. 2,600 153,218
Corning, Inc.* 101,450 1,194,067
Fortune Brands, Inc. 1,900 146,642
Newell Rubbermaid, Inc.+ 62,400 1,509,456
</Table>
The accompanying notes are an integral part of the financial statements.
32
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Sherwin-Williams Co. 8,500 $ 379,355
Snap-On, Inc. 800 27,488
The Stanley Works+ 6,900 338,031
Unilever NV NY Shares
(Netherlands) 16,200 1,080,702
----------------
5,058,617
----------------
INDUSTRIAL - DISTRIBUTION -- 0.0%
Grainger (W.W.), Inc. 1,800 119,916
----------------
INDUSTRIAL - DIVERSIFIED -- 2.5%
3M Co. 6,700 549,869
Cooper Industries
Limited Cl. A 21,800 1,480,002
Danaher Corp. 7,400 424,834
Eaton Corp. 22,500 1,628,100
Illinois Tool Works, Inc. 4,700 435,596
ITT Industries, Inc. 1,400 118,230
Textron, Inc. 26,000 1,918,800
Tyco International Limited 818,600 29,256,764
----------------
35,812,195
----------------
INFORMATION RETRIEVAL SERVICES -- 0.1%
Yahoo!, Inc.* 18,400 693,312
----------------
INSURANCE -- 9.0%
ACE Limited 15,500 662,625
Aetna, Inc. 2,500 311,875
AFLAC, Inc. 689,000 27,449,760
Allstate Corp. 378,400 19,570,848
Ambac Financial
Group, Inc. 1,800 147,834
American International
Group, Inc. 492,500 32,342,475
Aon Corp. 5,000 119,300
Chubb Corp. 21,800 1,676,420
Cigna Corp. 5,200 424,164
Cincinnati Financial Corp. 2,520 111,535
Everest Re Group Limited 147,400 13,201,144
Genworth Financial,
Inc. Cl. A 44,000 1,188,000
The Hartford Financial
Services Group, Inc. 27,700 1,919,887
Jefferson-Pilot Corp. 2,200 114,312
Lincoln National Corp. 6,200 289,416
Loews Corp.+ 6,300 442,890
Manulife Financial Corp.+ 22,757 1,051,373
MBIA, Inc.+ 2,000 126,560
Metlife, Inc. 51,700 2,094,367
MGIC Investment Corp.+ 18,100 1,247,271
PartnerRe Limited 6,500 402,610
Principal Financial
Group, Inc. 4,900 200,606
Progressive Corp. 3,200 $ 271,488
Prudential Financial, Inc. 37,900 2,082,984
Radian Group, Inc. 316,800 16,866,432
Safeco Corp. 2,200 114,928
St. Paul
Travelers Companies 17,247 639,346
Torchmark Corp. 1,600 91,424
UnumProvident Corp. 7,800 139,932
WellPoint, Inc.* 4,700 540,500
XL Capital Limited Cl. A+ 14,900 1,156,985
----------------
126,999,291
----------------
LODGING -- 0.1%
Hilton Hotels Corp. 13,500 306,990
Marriott International,
Inc. Cl. A 3,800 239,324
Starwood Hotels &
Resorts Worldwide, Inc. 3,700 216,080
----------------
762,394
----------------
MACHINERY & COMPONENTS -- 0.1%
Baker Hughes, Inc. 5,300 226,151
Cummins, Inc. 1,700 142,443
Deere & Co. 100 7,440
Dover Corp. 3,000 125,820
Ingersoll-Rand Co. Cl. A 7,200 578,160
Pall Corp.+ 2,100 60,795
Parker-Hannifin Corp. 3,900 295,386
----------------
1,436,195
----------------
MANUFACTURING -- 0.0%
American Standard
Companies, Inc.* 3,200 132,224
Applied Materials, Inc.* 12,700 217,170
----------------
349,394
----------------
MEDICAL SUPPLIES -- 0.2%
Agilent Technologies, Inc.* 1,200 28,920
Applied Biosystems
Group-Applera Corp. 3,300 69,003
Bard (C.R.), Inc. 1,600 102,368
Bausch & Lomb, Inc. 2,700 174,042
Becton, Dickinson & Co. 6,600 374,880
Boston Scientific Corp.* 1,200 42,660
Fisher Scientific
International* 2,000 124,760
Guidant Corp. 15,400 1,110,340
Medtronic, Inc. 5,400 268,218
St. Jude Medical, Inc.* + 6,200 259,966
Tektronix, Inc. 1,500 45,315
Thermo Electron Corp.* 10,300 310,957
Waters Corp.* 1,800 84,222
----------------
2,995,651
----------------
METALS & MINING -- 0.5%
Alcan, Inc.+ 20,200 $ 990,608
Alcoa, Inc. 16,600 521,572
Crane Co. 5,700 164,388
Nucor Corp.+ 39,600 2,072,664
Phelps Dodge Corp. 4,000 395,680
United States Steel Corp.+ 37,500 1,921,875
Worthington
Industries, Inc. 20,300 397,474
----------------
6,464,261
----------------
PHARMACEUTICALS -- 5.0%
Abbott Laboratories 33,300 1,553,445
AmerisourceBergen Corp.+ 2,700 158,436
Amgen, Inc.* 14,200 910,930
Biogen Idec, Inc.* 3,700 246,457
Bristol-Myers Squibb Co. 66,000 1,690,920
Cardinal Health, Inc.+ 8,400 488,460
Eli Lilly & Co. 6,400 363,200
Forest
Laboratories, Inc.* + 4,000 179,440
Genzyme Corp.* 2,500 145,175
Gilead Sciences, Inc.* 1,200 41,988
Hospira, Inc.* 1,870 62,645
Johnson & Johnson 53,300 3,380,286
King
Pharmaceuticals, Inc.* 4,500 55,800
McKesson Corp. 6,900 217,074
Medco Health
Solutions, Inc.* 39,600 1,647,360
Merck & Co., Inc. 453,500 14,575,490
Mylan Laboratories, Inc.+ 200 3,536
Pfizer, Inc. 1,158,990 31,165,241
Sanofi-Aventis ADR
(France) 25,900 1,037,295
Sigma-Aldrich Corp. 1,000 60,460
Teva Pharmaceutical
Sponsored ADR (Israel)+ 403,300 12,042,538
Wyeth 23,100 983,829
----------------
71,010,005
----------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 2.1%
Eastman Kodak Co.+ 904,800 29,179,800
----------------
PREPACKAGED SOFTWARE -- 1.6%
Adobe Systems, Inc. 3,700 232,138
BMC Software, Inc.* 18,000 334,800
Citrix Systems, Inc.* 14,000 343,420
Computer Associates
International, Inc.+ 14,100 437,946
Compuware Corp.* 6,000 38,820
Intuit, Inc.* 4,500 198,045
Microsoft Corp. 683,000 18,242,930
</Table>
The accompanying notes are an integral part of the financial statements.
33
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Novell, Inc.* 5,500 $ 37,125
Oracle Corp.* 114,100 1,565,452
Peoplesoft, Inc.* 5,600 148,288
Siebel Systems, Inc.* 7,400 77,700
SunGard Data
Systems, Inc.* 4,400 124,652
Symantec Corp.* 21,200 546,112
Veritas Software Corp.* 6,300 179,865
----------------
22,507,293
----------------
REAL ESTATE -- 0.0%
Equity Office Properties Trust 6,100 177,632
Equity Residential 2,700 97,686
----------------
275,318
----------------
RESTAURANTS -- 2.1%
Darden Restaurants, Inc. 2,800 77,672
McDonald's Corp. 901,800 28,911,708
Wendy's International, Inc. 100 3,926
Yum! Brands, Inc. 5,500 259,490
----------------
29,252,796
----------------
RETAIL -- 0.7%
AutoZone, Inc.* 1,500 136,965
Best Buy Co., Inc. 5,700 338,694
Circuit City Stores, Inc.+ 26,100 408,204
Costco Wholesale Corp. 12,300 595,443
Dillards, Inc. Cl. A 1,500 40,305
Dollar General Corp. 100 2,077
Federated Department
Stores, Inc. 2,900 167,591
The Home Depot, Inc. 37,900 1,619,846
J.C. Penney Co., Inc. 7,900 327,060
Kohl's Corp.* 900 44,253
Lowe's Companies, Inc. 1,600 92,144
The May Department
Stores Co. 4,900 144,060
Office Depot, Inc.* 51,900 900,984
RadioShack Corp. 2,900 95,352
Sears, Roebuck and Co. 3,700 188,811
Staples, Inc. 8,800 296,648
Target Corp. 26,500 1,376,145
TJX Companies, Inc.+ 8,200 206,066
Wal-Mart Stores, Inc. 57,200 3,021,304
----------------
10,001,952
----------------
RETAIL - GROCERY -- 0.0%
Albertson's, Inc.+ 6,200 148,056
----------------
TELEPHONE UTILITIES -- 2.8%
Alltel Corp. 7,000 411,320
AT&T Corp. 26,700 508,902
BellSouth Corp. 69,100 1,920,289
CenturyTel, Inc. 3,200 113,504
Qwest Communications
International, Inc.* 3,300 $ 14,652
Sprint Corp. (FON Group) 166,849 4,146,198
Verizon
Communications, Inc. 799,400 32,383,694
----------------
39,498,559
----------------
TOBACCO -- 1.2%
Altria Group, Inc. 233,900 14,291,290
Reynolds American, Inc.+ 2,400 188,640
UST, Inc. 36,400 1,751,204
----------------
16,231,134
----------------
TOYS, GAMES -- 0.0%
Hasbro, Inc. 2,200 42,636
Mattel, Inc. 5,200 101,348
----------------
143,984
----------------
TRANSPORTATION -- 2.2%
Burlington Northern
Santa Fe Corp. 45,400 2,147,874
Carnival Corp. 100 5,763
CSX Corp. 35,300 1,414,824
FedEx Corp. 8,800 866,712
Norfolk Southern Corp. 59,000 2,135,210
Union Pacific Corp. 352,900 23,732,525
United Parcel Service,
Inc. Cl. B 11,300 965,698
----------------
31,268,606
----------------
TRAVEL -- 0.0%
Sabre Holdings Corp. 1,400 31,024
----------------
TOTAL EQUITIES
(COST $1,088,843,196) 1,400,878,157
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 6.5%
CASH EQUIVALENTS**
American AAdvanage
Select Money
Market Fund 1,063,034 1,063,034
Bank of America
Bank Note
2.260% 02/15/2005 $ 794,149 794,149
Bank of America
Bank Note
2.270% 01/18/2005 1,853,017 1,853,017
Bank of America
Bank Note
2.270% 03/03/2005 3,441,315 3,441,315
Bank of America
Bank Note
2.300% 06/09/2005 $ 1,853,017 $ 1,853,017
Bank of Montreal
Eurodollar Time Deposit
2.125% 02/02/2005 807,385 807,385
Bank of Montreal
Eurodollar Time Deposit
2.260% 01/28/2005 838,935 838,935
BGI Institutional Money
Market Fund 9,529,796 9,529,796
BNP Paribas
Eurodollar Time Deposit
2.300% 01/03/2005 529,433 529,433
Calyon
Eurodollar Time Deposit
2.435% 03/16/2005 2,265,973 2,265,973
Canadian Imperial
Bank of Commerce
Bank Note
2.030% 05/18/2005 5,294,332 5,294,332
Citigroup
Eurodollar Time Deposit
2.080% 01/28/2005 2,078,025 2,078,025
Den Danske Bank
Eurodollar Time Deposit
2.260% 01/20/2005 3,176,599 3,176,599
Dexia Group
Eurodollar Time Deposit
2.040% 01/21/2005 1,058,865 1,058,865
Federal Home Loan
Bank Discount Note
2.184% 01/05/2005 3,288,553 3,288,553
Fortis Bank
Eurodollar Time Deposit
2.140% 01/12/2005 1,058,866 1,058,866
Fortis Bank
Eurodollar Time Deposit
2.200% 02/11/2005 794,149 794,149
Fortis Bank
Eurodollar Time Deposit
2.260% 01/05/2005 4,367,823 4,367,823
Freddie Mac
Discount Note
2.184% 01/04/2005 3,699,973 3,699,973
Freddie Mac
Discount Note
2.228% 02/01/2005 987,775 987,775
Freddie Mac
Discount Note
2.277% 02/01/2005 4,622,572 4,622,572
General Electric
Capital Corp.
2.294% 01/21/2005 1,507,472 1,507,472
</Table>
The accompanying notes are an integral part of the financial statements.
34
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
General Electric
Capital Corp.
2.295% 01/10/2005 $ 2,579,164 $ 2,579,164
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
2.025% 01/21/2005 1,217,696 1,217,696
Lloyds TSB Bank
Eurodollar Time Deposit
2.280% 02/02/2005 1,297,111 1,297,111
Merrill Lynch Premier
Institutional Money
Market Fund 1,747,137 1,747,137
Merrimac Cash Fund,
Premium Class 3,970,748 3,970,748
Morgan Stanley Dean
Witter & Co.
2.393% 07/19/2005 3,494,259 3,494,259
Royal Bank of Canada
Eurodollar Time Deposit
2.250% 01/19/2005 2,647,166 2,647,166
Royal Bank of Canada
Eurodollar Time Deposit
2.260% 02/01/2005 2,117,733 2,117,733
Royal Bank of Scotland
Eurodollar Time Deposit
2.015% 01/21/2005 3,054,830 3,054,830
Royal Bank of Scotland
Eurodollar Time Deposit
2.270% 02/02/2005 1,588,300 1,588,300
Royal Bank of Scotland
Eurodollar Time Deposit
2.360% 02/17/2005 264,716 264,716
Toronto Dominion Bank
Eurodollar Time Deposit
2.420% 03/01/2005 2,647,165 2,647,165
Wells Fargo
Eurodollar Time Deposit
2.270% 01/25/2005 661,792 661,792
Wells Fargo
Eurodollar Time Deposit
2.310% 01/28/2005 2,647,166 2,647,166
Wells Fargo
Eurodollar Time Deposit
2.320% 01/14/2005 $ 6,342,607 $ 6,342,607
----------------
91,188,648
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 91,188,648
----------------
TOTAL INVESTMENTS -- 106.0%
(COST $1,180,031,844)*** 1,492,066,805
OTHER ASSETS/
(LIABILITIES) -- (6.0%) (84,152,188)
----------------
NET ASSETS -- 100.0% $ 1,407,914,617
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** See Note 7 for aggregate cost for Federal tax purposes.
+ Denotes all or a portion of security on loan.
The accompanying notes are an integral part of the financial statements.
35
<Page>
MML SERIES INVESTMENT FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2004
<Table>
<Caption>
MML MML
MONEY MANAGED MML MML
MARKET BOND BLEND EQUITY
FUND FUND FUND FUND
----------------- --------------- --------------- ---------------
ASSETS:
Investments, at value (NOTE 2)(a) $ - $ 376,019,425 $ 944,535,744 $ 1,400,878,157
Short-term investments, at value (NOTE 2)(b) 116,504,312 39,759,464 136,296,970 91,188,648
----------------- --------------- --------------- ---------------
Total Investments(c) 116,504,312 415,778,889 1,080,832,714 1,492,066,805
----------------- --------------- --------------- ---------------
Cash 834 3,245 17,943 5,139,382
Receivables from:
Investments sold - 259 2,161 -
Fund shares sold 228,312 335,930 52,792 60,813
Interest and dividends 5 4,083,321 4,237,048 3,367,281
Foreign taxes withheld - - - 17,987
----------------- --------------- --------------- ---------------
Total assets 116,733,463 420,201,644 1,085,142,658 1,500,652,268
----------------- --------------- --------------- ---------------
LIABILITIES:
Payables for:
Investments purchased - 2,427,581 4,773,726 228,486
Dividends (NOTE 2) 151,518 - - -
Fund shares repurchased 873,044 97,681 277,513 702,307
Variation margin on open futures
contracts (NOTE 2) - - 2,000 -
Securities on loan (NOTE 2) - 32,171,750 49,561,768 91,188,648
Directors' fees and expenses (NOTE 3) 16,138 34,417 103,695 124,289
Affiliates (NOTE 3):
Investment management fees 48,654 146,961 343,162 452,131
Accrued expenses and other liabilities 27,256 22,341 39,724 41,790
----------------- --------------- --------------- ---------------
Total liabilities 1,116,610 34,900,731 55,101,588 92,737,651
----------------- --------------- --------------- ---------------
NET ASSETS $ 115,616,853 $ 385,300,913 $ 1,030,041,070 $ 1,407,914,617
================= =============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 115,793,269 $ 379,861,435 $ 1,105,569,327 $ 1,299,784,474
Undistributed net investment income
(distributions in excess of net investment income) 26,416 (1,181,964) (390,072) (106,185)
Accumulated net realized loss on
investments, futures contracts and foreign
currency translations (202,832) (3,009,583) (259,985,494) (203,798,633)
Net unrealized appreciation on investments and
futures contracts - 9,631,025 184,847,309 312,034,961
----------------- --------------- --------------- ---------------
NET ASSETS $ 115,616,853 $ 385,300,913 $ 1,030,041,070 $ 1,407,914,617
================= =============== =============== ===============
Shares outstanding: 115,738,982 30,911,722 66,401,380 59,495,070
================= =============== =============== ===============
Net asset value, offering price and redemption
price per share: $ 1.00 $ 12.46 $ 15.51 $ 23.66
================= =============== =============== ===============
(a) Cost of investments: $ - $ 366,388,400 $ 759,715,087 $ 1,088,843,196
(b) Cost of short-term investments: $ 116,504,312 $ 39,759,464 $ 136,296,970 $ 91,188,648
(c) Securities on loan with market value of: $ - $ 31,472,559 $ 47,537,318 $ 87,746,382
</Table>
The accompanying notes are an integral part of the financial statements.
36
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2004
<Table>
<Caption>
MML MML
MONEY MANAGED MML MML
MARKET BOND BLEND EQUITY
FUND FUND FUND FUND
----------------- --------------- --------------- ---------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) $ - $ 32,812 $ 13,403,157 $ 32,076,361
Interest(b) 1,657,549 18,179,536 17,094,329 160,670
----------------- --------------- --------------- ---------------
Total investment income 1,657,549 18,212,348 30,497,486 32,237,031
----------------- --------------- --------------- ---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 622,120 1,702,829 4,094,742 5,113,168
Custody fees 8,169 - 124,436 125,230
Trustee reporting 4,481 - 6,356 7,045
Audit and legal fees 24,172 21,593 37,434 42,303
Proxy fees 527 - 127 942
Shareholder reporting fees 2,508 - 20,506 25,953
Directors' fees (NOTE 3) 11,532 20,720 95,017 123,756
----------------- --------------- --------------- ---------------
Total expenses 673,509 1,745,142 4,378,618 5,438,397
----------------- --------------- --------------- ---------------
NET INVESTMENT INCOME 984,040 16,467,206 26,118,868 26,798,634
----------------- --------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions (2,106) 2,303,471 52,058,864 86,258,160
Closed futures contracts - - (68,739) -
Foreign currency transactions - - - 2,579
----------------- --------------- --------------- ---------------
Net realized gain (loss) (2,106) 2,303,471 51,990,125 86,260,739
----------------- --------------- --------------- ---------------
Net change in unrealized appreciation
(depreciation) on:
Investments - (2,146,074) 7,458,785 84,743,459
Open futures contracts - - 26,652 -
----------------- --------------- --------------- ---------------
Net unrealized gain (loss) - (2,146,074) 7,485,437 84,743,459
----------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (2,106) 157,397 59,475,562 171,004,198
----------------- --------------- --------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 981,934 $ 16,624,603 $ 85,594,430 $ 197,802,832
================= =============== =============== ===============
(a) Net of withholding tax of: $ - $ - $ - $ 311,869
(b) Including securities lending income of: $ - $ 41,152 $ 55,740 $ 100,299
</Table>
The accompanying notes are an integral part of the financial statements.
37
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
MML MONEY MARKET FUND
-------------------------------------
YEAR YEAR
ENDED ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 984,040 $ 1,051,782
Net realized gain (loss) on investment transactions, futures contracts and
foreign currency transactions (2,106) 6,912
Net change in unrealized appreciation (depreciation) on investments and
futures contracts - -
----------------- -----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 981,934 1,058,694
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income (981,495) (1,051,782)
NET FUND SHARE TRANSACTIONS (NOTE 5) (26,005,097) (50,637,354)
----------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (26,004,658) (50,630,442)
NET ASSETS:
Beginning of year 141,621,511 192,251,953
----------------- -----------------
End of year $ 115,616,853 $ 141,621,511
================= =================
Undistributed net investment income (distributions in excess of net
investment income) included in net assets at end of the year $ 26,416 $ 23,871
================= =================
</Table>
The accompanying notes are an integral part of the financial statements.
38
<Page>
<Table>
<Caption>
MML MANAGED BOND FUND
-------------------------------------
YEAR YEAR
ENDED ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 16,467,206 $ 18,209,424
Net realized gain (loss) on investment transactions, futures contracts and
foreign currency transactions 2,303,471 4,113,006
Net change in unrealized appreciation (depreciation) on investments and
futures contracts (2,146,074) (790,234)
----------------- -----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 16,624,603 21,532,196
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income (17,870,402) (20,809,869)
NET FUND SHARE TRANSACTIONS (NOTE 5) 7,555,800 (7,958,705)
----------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 6,310,001 (7,236,378)
NET ASSETS:
Beginning of year 378,990,912 386,227,290
----------------- -----------------
End of year $ 385,300,913 $ 378,990,912
================= =================
Undistributed net investment income (distributions in excess of net
investment income) included in net assets at end of the year $ (1,181,964) $ (1,094,753)
================= =================
<Caption>
MML BLEND FUND
-------------------------------------
YEAR YEAR
ENDED ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 26,118,868 $ 25,393,868
Net realized gain (loss) on investment transactions, futures contracts and
foreign currency transactions 51,990,125 (7,325,284)
Net change in unrealized appreciation (depreciation) on investments and
futures contracts 7,485,437 160,549,385
----------------- -----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 85,594,430 178,617,969
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income (27,603,935) (27,002,708
NET FUND SHARE TRANSACTIONS (NOTE 5) (113,091,847) (114,913,552
----------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (55,101,352) 36,701,709
NET ASSETS:
Beginning of year 1,085,142,422 1,048,440,713
----------------- -----------------
End of year $ 1,030,041,070 $ 1,085,142,422
================= =================
Undistributed net investment income (distributions in excess of net
investment income) included in net assets at end of the year $ (390,072) $ (335,246
================= =================
<Caption>
MML EQUITY FUND
-------------------------------------
YEAR YEAR
ENDED ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 26,798,634 $ 21,105,964
Net realized gain (loss) on investment transactions, futures contracts and
foreign currency transactions 86,260,739 (81,586,348)
Net change in unrealized appreciation (depreciation) on investments and
futures contracts 84,743,459 355,529,848
----------------- -----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 197,802,832 295,049,464
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income (26,837,006) (21,136,767)
NET FUND SHARE TRANSACTIONS (NOTE 5) (101,489,287) (90,714,246)
----------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 69,476,539 183,198,451
NET ASSETS:
Beginning of year 1,338,438,078 1,155,239,627
----------------- -----------------
End of year $ 1,407,914,617 $ 1,338,438,078
================= =================
Undistributed net investment income (distributions in excess of net
investment income) included in net assets at end of the year $ (106,185) $ (69,461)
================= =================
</Table>
39
<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
12/31/04 12/31/03 12/31/02 12/31/01 12/31/00
---------- ---------- ---------- ---------- ----------
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 0.01 0.04 0.06
Net realized and unrealized gain (loss) on
investments (0.00)+ 0.00+ 0.00+ (0.00)+ -
---------- ---------- ---------- ---------- ----------
Total income from investment operations 0.01 0.01 0.01 0.04 0.06
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.01) (0.01) (0.01) (0.04) (0.06)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
TOTAL RETURN(a) 0.79% 0.62% 1.29% 3.66% 6.03%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 115,617 $ 141,622 $ 192,252 $ 203,691 $ 182,008
Net expenses to average daily net assets 0.53% 0.52% 0.52% 0.50% 0.51%
Net investment income to average daily net assets 0.77% 0.63% 1.27% 3.67% 5.86%
</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.
40
<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
12/31/04 12/31/03 12/31/02 12/31/01(b) 12/31/00
---------- ---------- ---------- ----------- ----------
NET ASSET VALUE, BEGINNING OF YEAR $ 12.51 $ 12.49 $ 12.27 $ 12.19 $ 11.61
---------- ---------- ---------- ----------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.56 0.57 0.67 0.74 0.77*
Net realized and unrealized gain (loss) on
investments (0.01) 0.11 0.33 0.20 0.50
---------- ---------- ---------- ----------- ----------
Total income from investment operations 0.55 0.68 1.00 0.94 1.27
---------- ---------- ---------- ----------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.60) (0.66) (0.70) (0.86) (0.69)
From net realized gains - - (0.08) - -
---------- ---------- ---------- ----------- ----------
Total distributions (0.60) (0.66) (0.78) (0.86) (0.69)
---------- ---------- ---------- ----------- ----------
NET ASSET VALUE, END OF YEAR $ 12.46 $ 12.51 $ 12.49 $ 12.27 $ 12.19
========== ========== ========== =========== ==========
TOTAL RETURN(a) 4.47% 5.59% 8.40% 7.89% 11.19%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 385,301 $ 378,991 $ 386,227 $ 293,109 $ 232,431
Net expenses to average daily net assets 0.46% 0.46% 0.47% 0.48% 0.49%
Net investment income to average daily net assets 4.38% 4.56% 5.51% 5.98% 6.54%
Portfolio turnover rate 102% 77% 41% 53% 20%
</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.
41
<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
12/31/04 12/31/03 12/31/02 12/31/01(b) 12/31/00
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF YEAR $ 14.66 $ 12.67 $ 14.76 $ 19.51 $ 23.51
----------- ----------- ----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.38 0.34 0.39 0.47 0.76*
Net realized and unrealized gain (loss) on
investments 0.87 2.01 (2.08) (1.69) (0.73)
----------- ----------- ----------- ----------- -----------
Total income (loss) from investment
operations 1.25 2.35 (1.69) (1.22) 0.03
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.40) (0.36) (0.40) (0.56) (0.70)
From net realized gains - - - (2.97) (3.33)
----------- ----------- ----------- ----------- -----------
Total distributions (0.40) (0.36) (0.40) (3.53) (4.03)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF YEAR $ 15.51 $ 14.66 $ 12.67 $ 14.76 $ 19.51
=========== =========== =========== =========== ===========
TOTAL RETURN(a) 8.68% 18.71% (11.53)% (5.75)% 0.02%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 1,030,041 $ 1,085,142 $ 1,048,441 $ 1,451,123 $ 1,836,095
Net expenses to average daily net assets 0.42% 0.42% 0.42% 0.40% 0.39%
Net investment income to average daily net assets 2.51% 2.44% 2.80% 2.85% 3.30%
Portfolio turnover rate 113% 101% 90% 87% 103%
</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 CHANGE IN
PRESENTATION.
The accompanying notes are an integral part of the financial statements.
42
<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
12/31/04 12/31/03 12/31/02 12/31/01 12/31/00
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF YEAR $ 20.82 $ 16.60 $ 21.28 $ 34.30 $ 36.56
----------- ----------- ----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.46 0.33 0.27 0.35 0.53*
Net realized and unrealized gain (loss) on
investments 2.84 4.22 (4.41) (5.23) 0.53
----------- ----------- ----------- ----------- -----------
Total income (loss) from investment
operations 3.30 4.55 (4.14) (4.88) 1.06
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.46) (0.33) (0.27) (0.62) (0.30)
From net realized gains - - (0.27) (7.52) (3.02)
----------- ----------- ----------- ----------- -----------
Total distributions (0.46) (0.33) (0.54) (8.14) (3.32)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF YEAR $ 23.66 $ 20.82 $ 16.60 $ 21.28 $ 34.30
=========== =========== =========== =========== ===========
TOTAL RETURN(a) 15.85% 27.49% (19.55)% (14.72)% 2.86%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $ 1,407,915 $ 1,338,438 $ 1,155,240 $ 1,667,665 $ 2,180,741
Net expenses to average daily net assets 0.41% 0.41% 0.42% 0.40% 0.40%
Net investment income to average daily net assets 2.01% 1.77% 1.33% 1.22% 1.47%
Portfolio turnover rate 36% 61% 67% 101% 69%
</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.
43
<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 ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed
consistently by each Fund in the preparation of the financial statements in
conformity with accounting principles generally accepted in the United States of
America ("generally accepted accounting principles"). The preparation of the
financial statements in accordance with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates.
INVESTMENT VALUATION
Equity securities are valued on the basis of valuations 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. Securities are typically valued on
the basis of valuations furnished by a primary pricing service or, if no such
valuation is available, from a secondary pricing service. However, valuation
methods approved by the Trust's Board of Trustees which are intended to reflect
fair value may be used when pricing service information is not readily available
or when a security's value is believed to have been materially affected by a
significant event, such as a natural disaster, an economic event like a
bankruptcy filing, or a substantial fluctuation in domestic or foreign markets,
that has occurred after the close of the exchange or market on which the
security is principally traded (for example, a foreign exchange or market). In
such a case, a Fund's value for a security is likely to be different from the
last quoted market price or pricing service information. Due to the subjective
and variable nature of fair value pricing, it is possible that the value
determined for a particular asset may be materially different from the value
realized upon such asset's sale.
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 are
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 is determined in accordance
with policies established by the Trustees.
44
<Page>
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, 2004, the 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 $ 31,472,559 $ 32,171,750
Blend Fund 47,537,318 49,561,768
Equity Fund 87,746,382 91,188,648
</Table>
REPURCHASE AGREEMENTS
The Money Market Fund, Managed Bond Fund and Blend Fund may enter into
repurchase agreements with certain banks and broker/dealers whereby a Fund
acquires a security for cash and obtains a simultaneous commitment from the
seller to repurchase the security at an agreed upon price and date. 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 certain tri-party
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 INVESTMENTS
Investment transactions are accounted for on the trade date. Realized gains and
losses on sales of investments and unrealized appreciation and depreciation of
investments are computed 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 DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income are declared and paid quarterly for the
Managed Bond and Blend Fund and annually for the Equity Fund and at other times
as may be required to satisfy tax or regulatory requirements. Dividends from net
investment income are declared daily and paid monthly for the 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.
45
<Page>
During the year ended December 31, 2004, 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
---------- -------------- --------------
Managed Bond Fund $ (5,114) $ (1,310,871) $ 1,315,985
Blend Fund (53,602) (1,376,639) 1,430,241
Equity Fund (10,103) 8,455 1,648
</Table>
FOREIGN CURRENCY TRANSLATION
The books and records of the Funds are maintained in U.S. dollars. The market
values of foreign currencies, foreign securities and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
at the mean of the buying and selling rates of such currencies against the U.S.
dollar at the end of each business day. Purchases and sales of foreign
securities and income and expense items are translated at the rates of exchange
prevailing on the respective dates of such transactions. The Funds do not
isolate that portion of the results of operations arising from changes in the
exchange rates from that portion arising from changes in the market prices of
securities.
Net realized foreign currency gains and losses resulting from changes in
exchange rates include foreign currency gains and losses between trade date and
settlement date on investment securities transactions, foreign currency
transactions and the difference between the amounts of dividends recorded on the
books of the Funds and the amount actually received.
FORWARD FOREIGN CURRENCY CONTRACTS
The Managed Bond and Blend Funds may enter into forward foreign currency
contracts in order to hedge the effect 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, 2004, the Funds had no open forward foreign currency contracts.
FORWARD COMMITMENTS
Each Fund may purchase or sell securities on a "when 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 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
46
<Page>
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.
At December 31, 2004, the Funds had no open forward commitments.
FINANCIAL FUTURES CONTRACTS
The Funds may purchase or sell financial futures 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. Futures contracts are valued at the
settlement price established each day by the board of trade or exchange on which
they are traded.
A summary of open futures contracts for the Blend Fund at December 31, 2004, is
as follows:
<Table>
<Caption>
NOTIONAL
NUMBER OF CONTRACT NET UNREALIZED
CONTRACTS TYPE EXPIRATION DATE VALUE APPRECIATION
- -------------- ------------- --------------- ------------ --------------
MML BLEND FUND
BUYS
8 S&P 500 Index 03/17/05 $ 2,427,400 $ 26,652
</Table>
3. MANAGEMENT FEES AND OTHER TRANSACTIONS
INVESTMENT MANAGEMENT FEE
Under agreements between the Trust and MassMutual on 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 investment sub-advisory agreements with Babson
Capital Management LLC ("Babson Capital"), (formerly known as David L. Babson &
Company Inc.) pursuant to which Babson Capital serves as each Fund's sub-adviser
providing day-to-day management of each Fund's investments. Babson Capital is a
wholly-owned subsidiary of DLB Acquisition Corporation, which is a controlled
subsidiary of MassMutual. Babson Capital 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
47
<Page>
that Babson Capital 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, 2005, 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, 2004.
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 COMPENSATION
Trustees of the Funds that are not employees of 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, 2004, no significant amounts have been deferred.
4. PURCHASES AND SALES OF INVESTMENTS
Cost of purchases and proceeds from sales of investment securities (excluding
short-term investments) for the year ended December 31, 2004, were as follows:
<Table>
<Caption>
LONG-TERM U.S. OTHER LONG-TERM
GOVERNMENT SECURITIES SECURITIES
--------------------- ---------------
PURCHASES
Managed Bond Fund $ 261,398,597 $ 121,781,403
Blend Fund 194,403,105 880,394,536
Equity Fund - 473,690,912
SALES
Managed Bond Fund $ 258,918,342 $ 109,771,041
Blend Fund 219,185,812 973,430,342
Equity Fund - 567,277,993
</Table>
48
<Page>
5. CAPITAL SHARE TRANSACTIONS
The Funds are authorized to issue an unlimited number 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, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
MONEY MARKET FUND
Sold 71,129,709 $ 71,054,507 105,705,023 $ 105,590,864
Issued as reinvestment of dividends 887,723 887,133 1,152,760 1,151,593
Redeemed (98,050,412) (97,946,737) (157,549,810) (157,379,811)
--------------- --------------- --------------- ---------------
Net increase (decrease) (26,032,980) $ (26,005,097) (50,692,027) $ (50,637,354)
=============== =============== =============== ===============
MANAGED BOND FUND
Sold 5,011,724 $ 62,646,073 7,918,246 $ 99,825,935
Issued as reinvestment of dividends 1,433,549 17,870,402 1,653,061 20,809,869
Redeemed (5,825,234) (72,960,675) (10,213,932) (128,594,509)
--------------- --------------- --------------- ---------------
Net increase (decrease) 620,039 $ 7,555,800 (642,625) $ (7,958,705)
=============== =============== =============== ===============
BLEND FUND
Sold 1,875,417 $ 27,896,784 2,306,539 $ 31,049,864
Issued as reinvestment of dividends 1,834,465 27,603,936 1,979,001 27,002,708
Redeemed (11,332,892) (168,592,567) (12,990,744) (172,966,124)
--------------- --------------- --------------- ---------------
Net increase (decrease) (7,623,010) $ (113,091,847) (8,705,204) $ (114,913,552)
=============== =============== =============== ===============
EQUITY FUND
Sold 2,161,283 $ 46,694,417 2,869,073 $ 51,938,991
Issued as reinvestment of dividends 1,132,862 26,837,006 1,019,277 21,136,767
Redeemed (8,073,229) (175,020,710) (9,220,071) (163,790,004)
--------------- --------------- --------------- ---------------
Net increase (decrease) (4,779,084) $ (101,489,287) (5,331,721) $ (90,714,246)
=============== =============== =============== ===============
</Table>
6. FOREIGN SECURITIES
The Funds may also invest in foreign 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.
7. FEDERAL INCOME TAX INFORMATION
At December 31, 2004, the cost of securities and the 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
INCOME TAX UNREALIZED UNREALIZED NET UNREALIZED
COST APPRECIATION DEPRECIATION APPRECIATION
--------------- --------------- --------------- ---------------
Managed Bond Fund $ 407,973,650 $ 9,852,800 $ (2,047,561) $ 7,805,239
Blend Fund 921,468,907 168,020,145 (8,656,338) 159,363,807
Equity Fund 1,195,185,638 304,952,025 (8,070,858) 296,881,167
</Table>
Note: The aggregate cost for investments for the Money Market Fund as of
December 31, 2004, is the same for financial reporting and Federal income tax
purposes.
49
<Page>
At December 31, 2004, the following Funds had available, for Federal income tax
purposes, unused capital losses:
<Table>
<Caption>
EXPIRING EXPIRING EXPIRING EXPIRING
2009 2010 2011 2012
--------------- --------------- ------------- ---------------
Money Market Fund $ 200,726 $ - $ - $ 618
Managed Bond Fund - 1,214,149 - -
Blend Fund 93,837,108 96,826,930 44,174,039 -
Equity Fund - 94,716,471 93,924,996 -
</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, 2004 was as follows:
<Table>
<Caption>
ORDINARY LONG TERM RETURN OF
INCOME CAPITAL GAIN CAPITAL
--------------- --------------- ---------------
Money Market Fund $ 981,495 $ - $ -
Managed Bond Fund 17,870,402 - -
Blend Fund 27,603,935 - -
Equity Fund 26,837,006 - -
</Table>
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, 2004, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED
ORDINARY CAPITAL LOSS OTHER TEMPORARY UNREALIZED
INCOME CARRYOVER DIFFERENCES APPRECIATION*
--------------- --------------- --------------- ---------------
Money Market Fund $ 39,459 $ (201,344) $ (14,531) $ -
Managed Bond Fund - (1,214,149) (1,151,612) 7,805,239
Blend Fund 13,814 (234,838,077) (94,453) 159,390,459
Equity Fund 2,631 (188,641,467) (112,188) 296,881,167
</Table>
* INCLUDES UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS, DERIVATIVES
AND FOREIGN CURRENCY DENOMINATED ASSETS AND LIABILITIES IF ANY.
The following Funds have elected to defer to January 1, 2005 post-October
losses:
<Table>
<Caption>
AMOUNT
---------------
Money Market Fund $ 1,488
Managed Bond Fund 1,120,583
</Table>
50
<Page>
8. PROXY VOTING (UNAUDITED)
A description of the policies and procedures that each Fund's investment adviser
and sub-advisers use to vote proxies relating to the Fund's portfolio securities
is available, without charge, upon request, by calling 1-888-309-3539, and on
the Securities and Exchange Commission's website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio
securities during the most recent 12-month period ended June 30 is available,
without charge, upon request, on the MassMutual website at
http://www.massmutual.com/retire and on the Securities and Exchange Commission's
website at http://www.sec.gov.
9. QUARTERLY REPORTING (UNAUDITED)
The Funds file their complete schedule of portfolio holdings with the SEC for
the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms
N-Q are available on the SEC website at http://www.sec.gov. The Funds' Forms N-Q
may be reviewed and copied at the SEC's Public Reference Room, which may be
obtained by calling 1-800-SEC-0330.
51
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO 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, 2004, 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 31, 2004 and the financial highlights for each of the five years
in the period ended December 31, 2004. 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 the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion of the effectiveness of the Funds'
internal control over financial reporting. Accordingly, we express no such
opinion. An audit includes examining, on a test basis, evidence supporting the
amounts and disclosures in the financial statements, assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. Our procedures included
confirmation of securities owned as of December 31, 2004 by correspondence with
the custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Funds as of December 31, 2004, the results of their operations, the changes in
their net assets for each of the two years in the period then ended and their
financial highlights for each of the five years in the period then ended in
conformity with accounting principles generally accepted in the United States of
America.
/s/ Deloitte & Touche LLP
Deloitte & Touche LLP
Boston, Massachusetts
February 11, 2005
52
<Page>
TRUSTEES AND OFFICERS (UNAUDITED)
The following table lists the Trust's trustees and officers as of December 31,
2004; 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
- ------------------------ ----------- ----------- ------------------------ ------------- -------------------------
Richard H. Ayers Trustee of Since Retired 39 Director, Applera
Age: 62 the Trust 1999 Corporation; Director
(since 2002), Instron
Corporation.
Mary E. Boland Trustee of Since Attorney at Law (since 39 Director (since 1999),
Age: 65 the Trust 1973 2004); Attorney at Law BankNorth Massachusetts;
(1965-2004), Egan, Director (since 1999),
Flanagan and Cohen, P.C. Massachusetts Educational
(law firm), Springfield, Financing Authority.
MA.
Richard W. Greene Trustee of Since Retired; Vice President 39
Age: 69 the Trust 1999 for Investments and
Treasurer (1998-2000),
University of Rochester
(private university).
F. William Marshall, Jr. Trustee of Since Consultant (since 1999); 39 Trustee (since 2000),
Age: 62 the Trust 1996 Chairman (1999), Family Board II Oppenheimer
Bank, F.S.B. (formerly Funds.
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 39 Director (since 2001),
Age: 56 the Trust 2003 Executive Officer (since Future Works, Inc.
1996), 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. 39
Age: 58 the Trust 2003
</Table>
53
<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 41 Chairman (since 1999),
Age: 49 and 1999 and Chief Investment President (1995-1999),
Trustee of Officer (since 1999), MassMutual Corporate
the Trust Chief Executive Director Investors and MassMutual
(1997-1999), MassMutual; Participation Investors
Chairman and Chief (closed-end investment
Executive Officer (since companies); Director
2001), President and (since 1999), Merrill
Chief Executive Officer Lynch Derivative
(1999-2001), Babson Products; Chairman (since
Capital Management LLC 1999), Director (since
(investment adviser). 1996), Antares Capital
Corporation (finance
company); Director (since
1996), HYP Management,
Inc. (managing member of
MassMutual High Yield
Partners LLC), and MMHC
Investment, Inc.
(investor in funds
sponsored by MassMutual);
Director (since 1994),
MassMutual Corporate
Value Partners Limited
(investor in debt and
equity securities) and
MassMutual Corporate
Value 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 of Since 2001 Executive Vice President 39
Age: 58 the Trust (since 2001), Senior Vice
President (1996-2001),
MassMutual.
</Table>
54
<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
- ------------------------ ----------- ----------- ------------------------ ------------- -------------------------
Robert E. Joyal Trustee of Since 2003 Retired; President 41 Trustee (since 2003),
Age: 59 the Trust (2001-2003), Managing President (1999-2003),
Director (2000-2001) and MassMutual Corporate
Executive Director Investors and MassMutual
(1999-2000), David L. Participation Investors
Babson & Company Inc.; (closed-end investment
Executive Director companies); Director
(1997-1999), (since 1996), Antares
Massachusetts Mutual Life Capital Corporation (bank
Insurance Company. loan syndication);
Director (since 1996),
First Israel Mezzanine
Investors Ltd. (general
partner and manager of
The Israel Mezzanine
Fund, L.P.); Director
(since 2003), Pemco
Aviation Group, Inc.
</Table>
55
<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 TRUSTEE
- ------------------------ ------------ ----------- -------------------------------------------------- -------------
David W. O'Leary President Since Senior Vice President (since 2001), MassMutual; 14
Age: 44 of the Trust 2004 Senior Vice President (1999-2001), Vice President
(1996-1999), Aetna Financial Services.
James S. Collins Chief Since Vice President (since 1999), Second Vice President 39
Age: 46 Financial 2000 (1990-1999), MassMutual.
Officer and
Treasurer of
Trust
Thomas M. Kinzler Vice Since Vice President and Associate General Counsel 59
Age: 49 President 1999 (since 1999), Second Vice President and Associate
and General Counsel (1996-1999), MassMutual.
Secretary of
the Trust
Toby Slodden Vice Since Executive Vice President (since 2003), Senior Vice 39
Age: 47 President of 2003 President (1999-2003), Vice President (1997-1999),
the Trust MassMutual.
Michael A. Chong Vice Since Vice President, Compliance (since 2004), Vice 59
Age: 47 President 2004 President and Associate General Counsel
and Chief (1999-2004), Second Vice President (1996-1999),
Compliance MassMutual.
Officer of
the Trust
Ian W. Sheridan Vice Since Vice President (since 2003), MassMutual; Vice 39
Age: 39 President 2004 President of Marketing and Business Development
of the Trust (1999-2003), Automatic Data Processing (ADP).
</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
FEDERAL TAX INFORMATION (UNAUDITED)
For corporate shareholders, a portion of the ordinary dividends paid during the
Fund's year ended December 31, 2004 qualified for the dividends received
deduction, as follows:
<Table>
Managed Bond Fund 0.19%
Blend Fund 46.00%
Equity Fund 100.00%
</Table>
56
<Page>
OTHER INFORMATION (UNAUDITED)
FUND EXPENSES DECEMBER 31, 2004
EXPENSE EXAMPLES
The following information is in regards to expenses for the six month period
ended December 31, 2004:
As a shareholder of the Funds, you incur ongoing costs, including management
fees and other Fund expenses. These examples are intended to help you understand
your ongoing costs (in dollars) of investing in the Funds and to compare these
costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested for the six month
period ended December 31, 2004.
ACTUAL EXPENSES
The first line of each table on the following pages provides information about
actual account values and actual expenses. You may use the information in this
line, together with the amount you invested, to estimate the expenses that you
paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line under the heading entitled "Operating Expenses
Incurred" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of each table on the following pages provides information about
hypothetical account values and hypothetical expenses based on the Fund's actual
expense ratio and an assumed rate of return of 5% per year before expenses,
which is not the Fund's actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or
expenses you paid for the period. You may use this information to compare the
ongoing costs of investing in the Fund and other funds. To do so, compare this
5% hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your
ongoing costs only. Therefore, the second line of the table is useful in
comparing ongoing costs only, and will not help you determine the relative total
costs of owning different funds.
The Funds incur ongoing operating expenses during the normal course of business,
such as management fees and other expenses. The following tables, assuming a
$1,000 investment in a class of shares, disclose the ending account value and
operating expenses incurred for the six months ended December 31, 2004, based
on, (1) the Fund's actual return and actual expenses, and (2) a hypothetical
annualized 5% return and the Fund's actual expenses:
57
<Page>
MONEY MARKET FUND
<Table>
<Caption>
OPERATING
BEGINNING ENDING EXPENSE
VALUE VALUE INCURRED*
------------- ------------- ----------
1) Actual $ 1,000.00 $ 1,005.50 $ 2.67
2) Hypothetical 1,000.00 1,022.47 2.69
</Table>
* EXPENSES ARE CALCULATED USING THE ANNUALIZED EXPENSE FOR THE SIX MONTHS
ENDED DECEMBER 31, 2004 OF 0.53%, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE
OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE PERIOD, DIVIDED BY
THE NUMBER OF DAYS IN THE YEAR.
MANAGED BOND FUND
<Table>
<Caption>
OPERATING
BEGINNING ENDING EXPENSE
VALUE VALUE INCURRED*
------------- ------------- ----------
1) Actual $ 1,000.00 $ 1,041.70 $ 2.36
2) Hypothetical 1,000.00 1,022.82 2.34
</Table>
* EXPENSES ARE CALCULATED USING THE ANNUALIZED EXPENSE FOR THE SIX MONTHS
ENDED DECEMBER 31, 2004 OF 0.46%, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE
OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE PERIOD, DIVIDED BY
THE NUMBER OF DAYS IN THE YEAR.
BLEND FUND
<Table>
<Caption>
OPERATING
BEGINNING ENDING EXPENSE
VALUE VALUE INCURRED*
------------- ------------- ----------
1) Actual $ 1,000.00 $ 1,060.40 $ 2.18
2) Hypothetical 1,000.00 1,023.03 2.14
</Table>
* EXPENSES ARE CALCULATED USING THE ANNUALIZED EXPENSE FOR THE SIX MONTHS
ENDED DECEMBER 31, 2004 OF 0.42%, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE
OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE PERIOD, DIVIDED BY
THE NUMBER OF DAYS IN THE YEAR.
EQUITY FUND
<Table>
<Caption>
OPERATING
BEGINNING ENDING EXPENSE
VALUE VALUE INCURRED*
------------- ------------- ----------
1) Actual $ 1,000.00 $ 1,118.40 $ 2.18
2) Hypothetical 1,000.00 1,023.08 2.08
</Table>
* EXPENSES ARE CALCULATED USING THE ANNUALIZED EXPENSE FOR THE SIX MONTHS
ENDED DECEMBER 31, 2004 OF 0.41%, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE
OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE PERIOD, DIVIDED BY
THE NUMBER OF DAYS IN THE YEAR.
58
<Page>
[This page is intentionally left blank.]
<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 205
<Page>
ITEM 2 CODE OF ETHICS.
As of December 31, 2004, 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,
2004, 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 2004 and 2003 were $76,300 and $74,871,
respectively.
(b) AUDIT RELATED FEES: No such fees were billed to the Registrant by
Deloitte & Touche LLP for 2004 and 2003.
(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 2004 and 2003 were $10,829 and $12,114,
respectively.
(d) ALL OTHER FEES: No such fees were billed to the Registrant by
Deloitte & Touche LLP for 2004 or 2003.
(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 2004 and 2003 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 SCHEDULE OF INVESTMENTS
Not applicable to this filing.
ITEM 7 DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
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ITEM 8 PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY
AND AFFILIATED PURCHASERS.
Not applicable to this filing.
ITEM 9 SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable to this filing.
ITEM 10 CONTROLS AND PROCEDURES.
(a) The Registrant's Principal Executive Officer and Principal Financial
Officer concluded that the Registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act
of 1940) were effective based as of a date within 90 days prior to the
filing date of this report (the "Evaluation Date"), based on their
evaluation of the effectiveness of the Registrant's disclosure controls
and procedures as of 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 11 (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.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1
under the Act (17 CFR 270.23c-1) sent or given during the period covered
by the report by or on behalf of the registrant to 10 or more persons.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 as required by Rule 30a-2(b), under the Investment Company Act of
1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange
Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of
Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto
as Exhibit 99.906CERT.
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/ David W. O'Leary
--------------------------------------------------
David W. O'Leary, President and Principal Executive
Officer
Date 2/24/05
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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/ David W. O'Leary
--------------------------------------------------
David W. O'Leary, President and Principal Executive
Officer
Date 2/24/05
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By (Signature and Title): /s/ James S. Collins
---------------------------------------------------
James S. Collins, Treasurer and Principal Financial
Officer
Date 3/1/05
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