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As Of Filer Filing For·On·As Docs:Size Issuer Agent 2/26/19 MML Series Investment Fund II N-CSR 12/31/18 4:8.5M Donnelley … Solutions/FA → MML Blend Fund ⇒ Initial Class — Service Class → MML Dynamic Bond Fund ⇒ Class II — Service Class I → MML Equity Fund ⇒ Initial Class — Service Class → MML Equity Momentum Fund ⇒ Class II — Service Class I → MML Equity Rotation Fund ⇒ Class II — Service Class I → MML High Yield Fund ⇒ Class II — Service Class I → MML Inflation-Protected & Income Fund ⇒ Initial Class — Service Class → MML Managed Bond Fund ⇒ Initial Class — Service Class → MML Short-Duration Bond Fund ⇒ Class II — Service Class I → MML Small Cap Equity Fund ⇒ Initial Class — Service Class → MML Special Situations Fund ⇒ Class II — Service Class I → MML Strategic Emerging Markets Fund ⇒ Class II — Service Class I → MML U.S. Government Money Market Fund ⇒ Initial Class |
Document/Exhibit Description Pages Size 1: N-CSR Mml Series Investment Fund Ii HTML 4.50M 4: EX-99.906CERT Certification Pursuant to Section 906 HTML 9K 3: EX-99.CERT Certification Pursuant to Section 302 HTML 14K 2: EX-99.CODE Code of Ethics HTML 41K
MML Series Investment Fund II |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21714 | ||
MML Series Investment Fund II | ||
(Exact name of registrant as specified in charter) | ||
(Address of principal executive offices) (Zip code) | ||
(Name and address of agent for service) | ||
Registrant’s telephone number, including area code: (860) 562-1000 | ||
Date of fiscal year end: 12/31/2018 | ||
Date of reporting period: 12/31/2018 |
Item 1. Reports to Stockholders.
1 | ||||
3 | ||||
5 | ||||
Portfolio of Investments |
||||
17 | ||||
40 | ||||
45 | ||||
63 | ||||
64 | ||||
66 | ||||
68 | ||||
70 | ||||
74 | ||||
96 | ||||
97 | ||||
101 | ||||
Other Information (Unaudited) |
||||
102 | ||||
102 | ||||
103 |
This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MML Series Investment Fund II. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
To Our Shareholders
“MassMutual believes that those who invest with an eye toward helping their retirement savings withstand all market conditions have the potential for more favorable long-term financial outcomes.”
Despite the intense volatility, markets remained strong overall
I am pleased to present you with the MML Series Investment Fund II Annual Report, covering the year ended December 31, 2018.
During the year, U.S. stocks encountered more volatility than investors experienced in 2017, varying widely throughout most of the year before dropping into negative return territory to end the year. Global economic optimism faded during the year under the weight of geopolitical tensions, indications of slowing global growth, trade war rhetoric, and a more hawkish Federal Reserve Board. Foreign stocks in developed markets trailed their U.S. counterparts for the year, but generally fared better than emerging-market stocks. U.S. bond investors struggled to find positive returns in a rising yield environment fueled by rate hikes, a strong U.S. dollar, falling oil prices, and central bank policy.
In MassMutual’s view, the dynamics of the investment markets during the year validate the importance of retirement investors maintaining a long-term perspective rather than reacting to current headlines. We also believe that individuals who follow certain investment guidelines, such as the ones below, may enhance their retirement income.
Suggestions for retirement investors under any market conditions
Save as much as possible
While you can’t control – or predict the direction of – the investment markets at any given time, you can control how often and how much you contribute to your retirement savings account. Contributing as much as possible and increasing contribution levels regularly is one way retirement investors can help themselves reach their retirement income goals, regardless of how the markets perform.*
Invest continually
Financial professionals often advise their clients to stay in the market, regardless of short-term results. Here’s why: Individuals who can invest in all market conditions have the potential to be rewarded even during market downturns, when more favorable prices may enable them to accumulate larger positions. This has the potential to put them at an advantage when the markets turn around.
Invest for the long run
Investing for retirement doesn’t happen overnight. Many people save and invest for retirement throughout their working years. It may help you to keep in mind that, although the financial markets will go up and down over time, taking a long-term approach to investing gives you more time to ride out the downturns as you work toward achieving your long-term investment goals. Even if you are approaching or in retirement, your retirement savings will likely remain invested for a number of years before being withdrawn.
* | Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels. |
(Continued)
1
MML Series Investment Fund II – President’s Letter to Shareholders (Unaudited) (Continued)
Monitor your asset allocation regularly – and diversify
The most common retirement plan investments – stocks, bonds, and short-term/money market investments – typically (although not always) behave differently at any given time. Each of these asset classes contains an array of sub-categories, such as small-cap stocks, international stocks, and high-yield bonds. Many financial professionals believe that investors can reduce the risk of over-exposure to one or two poorly performing investment types by investing in a diverse mix of investment types and sub-categories.**
Choose the investments you feel are right for you – and seek professional guidance
Many financial advisors believe that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.
If you work with a financial professional, you may wish to consider reaching out to him or her for assistance in helping you ensure:
• | you are saving enough for retirement based on your long-term financial needs; |
• | your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as your investment time horizon; and |
• | you are taking the right steps to help reduce your longevity risk, which is the risk that you could “run out” of retirement savings during your lifetime. |
Why we do what we do
Acts of mutuality are happening all around us. Every day, people go out of their way to look out for each other, from lending a hand to making sure their loved ones are financially taken care of. MassMutual believes that your long-term financial security is crucial – and we recognize that you want to make sure your loved ones are financially taken care of. That’s why we’re committed to helping people financially protect their families and put themselves on the path to a more secure retirement. And that’s why we continually stress the importance of maintaining a long-term perspective on retirement planning. We believe that those who invest with an eye toward helping their retirement savings withstand all market conditions have the potential for more favorable long-term financial outcomes. Thank you for your continued confidence and trust in MassMutual.
Sincerely,
President
The information provided is the opinion of MML Investment Advisers, LLC as of 1/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
** | Diversification and asset allocation do not ensure a profit or protect against loss in a declining market, but can be sound investment strategies. |
2
Market Highlights
• | During 2018, U.S. stocks encountered more volatility than investors experienced in 2017, varying widely throughout most of the year before dropping into negative return territory to end the period. |
• | Global economic optimism faded during the year under the weight of geopolitical tensions, indications of slowing global growth, trade war rhetoric, and a more hawkish Federal Reserve Board (the “Fed”) tone. |
• | Foreign stocks in developed markets trailed their U.S. counterparts for the period, but generally fared better than emerging-market stocks. |
• | U.S. bond investors struggled to find positive returns in a rising yield environment fueled by rate hikes, a strong U.S. dollar, falling oil prices, and central bank policy. |
Market Environment
U.S. equity investors encountered increased volatility in 2018. Through the first month of 2018, stocks hit record levels following a year of steady gains in 2017. However, after a two-and-a-half-year streak of positive quarterly results, both the S&P 500® Index* (the “S&P 500”) and the Dow Jones Industrial AverageSM (the Dow) posted modest negative results for the first quarter of 2018.
During the first and second quarters of the year, markets fought to find their footing. Wage growth in the U.S. triggered a major sell-off in early February 2018, as investors sought to balance the likelihood of continued growth against Federal Open Market Committee (FOMC) intentions to raise the short-term federal funds rate several times in the year ahead. (The federal funds rate is the interest rate that banks and financial institutions charge each other for borrowing funds overnight.) Scrutiny concerning revelations about how social media companies use data, and in particular, how social media giant Facebook had allowed customer data to be mined without users’ knowledge, undercut investor confidence in the information technology sector, triggering several rounds of sell-offs. Political turbulence, which characterized the entire reporting period, unsettled markets as investors tried to assess the potential impacts of reduced taxes, increasing federal debt limits, and ongoing rhetoric over global trade wars.
Markets gained some traction through the third quarter of the year. The S&P 500 rebounded, ending the quarter in positive territory. Corporate earnings reports continued to show strong performance, markets seemingly shrugged off three Fed rate hikes, and progress seemed evident on the trade war front. By the end of September, both the Dow and the S&P 500 reached record territory again, but investors were unsettled.
In early October, Fed Chairman Jerome Powell’s statements that the central bank was “a long way” from neutral interest rates stoked fears of more frequent and higher rate hikes. Along with trade war concerns, international political jitters, a strengthening U.S. dollar, and declining oil prices, this seemed enough to trigger a broad market sell-off. October was the worst month for the S&P 500 since September 2011. Volatility continued through November, as investors looked for a lift following the U.S. midterm elections. Then, December brought another round of sell-offs, resulting in the worst performance for the month since 1931 for the Dow and S&P 500. By year-end, major equity markets dropped into negative return territory for the year for the first time since 2008.
At year-end, the broad market S&P 500 ended down 4.38% and the Dow followed a similar pattern, down 3.48%. The technology-heavy NASDAQ Composite Index ended down 2.84% for the year, as prominent technology companies like Facebook, Apple, Amazon, Netflix, and Google faced heavy sell-offs in the last quarter. Small- and mid-cap stocks underperformed their larger peers and growth stocks continued to outperform their value counterparts during the period.
* | Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment. |
3
MML Series Investment Fund II – Economic and Market Overview (Unaudited) (Continued)
The health care, information technology, and consumer discretionary sectors managed to end the year in positive territory and beat the S&P 500. The remaining sectors delivered negative returns, most lagging the S&P 500 and most falling below in the month of December. The reconfigured communication services and financials sectors delivered the worst performances for the year. (In September, the Global Industry Classification Standard (GICS) renamed the telecommunications sector and added media companies and internet services companies to the reconfigured communication services sector.)
Developed international markets, as measured by the MSCI EAFE® Index, trailed their domestic peers and ended the year down 13.79%. Developed international markets struggled to gain traction under the weight of a strong U.S. dollar, widespread local political issues, including floundering Brexit negotiations, and tariff speculations. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) Emerging-market stocks, as measured by the MSCI Emerging Markets Index, ended the year with a return of -14.58%.
The Fed reasserted its influence on markets through actual and forecasted rate hikes and a change in leadership during the year. Under new Fed Chairman Jerome Powell, the FOMC raised the target range for the federal funds rate four times. While investors had anticipated the rate hikes, the 1.00% total increase over the year – in tandem with prospects for additional hikes in 2019 – proved to be a headwind to overall market performance.
Bond yields rose during the fiscal year, with the 10-year U.S. Treasury bond crossing the 3.00% threshold multiple times. After starting the year at 2.46%, yields rose 0.22% to end at 2.68%. Since rising yields drive bond prices down, returns on the Bloomberg Barclays U.S. Aggregate Bond Index failed to move significantly through the year, ending at 0.01%. Investment-grade corporate bonds also fared poorly in the rising yield environment. The Bloomberg Barclays U.S. Corporate 10+ Year Bond Index, which tracks investment-grade corporate bonds, ended the year down 2.51%. The Bloomberg Barclays U.S. Corporate High Yield Index also ended in negative territory, down 2.08% for the year. In December, yield curve inversion added additional pessimism to investor sentiment. (Yield curve inversion occurs when yields on longer-term bonds drop below yields of shorter-term bonds.)
At the end of a volatile year in which returns fell well short of those enjoyed in 2017, investors generally feel compelled to evaluate their investment strategy. At MassMutual, we remain convinced that a broadly diversified portfolio aligned with a long-term strategy is the wisest course for those investors seeking retirement income. We remind you that it is important to maintain perspective and have realistic expectations about the future performance of your investment portfolio. As described in this report, financial markets can reverse suddenly, stumble along sideways, and reverse again. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to markets like these, with how long you have to save and invest, and with your specific financial goals and risk tolerance. Thank you for your confidence in MassMutual.
The information provided is the opinion of MML Investment Advisers, LLC as of 1/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
4
What is the investment approach of MML Blend Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve as high a level of total rate of return over an extended period of time as is considered consistent with prudent investment risk and the preservation of capital. The Fund invests across different asset classes (equity securities, fixed income securities, including bank loans and Rule 144A securities, and money market instruments), each represented by a different segment of the Fund’s portfolio. The subadviser typically adjusts the allocation among the three segments, based on its judgment about each segment’s potential for returns in comparison with those of other segments and corresponding risk. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned -4.34%, modestly outperforming the -4.38% return of the S&P 500® Index (the “stock component’s benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market. The Fund underperformed the 0.01% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “bond component’s benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable-rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Fund outperformed the -4.68% return of the Lipper Balanced Fund Index, an unmanaged, equally weighted index of the 30 largest mutual funds within the Lipper Balanced Category. Finally, the Fund underperformed the -2.26% return of the Custom Balanced Index (the “blend benchmark”), which comprises the stock component’s benchmark and the bond component’s benchmark. The weightings of each index are 60% and 40%, respectively.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
It was a difficult year to make money in financial markets. No major asset class had positive returns in 2018. According to Ned Davis Research, this has not occurred since 1972. For many years, the Fund has been overweight, relative to the benchmark, in stocks because U.S. corporations have been extraordinarily profitable. In the fourth quarter of 2018, the Fund moved to a neutral stance due to slowing economic activity outside of the U.S. and tighter monetary policy within the U.S.
Within the Fund’s equity portfolio, it was a year of extremes. In the first nine months of the year, the companies that had been growing their earnings and revenues the most had the highest returns. In the last quarter, these growth stocks were among the worst performers. (Growth stocks often do well when investors are worried about a slowdown because they are more likely than cyclical stocks to deliver cash flow in a downturn.) When investors’ concern turned into a panic, they abandoned these high-flying issues for the safety of stocks that have lower volatility, such as utilities.
The Fund was overweight, relative to the stock component’s benchmark, in the pharmaceuticals industry for most of the year. This is generally considered a growth sector, but it has more stable earnings than other higher growth sectors. The Fund was overweight Express Scripts, the pharmacy benefits manager. Cigna’s decision to purchase Express Scripts during the period caused the pharmacy benefits manager’s shares to rise sharply, which aided the Fund’s performance.
The Fund held a significantly overweight stake in financial firms throughout the year. Despite the fact that banks had been growing their earnings and improving their balance sheets and loan quality, the share prices of these stocks fell throughout the year as short-term interest rates rose. Since banks borrow at the short rate and lend at the long rate, investors tend to believe that increases in rates may hurt earnings. The Fund was overweight Bank of America, which declined 15% for the year.
Within the fixed-income component of the Fund, ABS was the primary contributor to performance. (Bond issuers create securitized bonds by pooling various types of contractual debt – such as mortgages, auto loans, or credit card debt.) This asset class is generally shorter in duration and, as a result, less sensitive to increases in interest rates that can hurt a bond’s performance. Student loans were the largest contributor within the ABS sector and shipping containers were the largest detractor. The Fund’s positions in investment-grade corporate bonds detracted from performance.
5
MML Blend Fund – Portfolio Manager Report (Unaudited) (Continued)
The equity portion of the Fund used derivatives, which resulted in a small gain to the Fund’s performance. (Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.) In the fixed-income segment, the Fund used derivative instruments for yield curve, duration, downside hedging, and to gain exposures. In aggregate, these positions positively contributed to performance.
Subadviser outlook
Fund management has long believed in U.S. equities for the fundamental reason that they consider them to be extremely profitable due to higher-than-average margins. However, the trade war is a threat to this regime because manufacturing companies in the U.S. have been significant beneficiaries of globalization and low tariffs. These manufacturers now face higher costs of intermediate goods. Over time, Fund management believes that companies will adapt to the tariffs by sourcing goods from cheaper locales or they will automate more processes, but this will take some time. In the interim, Fund managers believe that profits will suffer. Another threat, in their view, is that short-term interest rates have moved from 0.5% to over 2.5% in a little over a year and a half. Higher interest rates make it more expensive for companies to finance their operations, and this too, has the potential to harm profits. Against this backdrop, at year-end, the Fund was positioned to be neutral on equities and overweight bonds.
MML Blend Fund Portfolio Characteristics (% of Net Assets) on 12/31/18 |
||||
Common Stock |
60.2 | % | ||
Corporate Debt |
14.3 | % | ||
Non-U.S. Government Agency Obligations |
11.8 | % | ||
U.S. Government Agency Obligations and Instrumentalities |
10.3 | % | ||
U.S. Treasury Obligations |
1.6 | % | ||
Municipal Obligations |
0.3 | % | ||
Purchased Options |
0.3 | % | ||
Sovereign Debt Obligations |
0.3 | % | ||
Preferred Stock |
0.1 | % | ||
Mutual Funds |
0.0 | % | ||
|
|
|||
Total Long-Term Investments |
99.2 | % | ||
Short-Term Investments and Other Assets and Liabilities |
0.8 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
6
MML Blend Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Blend Fund Initial Class, Service Class, the S&P 500 Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom Balanced Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Five Year Average Annual 1/1/14 - 12/31/18 |
Ten Year Average Annual 1/1/09 - 12/31/18 |
|||||||||
Initial Class | -4.34% | 6.03% | 9.94% | |||||||||
Service Class |
-4.58% | 5.76% | 9.67% | |||||||||
S&P 500 Index* | -4.38% | 8.49% | 13.12% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index |
0.01% | 2.52% | 3.48% | |||||||||
Lipper Balanced Fund Index | -4.68% | 4.48% | 8.47% | |||||||||
Custom Balanced Index | -2.26% | 6.22% | 9.48% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
* Benchmark
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, the Bloomberg Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom Balanced Index are unmanaged, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
7
MML Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Equity Fund, and who are the Fund’s subadvisers?
The Fund’s primary objective is to achieve a superior total rate of return over an extended period of time from both capital appreciation and current income. Its secondary objective is the preservation of capital when business and economic conditions indicate that investing for defensive purposes is appropriate. The Fund invests primarily in common stocks of companies that the subadvisers believe are undervalued in the marketplace, with a focus on securities of larger size companies. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in common stocks, preferred stocks, securities convertible into common or preferred stocks, and other securities, such as warrants and stock rights, whose value is based on stock prices. The Fund typically invests most of its assets in securities of U.S. companies, but may invest up to 25% of its total assets in foreign securities and American Depositary Receipts (“ADRs”), including developed and emerging market securities. The Fund may invest up to 10% of its net assets in debt securities. The Fund’s two subadvisers are OppenheimerFunds, Inc. (OFI), which managed approximately 57% of the Fund’s portfolio; and Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 43% of the Fund’s portfolio, as of December 31, 2018.
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned -9.99%, underperforming the -8.27% return of the Russell 1000® Value Index (the “benchmark”), which measures the performance of the large-cap value segment of U.S. equity securities. It includes the Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values. It is market-capitalization weighted.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
With respect to the OFI component of the Fund, for the year ended December 31, 2018, the Fund component’s underperformance of the benchmark was largely due to stock selection in the energy, communication services, materials, and industrials sectors. Fund component holdings in the health care, consumer staples, and information technology sectors outperformed the benchmark. The top-performing Fund component holdings included health care holdings Merck & Co., Inc.; Pfizer, Inc.; and UnitedHealth Group, Inc. Merck, a leading American pharmaceutical company, continued to benefit from its industry-leading immune-oncology platform Keytruda. Pfizer Inc. – which engages in the discovery, development, and manufacturing of health care products – reported better-than-expected earnings, in part due to continued growth from key brands such as Prevnar (pneumonia vaccine) and Xeljanz (rheumatoid arthritis). UnitedHealth Group, which provides health care coverage and related services, continued to execute, delivering better-than-expected operating margins and continued strong growth in its Optum health care services business unit. Fund component holdings that were top detractors from performance included energy stocks Weatherford International plc and Suncor Energy Inc., and financial sector holding, Citigroup, Inc. Weatherford International, which provides drilling and related services to oil producers, fell due to lower oil prices. Suncor Energy, Inc., an integrated energy company that develops petroleum resource basins, struggled due to pipeline capacity shortages that resulted in a drop in the price of Canadian oil. Citigroup, Inc., along with bank shares generally, underperformed in the fourth quarter of 2018 when the U.S. yield curve flattened, which impacts bank profitability negatively.
For the Brandywine Global component, Fund component holdings within the financials sector were by far the largest detractors, as the sector steadily underperformed throughout the entire year. Asset management companies, diversified financial companies, and banks all lagged during 2018’s increasing interest rate environment. Fund component holdings that included higher-quality telecommunication, pharmaceutical, and biotechnology companies helped performance for the year, as did Brandywine Global’s avoidance of low-quality companies, primarily in the energy and industrials sectors (both of which were the weakest sectors in the benchmark). Finally, Brandywine Global benefited by selling of some of its health care positions at higher valuations earlier in the year – and repurchasing them later at lower prices and more reasonable valuations.
Subadviser outlook
Fund management at OFI notes that the U.S. equity market in 2018 was characterized by the increasing levels of concentration among the largest growth stocks, whose combined market capitalization by midyear represented a greater proportion of the
8
MML Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
overall equity market than at almost any time in the past 30 years. The equity market’s downturn in the fourth quarter reversed this concentration to some extent, but as contrarian investors, they prefer to look elsewhere to find overlooked opportunities. While many investors focus on a short-term view when considering potential investments, the OFI Fund component’s strategy utilizes in-depth fundamental research seeking to identify companies that have the potential for unanticipated acceleration in return on invested capital over a multi-year time horizon.
Fund management at Brandywine Global notes that early projections for fourth quarter gross domestic product (GDP) were near 2.5% following strong periods of growth in both the second and third quarters of 2018. They believe that economic growth may decelerate in the future; however, they expect continued strength in the underlying fundamentals of the economy – as consumer confidence remains high, consumer spending remains robust, and the labor market ended 2018 on a strong note (as employers added the most jobs in 10 months with the unemployment rate below 4%). At year-end, the Fund component’s sector weights remained more pro-cyclical and positively exposed to higher interest rates, with overweight allocations, relative to the benchmark, in financials, technology, and industrials – as well as a large underweight allocation in more defensive sectors, such as utilities and real estate.
MML Equity Fund Largest Holdings |
||||
JP Morgan Chase & Co. |
3.5 | % | ||
Pfizer, Inc. |
3.2 | % | ||
Chevron Corp. |
3.0 | % | ||
Bank of America Corp. |
3.0 | % | ||
Cisco Systems, Inc. |
2.7 | % | ||
Merck & Co., Inc. |
2.5 | % | ||
UnitedHealth Group, Inc. |
2.4 | % | ||
Citigroup, Inc. |
2.0 | % | ||
The Walt Disney Co. |
1.7 | % | ||
Suncor Energy, Inc. |
1.7 | % | ||
|
|
|||
25.7 | % | |||
|
|
MML Equity Fund Sector Table |
||||
Financial |
25.4 | % | ||
Consumer, Non-cyclical |
23.8 | % | ||
Energy |
10.4 | % | ||
Industrial |
8.6 | % | ||
Communications |
8.3 | % | ||
Consumer, Cyclical |
8.3 | % | ||
Technology |
7.5 | % | ||
Utilities |
3.3 | % | ||
Basic Materials |
2.1 | % | ||
Mutual Funds |
1.3 | % | ||
|
|
|||
Total Long-Term Investments |
99.0 | % | ||
Short-Term Investments and Other Assets and Liabilities |
1.0 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
9
MML Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Equity Fund Initial Class, Service Class and the Russell 1000 Value Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Five Year Average Annual 1/1/14 - 12/31/18 |
Ten Year Average Annual 1/1/09 - 12/31/18 |
|||||||||
Initial Class | -9.99% | 4.80% | 10.94% | |||||||||
Service Class |
-10.22% | 4.54% | 10.66% | |||||||||
Russell 1000 Value Index | -8.27% | 5.95% | 11.18% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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 Russell 1000 Value Index is unmanaged, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
10
MML Managed Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Managed Bond Fund, and who is the Fund’s subadviser?
The Fund’s investment objective is to achieve as high a total rate of return on an annual basis as is considered consistent with the preservation of capital. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s, BBB- or higher by Standard & Poor’s or the equivalent by any NRSRO, or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned -0.44%, underperforming the 0.01% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable-rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, an overweight, relative to the benchmark, to investment-grade corporate bonds detracted from the Fund’s performance despite positive overall signs within that sector. Corporate fundamentals showed improvement throughout 2018, while new issuance slowed versus 2017, which are both positives for the sector. Corporate issuers showed solid revenue and EBITDA growth, strong profit margins, and a slow pace of debt growth. (Earnings before interest, tax, depreciation and amortization (EBITDA) is a measure of a company’s operating performance.) Additionally, the life insurance, automotive manufacturers, and banking sectors all detracted from performance over the period.
ABS was the primary contributor to performance for the year. The Fund was overweight in the sector. This asset class is generally shorter in duration and as a result, less sensitive to increases in interest rates that can hurt a bond’s performance. (Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the bond or portfolio when interest rates rise or fall.) Some sub-sectors, such as student loans, are floating-rate bonds tied to three-month LIBOR where their coupons reset on a quarterly basis. Student loans were the largest contributor within the ABS sector, whereas credit cards were the largest detractor. Within securitized asset classes, Agency MBS, where the Fund was overweight, detracted from performance. (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes.) Residential MBS was a neutral contributor to performance, while CMBS detracted. The Fund’s small allocation to BB-rated high-yield bonds detracted from returns as well.
The Fund’s positions in electronics, electric utilities, and aerospace contributed to its full-year performance. Conversely, the gas pipelines, secondary oil and gas producers, and banking sectors all detracted from performance over the period.
The Fund uses derivative instruments for yield curve, duration, downside hedging and to gain exposures. They may also be used as a substitute for a direct investment. In aggregate, these positions positively contributed to performance. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.
Subadviser outlook
Looking forward, Fund management expects potential market turbulence as investors seek to interpret Federal Reserve Board policy, brace for potential Treasury yield curve inversion (meaning that the yields of shorter-term securities would be higher than those of longer-term issues), consider a growing BBB market, and evaluate slowing foreign demand. While these technicals present a wide range of potential outcomes for high-grade investors, Fund managers remain vigilant in both sector and issuer selection within the Fund. They believe the market may see a slowdown in corporate merger and acquisition (M&A) activity in
11
MML Managed Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
2019 due to the rising cost of funding. However, they do not anticipate a large-scale compression in corporate profit margins. Corporate and ABS issuance slowed in 2018, while CMBS issuance accelerated. Fund management will closely watch the volume of primary market issuance, on the belief that the level at which new deals come to market (along with price, and how those deals are received by the market) could be strong indications of 2019 sentiment.
MML Managed Bond Fund Portfolio Characteristics (% of Net Assets) on 12/31/18 |
||||
Corporate Debt |
38.3 | % | ||
Non-U.S. Government Agency Obligations |
32.5 | % | ||
U.S. Government Agency Obligations and Instrumentalities |
26.9 | % | ||
Purchased Options |
1.0 | % | ||
Sovereign Debt Obligations |
0.8 | % | ||
Municipal Obligations |
0.7 | % | ||
U.S. Treasury Obligations |
0.5 | % | ||
Preferred Stock |
0.2 | % | ||
Mutual Funds |
0.2 | % | ||
|
|
|||
Total Long-Term Investments |
101.1 | % | ||
Short-Term Investments and Other Assets and Liabilities |
(1.1 | )% | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
12
MML Managed Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Managed Bond Fund Initial Class, Service Class and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Five Year Average Annual 1/1/14 - 12/31/18 |
Ten Year Average Annual 1/1/09 - 12/31/18 |
|||||||||
Initial Class | -0.44% | 2.50% | 4.06% | |||||||||
Service Class |
-0.69% | 2.25% | 3.80% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index |
0.01% | 2.52% | 3.48% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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 Bloomberg Barclays U.S. Aggregate Bond Index is unmanaged, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
13
MML U.S. Government Money Market Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML U.S. Government Money Market Fund, and who is the Fund’s subadviser?
The Fund’s investment objective is to achieve current income consistent with preservation of capital and liquidity. The Fund normally invests at least 99.5% of its total assets in cash, U.S. Government securities, and/or repurchase agreements fully collateralized by cash or U.S. Government securities. It is important to note that this Fund seeks to maintain, but does not guarantee, a stable $1.00 share price. Under normal circumstances, the Fund invests at least 80% of its net assets in U.S. Government securities and repurchase agreements that are fully collateralized by U.S. Government securities. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned 1.32%, underperforming the 1.86% return of the FTSE 3-Month Treasury Bill Index (the “benchmark”), which measures the performance of the last three three-month Treasury bill month-end rates.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Federal Reserve Board (the Fed) increased the federal funds target rate four times over the last year. (The federal funds rate is the interest rate that banks and financial institutions charge each other for borrowing funds overnight.) Short-term interest rates responded in kind, moving off low levels as monetary policy continued to tighten. LIBOR (London Interbank Offered Rate) rates increased with one-month LIBOR, up 0.95% to 2.51% over the year and three-month LIBOR up 1.11% to 2.81% over the year. A large move in LIBOR occurred at the beginning of 2018 when three-month LIBOR increased 0.61% due to rate hike expectations, along with concerns about the impact of overseas corporate tax repatriation back to the U.S. as a result of tax reform enacted in 2017. Short-term rates such as three-month LIBOR rose slowly in the second and third quarters, with a steady incline in the fourth quarter.
These rate moves benefited the Fund, as it purchased floating agency paper in order to maximize yield while keeping the Weighted Average Maturity (WAM) at a manageable level. (Agency paper is debt issued by the federal government for financing purposes.) These floating-rate bonds continued to provide an attractive yield advantage for the Fund over the period given the interest rate environment. The Fund held very little longer-dated fixed paper until December 2018, when longer fixed paper became more attractive and was purchased by the Fund.
The WAM of the Fund remained short for almost all of 2018, as the Fed raised rates every quarter and the Fund relied on floating-rate bonds to keep the WAM at a low level. However, the Fund extended its WAM during the month of December and ended 2018 with a WAM of 53 days. The Weighted Average Life (WAL) of the Fund, which takes into account a bond’s final maturity date, stayed within a range of 80–100 days throughout the year and ended 2018 at 91 days.
Subadviser outlook
The U.S. economy, fueled by tax cuts and stimulus spending, appears to be a key factor in helping investors look past negative contributing factors like the trade sparring between the U.S., China and other nations, which could be a hindrance to global growth if escalated. For context, economic output is growing at its fastest rate since 2014, the unemployment rate is at its lowest level in almost two decades, and initial jobs claims have fallen to the lowest level since 1969. Fund management believes that corporate fundamentals also continue to improve as both revenue and EBITDA growth are continuing to outpace debt growth as indicated by second quarter data. (Earnings before interest, tax, depreciation and amortization (EBITDA) is a measure of a company’s operating performance.)
14
MML U.S. Government Money Market Fund – Portfolio Manager Report (Unaudited) (Continued)
Going forward, Fund management anticipates buying less floating-rate paper and more fixed-rate paper as they did in December 2018. They believe the pace of Fed increases in 2019 appears to be slowing and there is a decent chance that the Fed will be looking to pause in early 2019 until the effects of four hikes in the last year have been fully realized.
MML U.S. Government Portfolio Characteristics |
||||
Discount Notes |
69.4 | % | ||
Repurchase Agreement |
11.2 | % | ||
U.S. Treasury Bonds & Notes |
19.4 | % | ||
|
|
|||
Total Short-Term Investments |
100.0 | % | ||
Other Assets & Liabilities |
0.0 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
15
MML U.S. Government Money Market Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML U.S. Government Money Market Fund Initial Class and the FTSE Treasury Bill 3-Month Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Five Year Average Annual 1/1/14 - 12/31/18 |
Ten Year Average Annual 1/1/09 - 12/31/18 |
|||||||||
Initial Class | 1.32% | 0.36% | 0.18% | |||||||||
FTSE Treasury Bill 3-Month Index | 1.86% | 0.60% | 0.35% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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 FTSE Treasury Bill 3-Month Index is unmanaged, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here. An investment in the MML U.S. Government Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to maintain a stable net asset value per share, it is possible to lose money by investing in the Fund.
16
Number of Shares |
Value | |||||||
EQUITIES — 60.3% |
| |||||||
COMMON STOCK — 60.2% |
| |||||||
Basic Materials — 1.4% |
| |||||||
Chemicals — 0.9% |
| |||||||
Air Products & Chemicals, Inc. |
2,675 | $ | 428,134 | |||||
CF Industries Holdings, Inc. |
37,790 | 1,644,243 | ||||||
DowDuPont, Inc. |
20 | 1,070 | ||||||
Eastman Chemical Co. |
6,070 | 443,778 | ||||||
Linde PLC |
6,736 | 1,051,085 | ||||||
LyondellBasell Industries NV Class A |
8,640 | 718,502 | ||||||
The Mosaic Co. |
61,400 | 1,793,494 | ||||||
PPG Industries, Inc. |
8 | 818 | ||||||
The Sherwin-Williams Co. |
3 | 1,180 | ||||||
|
|
|||||||
6,082,304 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.2% |
| |||||||
International Paper Co. |
38,787 | 1,565,443 | ||||||
|
|
|||||||
Iron & Steel — 0.1% |
| |||||||
Nucor Corp. |
12,056 | 624,622 | ||||||
|
|
|||||||
Mining — 0.2% |
| |||||||
Freeport-McMoRan, Inc. |
70,864 | 730,608 | ||||||
Newmont Mining Corp. |
5,670 | 196,465 | ||||||
|
|
|||||||
927,073 | ||||||||
|
|
|||||||
9,199,442 | ||||||||
|
|
|||||||
Communications — 9.4% |
| |||||||
Advertising — 0.4% |
| |||||||
The Interpublic Group of Cos., Inc. |
31,722 | 654,425 | ||||||
Omnicom Group, Inc. |
23,147 | 1,695,286 | ||||||
|
|
|||||||
2,349,711 | ||||||||
|
|
|||||||
Internet — 4.7% |
| |||||||
Alphabet, Inc. Class A (a) |
1,810 | 1,891,378 | ||||||
Alphabet, Inc. Class C (a) |
5,731 | 5,935,081 | ||||||
Amazon.com, Inc. (a) |
7,880 | 11,835,524 | ||||||
Booking Holdings, Inc. (a) |
891 | 1,534,676 | ||||||
eBay, Inc. (a) |
20,777 | 583,210 | ||||||
Expedia Group, Inc. |
5,157 | 580,936 | ||||||
F5 Networks, Inc. (a) |
10,360 | 1,678,631 | ||||||
Facebook, Inc. Class A (a) |
29,700 | 3,893,373 | ||||||
Netflix, Inc. (a) |
8,613 | 2,305,355 | ||||||
Symantec Corp. |
55 | 1,039 | ||||||
TripAdvisor, Inc. (a) |
37 | 1,996 | ||||||
VeriSign, Inc. (a) |
2,991 | 443,535 | ||||||
|
|
|||||||
30,684,734 | ||||||||
|
|
|||||||
Media — 1.9% |
| |||||||
CBS Corp. Class B |
57 | 2,492 | ||||||
Charter Communications, Inc. Class A (a) |
651 | 185,516 | ||||||
Comcast Corp. Class A |
90,324 | 3,075,532 |
Number of Shares |
Value | |||||||
Discovery, Inc. Class A (a) |
49,400 | $ | 1,222,156 | |||||
Discovery, Inc. Class C (a) |
58,243 | 1,344,248 | ||||||
DISH Network Corp. Class A (a) |
52,600 | 1,313,422 | ||||||
News Corp. Class A |
7,566 | 85,874 | ||||||
Twenty-First Century Fox, Inc. Class A |
6,067 | 291,944 | ||||||
Twenty-First Century Fox, Inc. Class B |
8,100 | 387,018 | ||||||
Viacom, Inc. Class B |
52,610 | 1,352,077 | ||||||
The Walt Disney Co. |
30,472 | 3,341,255 | ||||||
|
|
|||||||
12,601,534 | ||||||||
|
|
|||||||
Telecommunications — 2.4% |
| |||||||
AT&T, Inc. |
144,626 | 4,127,626 | ||||||
CenturyLink, Inc. |
92,528 | 1,401,799 | ||||||
Cisco Systems, Inc. |
145,642 | 6,310,668 | ||||||
Juniper Networks, Inc. |
59,189 | 1,592,776 | ||||||
Motorola Solutions, Inc. |
3,137 | 360,881 | ||||||
Verizon Communications, Inc. |
25,055 | 1,408,592 | ||||||
|
|
|||||||
15,202,342 | ||||||||
|
|
|||||||
60,838,321 | ||||||||
|
|
|||||||
Consumer, Cyclical — 6.2% |
| |||||||
Airlines — 0.7% |
| |||||||
Alaska Air Group, Inc. |
300 | 18,255 | ||||||
American Airlines Group, Inc. |
28,200 | 905,502 | ||||||
Delta Air Lines, Inc. |
23,200 | 1,157,680 | ||||||
Southwest Airlines Co. |
10,383 | 482,602 | ||||||
United Continental Holdings, Inc. (a) |
22,100 | 1,850,433 | ||||||
|
|
|||||||
4,414,472 | ||||||||
|
|
|||||||
Apparel — 0.4% |
| |||||||
Hanesbrands, Inc. |
65,600 | 821,968 | ||||||
Michael Kors Holdings Ltd. (a) |
18,900 | 716,688 | ||||||
NIKE, Inc. Class B |
2,784 | 206,406 | ||||||
PVH Corp. |
1,620 | 150,579 | ||||||
Ralph Lauren Corp. |
2,960 | 306,241 | ||||||
VF Corp. |
2,200 | 156,948 | ||||||
|
|
|||||||
2,358,830 | ||||||||
|
|
|||||||
Auto Manufacturers — 0.4% |
| |||||||
Ford Motor Co. |
128,513 | 983,125 | ||||||
General Motors Co. |
29,000 | 970,050 | ||||||
PACCAR, Inc. |
14,022 | 801,217 | ||||||
|
|
|||||||
2,754,392 | ||||||||
|
|
|||||||
Auto Parts & Equipment — 0.4% |
| |||||||
Aptiv PLC |
9,300 | 572,601 | ||||||
BorgWarner, Inc. |
16,000 | 555,840 | ||||||
The Goodyear Tire & Rubber Co. |
62,351 | 1,272,584 | ||||||
|
|
|||||||
2,401,025 | ||||||||
|
|
|||||||
Distribution & Wholesale — 0.1% |
| |||||||
Fastenal Co. |
82 | 4,288 |
The accompanying notes are an integral part of the financial statements.
17
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
W.W. Grainger, Inc. |
1,072 | $ | 302,690 | |||||
|
|
|||||||
306,978 | ||||||||
|
|
|||||||
Home Builders — 0.1% |
| |||||||
D.R. Horton, Inc. |
4,747 | 164,531 | ||||||
PulteGroup, Inc. |
22,973 | 597,068 | ||||||
|
|
|||||||
761,599 | ||||||||
|
|
|||||||
Home Furnishing — 0.1% |
| |||||||
Leggett & Platt, Inc. |
86 | 3,082 | ||||||
Whirlpool Corp. |
6,543 | 699,251 | ||||||
|
|
|||||||
702,333 | ||||||||
|
|
|||||||
Leisure Time — 0.2% |
| |||||||
Harley-Davidson, Inc. |
10,002 | 341,268 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) |
25,800 | 1,093,662 | ||||||
|
|
|||||||
1,434,930 | ||||||||
|
|
|||||||
Lodging — 0.3% |
| |||||||
Hilton Worldwide Holdings, Inc. |
12,700 | 911,860 | ||||||
Marriott International, Inc. Class A |
921 | 99,984 | ||||||
MGM Resorts International |
40,600 | 984,956 | ||||||
Wynn Resorts Ltd. |
8 | 791 | ||||||
|
|
|||||||
1,997,591 | ||||||||
|
|
|||||||
Retail — 3.5% |
| |||||||
Advance Auto Parts, Inc. |
5,710 | 899,097 | ||||||
AutoZone, Inc. (a) |
2,294 | 1,923,152 | ||||||
Best Buy Co., Inc. |
22,992 | 1,217,656 | ||||||
Costco Wholesale Corp. |
7,370 | 1,501,343 | ||||||
Darden Restaurants, Inc. |
2,654 | 265,028 | ||||||
Dollar Tree, Inc. (a) |
48 | 4,335 | ||||||
Foot Locker, Inc. |
31,400 | 1,670,480 | ||||||
The Gap, Inc. |
10,990 | 283,102 | ||||||
Genuine Parts Co. |
34 | 3,265 | ||||||
The Home Depot, Inc. |
7,617 | 1,308,753 | ||||||
Kohl’s Corp. |
26,030 | 1,726,830 | ||||||
L Brands, Inc. |
2,200 | 56,474 | ||||||
Lowe’s Cos., Inc. |
95 | 8,774 | ||||||
Macy’s, Inc. |
54,951 | 1,636,441 | ||||||
McDonald’s Corp. |
2,040 | 362,243 | ||||||
Nordstrom, Inc. |
26,008 | 1,212,233 | ||||||
O’Reilly Automotive, Inc. (a) |
3,663 | 1,261,281 | ||||||
Ross Stores, Inc. |
2,644 | 219,981 | ||||||
Starbucks Corp. |
29,654 | 1,909,717 | ||||||
Tapestry, Inc. |
6,220 | 209,925 | ||||||
Target Corp. |
17,286 | 1,142,432 | ||||||
Tiffany & Co. |
802 | 64,569 | ||||||
The TJX Cos., Inc. |
6,212 | 277,925 | ||||||
Walgreens Boots Alliance, Inc. |
16,557 | 1,131,340 | ||||||
Walmart, Inc. |
25,562 | 2,381,100 | ||||||
Yum! Brands, Inc. |
35 | 3,217 | ||||||
|
|
|||||||
22,680,693 | ||||||||
|
|
Number of Shares |
Value | |||||||
Toys, Games & Hobbies — 0.0% |
| |||||||
Hasbro, Inc. |
461 | $ | 37,456 | |||||
Mattel, Inc. (a) (b) |
90 | 899 | ||||||
|
|
|||||||
38,355 | ||||||||
|
|
|||||||
39,851,198 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 12.7% |
| |||||||
Agriculture — 0.3% |
| |||||||
Altria Group, Inc. |
28,659 | 1,415,468 | ||||||
Archer-Daniels-Midland Co. |
92 | 3,769 | ||||||
Philip Morris International, Inc. |
4,686 | 312,838 | ||||||
|
|
|||||||
1,732,075 | ||||||||
|
|
|||||||
Beverages — 0.7% |
| |||||||
Brown-Forman Corp. Class B |
15 | 714 | ||||||
The Coca-Cola Co. |
12,630 | 598,031 | ||||||
Constellation Brands, Inc. Class A |
542 | 87,164 | ||||||
Molson Coors Brewing Co. Class B |
21,100 | 1,184,976 | ||||||
PepsiCo, Inc. |
24,860 | 2,746,533 | ||||||
|
|
|||||||
4,617,418 | ||||||||
|
|
|||||||
Biotechnology — 1.7% |
| |||||||
Amgen, Inc. |
23,331 | 4,541,846 | ||||||
Biogen, Inc. (a) |
7,472 | 2,248,474 | ||||||
Celgene Corp. (a) |
16,176 | 1,036,720 | ||||||
Gilead Sciences, Inc. |
46,510 | 2,909,200 | ||||||
|
|
|||||||
10,736,240 | ||||||||
|
|
|||||||
Commercial Services — 1.6% |
| |||||||
Automatic Data Processing, Inc. |
10,699 | 1,402,853 | ||||||
Cintas Corp. |
8 | 1,344 | ||||||
Ecolab, Inc. |
2 | 295 | ||||||
Equifax, Inc. |
132 | 12,293 | ||||||
H&R Block, Inc. |
69,363 | 1,759,740 | ||||||
Moody’s Corp. |
3,330 | 466,333 | ||||||
PayPal Holdings, Inc. (a) |
26,977 | 2,268,496 | ||||||
Quanta Services, Inc. |
28,813 | 867,271 | ||||||
Robert Half International, Inc. |
17,426 | 996,767 | ||||||
S&P Global, Inc. |
1,018 | 172,999 | ||||||
Total System Services, Inc. |
8,207 | 667,147 | ||||||
United Rentals, Inc. (a) |
1,990 | 204,035 | ||||||
The Western Union Co. |
71,888 | 1,226,409 | ||||||
|
|
|||||||
10,045,982 | ||||||||
|
|
|||||||
Cosmetics & Personal Care — 1.2% |
| |||||||
Colgate-Palmolive Co. |
5,906 | 351,525 | ||||||
The Estee Lauder Cos., Inc. Class A |
7,910 | 1,029,091 | ||||||
The Procter & Gamble Co. |
70,029 | 6,437,066 | ||||||
|
|
|||||||
7,817,682 | ||||||||
|
|
|||||||
Foods — 0.5% |
| |||||||
Campbell Soup Co. (b) |
1,624 | 53,576 | ||||||
Conagra Brands, Inc. |
7,774 | 166,053 | ||||||
General Mills, Inc. |
1,962 | 76,400 | ||||||
The Hershey Co. |
1,647 | 176,526 |
The accompanying notes are an integral part of the financial statements.
18
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Hormel Foods Corp. |
3,232 | $ | 137,942 | |||||
The J.M. Smucker Co. |
845 | 78,999 | ||||||
Kellogg Co. |
8,428 | 480,480 | ||||||
The Kraft Heinz Co. |
4,958 | 213,392 | ||||||
The Kroger Co. |
34,958 | 961,345 | ||||||
McCormick & Co., Inc. |
161 | 22,418 | ||||||
Mondelez International, Inc. Class A |
75 | 3,002 | ||||||
Sysco Corp. |
5,334 | 334,228 | ||||||
Tyson Foods, Inc. Class A |
14,601 | 779,693 | ||||||
|
|
|||||||
3,484,054 | ||||||||
|
|
|||||||
Health Care – Products — 1.0% |
| |||||||
Abbott Laboratories |
19,601 | 1,417,740 | ||||||
Baxter International, Inc. |
61 | 4,015 | ||||||
Becton, Dickinson & Co. |
242 | 54,527 | ||||||
Boston Scientific Corp. (a) |
300 | 10,602 | ||||||
The Cooper Cos., Inc. |
1,240 | 315,580 | ||||||
Danaher Corp. |
2,996 | 308,948 | ||||||
DENTSPLY SIRONA, Inc. |
56 | 2,084 | ||||||
Hologic, Inc. (a) |
1,400 | 57,540 | ||||||
Intuitive Surgical, Inc. (a) |
288 | 137,929 | ||||||
Medtronic PLC |
28,000 | 2,546,880 | ||||||
Stryker Corp. |
4,550 | 713,212 | ||||||
Thermo Fisher Scientific, Inc. |
3,971 | 888,670 | ||||||
Varian Medical Systems, Inc. (a) |
7 | 793 | ||||||
Zimmer Biomet Holdings, Inc. |
2,455 | 254,633 | ||||||
|
|
|||||||
6,713,153 | ||||||||
|
|
|||||||
Health Care – Services — 0.7% |
| |||||||
Anthem, Inc. |
5,796 | 1,522,203 | ||||||
Centene Corp. (a) |
3,010 | 347,053 | ||||||
DaVita, Inc. (a) |
3,030 | 155,924 | ||||||
HCA Healthcare, Inc. |
2,600 | 323,570 | ||||||
Humana, Inc. |
314 | 89,955 | ||||||
IQVIA Holdings, Inc. (a) |
7,040 | 817,837 | ||||||
Laboratory Corp. of America Holdings (a) |
2 | 253 | ||||||
Quest Diagnostics, Inc. |
3,309 | 275,540 | ||||||
UnitedHealth Group, Inc. |
2,954 | 735,900 | ||||||
Universal Health Services, Inc. Class B |
50 | 5,828 | ||||||
|
|
|||||||
4,274,063 | ||||||||
|
|
|||||||
Household Products & Wares — 0.2% |
| |||||||
Avery Dennison Corp. |
1,915 | 172,025 | ||||||
The Clorox Co. |
723 | 111,443 | ||||||
Kimberly-Clark Corp. |
7,345 | 836,889 | ||||||
|
|
|||||||
1,120,357 | ||||||||
|
|
|||||||
Pharmaceuticals — 4.8% |
| |||||||
AbbVie, Inc. |
40,422 | 3,726,504 | ||||||
Allergan PLC |
5,580 | 745,823 | ||||||
AmerisourceBergen Corp. |
1,507 | 112,121 | ||||||
Bristol-Myers Squibb Co. |
34,767 | 1,807,189 | ||||||
Cardinal Health, Inc. |
15,778 | 703,699 |
Number of Shares |
Value | |||||||
Cigna Corp. (a) |
15,083 | $ | 2,864,651 | |||||
CVS Health Corp. |
22,001 | 1,441,505 | ||||||
Eli Lilly & Co. |
16,614 | 1,922,572 | ||||||
Johnson & Johnson |
45,422 | 5,861,709 | ||||||
McKesson Corp. |
15,085 | 1,666,440 | ||||||
Merck & Co., Inc. |
51,583 | 3,941,457 | ||||||
Mylan NV (a) |
12,047 | 330,088 | ||||||
Perrigo Co. PLC |
2,200 | 85,250 | ||||||
Pfizer, Inc. |
135,541 | 5,916,365 | ||||||
Zoetis, Inc. |
2,100 | 179,634 | ||||||
|
|
|||||||
31,305,007 | ||||||||
|
|
|||||||
81,846,031 | ||||||||
|
|
|||||||
Energy — 2.9% |
| |||||||
Oil & Gas — 2.8% |
| |||||||
Anadarko Petroleum Corp. |
7,948 | 348,440 | ||||||
Apache Corp. |
21 | 551 | ||||||
Cabot Oil & Gas Corp. |
48 | 1,073 | ||||||
Chevron Corp. |
39,758 | 4,325,273 | ||||||
Cimarex Energy Co. |
11,900 | 733,635 | ||||||
ConocoPhillips |
16,839 | 1,049,912 | ||||||
Devon Energy Corp. |
40,847 | 920,691 | ||||||
EOG Resources, Inc. |
978 | 85,291 | ||||||
EQT Corp. |
97 | 1,832 | ||||||
Exxon Mobil Corp. |
35,497 | 2,420,541 | ||||||
Helmerich & Payne, Inc. |
60 | 2,876 | ||||||
Hess Corp. |
16,932 | 685,746 | ||||||
HollyFrontier Corp. |
27,300 | 1,395,576 | ||||||
Marathon Oil Corp. |
106,627 | 1,529,031 | ||||||
Marathon Petroleum Corp. |
27,900 | 1,646,379 | ||||||
Newfield Exploration Co. (a) |
36,100 | 529,226 | ||||||
Noble Energy, Inc. |
56 | 1,051 | ||||||
Occidental Petroleum Corp. |
5,415 | 332,373 | ||||||
Phillips 66 |
12,369 | 1,065,589 | ||||||
Pioneer Natural Resources Co. |
5,431 | 714,285 | ||||||
Valero Energy Corp. |
10,440 | 782,687 | ||||||
|
|
|||||||
18,572,058 | ||||||||
|
|
|||||||
Oil & Gas Services — 0.1% |
| |||||||
Baker Hughes a GE Co. |
31 | 667 | ||||||
Halliburton Co. |
167 | 4,439 | ||||||
National Oilwell Varco, Inc. |
1,094 | 28,116 | ||||||
Schlumberger Ltd. |
4,531 | 163,478 | ||||||
TechnipFMC PLC |
8,340 | 163,297 | ||||||
|
|
|||||||
359,997 | ||||||||
|
|
|||||||
Pipelines — 0.0% |
| |||||||
Kinder Morgan, Inc. |
38 | 585 | ||||||
The Williams Cos., Inc. |
48 | 1,058 | ||||||
|
|
|||||||
1,643 | ||||||||
|
|
|||||||
18,933,698 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
19
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Financial — 11.0% |
| |||||||
Banks — 4.8% |
| |||||||
Bank of America Corp. |
279,698 | $ | 6,891,759 | |||||
The Bank of New York Mellon Corp. |
16,807 | 791,106 | ||||||
BB&T Corp. |
3,166 | 137,151 | ||||||
Citigroup, Inc. |
81,551 | 4,245,545 | ||||||
Citizens Financial Group, Inc. |
44,600 | 1,325,958 | ||||||
Comerica, Inc. |
3,021 | 207,513 | ||||||
Fifth Third Bancorp |
11,821 | 278,148 | ||||||
The Goldman Sachs Group, Inc. |
12,980 | 2,168,309 | ||||||
Huntington Bancshares, Inc. |
6,800 | 81,056 | ||||||
JP Morgan Chase & Co. |
68,562 | 6,693,023 | ||||||
KeyCorp |
32,764 | 484,252 | ||||||
M&T Bank Corp. |
6,045 | 865,221 | ||||||
Morgan Stanley |
44,697 | 1,772,236 | ||||||
Northern Trust Corp. |
3,459 | 289,138 | ||||||
The PNC Financial Services Group, Inc. |
1,508 | 176,300 | ||||||
Regions Financial Corp. |
79,715 | 1,066,587 | ||||||
State Street Corp. |
6,576 | 414,748 | ||||||
SunTrust Banks, Inc. |
8,400 | 423,696 | ||||||
SVB Financial Group (a) |
3,870 | 734,990 | ||||||
US Bancorp |
7,602 | 347,411 | ||||||
Wells Fargo & Co. |
17,416 | 802,529 | ||||||
Zions Bancorp NA |
21,141 | 861,284 | ||||||
|
|
|||||||
31,057,960 | ||||||||
|
|
|||||||
Diversified Financial Services — 2.3% |
| |||||||
Alliance Data Systems Corp. |
8,190 | 1,229,155 | ||||||
American Express Co. |
2,519 | 240,111 | ||||||
Ameriprise Financial, Inc. |
11,356 | 1,185,226 | ||||||
Capital One Financial Corp. |
9,452 | 714,477 | ||||||
The Charles Schwab Corp. |
21,112 | 876,781 | ||||||
Discover Financial Services |
1,783 | 105,161 | ||||||
E*TRADE Financial Corp. |
31,561 | 1,384,897 | ||||||
Franklin Resources, Inc. |
35,887 | 1,064,408 | ||||||
Intercontinental Exchange, Inc. |
10,115 | 761,963 | ||||||
Invesco Ltd. |
2,112 | 35,355 | ||||||
Jefferies Financial Group, Inc. |
37 | 642 | ||||||
Mastercard, Inc. Class A |
5,610 | 1,058,327 | ||||||
Nasdaq, Inc. |
45 | 3,671 | ||||||
Raymond James Financial, Inc. |
4,900 | 364,609 | ||||||
Synchrony Financial |
65,400 | 1,534,284 | ||||||
T. Rowe Price Group, Inc. |
4,706 | 434,458 | ||||||
Visa, Inc. Class A |
32,632 | 4,305,466 | ||||||
|
|
|||||||
15,298,991 | ||||||||
|
|
|||||||
Insurance — 2.7% |
| |||||||
Aflac, Inc. |
14,844 | 676,293 | ||||||
The Allstate Corp. |
4,235 | 349,938 | ||||||
American International Group, Inc. |
46 | 1,813 | ||||||
Aon PLC |
3,445 | 500,765 | ||||||
Assurant, Inc. |
5,216 | 466,519 |
Number of Shares |
Value | |||||||
Berkshire Hathaway, Inc. Class B (a) |
35,876 | $ | 7,325,162 | |||||
Brighthouse Financial, Inc. (a) |
26 | 793 | ||||||
Chubb Ltd. |
168 | 21,702 | ||||||
Cincinnati Financial Corp. |
4,419 | 342,119 | ||||||
Everest Re Group Ltd. |
3,000 | 653,280 | ||||||
The Hartford Financial Services Group, Inc. |
5,952 | 264,566 | ||||||
Lincoln National Corp. |
24,251 | 1,244,319 | ||||||
Loews Corp. |
4,483 | 204,066 | ||||||
Marsh & McLennan Cos., Inc. |
5,813 | 463,587 | ||||||
MetLife, Inc. |
32,190 | 1,321,721 | ||||||
Principal Financial Group, Inc. |
8,129 | 359,058 | ||||||
The Progressive Corp. |
18,114 | 1,092,818 | ||||||
Prudential Financial, Inc. |
9,337 | 761,432 | ||||||
Torchmark Corp. |
3,282 | 244,607 | ||||||
The Travelers Cos., Inc. |
2,287 | 273,868 | ||||||
Unum Group |
43,731 | 1,284,817 | ||||||
|
|
|||||||
17,853,243 | ||||||||
|
|
|||||||
Real Estate — 0.1% |
| |||||||
CBRE Group, Inc. Class A (a) |
8,087 | 323,803 | ||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 1.0% |
| |||||||
American Tower Corp. |
119 | 18,825 | ||||||
Apartment Investment & Management Co. Class A |
85 | 3,730 | ||||||
AvalonBay Communities, Inc. |
2,081 | 362,198 | ||||||
Boston Properties, Inc. |
3 | 338 | ||||||
Crown Castle International Corp. |
8,230 | 894,025 | ||||||
Digital Realty Trust, Inc. |
280 | 29,834 | ||||||
Duke Realty Corp. |
9,000 | 233,100 | ||||||
Equinix, Inc. |
120 | 42,307 | ||||||
Equity Residential |
56 | 3,697 | ||||||
Essex Property Trust, Inc. |
1,500 | 367,815 | ||||||
Extra Space Storage, Inc. |
7,000 | 633,360 | ||||||
HCP, Inc. |
35 | 977 | ||||||
Host Hotels & Resorts, Inc. |
27,837 | 464,043 | ||||||
Iron Mountain, Inc. |
48 | 1,556 | ||||||
Kimco Realty Corp. |
2,767 | 40,536 | ||||||
Mid-America Apartment Communities, Inc. |
60 | 5,742 | ||||||
Prologis, Inc. |
738 | 43,335 | ||||||
Public Storage |
203 | 41,089 | ||||||
Simon Property Group, Inc. |
8,305 | 1,395,157 | ||||||
SL Green Realty Corp. |
18,490 | 1,462,189 | ||||||
Ventas, Inc. |
1,025 | 60,055 | ||||||
Vornado Realty Trust |
1,373 | 85,167 | ||||||
Welltower, Inc. |
2,100 | 145,761 | ||||||
Weyerhaeuser Co. |
26 | 568 | ||||||
|
|
|||||||
6,335,404 | ||||||||
|
|
|||||||
Savings & Loans — 0.1% |
| |||||||
People’s United Financial, Inc. |
25,351 | 365,815 | ||||||
|
|
|||||||
71,235,216 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
20
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Industrial — 4.5% |
| |||||||
Aerospace & Defense — 0.9% |
| |||||||
Arconic, Inc. |
8 | $ | 135 | |||||
The Boeing Co. |
9,802 | 3,161,145 | ||||||
General Dynamics Corp. |
602 | 94,640 | ||||||
Harris Corp. |
770 | 103,681 | ||||||
L3 Technologies, Inc. |
970 | 168,450 | ||||||
Lockheed Martin Corp. |
1,530 | 400,615 | ||||||
Northrop Grumman Corp. |
348 | 85,225 | ||||||
Raytheon Co. |
159 | 24,383 | ||||||
United Technologies Corp. |
14,543 | 1,548,539 | ||||||
|
|
|||||||
5,586,813 | ||||||||
|
|
|||||||
Building Materials — 0.1% |
| |||||||
Johnson Controls International PLC |
19,765 | 586,032 | ||||||
Masco Corp. |
25 | 731 | ||||||
Vulcan Materials Co. |
5 | 494 | ||||||
|
|
|||||||
587,257 | ||||||||
|
|
|||||||
Electrical Components & Equipment — 0.1% |
| |||||||
AMETEK, Inc. |
7,700 | 521,290 | ||||||
Emerson Electric Co. |
4,869 | 290,923 | ||||||
|
|
|||||||
812,213 | ||||||||
|
|
|||||||
Electronics — 0.4% |
| |||||||
Agilent Technologies, Inc. |
4,763 | 321,312 | ||||||
Allegion PLC |
1,633 | 130,167 | ||||||
Amphenol Corp. Class A |
4,264 | 345,469 | ||||||
Corning, Inc. |
21,667 | 654,560 | ||||||
FLIR Systems, Inc. |
2,852 | 124,176 | ||||||
Fortive Corp. |
5,878 | 397,706 | ||||||
Garmin Ltd. |
2,100 | 132,972 | ||||||
Honeywell International, Inc. |
652 | 86,142 | ||||||
PerkinElmer, Inc. |
20 | 1,571 | ||||||
Waters Corp. (a) |
1,540 | 290,521 | ||||||
|
|
|||||||
2,484,596 | ||||||||
|
|
|||||||
Engineering & Construction — 0.2% |
| |||||||
Fluor Corp. |
1,809 | 58,250 | ||||||
Jacobs Engineering Group, Inc. |
17,420 | 1,018,373 | ||||||
|
|
|||||||
1,076,623 | ||||||||
|
|
|||||||
Environmental Controls — 0.3% |
| |||||||
Pentair PLC |
38,323 | 1,447,843 | ||||||
Republic Services, Inc. |
337 | 24,295 | ||||||
Stericycle, Inc. (a) |
97 | 3,559 | ||||||
Waste Management, Inc. |
1,973 | 175,577 | ||||||
|
|
|||||||
1,651,274 | ||||||||
|
|
|||||||
Hand & Machine Tools — 0.0% |
| |||||||
Snap-on, Inc. |
1,171 | 170,134 | ||||||
Stanley Black & Decker, Inc. |
9 | 1,078 | ||||||
|
|
|||||||
171,212 | ||||||||
|
|
|||||||
Machinery – Construction & Mining — 0.2% |
| |||||||
Caterpillar, Inc. |
11,225 | 1,426,361 | ||||||
|
|
Number of Shares |
Value | |||||||
Machinery – Diversified — 0.4% |
| |||||||
Cummins, Inc. |
7,915 | $ | 1,057,760 | |||||
Dover Corp. |
5,173 | 367,024 | ||||||
Flowserve Corp. |
24,270 | 922,745 | ||||||
Rockwell Automation, Inc. |
493 | 74,187 | ||||||
Roper Technologies, Inc. |
663 | 176,703 | ||||||
Xylem, Inc. |
3,355 | 223,846 | ||||||
|
|
|||||||
2,822,265 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 0.6% |
| |||||||
3M Co. |
2 | 381 | ||||||
Eaton Corp. PLC |
13,566 | 931,442 | ||||||
General Electric Co. |
86 | 651 | ||||||
Illinois Tool Works, Inc. |
285 | 36,107 | ||||||
Ingersoll-Rand PLC |
9,600 | 875,808 | ||||||
Parker-Hannifin Corp. |
8,608 | 1,283,797 | ||||||
Textron, Inc. |
20,572 | 946,106 | ||||||
|
|
|||||||
4,074,292 | ||||||||
|
|
|||||||
Packaging & Containers — 0.2% |
| |||||||
Ball Corp. |
4 | 184 | ||||||
Packaging Corp. of America |
750 | 62,595 | ||||||
Sealed Air Corp. |
53 | 1,846 | ||||||
WestRock Co. |
36,267 | 1,369,442 | ||||||
|
|
|||||||
1,434,067 | ||||||||
|
|
|||||||
Shipbuilding — 0.2% |
| |||||||
Huntington Ingalls Industries, Inc. |
6,930 | 1,318,848 | ||||||
|
|
|||||||
Transportation — 0.9% |
| |||||||
C.H. Robinson Worldwide, Inc. |
6,620 | 556,676 | ||||||
CSX Corp. |
19,307 | 1,199,544 | ||||||
Expeditors International of Washington, Inc. |
126 | 8,579 | ||||||
Norfolk Southern Corp. |
7,813 | 1,168,356 | ||||||
Union Pacific Corp. |
16,712 | 2,310,100 | ||||||
United Parcel Service, Inc. Class B |
4,880 | 475,946 | ||||||
|
|
|||||||
5,719,201 | ||||||||
|
|
|||||||
29,165,022 | ||||||||
|
|
|||||||
Technology — 10.4% |
| |||||||
Computers — 4.6% |
| |||||||
Accenture PLC Class A |
12,730 | 1,795,057 | ||||||
Apple, Inc. |
108,627 | 17,134,823 | ||||||
Cognizant Technology Solutions Corp. Class A |
10,256 | 651,051 | ||||||
DXC Technology Co. |
16,979 | 902,773 | ||||||
Fortinet, Inc. (a) |
22,600 | 1,591,718 | ||||||
Hewlett Packard Enterprise Co. |
111,874 | 1,477,855 | ||||||
HP, Inc. |
71,974 | 1,472,588 | ||||||
International Business Machines Corp. |
15,040 | 1,709,597 | ||||||
NetApp, Inc. |
22,098 | 1,318,588 | ||||||
Seagate Technology PLC |
32,100 | 1,238,739 | ||||||
Western Digital Corp. |
7,147 | 264,225 | ||||||
|
|
|||||||
29,557,014 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
21
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Office & Business Equipment — 0.0% |
| |||||||
Xerox Corp. |
836 | $ | 16,519 | |||||
|
|
|||||||
Semiconductors — 1.9% |
| |||||||
Analog Devices, Inc. |
1,072 | 92,010 | ||||||
Applied Materials, Inc. |
1,939 | 63,483 | ||||||
Broadcom, Inc. |
7,049 | 1,792,420 | ||||||
Intel Corp. |
110,923 | 5,205,616 | ||||||
KLA-Tencor Corp. |
2,179 | 194,999 | ||||||
Lam Research Corp. |
1,193 | 162,451 | ||||||
Microchip Technology, Inc. |
21 | 1,510 | ||||||
Micron Technology, Inc. (a) |
29,817 | 946,093 | ||||||
NVIDIA Corp. |
6 | 801 | ||||||
QUALCOMM, Inc. |
45,900 | 2,612,169 | ||||||
Skyworks Solutions, Inc. |
6,010 | 402,790 | ||||||
Texas Instruments, Inc. |
5,974 | 564,543 | ||||||
Xilinx, Inc. |
3,756 | 319,899 | ||||||
|
|
|||||||
12,358,784 | ||||||||
|
|
|||||||
Software — 3.9% |
| |||||||
Activision Blizzard, Inc. |
200 | 9,314 | ||||||
Adobe, Inc. (a) |
9,350 | 2,115,344 | ||||||
Akamai Technologies, Inc. (a) |
20,026 | 1,223,188 | ||||||
Autodesk, Inc. (a) |
37 | 4,759 | ||||||
Broadridge Financial Solutions, Inc. |
720 | 69,300 | ||||||
Cadence Design Systems, Inc. (a) |
3,600 | 156,528 | ||||||
Citrix Systems, Inc. |
17,837 | 1,827,579 | ||||||
Electronic Arts, Inc. (a) |
867 | 68,415 | ||||||
Fidelity National Information Services, Inc. |
5,500 | 564,025 | ||||||
Fiserv, Inc. (a) |
3,352 | 246,338 | ||||||
Intuit, Inc. |
2,470 | 486,219 | ||||||
Microsoft Corp. |
145,735 | 14,802,304 | ||||||
Oracle Corp. |
71,057 | 3,208,224 | ||||||
Paychex, Inc. |
64 | 4,170 | ||||||
Red Hat, Inc. (a) |
1 | 176 | ||||||
salesforce.com, Inc. (a) |
664 | 90,948 | ||||||
Synopsys, Inc. (a) |
600 | 50,544 | ||||||
|
|
|||||||
24,927,375 | ||||||||
|
|
|||||||
66,859,692 | ||||||||
|
|
|||||||
Utilities — 1.7% |
| |||||||
Electric — 1.7% |
| |||||||
AES Corp. |
55,887 | 808,126 | ||||||
Ameren Corp. |
660 | 43,052 | ||||||
American Electric Power Co., Inc. |
885 | 66,145 | ||||||
CenterPoint Energy, Inc. |
23,731 | 669,926 | ||||||
CMS Energy Corp. |
7,903 | 392,384 | ||||||
Consolidated Edison, Inc. |
2,182 | 166,836 | ||||||
Dominion Energy, Inc. |
1,716 | 122,625 | ||||||
DTE Energy Co. |
3,020 | 333,106 | ||||||
Duke Energy Corp. |
15,190 | 1,310,897 | ||||||
Edison International |
426 | 24,184 | ||||||
Entergy Corp. |
20,898 | 1,798,691 |
Number of Shares |
Value | |||||||
Eversource Energy |
812 | $ | 52,812 | |||||
Exelon Corp. |
22,140 | 998,514 | ||||||
FirstEnergy Corp. |
580 | 21,779 | ||||||
NextEra Energy, Inc. |
3,040 | 528,413 | ||||||
NRG Energy, Inc. |
43,900 | 1,738,440 | ||||||
Pinnacle West Capital Corp. |
1,396 | 118,939 | ||||||
PPL Corp. |
11,618 | 329,138 | ||||||
Public Service Enterprise Group, Inc. |
1,424 | 74,119 | ||||||
SCANA Corp. |
47 | 2,246 | ||||||
Sempra Energy |
2,231 | 241,372 | ||||||
The Southern Co. |
3,622 | 159,078 | ||||||
WEC Energy Group, Inc. |
4,542 | 314,579 | ||||||
Xcel Energy, Inc. |
5,472 | 269,605 | ||||||
|
|
|||||||
10,585,006 | ||||||||
|
|
|||||||
Gas — 0.0% |
| |||||||
NiSource, Inc. |
713 | 18,075 | ||||||
|
|
|||||||
10,603,081 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $311,808,541) |
388,531,701 | |||||||
|
|
|||||||
PREFERRED STOCK — 0.1% |
| |||||||
Financial — 0.1% |
| |||||||
Insurance — 0.1% |
| |||||||
The Allstate Corp., 3 mo. USD LIBOR + 3.165% |
20,000 | 476,800 | ||||||
|
|
|||||||
TOTAL PREFERRED STOCK (Cost $500,000) |
476,800 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $312,308,541) |
389,008,501 | |||||||
|
|
|||||||
Principal Amount |
||||||||
BONDS & NOTES — 38.6% |
| |||||||
CORPORATE DEBT — 14.3% |
| |||||||
Advertising — 0.0% |
| |||||||
WPP Finance 2010 |
$ | 18,000 | 17,645 | |||||
|
|
|||||||
Aerospace & Defense — 0.0% |
| |||||||
United Technologies Corp. |
80,000 | 91,658 | ||||||
|
|
|||||||
Agriculture — 0.2% |
| |||||||
Bunge Ltd. Finance Corp. |
442,000 | 387,268 | ||||||
4.350% 3/15/24 |
350,000 | 343,390 | ||||||
Reynolds American, Inc. |
320,000 | 297,289 | ||||||
|
|
|||||||
1,027,947 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
22
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Airlines — 0.3% |
| |||||||
American Airlines Group, Inc. |
$ | 1,379,000 | $ | 1,382,447 | ||||
American Airlines Pass-Through Trust, Series 2014-1,
Class B, |
29,616 | 29,302 | ||||||
Spirit Airlines Pass-Through Trust, |
282,540 | 277,397 | ||||||
United Airlines Pass-Through Trust, |
95,000 | 95,040 | ||||||
WestJet Airlines Ltd. |
117,000 | 115,982 | ||||||
|
|
|||||||
1,900,168 | ||||||||
|
|
|||||||
Auto Manufacturers — 0.5% |
| |||||||
Ford Motor Co. |
80,000 | 65,679 | ||||||
Ford Motor Credit Co. LLC |
450,000 | 415,288 | ||||||
4.140% 2/15/23 |
465,000 | 441,987 | ||||||
4.375% 8/06/23 |
475,000 | 449,939 | ||||||
General Motors Co. |
215,000 | 193,788 | ||||||
5.150% 4/01/38 |
130,000 | 111,067 | ||||||
General Motors Financial Co., Inc. |
740,000 | 676,619 | ||||||
4.150% 6/19/23 |
582,000 | 567,072 | ||||||
Volkswagen Group of America Finance LLC |
375,000 | 370,706 | ||||||
|
|
|||||||
3,292,145 | ||||||||
|
|
|||||||
Banks — 2.1% |
| |||||||
Associated Banc-Corp. |
494,000 | 496,729 | ||||||
Banco Santander SA |
400,000 | 378,178 | ||||||
4.250% 4/11/27 |
200,000 | 186,860 | ||||||
Bank of America Corp. |
555,000 | 533,447 | ||||||
4.200% 8/26/24 |
225,000 | 223,155 | ||||||
3 mo. USD LIBOR + 1.814% |
200,000 | 190,259 | ||||||
4.750% 4/21/45 |
125,000 | 123,297 | ||||||
6.110% 1/29/37 |
220,000 | 241,788 | ||||||
7.750% 5/14/38 |
95,000 | 122,862 | ||||||
Bank of Montreal |
395,000 | 365,770 | ||||||
The Bank of Nova Scotia |
200,000 | 199,144 | ||||||
4.650% VRN 12/31/99 (d) (e) |
415,000 | 359,753 |
Principal Amount |
Value | |||||||
Barclays Bank PLC |
$ | 190,000 | $ | 213,588 | ||||
Barclays PLC |
345,000 | 328,516 | ||||||
4.337% 1/10/28 |
260,000 | 240,588 | ||||||
BPCE SA |
420,000 | 381,602 | ||||||
CIT Group, Inc. |
480,000 | 462,000 | ||||||
Citigroup, Inc. |
562,000 | 543,560 | ||||||
8.125% 7/15/39 |
90,000 | 124,862 | ||||||
Credit Suisse AG |
350,000 | 364,875 | ||||||
Credit Suisse Group AG |
500,000 | 482,353 | ||||||
Deutsche Bank AG |
310,000 | 299,578 | ||||||
Discover Bank |
495,000 | 484,407 | ||||||
First Republic Bank |
935,000 | 864,588 | ||||||
Fulton Financial Corp. |
230,000 | 228,453 | ||||||
The Goldman Sachs Group, Inc. |
260,000 | 242,743 | ||||||
5.950% 1/15/27 |
212,000 | 223,236 | ||||||
6.250% 2/01/41 |
60,000 | 68,433 | ||||||
6.750% 10/01/37 |
200,000 | 225,857 | ||||||
HSBC Holdings PLC |
200,000 | 198,482 | ||||||
4.583% VRN 6/19/29 (d) |
455,000 | 451,013 | ||||||
ING Groep NV |
410,000 | 409,751 | ||||||
JP Morgan Chase & Co. |
205,000 | 190,766 | ||||||
5.600% 7/15/41 |
195,000 | 219,691 | ||||||
Morgan Stanley |
775,000 | 753,148 | ||||||
5.000% 11/24/25 |
275,000 | 280,409 | ||||||
Royal Bank of Scotland Group PLC |
350,000 | 336,566 | ||||||
SVB Financial Group |
400,000 | 383,209 | ||||||
Turkiye Garanti Bankasi AS |
445,000 | 438,948 | ||||||
Valley National Bancorp |
245,000 | 254,598 | ||||||
Wells Fargo & Co. |
159,000 | 165,928 | ||||||
5.606% 1/15/44 |
110,000 | 119,296 | ||||||
|
|
|||||||
13,402,286 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
23
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Beverages — 0.2% |
| |||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
$ | 825,000 | $ | 765,093 | ||||
Molson Coors Brewing Co. |
285,000 | 236,779 | ||||||
5.000% 5/01/42 |
60,000 | 56,476 | ||||||
|
|
|||||||
1,058,348 | ||||||||
|
|
|||||||
Biotechnology — 0.1% |
| |||||||
Amgen, Inc. |
90,000 | 92,714 | ||||||
Celgene Corp. |
790,000 | 718,895 | ||||||
4.350% 11/15/47 |
200,000 | 168,421 | ||||||
|
|
|||||||
980,030 | ||||||||
|
|
|||||||
Building Materials — 0.2% |
| |||||||
CRH America Finance, Inc. |
520,000 | 495,486 | ||||||
Standard Industries, Inc. |
771,000 | 674,625 | ||||||
5.375% 11/15/24 (c) |
246,000 | 230,933 | ||||||
5.500% 2/15/23 (c) |
178,000 | 174,440 | ||||||
|
|
|||||||
1,575,484 | ||||||||
|
|
|||||||
Chemicals — 0.5% |
| |||||||
DowDuPont, Inc. |
365,000 | 375,834 | ||||||
Huntsman International LLC |
197,000 | 198,477 | ||||||
Incitec Pivot Finance LLC |
185,000 | 189,085 | ||||||
LYB International Finance BV |
175,000 | 166,835 | ||||||
The Mosaic Co. |
167,000 | 158,388 | ||||||
RPM International, Inc. |
65,000 | 61,718 | ||||||
SABIC Capital II BV |
255,000 | 253,725 | ||||||
4.500% 10/10/28 (c) |
249,000 | 247,606 | ||||||
The Sherwin-Williams Co. |
105,000 | 94,685 | ||||||
Syngenta Finance NV |
760,000 | 754,493 | ||||||
4.441% 4/24/23 (c) |
400,000 | 385,491 | ||||||
Yara International ASA |
570,000 | 568,127 | ||||||
|
|
|||||||
3,454,464 | ||||||||
|
|
|||||||
Commercial Services — 0.2% |
| |||||||
The ADT Security Corp. |
1,122,000 | 1,137,428 |
Principal Amount |
Value | |||||||
ERAC USA Finance LLC |
$ | 78,000 | $ | 92,648 | ||||
|
|
|||||||
1,230,076 | ||||||||
|
|
|||||||
Computers — 0.1% |
| |||||||
Dell International LLC/EMC Corp. |
76,000 | 76,344 | ||||||
Leidos Holdings, Inc. |
835,000 | 828,737 | ||||||
|
|
|||||||
905,081 | ||||||||
|
|
|||||||
Diversified Financial Services — 1.0% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
395,000 | 375,531 | ||||||
3.875% 1/23/28 |
980,000 | 855,250 | ||||||
4.500% 5/15/21 |
290,000 | 290,837 | ||||||
Affiliated Managers Group, Inc. |
590,000 | 573,332 | ||||||
Aircastle Ltd. |
190,000 | 186,869 | ||||||
5.000% 4/01/23 |
525,000 | 527,063 | ||||||
Ally Financial, Inc. |
375,000 | 364,219 | ||||||
Antares Holdings LP |
495,000 | 489,329 | ||||||
Ares Finance Co. LLC |
355,000 | 339,206 | ||||||
Discover Financial Services |
485,000 | 452,781 | ||||||
GE Capital International Funding Co. Unlimited Co. |
200,000 | 167,513 | ||||||
Genpact Luxembourg Sarl |
360,000 | 357,262 | ||||||
High Street Funding Trust I |
500,000 | 491,020 | ||||||
International Lease Finance Corp. |
135,000 | 141,407 | ||||||
Lazard Group LLC |
184,000 | 173,048 | ||||||
4.500% 9/19/28 |
285,000 | 285,054 | ||||||
Legg Mason, Inc. |
175,000 | 172,702 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. |
170,000 | 169,849 | ||||||
|
|
|||||||
6,412,272 | ||||||||
|
|
|||||||
Electric — 0.7% |
| |||||||
The Cleveland Electric Illuminating Co. |
155,000 | 147,660 | ||||||
CMS Energy Corp. |
115,000 | 116,516 | ||||||
4.875% 3/01/44 |
390,000 | 407,098 |
The accompanying notes are an integral part of the financial statements.
24
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Duke Energy Corp. |
$ | 195,000 | $ | 168,588 | ||||
EDP Finance BV |
420,000 | 392,734 | ||||||
Entergy Louisiana LLC |
165,000 | 168,636 | ||||||
IPALCO Enterprises, Inc. |
615,000 | 614,217 | ||||||
3.700% 9/01/24 |
170,000 | 165,495 | ||||||
Israel Electric Corp. Ltd. |
425,000 | 403,716 | ||||||
7.250% 1/15/19 (c) |
200,000 | 200,084 | ||||||
Nevada Power Co., Series N, |
135,000 | 175,122 | ||||||
Oncor Electric Delivery Co. |
40,000 | 55,927 | ||||||
Pacific Gas & Electric Co. |
120,000 | 111,211 | ||||||
Pennsylvania Electric Co. |
295,000 | 298,599 | ||||||
Puget Energy, Inc. |
350,000 | 342,146 | ||||||
Southwestern Electric Power Co. |
180,000 | 213,024 | ||||||
Xcel Energy, Inc. |
590,000 | 742,234 | ||||||
|
|
|||||||
4,723,007 | ||||||||
|
|
|||||||
Electronics — 0.1% |
| |||||||
Arrow Electronics, Inc. |
555,000 | 516,766 | ||||||
3.875% 1/12/28 |
145,000 | 132,083 | ||||||
4.500% 3/01/23 |
80,000 | 81,020 | ||||||
Ingram Micro, Inc. |
203,000 | 197,437 | ||||||
|
|
|||||||
927,306 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.0% |
| |||||||
Fibria Overseas Finance Ltd. |
250,000 | 235,750 | ||||||
|
|
|||||||
Gas — 0.1% |
| |||||||
NiSource, Inc. |
285,000 | 275,926 | ||||||
5.800% 2/01/42 |
175,000 | 193,895 | ||||||
Spire, Inc. |
290,000 | 293,665 | ||||||
|
|
|||||||
763,486 | ||||||||
|
|
|||||||
Health Care – Products — 0.1% |
| |||||||
Becton Dickinson & Co. |
295,000 | 279,022 | ||||||
Becton Dickinson and Co. |
225,000 | 210,592 |
Principal Amount |
Value | |||||||
Zimmer Biomet Holdings, Inc. |
$ | 265,000 | $ | 240,560 | ||||
|
|
|||||||
730,174 | ||||||||
|
|
|||||||
Health Care – Services — 0.1% |
| |||||||
Advocate Health & Hospitals Corp. |
165,000 | 169,877 | ||||||
Humana, Inc. |
82,000 | 80,113 | ||||||
4.800% 3/15/47 |
125,000 | 125,098 | ||||||
|
|
|||||||
375,088 | ||||||||
|
|
|||||||
Home Builders — 0.2% |
| |||||||
Lennar Corp. |
766,000 | 760,255 | ||||||
4.750% 5/30/25 |
200,000 | 187,500 | ||||||
PulteGroup, Inc. |
300,000 | 271,500 | ||||||
|
|
|||||||
1,219,255 | ||||||||
|
|
|||||||
Housewares — 0.0% |
| |||||||
Newell Brands, Inc. |
225,000 | 221,703 | ||||||
|
|
|||||||
Insurance — 1.3% |
| |||||||
The Allstate Corp. |
990,000 | 965,250 | ||||||
American International Group, Inc. |
360,000 | 346,811 | ||||||
4.500% 7/16/44 |
200,000 | 178,486 | ||||||
4.750% 4/01/48 |
75,000 | 68,634 | ||||||
5.750% VRN 4/01/48 (d) |
425,000 | 369,750 | ||||||
AmTrust Financial Services, Inc. |
495,000 | 447,304 | ||||||
Arch Capital Group US, Inc. |
170,000 | 178,061 | ||||||
The Athene Holding Ltd. |
1,405,000 | 1,276,246 | ||||||
AXIS Specialty Finance PLC |
665,000 | 636,409 | ||||||
CNA Financial Corp. |
185,000 | 172,124 | ||||||
CNO Financial Group, Inc. |
133,000 | 131,338 | ||||||
5.250% 5/30/25 |
465,000 | 442,913 | ||||||
Enstar Group Ltd. |
370,000 | 372,470 | ||||||
The Progressive Corp. |
200,000 | 187,410 | ||||||
Prudential Financial, Inc. |
480,000 | 446,400 | ||||||
Trinity Acquisition PLC |
195,000 | 193,775 |
The accompanying notes are an integral part of the financial statements.
25
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
USF&G Capital I |
$ | 150,000 | $ | 205,702 | ||||
Voya Financial, Inc. |
180,000 | 141,750 | ||||||
Willis North America, Inc. |
480,000 | 476,237 | ||||||
7.000% 9/29/19 |
97,000 | 99,226 | ||||||
XLIT Ltd. |
758,000 | 753,279 | ||||||
5.500% 3/31/45 |
100,000 | 103,404 | ||||||
|
|
|||||||
8,192,979 | ||||||||
|
|
|||||||
Internet — 0.1% |
| |||||||
Amazon.com, Inc. |
425,000 | 415,267 | ||||||
Tencent Holdings Ltd. |
225,000 | 211,402 | ||||||
|
|
|||||||
626,669 | ||||||||
|
|
|||||||
Investment Companies — 0.3% |
| |||||||
Ares Capital Corp. |
710,000 | 674,841 | ||||||
3.875% 1/15/20 |
525,000 | 526,102 | ||||||
BlackRock TCP Capital Corp. |
470,000 | 452,897 | ||||||
FS KKR Capital Corp. |
505,000 | 504,429 | ||||||
|
|
|||||||
2,158,269 | ||||||||
|
|
|||||||
Iron & Steel — 0.3% |
| |||||||
ArcelorMittal |
320,000 | 325,311 | ||||||
5.250% STEP 8/05/20 |
718,000 | 728,563 | ||||||
Vale Overseas Ltd. |
475,000 | 498,156 | ||||||
6.875% 11/21/36 |
230,000 | 263,005 | ||||||
|
|
|||||||
1,815,035 | ||||||||
|
|
|||||||
Lodging — 0.1% |
| |||||||
MGM Resorts International |
416,000 | 426,400 | ||||||
|
|
|||||||
Machinery – Diversified — 0.1% |
| |||||||
CNH Industrial Capital LLC |
700,000 | 695,310 | ||||||
|
|
|||||||
Media — 0.3% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
200,000 | 186,280 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
470,000 | 469,493 | ||||||
6.484% 10/23/45 |
225,000 | 231,286 | ||||||
Comcast Corp. |
220,000 | 182,287 |
Principal Amount |
Value | |||||||
Discovery Communications LLC |
$ | 400,000 | $ | 370,895 | ||||
5.000% 9/20/37 |
160,000 | 148,412 | ||||||
Time Warner Cable, Inc. |
110,000 | 111,774 | ||||||
8.250% 4/01/19 |
45,000 | 45,505 | ||||||
8.750% 2/14/19 |
65,000 | 65,363 | ||||||
Warner Media LLC |
25,000 | 26,989 | ||||||
|
|
|||||||
1,838,284 | ||||||||
|
|
|||||||
Mining — 0.3% |
| |||||||
Glencore Finance Canada Ltd. |
149,000 | 134,118 | ||||||
Glencore Funding LLC |
160,000 | 143,037 | ||||||
4.625% 4/29/24 (c) |
600,000 | 594,744 | ||||||
Kinross Gold Corp. |
166,000 | 143,382 | ||||||
5.125% 9/01/21 |
900,000 | 897,750 | ||||||
|
|
|||||||
1,913,031 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 0.1% |
| |||||||
General Electric Co. |
245,000 | 227,342 | ||||||
4.125% 10/09/42 |
520,000 | 406,298 | ||||||
|
|
|||||||
633,640 | ||||||||
|
|
|||||||
Office Equipment/Supplies — 0.1% |
| |||||||
Pitney Bowes, Inc. |
135,000 | 131,963 | ||||||
3.875% STEP 10/01/21 |
485,000 | 454,081 | ||||||
|
|
|||||||
586,044 | ||||||||
|
|
|||||||
Oil & Gas — 1.0% |
| |||||||
Anadarko Petroleum Corp. |
250,000 | 269,999 | ||||||
6.600% 3/15/46 |
257,000 | 283,774 | ||||||
Antero Resources Corp. |
1,264,000 | 1,219,760 | ||||||
Cenovus Energy, Inc. |
200,000 | 189,862 | ||||||
4.250% 4/15/27 |
550,000 | 500,952 | ||||||
6.750% 11/15/39 |
100,000 | 97,591 | ||||||
Continental Resources, Inc. |
260,000 | 244,598 | ||||||
Diamondback Energy, Inc. |
428,000 | 413,020 | ||||||
Encana Corp. |
80,000 | 86,735 | ||||||
EQT Corp. |
840,000 | 724,149 | ||||||
Helmerich & Payne, Inc. |
190,000 | 193,734 |
The accompanying notes are an integral part of the financial statements.
26
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Marathon Petroleum Corp. |
$ | 85,000 | $ | 71,347 | ||||
4.750% 9/15/44 |
100,000 | 88,186 | ||||||
6.500% 3/01/41 |
170,000 | 183,386 | ||||||
Nabors Industries, Inc. |
215,000 | 170,650 | ||||||
Newfield Exploration Co. |
417,000 | 421,170 | ||||||
Patterson-UTI Energy, Inc. |
160,000 | 146,719 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. |
175,000 | 167,125 | ||||||
Petroleos Mexicanos |
100,000 | 90,500 | ||||||
4.625% 9/21/23 |
100,000 | 93,850 | ||||||
5.350% 2/12/28 |
190,000 | 165,775 | ||||||
5.500% 1/21/21 |
635,000 | 632,441 | ||||||
6.375% 1/23/45 |
80,000 | 64,400 | ||||||
6.500% 3/13/27 |
60,000 | 56,400 | ||||||
6.625% 6/15/38 |
37,000 | 31,635 | ||||||
|
|
|||||||
6,607,758 | ||||||||
|
|
|||||||
Oil & Gas Services — 0.1% |
| |||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.
|
75,000 | 69,007 | ||||||
National Oilwell Varco, Inc. |
366,000 | 292,094 | ||||||
|
|
|||||||
361,101 | ||||||||
|
|
|||||||
Packaging & Containers — 0.1% |
| |||||||
Amcor Finance USA, Inc. |
715,000 | 677,080 | ||||||
|
|
|||||||
Pharmaceuticals — 0.6% |
| |||||||
AbbVie, Inc. |
490,000 | 445,612 | ||||||
Bayer US Finance II LLC |
615,000 | 526,368 | ||||||
CVS Health Corp. |
173,000 | 169,126 | ||||||
5.050% 3/25/48 |
380,000 | 369,592 | ||||||
6.125% 9/15/39 |
175,000 | 193,839 | ||||||
CVS Pass-Through Trust |
263,486 | 283,778 | ||||||
Express Scripts Holding Co. |
280,000 | 283,789 | ||||||
4.800% 7/15/46 |
195,000 | 186,941 | ||||||
McKesson Corp. |
60,000 | 57,745 | ||||||
6.000% 3/01/41 |
125,000 | 138,399 | ||||||
Mylan, Inc. |
225,000 | 210,989 | ||||||
Teva Pharmaceutical Finance IV LLC |
200,000 | 194,629 |
Principal Amount |
Value | |||||||
Teva Pharmaceutical Finance |
$ | 51,000 | $ | 50,208 | ||||
2.200% 7/21/21 |
895,000 | 822,695 | ||||||
4.100% 10/01/46 |
75,000 | 49,573 | ||||||
|
|
|||||||
3,983,283 | ||||||||
|
|
|||||||
Pipelines — 1.0% |
| |||||||
Andeavor Logistics LP |
300,000 | 267,000 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. |
97,000 | 98,940 | ||||||
Energy Transfer LP |
200,000 | 203,500 | ||||||
7.500% 10/15/20 |
425,000 | 442,000 | ||||||
Energy Transfer Operating LP |
440,000 | 410,050 | ||||||
6.125% 12/15/45 |
75,000 | 73,350 | ||||||
6.250% VRN 12/31/99 (d) (e) |
540,000 | 451,913 | ||||||
6.500% 2/01/42 |
100,000 | 99,803 | ||||||
EnLink Midstream Partners LP |
475,000 | 428,230 | ||||||
4.850% 7/15/26 |
149,000 | 134,363 | ||||||
Enterprise Products Operating LLC |
195,000 | 161,233 | ||||||
EQM Midstream Partners LP |
500,000 | 498,925 | ||||||
Kinder Morgan Energy Partners LP |
65,000 | 68,985 | ||||||
6.500% 2/01/37 |
120,000 | 129,275 | ||||||
6.550% 9/15/40 |
90,000 | 97,145 | ||||||
6.950% 1/15/38 |
10,000 | 11,154 | ||||||
MPLX LP |
195,000 | 170,303 | ||||||
4.800% 2/15/29 |
115,000 | 114,717 | ||||||
5.200% 3/01/47 |
35,000 | 32,217 | ||||||
Phillips 66 Partners LP |
28,000 | 25,215 | ||||||
Plains All American Pipeline LP |
585,000 | 491,400 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. |
320,000 | 308,224 | ||||||
4.700% 6/15/44 |
100,000 | 85,807 | ||||||
Sabine Pass Liquefaction LLC |
240,000 | 229,564 | ||||||
Sunoco Logistics Partners Operations LP |
230,000 | 210,667 | ||||||
5.300% 4/01/44 |
75,000 | 66,226 | ||||||
Western Gas Partners LP |
781,000 | 774,312 | ||||||
4.500% 3/01/28 |
105,000 | 98,146 | ||||||
|
|
|||||||
6,182,664 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
27
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Private Equity — 0.1% |
| |||||||
Hercules Capital, Inc. |
$ | 470,000 | $ | 458,649 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
550,000 | 543,125 | ||||||
|
|
|||||||
1,001,774 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 0.4% |
| |||||||
American Tower Trust #1 |
310,000 | 309,652 | ||||||
Healthcare Trust of America Holdings LP |
375,000 | 352,467 | ||||||
Host Hotels & Resorts LP |
245,000 | 241,696 | ||||||
Kimco Realty Corp. |
160,000 | 152,500 | ||||||
Mid-America Apartments LP |
155,000 | 149,578 | ||||||
National Retail Properties, Inc. |
155,000 | 155,764 | ||||||
SBA Tower Trust |
200,000 | 196,332 | ||||||
3.156% 10/10/45 (c) |
210,000 | 207,906 | ||||||
3.168% 4/09/47 (c) |
260,000 | 255,631 | ||||||
VEREIT Operating Partnership LP |
260,000 | 260,485 | ||||||
Weingarten Realty Investors |
85,000 | 78,665 | ||||||
|
|
|||||||
2,360,676 | ||||||||
|
|
|||||||
Retail — 0.3% |
| |||||||
Dollar Tree, Inc. |
375,000 | 360,508 | ||||||
4.200% 5/15/28 |
320,000 | 303,103 | ||||||
El Puerto de Liverpool SAB de CV |
445,000 | 417,192 | ||||||
The Home Depot, Inc. |
150,000 | 184,066 | ||||||
QVC, Inc. |
260,000 | 249,479 | ||||||
5.125% 7/02/22 |
280,000 | 282,957 | ||||||
|
|
|||||||
1,797,305 | ||||||||
|
|
|||||||
Semiconductors — 0.1% |
| |||||||
Marvell Technology Group Ltd. |
275,000 | 274,204 | ||||||
Microchip Technology, Inc. |
165,000 | 163,678 | ||||||
|
|
|||||||
437,882 | ||||||||
|
|
|||||||
Software — 0.1% |
| |||||||
Microsoft Corp. |
530,000 | 562,139 | ||||||
|
|
Principal Amount |
Value | |||||||
Telecommunications — 0.5% |
| |||||||
AT&T, Inc. |
$ | 200,000 | $ | 188,331 | ||||
4.750% 5/15/46 |
600,000 | 532,736 | ||||||
5.250% 3/01/37 |
95,000 | 93,312 | ||||||
CenturyLink, Inc. |
140,000 | 141,789 | ||||||
Cisco Systems, Inc. |
55,000 | 64,896 | ||||||
Crown Castle Towers LLC |
250,000 | 248,788 | ||||||
Ericsson LM |
730,000 | 718,039 | ||||||
Hughes Satellite Systems Corp. |
175,000 | 176,531 | ||||||
Sprint Communications, Inc. |
410,000 | 468,425 | ||||||
Telefonica Emisiones SAU |
180,000 | 162,826 | ||||||
Verizon Communications, Inc. |
149,000 | 175,757 | ||||||
|
|
|||||||
2,971,430 | ||||||||
|
|
|||||||
Transportation — 0.1% |
| |||||||
Autoridad del Canal de Panama |
210,000 | 213,677 | ||||||
CSX Corp. |
155,000 | 156,682 | ||||||
Pacific National Finance Pty Ltd. |
105,000 | 106,332 | ||||||
|
|
|||||||
476,691 | ||||||||
|
|
|||||||
Trucking & Leasing — 0.2% |
| |||||||
DAE Funding LLC |
173,000 | 168,675 | ||||||
Park Aerospace Holdings Ltd. |
250,000 | 233,750 | ||||||
5.250% 8/15/22 (c) |
1,005,000 | 972,337 | ||||||
|
|
|||||||
1,374,762 | ||||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $95,224,763) |
92,223,579 | |||||||
|
|
|||||||
MUNICIPAL OBLIGATIONS — 0.3% |
| |||||||
JobsOhio Beverage System Series B |
325,000 | 346,850 | ||||||
Orange County Local Transportation Authority BAB |
230,000 | 304,440 | ||||||
Panhandle-Plains Student Finance Corp., Series 2001-A2,
|
300,000 | 297,864 |
The accompanying notes are an integral part of the financial statements.
28
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
State of California BAB |
$ | 650,000 | $ | 931,157 | ||||
7.600% 11/01/40 |
105,000 | 152,902 | ||||||
|
|
|||||||
2,033,213 | ||||||||
|
|
|||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $2,009,589) |
2,033,213 | |||||||
|
|
|||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 11.8% |
| |||||||
Automobile ABS — 0.5% |
| |||||||
Hertz Vehicle Financing II LP |
1,240,000 | 1,219,627 | ||||||
Series 2018-1A, Class B, |
650,000 | 641,445 | ||||||
Oscar US Funding Trust II, |
248,343 | 247,597 | ||||||
Oscar US Funding Trust V, |
690,000 | 686,830 | ||||||
Oscar US Funding Trust VI, |
150,000 | 150,100 | ||||||
|
|
|||||||
2,945,599 | ||||||||
|
|
|||||||
Commercial MBS — 1.0% |
| |||||||
Aventura Mall Trust, Series 2018-AVM, Class C, |
710,000 | 703,894 | ||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class C, |
130,000 | 129,408 | ||||||
BANK, Series 2018-BN14, Class C, |
210,000 | 206,172 | ||||||
BBCMS Mortgage Trust |
350,000 | 347,447 | ||||||
Series 2018-CHRS, Class C, |
280,000 | 271,633 | ||||||
Series 2018-CHRS, Class D, |
210,000 | 198,808 | ||||||
BHMS Mortgage Trust, |
850,000 | 842,111 | ||||||
BX Commercial Mortgage Trust, |
419,374 | 413,223 | ||||||
Commercial Mortgage Pass-Through Certificates |
195,000 | 186,174 |
Principal Amount |
Value | |||||||
Series 2014-UBS2, Class A5, |
$ | 319,000 | $ | 327,032 | ||||
Series 2015-CR23, Class C, |
140,000 | 135,877 | ||||||
Series 2014-UBS5, Class B, |
290,000 | 291,449 | ||||||
DBCCRE Mortgage Trust, |
165,000 | 168,881 | ||||||
DBUBS Mortgage Trust, |
110,000 | 114,276 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7,
Class AM, |
122,181 | 123,336 | ||||||
GS Mortgage Securities Corp. II, |
100,000 | 103,737 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
490,000 | 459,894 | ||||||
Series 2007-CB18, Class AM, |
1,001 | 1,001 | ||||||
Morgan Stanley Capital I Trust |
120,000 | 122,978 | ||||||
Series 2011-C2, Class B, |
250,000 | 256,742 | ||||||
MSCG Trust, Series 2018-SELF, Class C, |
90,000 | 88,396 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4,
Class AJ, |
10,422 | 10,447 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2,
Class AFX, |
157,910 | 156,975 | ||||||
VNO Mortgage Trust, Series 2013-PENN, Class A |
240,000 | 242,238 | ||||||
Wells Fargo Commercial Mortgage Trust |
11,716 | 11,725 | ||||||
Series 2018-C45, Class AS, |
240,000 | 245,535 | ||||||
Series 2018-C45, Class B, |
60,000 | 61,714 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B |
190,000 | 191,512 | ||||||
|
|
|||||||
6,412,615 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
29
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Home Equity ABS — 0.0% |
| |||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%
|
$ | 24,049 | $ | 24,095 | ||||
|
|
|||||||
Other ABS — 5.2% |
| |||||||
321 Henderson Receivables LLC |
58,671 | 55,873 | ||||||
Series 2015-1A, Class A, |
47,358 | 46,618 | ||||||
Aames Mortgage Investment Trust, |
53,235 | 52,899 | ||||||
AASET Trust, Series 2017-1A, Class A |
1,252,822 | 1,250,667 | ||||||
AASET US Ltd., Series 2018-2A, Class A |
337,654 | 341,088 | ||||||
Adams Outdoor Advertising LP, |
389,535 | 400,624 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR
+ 1.480% |
410,000 | 410,205 | ||||||
Alterna Funding II LLC, Series 2015-1A, Class A
|
24,531 | 24,408 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 |
310,400 | 321,302 | ||||||
Ascentium Equipment Receivables Trust, |
488,000 | 497,816 | ||||||
Assurant CLO III Ltd., Series 2018-2A, Class C,
|
310,000 | 293,430 | ||||||
Atlas Senior Loan Fund VII Ltd., |
960,000 | 952,535 | ||||||
Atrium XV, Series 15A, Class B, |
250,000 | 246,466 | ||||||
Avery Point III CLO Ltd., |
108,561 | 108,302 | ||||||
Bain Capital Credit CLO, Series 2017-1A, Class A1, 3 mo.
USD LIBOR + 1.250% |
400,000 | 397,284 |
Principal Amount |
Value | |||||||
Benefit Street Partners CLO V-B Ltd., |
$ | 260,000 | $ | 256,674 | ||||
BlueVirgo Trust, Series 2015-1A, Class NOTE |
73,743 | 73,743 | ||||||
BRE Grand Islander Timeshare Issuer LLC, |
130,755 | 129,066 | ||||||
CAL Funding II Ltd., Series 2018-2A, |
282,750 | 289,585 | ||||||
Capital Automotive REIT |
160,000 | 159,671 | ||||||
Series 2017-1A, Class A2, |
137,667 | 138,721 | ||||||
Carlyle Global Market Strategies CLO Ltd. |
750,000 | 741,903 | ||||||
Series 2018-4A, Class A2, |
720,000 | 712,379 | ||||||
Castlelake Aircraft Structured Trust, |
308,576 | 313,442 | ||||||
Cazenovia Creek Funding I LLC, |
10,178 | 10,121 | ||||||
CIFC Funding V Ltd., Series 2017-5A, |
340,000 | 337,534 | ||||||
Clear Creek CLO Ltd., Series 2015-1A, |
480,000 | 476,534 | ||||||
Countrywide Asset-Backed Certificates, |
12,845 | 12,718 | ||||||
Crestline Denali CLO XIV Ltd., |
250,000 | 248,619 | ||||||
Cronos Containers Program I Ltd., |
163,889 | 162,630 | ||||||
Diamond Resorts Owner Trust |
250,211 | 247,098 | ||||||
Series 2018-1, Class A, |
286,829 | 289,175 | ||||||
Domino’s Pizza Master Issuer LLC |
308,450 | 304,610 |
The accompanying notes are an integral part of the financial statements.
30
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2017-1A, Class A23, |
$ | 108,625 | $ | 109,625 | ||||
Series 2015-1A, Class A2II, |
526,500 | 531,718 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A2
|
4,872 | 4,865 | ||||||
Eaton Vance CLO Ltd., Series 2018-1A, Class B, |
700,000 | 692,770 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series
2015-1, Class A |
76,487 | 75,256 | ||||||
First Franklin Mortgage Loan Trust, |
420,000 | 427,902 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class AR, |
500,000 | 493,715 | ||||||
Global SC Finance II SRL, Series 2014-1A, Class A1
|
139,583 | 137,932 | ||||||
Goodgreen Trust |
337,117 | 331,657 | ||||||
Series 2017-2A, Class A, |
409,771 | 403,393 | ||||||
Series 2017-1A, Class A, |
156,933 | 158,584 | ||||||
Series 2018-1A, Class A, |
296,990 | 302,139 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR +
..645% |
14,048 | 13,949 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A |
231,862 | 236,139 | ||||||
Hero Funding Trust |
187,746 | 183,724 | ||||||
Series 2017-3A, Class A1, |
223,372 | 221,037 | ||||||
Series 2016-4A, Class A1, |
195,107 | 197,394 | ||||||
Series 2018-1A, Class A2, |
424,976 | 442,438 | ||||||
Highbridge Loan Management Ltd. |
250,000 | 232,253 | ||||||
Series 13A-18, Class C, |
350,000 | 331,612 |
Principal Amount |
Value | |||||||
Hilton Grand Vacations Trust |
$ | 26,695 | $ | 26,569 | ||||
Series 2018-AA, Class C, |
181,012 | 183,183 | ||||||
J.G. Wentworth XLII LLC, |
299,985 | 309,295 | ||||||
J.G. Wentworth XXXV LLC, |
89,074 | 90,706 | ||||||
J.G. Wentworth XXXVIII LLC, |
1,100,000 | 1,147,944 | ||||||
KDAC Aircraft Finance Ltd., |
385,002 | 385,508 | ||||||
KREF Ltd., Series 2018-FL1, Class C, |
210,000 | 205,847 | ||||||
Lendmark Funding Trust |
200,000 | 197,400 | ||||||
Series 2018-1A, Class A, |
280,000 | 279,528 | ||||||
Madison Park Funding Ltd., |
550,000 | 528,739 | ||||||
Madison Park Funding XXVIII Ltd., |
430,000 | 421,556 | ||||||
Madison Park Funding XXXI Ltd., |
250,000 | 244,800 | ||||||
Marble Point CLO XI Ltd., |
1,000,000 | 987,510 | ||||||
Mariner Finance Issuance Trust |
750,000 | 742,146 | ||||||
Series 2018-AA, Class A, |
602,000 | 608,705 | ||||||
Marlette Funding Trust, Series 2017-2A, Class B
|
140,000 | 139,783 | ||||||
Mosaic Solar Loans LLC |
133,074 | 133,881 | ||||||
Series 2017-1A, Class A |
62,840 | 63,306 | ||||||
MP CLO III Ltd., Series 2013-1A, Class AR, |
300,000 | 297,817 |
The accompanying notes are an integral part of the financial statements.
31
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
NP Ferrum LLC |
$ | 49,791 | $ | 49,235 | ||||
Series 16-1A, Class A1, |
149,880 | 151,524 | ||||||
NP SPE II LLC, Series 2017-1A, Class A2 |
380,000 | 385,375 | ||||||
NRZ Advance Receivables Trust |
1,650,000 | 1,627,732 | ||||||
Series 2016-T4, Class AT4, |
450,000 | 449,239 | ||||||
OHA Credit Partners XI Ltd., |
300,000 | 287,808 | ||||||
Orange Lake Timeshare Trust |
25,591 | 25,173 | ||||||
Series 2016-A, Class B, |
125,191 | 124,335 | ||||||
Oxford Finance Funding Trust, |
166,833 | 167,350 | ||||||
Race Point VIII CLO Ltd., |
250,000 | 248,831 | ||||||
Sierra Timeshare Receivables Funding LLC |
21,642 | 21,530 | ||||||
Series 2018-2A, Class C, |
226,957 | 228,747 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A
|
232,853 | 232,332 | ||||||
Spirit Master Funding LLC, |
159,450 | 158,728 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A
|
137,515 | 136,185 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2,
Class AT2 |
670,000 | 668,753 | ||||||
Steele Creek CLO Ltd., Series 2018-2A, Class C,
|
290,000 | 275,010 | ||||||
Store Master Funding I-VII, Series 2018-1A, Class A2 |
259,105 | 266,351 |
Principal Amount |
Value | |||||||
Structured Receivables Finance LLC, |
$ | 74,671 | $ | 73,301 | ||||
Sunnova Helios II Issuer LLC, |
118,000 | 120,460 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A,
Class A |
345,306 | 335,725 | ||||||
Taco Bell Funding LLC, Series 2018-1A, Class A2II
|
240,000 | 242,114 | ||||||
TAL Advantage VI LLC, Series 2017-1A, Class A |
342,065 | 348,895 | ||||||
TCI-Symphony CLO Ltd., Series
2016-1A, Class A, 3 mo. USD LIBOR + 1.480% |
340,000 | 339,996 | ||||||
Textainer Marine Containers V Ltd., |
483,907 | 479,893 | ||||||
Trinity Rail Leasing L.P., Series 2018-1A, Class A2
|
410,000 | 419,729 | ||||||
Trip Rail Master Funding LLC, |
140,000 | 141,188 | ||||||
Triton Container Finance VI LLC |
144,994 | 142,861 | ||||||
Series 2018-2A, Class A, |
446,500 | 449,413 | ||||||
Voya CLO Ltd., Series 2015-3A, Class A3R, |
300,000 | 293,826 | ||||||
VSE VOI Mortgage LLC, Series 2016-A, Class A |
196,197 | 192,987 | ||||||
WAVE Trust, Series 2017-1A, Class A |
641,690 | 642,457 | ||||||
Welk Resorts LLC |
83,409 | 82,077 | ||||||
Series 2017-AA, Class B, |
217,253 | 213,670 | ||||||
Wendy’s Funding LLC |
299,925 | 301,422 | ||||||
Series 2015-1A, Class A23, |
411,188 | 423,595 | ||||||
Wingstop Funding LLC, Series 2018-1, Class A2 |
130,000 | 131,269 | ||||||
|
|
|||||||
33,705,181 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
32
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Student Loans ABS — 4.7% |
| |||||||
Academic Loan Funding Trust, |
$ | 438,985 | $ | 441,153 | ||||
AccessLex Institute |
400,000 | 394,150 | ||||||
Series 2003-A, Class A3, 3 mo. |
70,461 | 68,786 | ||||||
CIT Education Loan Trust, |
772,809 | 724,017 | ||||||
College Loan Corp. Trust I, |
130,000 | 103,360 | ||||||
DRB Prime Student Loan Trust |
429,491 | 422,449 | ||||||
Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900% |
429,491 | 432,497 | ||||||
Earnest Student Loan Program LLC |
172,718 | 170,805 | ||||||
Series 2016-B, Class A2, |
123,172 | 122,766 | ||||||
Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850% |
175,111 | 176,519 | ||||||
ECMC Group Student Loan Trust |
531,343 | 530,895 | ||||||
Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200% |
340,189 | 344,045 | ||||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350% |
480,234 | 489,345 | ||||||
EdLinc Student Loan Funding, |
490,807 | 496,531 | ||||||
EdLinc Student Loan Funding Trust, |
270,000 | 321,055 | ||||||
Goal Capital Funding Trust, |
141,989 | 134,271 |
Principal Amount |
Value | |||||||
KnowledgeWorks Foundation, |
$ | 142,436 | $ | 142,865 | ||||
Laurel Road Prime Student Loan Trust |
150,408 | 147,657 | ||||||
Series 2018-B, Class BFX, |
140,000 | 140,938 | ||||||
Navient Private Education Loan Trust, Series 2018-BA,
Class A2B, |
150,000 | 150,420 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-CA,
Class B |
250,000 | 246,357 | ||||||
Navient Student Loan Trust |
423,203 | 424,370 | ||||||
Series 2018-1A, Class A3, |
710,000 | 706,022 | ||||||
Series 2018-2A, Class A3, |
550,000 | 550,389 | ||||||
Series 2017-5A, Class A, |
425,940 | 426,660 | ||||||
Series 2018-3A, Class A3, |
750,000 | 740,720 | ||||||
Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250% |
397,455 | 400,431 | ||||||
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% |
1,100,000 | 1,123,707 | ||||||
Series 2018-4A, Class B, |
750,000 | 749,999 | ||||||
Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500% |
220,000 | 216,779 | ||||||
Series 2014-8, Class B, 1 mo. USD LIBOR + 1.500% |
155,000 | 155,873 | ||||||
Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500% |
150,000 | 152,139 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A,
Class A1B |
126,156 | 122,848 | ||||||
Nelnet Student Loan Trust |
200,000 | 195,451 | ||||||
Series 2005-2, Class A5, 3 mo. USD LIBOR + .100% |
264,528 | 262,023 |
The accompanying notes are an integral part of the financial statements.
33
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% |
$ | 100,697 | $ | 92,523 | ||||
Series 2013-5A, Class A, 1 mo. USD LIBOR + .630% |
156,912 | 156,630 | ||||||
Series 2018-3A, Class A3, |
600,000 | 600,759 | ||||||
Series 2018-1A, Class A2, |
650,000 | 643,503 | ||||||
Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500% |
150,000 | 147,968 | ||||||
North Carolina State Education Assistance Authority, Series
2011-2, Class A3, 3 mo. USD LIBOR + .800% |
250,000 | 251,036 | ||||||
PHEAA Student Loan Trust, |
409,350 | 411,391 | ||||||
SLC Student Loan Trust, Series 2006-1, Class A6, 3 mo.
USD LIBOR + .160% |
1,550,000 | 1,469,837 | ||||||
SLM Student Loan Trust |
300,213 | 298,010 | ||||||
Series 2007-1, Class A6, 3 mo. USD LIBOR + .140% |
150,000 | 144,344 | ||||||
Series 2005-3, Class B, 3 mo. USD LIBOR + .150% |
171,009 | 157,476 | ||||||
Series 2006-10, Class A6, 3 mo. USD LIBOR + .150% |
1,740,000 | 1,692,115 | ||||||
Series 2006-2, Class A6, ABS, 3 mo. USD LIBOR + .170% |
533,975 | 516,721 | ||||||
Series 2005-4, Class B, 3 mo. USD LIBOR + .180% |
285,500 | 268,345 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% |
366,336 | 347,760 | ||||||
Series 2005-6, Class B, 3 mo. USD LIBOR + .290% |
396,989 | 368,375 | ||||||
Series 2004-1 Class B, 3 mo. USD LIBOR + .500% |
352,743 | 334,895 |
Principal Amount |
Value | |||||||
Series 2005-9, Class A7A, 3 mo. EURIBOR + .600% |
$ | 610,000 | $ | 604,878 | ||||
Series 2003-14, Class A7, 3 mo. USD LIBOR + .600% |
2,950,000 | 2,941,792 | ||||||
Series 2005-5, Class A5, 3 mo. USD LIBOR + .750% |
1,300,000 | 1,289,442 | ||||||
Series 2002-7, Class A11, 28 day ARS 4.080% FRN 3/15/28 |
160,000 | 160,000 | ||||||
Series 2002-7, Class A10, 28 day ARS 4.088% FRN 3/15/28 |
129,000 | 129,000 | ||||||
Series 2003-5, Class A9, 28 day ARS |
350,000 | 350,000 | ||||||
Series 2003-5, Class A7, 28 day ARS |
50,000 | 50,000 | ||||||
Series 2002-7, Class B, 28 day ARS |
550,000 | 551,986 | ||||||
SMB Private Education Loan Trust |
194,355 | 190,908 | ||||||
Series 2017-A, Class B, |
300,000 | 290,940 | ||||||
Series 2017-B, Class B, |
150,000 | 146,487 | ||||||
Series 2015-B, Class A2B, 1 mo. USD LIBOR + 1.200% |
133,026 | 133,838 | ||||||
Series 2018-C, Class B, |
300,000 | 297,062 | ||||||
SoFi Professional Loan Program LLC |
100 | 103,750 | ||||||
Series 2017-D, Class R1, |
1,000,000 | 645,250 | ||||||
Series 2018-A, Class R1, |
1,000,000 | 718,200 | ||||||
Series 2018-D, Class R1, |
968,900 | 333,786 | ||||||
Series 2017-A, Class B, |
180,000 | 175,798 | ||||||
Series 2017-D, Class BFX, |
500,000 | 485,897 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200% |
142,268 | 144,059 | ||||||
South Carolina Student Loan Corp. |
290,000 | 292,578 |
The accompanying notes are an integral part of the financial statements.
34
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2010-1, Class A3, 3 mo. USD LIBOR + 1.050% |
$ | 170,000 | $ | 171,363 | ||||
|
|
|||||||
30,536,994 | ||||||||
|
|
|||||||
WL Collateral CMO — 0.4% |
| |||||||
Countrywide Home Loans, Inc. |
19,627 | 18,987 | ||||||
Series 2003-42, Class 1A1, |
4,205 | 3,809 | ||||||
Deephaven Residential Mortgage Trust |
430,078 | 423,858 | ||||||
Series 2018-1A, Class A3, |
122,879 | 121,575 | ||||||
GSR Mortgage Loan Trust, |
5,963 | 5,709 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4,
Class 1A, |
41,144 | 38,789 | ||||||
JP Morgan Mortgage Trust, |
471,427 | 460,290 | ||||||
Merrill Lynch Mortgage Investors, Inc. |
3,598 | 3,333 | ||||||
Series 2003-A4, Class IA, |
2,849 | 2,756 | ||||||
PNMAC GMSR Issuer Trust, |
200,000 | 200,430 | ||||||
PSMC Trust, Series 2018-2, Class A1, |
628,656 | 615,907 | ||||||
Sequoia Mortgage Trust |
539,082 | 540,563 | ||||||
Series 2018-CH4, Class A2, |
394,377 | 400,638 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2,
Class 2A, |
23,097 | 22,239 | ||||||
Washington Mutual Mortgage Pass-Through
Certificates, |
63,711 | 61,510 | ||||||
|
|
|||||||
2,920,393 | ||||||||
|
|
|||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $76,557,256) |
76,544,877 | |||||||
|
|
Principal Amount |
Value | |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.3% |
| |||||||
Colombia Government International Bond |
$ | 620,000 | $ | 669,600 | ||||
Mexico Government International Bond 4.750% 3/08/44 |
954,000 | 867,186 | ||||||
6.750% 9/27/34 |
160,000 | 182,256 | ||||||
|
|
|||||||
1,719,042 | ||||||||
|
|
|||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,903,905) |
1,719,042 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 10.3% |
| |||||||
Collateralized Mortgage Obligations — 0.1% |
| |||||||
Federal Home Loan Mortgage Corp. |
188,375 | 204,864 | ||||||
Series 2693, Class Z, 5.500% 10/15/33 |
344,415 | 369,385 | ||||||
|
|
|||||||
574,249 | ||||||||
|
|
|||||||
Pass-Through Securities — 10.2% |
| |||||||
Federal Home Loan Mortgage Corp. |
98,570 | 99,013 | ||||||
Pool #Q41916 3.500% 7/01/46 |
243,689 | 244,784 | ||||||
Pool #Q44275 3.500% 11/01/46 |
203,154 | 204,003 | ||||||
Pool #Q44277 3.500% 11/01/46 |
93,323 | 93,596 | ||||||
Pool #Q52216 3.500% 11/01/47 |
618,277 | 618,156 | ||||||
Pool #V83764 4.000% 12/01/47 |
1,862,628 | 1,900,317 | ||||||
Pool #V83796 4.000% 12/01/47 |
2,715,844 | 2,770,797 | ||||||
Pool #Q52834 4.000% 12/01/47 |
235,391 | 240,081 | ||||||
Pool #V83962 4.000% 2/01/48 |
427,473 | 436,123 | ||||||
Pool #Q57232 4.000% 7/01/48 |
395,448 | 403,233 | ||||||
Pool #C55867 7.500% 2/01/30 |
37,528 | 41,534 | ||||||
Pool #C01079 7.500% 10/01/30 |
6,011 | 6,860 | ||||||
Pool #C01135 7.500% 2/01/31 |
19,251 | 21,905 | ||||||
Pool #C00470 8.000% 8/01/26 |
12,579 | 14,115 | ||||||
Pool #G00924 8.000% 3/01/28 |
12,646 | 14,164 | ||||||
Federal National Mortgage Association |
3,932,247 | 3,840,238 | ||||||
Pool #BM3564 3.000% 7/01/47 |
1,279,690 | 1,249,347 | ||||||
Pool #AV2325 3.500% 12/01/28 |
120,718 | 122,633 | ||||||
Pool #AV1897 3.500% 12/01/28 |
38,665 | 39,279 | ||||||
Pool #AS1304 3.500% 12/01/28 |
233,299 | 236,999 | ||||||
Pool #BF0196 3.500% 2/01/41 |
282,667 | 284,975 | ||||||
Pool #MA1356 3.500% 2/01/43 |
1,583,599 | 1,593,558 | ||||||
Pool #BM3994 3.500% 1/01/44 |
272,745 | 274,460 | ||||||
Pool #CA1073 3.500% 1/01/48 |
3,245,340 | 3,245,467 | ||||||
Pool #BJ0686 4.000% 4/01/48 |
801,684 | 817,812 | ||||||
Pool #CA2039 4.000% 7/01/48 |
905,146 | 923,780 | ||||||
Pool #CA1951 4.000% 7/01/48 |
732,027 | 747,210 |
The accompanying notes are an integral part of the financial statements.
35
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Pool #725692 1 year CMT + 2.138% |
$ | 34,301 | $ | 35,971 | ||||
Pool #888586 1 year CMT + 2.199% |
59,972 | 63,042 | ||||||
Pool #CA1952 4.500% 6/01/48 |
536,918 | 557,388 | ||||||
Pool #CA1909 4.500% 6/01/48 |
2,140,231 | 2,217,146 | ||||||
Pool #BK7877 4.500% 7/01/48 |
318,544 | 330,689 | ||||||
Pool #AD6437 5.000% 6/01/40 |
80,377 | 85,539 | ||||||
Pool #AD6996 5.000% 7/01/40 |
544,828 | 578,114 | ||||||
Pool #AL8173 5.000% 2/01/44 |
211,390 | 223,975 | ||||||
Pool #564594 7.000% 1/01/31 |
9,733 | 10,912 | ||||||
Pool #572844 7.000% 4/01/31 |
22,175 | 25,284 | ||||||
Pool #253795 7.000% 5/01/31 |
47,087 | 53,370 | ||||||
Pool #499386 7.500% 9/01/29 |
1,155 | 1,314 | ||||||
Pool #521006 7.500% 12/01/29 |
441 | 503 | ||||||
Pool #522769 7.500% 12/01/29 |
62 | 70 | ||||||
Pool #252981 7.500% 1/01/30 |
6,749 | 7,655 | ||||||
Pool #531196 7.500% 2/01/30 |
859 | 970 | ||||||
Pool #530520 7.500% 3/01/30 |
10,521 | 11,857 | ||||||
Pool #530299 7.500% 3/01/30 |
235 | 260 | ||||||
Pool #524317 7.500% 3/01/30 |
1,011 | 1,155 | ||||||
Pool #253183 7.500% 4/01/30 |
2,782 | 3,152 | ||||||
Pool #253265 7.500% 5/01/30 |
1,350 | 1,518 | ||||||
Pool #536949 8.000% 5/01/30 |
1,390 | 1,617 | ||||||
Pool #526380 8.000% 5/01/30 |
3,323 | 3,867 | ||||||
Pool #535351 8.000% 6/01/30 |
2,501 | 2,882 | ||||||
Pool #253481 8.000% 10/01/30 |
1,747 | 2,015 | ||||||
Pool #190317 8.000% 8/01/31 |
741 | 855 | ||||||
Pool #602008 8.000% 8/01/31 |
2,348 | 2,697 | ||||||
Pool #596656 8.000% 8/01/31 |
397 | 407 | ||||||
Federal National Mortgage Association TBA |
3,875,000 | 3,873,183 | ||||||
Pool #9174 4.000% 5/01/48 (g) |
12,500,000 | 12,741,211 | ||||||
Pool #18718 4.500% 6/01/48 (g) |
9,325,000 | 9,652,832 | ||||||
Government National Mortgage Association |
755,561 | 764,828 | ||||||
Pool #337539 7.000% 7/15/23 |
386 | 409 | ||||||
Pool #363066 7.000% 8/15/23 |
3,333 | 3,547 | ||||||
Pool #362651 7.000% 10/15/23 |
2,146 | 2,186 | ||||||
Pool #354674 7.000% 10/15/23 |
3,022 | 3,213 | ||||||
Pool #352021 7.000% 11/15/23 |
1,796 | 1,907 | ||||||
Government National Mortgage Association II TBA |
10,500,000 | 10,339,219 | ||||||
Pool #207 3.500% 12/01/47 (g) |
2,565,000 | 2,582,434 | ||||||
Pool #232 4.000% 5/01/48 (g) |
1,260,000 | 1,290,220 | ||||||
|
|
|||||||
65,963,852 | ||||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $66,507,098) |
66,538,101 | |||||||
|
|
Principal Amount |
Value | |||||||
U.S. TREASURY OBLIGATIONS — 1.6% |
| |||||||
U.S. Treasury Bonds & Notes — 1.6% |
| |||||||
U.S. Treasury Bond |
$ | 4,630,000 | $ | 4,174,958 | ||||
3.500% 2/15/39 (h) |
510,000 | 557,666 | ||||||
U.S. Treasury Note |
5,500,000 | 5,278,782 | ||||||
2.875% 8/15/28 |
400,000 | 406,162 | ||||||
|
|
|||||||
10,417,568 | ||||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $10,150,992) |
10,417,568 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $252,353,603) |
249,476,380 | |||||||
|
|
|||||||
TOTAL PURCHASED OPTIONS (#) — 0.3% (Cost $1,663,830) |
1,738,493 | |||||||
|
|
|||||||
MUTUAL FUNDS — 0.0% |
| |||||||
Diversified Financial Services — 0.0% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (i) |
67,674 | 67,674 | ||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $67,674) |
67,674 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $566,393,648) |
640,291,048 | |||||||
|
|
|||||||
SHORT-TERM INVESTMENTS — 6.9% |
| |||||||
Commercial Paper — 6.4% |
| |||||||
Albemarle Corp. |
1,100,000 | 1,099,744 | ||||||
CBS Corp. |
1,300,000 | 1,296,963 | ||||||
CVS Corp. |
2,000,000 | 1,999,700 | ||||||
DTE Capital Corp. |
1,000,000 | 999,321 | ||||||
Entergy Corp. |
2,000,000 | 1,998,804 | ||||||
Experian Finance PLC |
1,000,000 | 999,783 | ||||||
First Abu Dhabi Bank PJSC |
1,625,000 | 1,624,569 | ||||||
Florida Power & Light Co. |
1,000,000 | 997,016 | ||||||
2.950% 1/22/19 |
1,000,000 | 998,321 | ||||||
FMC Technologies, Inc. |
2,000,000 | 1,997,833 |
The accompanying notes are an integral part of the financial statements.
36
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Harley-Davidson Funding Corp. |
$ | 1,300,000 | $ | 1,297,081 | ||||
Hyundai Capital America |
2,000,000 | 1,998,798 | ||||||
JM Smucker Co. |
2,000,000 | 1,999,709 | ||||||
Lyondellbasell Invest |
1,000,000 | 998,277 | ||||||
3.056% 2/12/19 (c) |
1,000,000 | 996,525 | ||||||
Marriott International, Inc. |
1,500,000 | 1,498,981 | ||||||
Mondelez International, Inc. |
2,000,000 | 1,997,505 | ||||||
National Grid USA |
2,000,000 | 1,997,833 | ||||||
Ryder System, Inc. |
2,000,000 | 1,995,509 | ||||||
Schlumberger Holdings Corp. |
2,000,000 | 1,998,824 | ||||||
Spectra Energy Partners |
1,000,000 | 999,854 | ||||||
Suncor Energy, Inc. |
1,000,000 | 999,854 | ||||||
Tyco International Holding Sarl |
2,000,000 | 1,999,707 | ||||||
2.997% 1/03/19 (c) |
1,000,000 | 999,779 | ||||||
Tyson Foods, Inc. |
2,000,000 | 1,999,409 | ||||||
VW Credit, Inc. |
1,550,000 | 1,543,147 | ||||||
Walgreens Boots Alliance, Inc. |
2,000,000 | 1,992,969 | ||||||
|
|
|||||||
41,325,815 | ||||||||
|
|
|||||||
Repurchase Agreement — 0.5% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, |
3,389,677 | 3,389,677 | ||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $44,718,718) |
44,715,492 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 106.1% (Cost $611,112,366) (k) | 685,006,540 | |||||||
Other Assets/(Liabilities) — (6.1)% | (39,395,407 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 645,611,133 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
PJSC | Public Joint Stock Company |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $66,188 or 0.01% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | 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, 2018, these securities amounted to a value of $115,585,714 or 17.90% of net assets. |
(d) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2018. |
(e) | Security is perpetual and has no stated maturity date. |
The accompanying notes are an integral part of the financial statements.
37
MML Blend Fund – Portfolio of Investments (Continued)
(f) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $200,759 or 0.03% of net assets. |
(g) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(h) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
Notes to Portfolio of Investments (Continued)
(i) | Represents investment of security lending collateral. (Note 2). |
(j) | Maturity value of $3,389,912. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $3,464,233. |
(k) | See Note 6 for aggregate cost for federal tax purposes. |
(#) Purchased Swaptions contracts at December 31, 2018:
OTC Counterparty | Units | Notional Amount |
Expiration Date |
Pay/ Receive Exercise Rate |
Description | Premiums Purchased |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
Barclays Bank PLC* |
5,300,000 | USD | 5,300,000 | 12/13/32 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Exercise Rate 2.44% | $ | 264,960 | $ | 226,605 | $ | (38,355 | ) | |||||||||||||||||||||
Credit Suisse International* |
5,990,000 | USD | 5,990,000 | 1/31/33 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/02/43, Exercise Rate 2.61% | 287,520 | 284,672 | (2,848 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
552,480 | 511,277 | (41,203 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
Barclays Bank PLC* |
10,790,000 | USD | 10,790,000 | 12/13/32 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Exercise Rate 2.94% | $ | 539,424 | $ | 611,355 | $ | 71,931 | ||||||||||||||||||||||
Credit Suisse International* |
11,940,000 | USD | 11,940,000 | 1/31/33 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/02/43, Exercise Rate 3.11% | 571,926 | 615,861 | 43,935 | |||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
1,111,350 | 1,227,216 | 115,866 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | 1,663,830 | $ | 1,738,493 | $ | 74,663 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
The accompanying notes are an integral part of the financial statements.
38
MML Blend Fund – Portfolio of Investments (Continued)
Futures contracts at December 31, 2018:
Expiration Date |
Number of Contracts |
Notional Amount |
Value/ Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Long | ||||||||||||||||
U.S. Treasury Ultra 10 Year |
3/20/19 | 3 | $ | 387,056 | $ | 3,178 | ||||||||||
U.S. Treasury Ultra Bond |
3/20/19 | 79 | 12,051,683 | 640,161 | ||||||||||||
U.S. Treasury Note 2 Year |
3/29/19 | 110 | 23,227,988 | 126,387 | ||||||||||||
U.S. Treasury Note 5 Year |
3/29/19 | 126 | 14,235,101 | 215,524 | ||||||||||||
|
|
|||||||||||||||
$ | 985,250 | |||||||||||||||
|
|
|||||||||||||||
Short | ||||||||||||||||
U.S. Treasury Long Bond |
3/20/19 | 36 | $ | (5,048,085 | ) | $ | (207,915 | ) | ||||||||
|
|
Swap agreements at December 31, 2018:
Counterparty | Currency | Notional Amount |
Expiration Date |
Payment Frequency |
Receive (Pay) Fixed Rate |
Deliverable on Default | Unrealized Appreciation (Depreciation) |
Premium (Received) Paid |
Value | |||||||||||||||||||||
Credit Default Swaps — Sell Protection†† |
| |||||||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||||
Goldman Sachs International* | USD | 500,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) |
$ | (80,938 | ) | $ | 308 | $ | (80,630 | ) | ||||||||||||||||
Goldman Sachs International* | USD | 160,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) |
(12,982 | ) | (12,819 | ) | (25,801 | ) | ||||||||||||||||||
Goldman Sachs International* | USD | 430,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) |
(32,104 | ) | (37,238 | ) | (69,342 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | (126,024 | ) | $ | (49,749 | ) | $ | (175,773 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection. |
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
39
Number of Shares |
Value | |||||||
EQUITIES — 97.7% |
| |||||||
COMMON STOCK — 97.7% |
| |||||||
Basic Materials — 2.1% |
| |||||||
Chemicals — 1.1% |
| |||||||
Albemarle Corp. |
2,400 | $ | 184,968 | |||||
Celanese Corp. |
5,300 | 476,842 | ||||||
Eastman Chemical Co. |
60,250 | 4,404,877 | ||||||
FMC Corp. |
3,600 | 266,256 | ||||||
LyondellBasell Industries NV Class A |
17,700 | 1,471,932 | ||||||
PPG Industries, Inc. |
9,400 | 960,962 | ||||||
|
|
|||||||
7,765,837 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.1% |
| |||||||
International Paper Co. |
15,200 | 613,472 | ||||||
|
|
|||||||
Iron & Steel — 0.1% |
| |||||||
Nucor Corp. |
12,200 | 632,082 | ||||||
Reliance Steel & Aluminum Co. |
2,900 | 206,393 | ||||||
Steel Dynamics, Inc. |
9,100 | 273,364 | ||||||
|
|
|||||||
1,111,839 | ||||||||
|
|
|||||||
Mining — 0.8% |
| |||||||
Alcoa Corp. (a) |
130,140 | 3,459,121 | ||||||
Freeport-McMoRan, Inc. |
181,460 | 1,870,853 | ||||||
Newmont Mining Corp. |
16,300 | 564,795 | ||||||
|
|
|||||||
5,894,769 | ||||||||
|
|
|||||||
15,385,917 | ||||||||
|
|
|||||||
Communications — 8.3% |
| |||||||
Advertising — 0.1% |
| |||||||
The Interpublic Group of Cos., Inc. |
14,700 | 303,261 | ||||||
Omnicom Group, Inc. |
7,000 | 512,680 | ||||||
|
|
|||||||
815,941 | ||||||||
|
|
|||||||
Internet — 0.1% |
| |||||||
CDW Corp. |
5,900 | 478,195 | ||||||
|
|
|||||||
Media — 2.7% |
| |||||||
CBS Corp. Class B (Non-Voting) |
70,040 | 3,062,149 | ||||||
Comcast Corp. Class A |
121,300 | 4,130,265 | ||||||
Viacom, Inc. Class B |
10,800 | 277,560 | ||||||
The Walt Disney Co. |
110,860 | 12,155,799 | ||||||
|
|
|||||||
19,625,773 | ||||||||
|
|
|||||||
Telecommunications — 5.4% |
| |||||||
AT&T, Inc. |
358,610 | 10,234,729 | ||||||
Cisco Systems, Inc. |
443,790 | 19,229,421 | ||||||
Juniper Networks, Inc. |
10,700 | 287,937 | ||||||
Verizon Communications, Inc. |
155,900 | 8,764,698 | ||||||
|
|
|||||||
38,516,785 | ||||||||
|
|
|||||||
59,436,694 | ||||||||
|
|
Number of Shares |
Value | |||||||
Consumer, Cyclical — 8.3% |
| |||||||
Airlines — 0.5% |
| |||||||
Alaska Air Group, Inc. |
2,800 | $ | 170,380 | |||||
Delta Air Lines, Inc. |
27,200 | 1,357,280 | ||||||
JetBlue Airways Corp. (a) |
11,100 | 178,266 | ||||||
Southwest Airlines Co. |
22,700 | 1,055,096 | ||||||
United Continental Holdings, Inc. (a) |
8,500 | 711,705 | ||||||
|
|
|||||||
3,472,727 | ||||||||
|
|
|||||||
Apparel — 0.1% |
| |||||||
Carter’s, Inc. |
1,700 | 138,754 | ||||||
Hanesbrands, Inc. |
9,600 | 120,288 | ||||||
PVH Corp. |
3,100 | 288,145 | ||||||
Ralph Lauren Corp. |
1,500 | 155,190 | ||||||
|
|
|||||||
702,377 | ||||||||
|
|
|||||||
Auto Manufacturers — 1.5% |
| |||||||
Ford Motor Co. |
104,400 | 798,660 | ||||||
General Motors Co. |
268,170 | 8,970,286 | ||||||
PACCAR, Inc. |
13,600 | 777,104 | ||||||
|
|
|||||||
10,546,050 | ||||||||
|
|
|||||||
Auto Parts & Equipment — 0.8% |
| |||||||
Allison Transmission Holdings, Inc. |
5,500 | 241,505 | ||||||
Aptiv PLC |
9,800 | 603,386 | ||||||
BorgWarner, Inc. |
129,570 | 4,501,262 | ||||||
The Goodyear Tire & Rubber Co. |
5,300 | 108,173 | ||||||
WABCO Holdings, Inc. (a) |
1,400 | 150,276 | ||||||
|
|
|||||||
5,604,602 | ||||||||
|
|
|||||||
Entertainment — 0.0% |
| |||||||
Cinemark Holdings, Inc. |
2,600 | 93,080 | ||||||
The Madison Square Garden Co. |
900 | 240,930 | ||||||
|
|
|||||||
334,010 | ||||||||
|
|
|||||||
Home Builders — 0.3% |
| |||||||
D.R. Horton, Inc. |
11,600 | 402,056 | ||||||
Lennar Corp. Class A |
32,600 | 1,276,290 | ||||||
NVR, Inc. (a) |
100 | 243,699 | ||||||
PulteGroup, Inc. |
7,500 | 194,925 | ||||||
Toll Brothers, Inc. |
3,300 | 108,669 | ||||||
|
|
|||||||
2,225,639 | ||||||||
|
|
|||||||
Home Furnishing — 0.0% |
| |||||||
Leggett & Platt, Inc. |
4,100 | 146,944 | ||||||
|
|
|||||||
Housewares — 0.0% |
| |||||||
Newell Brands, Inc. |
12,500 | 232,375 | ||||||
|
|
|||||||
Leisure Time — 0.4% |
| |||||||
Brunswick Corp. |
3,600 | 167,220 | ||||||
Carnival Corp. |
20,600 | 1,015,580 | ||||||
Harley-Davidson, Inc. |
4,400 | 150,128 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) |
8,300 | 351,837 |
The accompanying notes are an integral part of the financial statements.
40
MML Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Polaris Industries, Inc. |
1,700 | $ | 130,356 | |||||
Royal Caribbean Cruises Ltd. |
8,300 | 811,657 | ||||||
|
|
|||||||
2,626,778 | ||||||||
|
|
|||||||
Lodging — 0.1% |
| |||||||
Hyatt Hotels Corp. Class A |
1,500 | 101,400 | ||||||
Las Vegas Sands Corp. |
8,800 | 458,040 | ||||||
|
|
|||||||
559,440 | ||||||||
|
|
|||||||
Retail — 4.6% |
| |||||||
AutoZone, Inc. (a) |
1,100 | 922,174 | ||||||
Best Buy Co., Inc. |
11,200 | 593,152 | ||||||
CarMax, Inc. (a) |
7,100 | 445,383 | ||||||
Dollar Tree, Inc. (a) |
11,520 | 1,040,486 | ||||||
Foot Locker, Inc. |
3,700 | 196,840 | ||||||
The Gap, Inc. |
14,900 | 383,824 | ||||||
Genuine Parts Co. |
4,600 | 441,692 | ||||||
Kohl’s Corp. |
6,100 | 404,674 | ||||||
Lowe’s Cos., Inc. |
56,810 | 5,246,972 | ||||||
Macy’s, Inc. |
9,000 | 268,020 | ||||||
McDonald’s Corp. |
23,170 | 4,114,297 | ||||||
Nordstrom, Inc. |
6,500 | 302,965 | ||||||
Target Corp. |
125,150 | 8,271,164 | ||||||
Walgreens Boots Alliance, Inc. |
25,400 | 1,735,582 | ||||||
Walmart, Inc. |
89,230 | 8,311,774 | ||||||
Williams-Sonoma, Inc. (b) |
900 | 45,405 | ||||||
|
|
|||||||
32,724,404 | ||||||||
|
|
|||||||
59,175,346 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 23.8% |
| |||||||
Agriculture — 1.7% |
| |||||||
Altria Group, Inc. |
50,200 | 2,479,378 | ||||||
Archer-Daniels-Midland Co. |
21,600 | 884,952 | ||||||
Bunge Ltd. |
4,400 | 235,136 | ||||||
Philip Morris International, Inc. |
129,080 | 8,617,381 | ||||||
|
|
|||||||
12,216,847 | ||||||||
|
|
|||||||
Beverages — 2.1% |
| |||||||
The Coca-Cola Co. |
194,440 | 9,206,734 | ||||||
Coca-Cola European Partners PLC (a) |
128,890 | 5,909,607 | ||||||
Molson Coors Brewing Co. Class B |
5,200 | 292,032 | ||||||
|
|
|||||||
15,408,373 | ||||||||
|
|
|||||||
Biotechnology — 2.1% |
| |||||||
Amgen, Inc. |
25,200 | 4,905,684 | ||||||
Biogen, Inc. (a) |
8,200 | 2,467,544 | ||||||
Celgene Corp. (a) |
15,900 | 1,019,031 | ||||||
Gilead Sciences, Inc. |
108,540 | 6,789,177 | ||||||
United Therapeutics Corp. (a) |
500 | 54,450 | ||||||
|
|
|||||||
15,235,886 | ||||||||
|
|
|||||||
Commercial Services — 0.1% |
| |||||||
AMERCO |
800 | 262,488 | ||||||
H&R Block, Inc. |
5,500 | 139,535 |
Number of Shares |
Value | |||||||
Quanta Services, Inc. |
3,900 | $ | 117,390 | |||||
The Western Union Co. |
17,700 | 301,962 | ||||||
|
|
|||||||
821,375 | ||||||||
|
|
|||||||
Cosmetics & Personal Care — 0.5% |
| |||||||
The Procter & Gamble Co. |
35,670 | 3,278,786 | ||||||
|
|
|||||||
Foods — 0.9% |
| |||||||
Campbell Soup Co. (b) |
8,000 | 263,920 | ||||||
General Mills, Inc. |
28,110 | 1,094,603 | ||||||
The J.M. Smucker Co. |
4,600 | 430,054 | ||||||
Kellogg Co. |
10,600 | 604,306 | ||||||
The Kraft Heinz Co. |
27,600 | 1,187,904 | ||||||
The Kroger Co. |
27,200 | 748,000 | ||||||
Mondelez International, Inc. Class A |
45,300 | 1,813,359 | ||||||
US Foods Holding Corp. (a) |
3,600 | 113,904 | ||||||
|
|
|||||||
6,256,050 | ||||||||
|
|
|||||||
Health Care – Products — 3.9% |
| |||||||
Abbott Laboratories |
105,610 | 7,638,771 | ||||||
Boston Scientific Corp. (a) |
155,310 | 5,488,655 | ||||||
Danaher Corp. |
62,278 | 6,422,107 | ||||||
Thermo Fisher Scientific, Inc. |
21,230 | 4,751,062 | ||||||
Zimmer Biomet Holdings, Inc. |
32,430 | 3,363,640 | ||||||
|
|
|||||||
27,664,235 | ||||||||
|
|
|||||||
Health Care – Services — 3.7% |
| |||||||
Anthem, Inc. |
25,590 | 6,720,702 | ||||||
DaVita, Inc. (a) |
7,400 | 380,804 | ||||||
HCA Healthcare, Inc. |
13,500 | 1,680,075 | ||||||
Laboratory Corp. of America Holdings (a) |
4,200 | 530,712 | ||||||
Quest Diagnostics, Inc. |
5,100 | 424,677 | ||||||
UnitedHealth Group, Inc. |
68,800 | 17,139,456 | ||||||
|
|
|||||||
26,876,426 | ||||||||
|
|
|||||||
Household Products & Wares — 0.1% |
| |||||||
Avery Dennison Corp. |
2,000 | 179,660 | ||||||
Kimberly-Clark Corp. |
5,700 | 649,458 | ||||||
|
|
|||||||
829,118 | ||||||||
|
|
|||||||
Pharmaceuticals — 8.7% |
| |||||||
AbbVie, Inc. |
48,700 | 4,489,653 | ||||||
AmerisourceBergen Corp. |
5,900 | 438,960 | ||||||
Bristol-Myers Squibb Co. |
101,840 | 5,293,643 | ||||||
Johnson & Johnson |
49,000 | 6,323,450 | ||||||
McKesson Corp. |
7,500 | 828,525 | ||||||
Merck & Co., Inc. |
231,240 | 17,669,049 | ||||||
Mylan NV (a) |
140,910 | 3,860,934 | ||||||
Perrigo Co. PLC |
5,500 | 213,125 | ||||||
Pfizer, Inc. |
532,440 | 23,241,006 | ||||||
|
|
|||||||
62,358,345 | ||||||||
|
|
|||||||
170,945,441 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
41
MML Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Energy — 10.4% |
| |||||||
Oil & Gas — 9.5% |
| |||||||
Anadarko Petroleum Corp. |
81,350 | $ | 3,566,384 | |||||
Apache Corp. |
10,100 | 265,125 | ||||||
Chevron Corp. |
197,792 | 21,517,792 | ||||||
Concho Resources, Inc. (a) |
29,620 | 3,044,640 | ||||||
ConocoPhillips |
138,441 | 8,631,796 | ||||||
Continental Resources, Inc. (a) |
8,500 | 341,615 | ||||||
Devon Energy Corp. |
15,300 | 344,862 | ||||||
Exxon Mobil Corp. |
129,400 | 8,823,786 | ||||||
Helmerich & Payne, Inc. |
4,400 | 210,936 | ||||||
Hess Corp. |
12,100 | 490,050 | ||||||
HollyFrontier Corp. |
6,400 | 327,168 | ||||||
Marathon Oil Corp. |
32,700 | 468,918 | ||||||
Murphy Oil Corp. |
5,500 | 128,645 | ||||||
Noble Energy, Inc. |
8,000 | 150,080 | ||||||
Occidental Petroleum Corp. |
17,100 | 1,049,598 | ||||||
Phillips 66 |
59,659 | 5,139,623 | ||||||
Suncor Energy, Inc. |
428,510 | 11,985,425 | ||||||
Transocean Ltd. (a) |
89,640 | 622,101 | ||||||
Valero Energy Corp. |
16,400 | 1,229,508 | ||||||
|
|
|||||||
68,338,052 | ||||||||
|
|
|||||||
Oil & Gas Services — 0.2% |
| |||||||
National Oilwell Varco, Inc. |
14,600 | 375,220 | ||||||
Weatherford International PLC (a) (b) |
2,167,010 | 1,211,358 | ||||||
|
|
|||||||
1,586,578 | ||||||||
|
|
|||||||
Pipelines — 0.7% |
| |||||||
Enbridge, Inc. (b) |
121,787 | 3,785,140 | ||||||
Kinder Morgan, Inc. |
59,000 | 907,420 | ||||||
|
|
|||||||
4,692,560 | ||||||||
|
|
|||||||
74,617,190 | ||||||||
|
|
|||||||
Financial — 25.4% |
| |||||||
Banks — 15.0% |
| |||||||
Bank of America Corp. |
869,920 | 21,434,829 | ||||||
The Bank of New York Mellon Corp. |
39,100 | 1,840,437 | ||||||
BB&T Corp. |
29,900 | 1,295,268 | ||||||
CIT Group, Inc. |
75,200 | 2,877,904 | ||||||
Citigroup, Inc. |
276,690 | 14,404,481 | ||||||
Citizens Financial Group, Inc. |
18,700 | 555,951 | ||||||
Comerica, Inc. |
5,600 | 384,664 | ||||||
Commerce Bancshares, Inc. |
4,305 | 242,673 | ||||||
Cullen/Frost Bankers, Inc. |
2,600 | 228,644 | ||||||
East West Bancorp, Inc. |
5,700 | 248,121 | ||||||
Fifth Third Bancorp |
27,100 | 637,663 | ||||||
The Goldman Sachs Group, Inc. |
37,940 | 6,337,877 | ||||||
Huntington Bancshares, Inc. |
41,400 | 493,488 | ||||||
JP Morgan Chase & Co. |
258,460 | 25,230,865 | ||||||
KeyCorp |
265,250 | 3,920,395 | ||||||
M&T Bank Corp. |
5,900 | 844,467 | ||||||
Morgan Stanley |
69,500 | 2,755,675 | ||||||
Northern Trust Corp. |
7,600 | 635,284 |
Number of Shares |
Value | |||||||
The PNC Financial Services Group, Inc. |
18,200 | $ | 2,127,762 | |||||
Prosperity Bancshares, Inc. |
2,800 | 174,440 | ||||||
Regions Financial Corp. |
43,700 | 584,706 | ||||||
SunTrust Banks, Inc. |
18,000 | 907,920 | ||||||
Umpqua Holdings Corp. |
6,400 | 101,760 | ||||||
US Bancorp |
63,700 | 2,911,090 | ||||||
Webster Financial Corp. |
3,700 | 182,373 | ||||||
Wells Fargo & Co. |
186,900 | 8,612,352 | ||||||
Western Alliance Bancorp (a) |
3,500 | 138,215 | ||||||
Zions Bancorp NA |
185,420 | 7,554,011 | ||||||
|
|
|||||||
107,663,315 | ||||||||
|
|
|||||||
Diversified Financial Services — 3.3% |
| |||||||
Alliance Data Systems Corp. |
2,200 | 330,176 | ||||||
Ally Financial, Inc. |
16,500 | 373,890 | ||||||
American Express Co. |
33,500 | 3,193,220 | ||||||
Ameriprise Financial, Inc. |
24,560 | 2,563,327 | ||||||
BlackRock, Inc. |
17,300 | 6,795,786 | ||||||
Capital One Financial Corp. |
17,500 | 1,322,825 | ||||||
Credit Acceptance Corp. (a) |
600 | 229,056 | ||||||
Discover Financial Services |
14,600 | 861,108 | ||||||
E*TRADE Financial Corp. |
9,500 | 416,860 | ||||||
Franklin Resources, Inc. |
13,700 | 406,342 | ||||||
Lazard Ltd. Class A |
5,100 | 188,241 | ||||||
LPL Financial Holdings, Inc. |
2,300 | 140,484 | ||||||
Mastercard, Inc. Class A |
8,420 | 1,588,433 | ||||||
Nasdaq, Inc. |
39,140 | 3,192,650 | ||||||
Raymond James Financial, Inc. |
5,100 | 379,491 | ||||||
Santander Consumer USA Holdings, Inc. |
13,900 | 244,501 | ||||||
T. Rowe Price Group, Inc. |
8,800 | 812,416 | ||||||
TD Ameritrade Holding Corp. |
12,700 | 621,792 | ||||||
|
|
|||||||
23,660,598 | ||||||||
|
|
|||||||
Insurance — 3.9% |
| |||||||
Aflac, Inc. |
29,900 | 1,362,244 | ||||||
Alleghany Corp. |
700 | 436,324 | ||||||
The Allstate Corp. |
14,100 | 1,165,083 | ||||||
American Financial Group, Inc. |
6,400 | 579,392 | ||||||
Aon PLC |
26,390 | 3,836,050 | ||||||
Athene Holding Ltd. Class A (a) |
4,400 | 175,252 | ||||||
Chubb Ltd. |
17,900 | 2,312,322 | ||||||
Cincinnati Financial Corp. |
6,400 | 495,488 | ||||||
Everest Re Group Ltd. |
1,300 | 283,088 | ||||||
Fidelity National Financial, Inc. |
8,600 | 270,384 | ||||||
The Hartford Financial Services Group, Inc. |
151,690 | 6,742,621 | ||||||
Lincoln National Corp. |
8,400 | 431,004 | ||||||
Loews Corp. |
12,700 | 578,104 | ||||||
Markel Corp. (a) |
600 | 622,830 | ||||||
MetLife, Inc. |
40,600 | 1,667,036 | ||||||
The Progressive Corp. |
15,600 | 941,148 | ||||||
Prudential Financial, Inc. |
16,100 | 1,312,955 | ||||||
Reinsurance Group of America, Inc. |
2,600 | 364,598 |
The accompanying notes are an integral part of the financial statements.
42
MML Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
RenaissanceRe Holdings Ltd. |
1,200 | $ | 160,440 | |||||
Torchmark Corp. |
10,600 | 790,018 | ||||||
The Travelers Cos., Inc. |
24,100 | 2,885,975 | ||||||
Voya Financial, Inc. |
7,200 | 289,008 | ||||||
W.R. Berkley Corp. |
4,900 | 362,159 | ||||||
|
|
|||||||
28,063,523 | ||||||||
|
|
|||||||
Real Estate — 0.1% |
| |||||||
CBRE Group, Inc. Class A (a) |
1,900 | 76,076 | ||||||
The Howard Hughes Corp. (a) |
500 | 48,810 | ||||||
Jones Lang LaSalle, Inc. |
1,800 | 227,880 | ||||||
|
|
|||||||
352,766 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 3.1% |
| |||||||
Crown Castle International Corp. |
45,300 | 4,920,939 | ||||||
Digital Realty Trust, Inc. |
28,540 | 3,040,937 | ||||||
Equity Residential |
96,960 | 6,400,330 | ||||||
Prologis, Inc. |
103,650 | 6,086,328 | ||||||
Public Storage |
8,600 | 1,740,726 | ||||||
|
|
|||||||
22,189,260 | ||||||||
|
|
|||||||
181,929,462 | ||||||||
|
|
|||||||
Industrial — 8.6% |
| |||||||
Aerospace & Defense — 1.1% |
| |||||||
General Dynamics Corp. |
6,700 | 1,053,307 | ||||||
Lockheed Martin Corp. |
21,171 | 5,543,415 | ||||||
Northrop Grumman Corp. |
3,900 | 955,110 | ||||||
Spirit AeroSystems Holdings, Inc. Class A |
4,800 | 346,032 | ||||||
|
|
|||||||
7,897,864 | ||||||||
|
|
|||||||
Building Materials — 0.1% |
| |||||||
Johnson Controls International PLC |
24,700 | 732,355 | ||||||
|
|
|||||||
Electrical Components & Equipment — 0.0% |
| |||||||
Acuity Brands, Inc. |
1,100 | 126,445 | ||||||
Hubbell, Inc. |
1,700 | 168,878 | ||||||
|
|
|||||||
295,323 | ||||||||
|
|
|||||||
Electronics — 1.2% |
| |||||||
Arrow Electronics, Inc. (a) |
3,600 | 248,220 | ||||||
Corning, Inc. |
45,100 | 1,362,471 | ||||||
Garmin Ltd. |
7,300 | 462,236 | ||||||
Gentex Corp. |
10,400 | 210,184 | ||||||
Honeywell International, Inc. |
27,600 | 3,646,512 | ||||||
TE Connectivity Ltd. |
39,460 | 2,984,360 | ||||||
|
|
|||||||
8,913,983 | ||||||||
|
|
|||||||
Engineering & Construction — 0.3% |
| |||||||
AECOM (a) |
4,200 | 111,300 | ||||||
Fluor Corp. |
55,620 | 1,790,964 | ||||||
|
|
|||||||
1,902,264 | ||||||||
|
|
|||||||
Environmental Controls — 0.7% |
| |||||||
Pentair PLC |
5,700 | 215,346 | ||||||
Waste Management, Inc. |
55,070 | 4,900,679 | ||||||
|
|
|||||||
5,116,025 | ||||||||
|
|
Number of Shares |
Value | |||||||
Hand & Machine Tools — 0.1% |
| |||||||
Lincoln Electric Holdings, Inc. |
1,100 | $ | 86,735 | |||||
Snap-on, Inc. |
2,300 | 334,167 | ||||||
Stanley Black & Decker, Inc. |
3,400 | 407,116 | ||||||
|
|
|||||||
828,018 | ||||||||
|
|
|||||||
Machinery – Construction & Mining — 1.0% |
| |||||||
Caterpillar, Inc. |
54,650 | 6,944,376 | ||||||
Oshkosh Corp. |
1,900 | 116,489 | ||||||
|
|
|||||||
7,060,865 | ||||||||
|
|
|||||||
Machinery – Diversified — 0.7% |
| |||||||
Cummins, Inc. |
4,300 | 574,652 | ||||||
Deere & Co. |
26,990 | 4,026,098 | ||||||
Dover Corp. |
4,900 | 347,655 | ||||||
|
|
|||||||
4,948,405 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 1.2% |
| |||||||
Carlisle Cos., Inc. |
2,500 | 251,300 | ||||||
Crane Co. |
1,600 | 115,488 | ||||||
Eaton Corp. PLC |
16,900 | 1,160,354 | ||||||
Ingersoll-Rand PLC |
9,500 | 866,685 | ||||||
Parker-Hannifin Corp. |
39,023 | 5,819,890 | ||||||
|
|
|||||||
8,213,717 | ||||||||
|
|
|||||||
Packaging & Containers — 0.5% |
| |||||||
Packaging Corp. of America |
3,500 | 292,110 | ||||||
Sealed Air Corp. |
4,200 | 146,328 | ||||||
Sonoco Products Co. |
3,900 | 207,207 | ||||||
WestRock Co. |
74,170 | 2,800,659 | ||||||
|
|
|||||||
3,446,304 | ||||||||
|
|
|||||||
Shipbuilding — 0.0% |
| |||||||
Huntington Ingalls Industries, Inc. |
1,400 | 266,434 | ||||||
|
|
|||||||
Transportation — 1.7% |
| |||||||
FedEx Corp. |
21,260 | 3,429,876 | ||||||
Kansas City Southern |
49,130 | 4,689,458 | ||||||
Union Pacific Corp. |
12,260 | 1,694,700 | ||||||
United Parcel Service, Inc. Class B |
26,500 | 2,584,545 | ||||||
|
|
|||||||
12,398,579 | ||||||||
|
|
|||||||
62,020,136 | ||||||||
|
|
|||||||
Technology — 7.5% |
| |||||||
Computers — 2.4% |
| |||||||
Apple, Inc. |
58,000 | 9,148,920 | ||||||
Hewlett Packard Enterprise Co. |
46,400 | 612,944 | ||||||
HP, Inc. |
179,830 | 3,679,322 | ||||||
International Business Machines Corp. |
35,700 | 4,058,019 | ||||||
|
|
|||||||
17,499,205 | ||||||||
|
|
|||||||
Office & Business Equipment — 0.3% |
| |||||||
Xerox Corp. |
6,400 | 126,464 | ||||||
Zebra Technologies Corp. Class A (a) |
10,700 | 1,703,761 | ||||||
|
|
|||||||
1,830,225 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
43
MML Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Semiconductors — 2.0% |
| |||||||
Intel Corp. |
178,700 | $ | 8,386,391 | |||||
KLA-Tencor Corp. |
6,200 | 554,838 | ||||||
Marvell Technology Group Ltd. |
85,220 | 1,379,712 | ||||||
Qorvo, Inc. (a) |
5,000 | 303,650 | ||||||
Teradyne, Inc. |
7,600 | 238,488 | ||||||
Texas Instruments, Inc. |
37,700 | 3,562,650 | ||||||
|
|
|||||||
14,425,729 | ||||||||
|
|
|||||||
Software — 2.8% |
| |||||||
Fidelity National Information Services, Inc. |
20,750 | 2,127,912 | ||||||
Microsoft Corp. |
67,810 | 6,887,462 | ||||||
Oracle Corp. |
144,800 | 6,537,720 | ||||||
Synopsys, Inc. (a) |
49,710 | 4,187,570 | ||||||
|
|
|||||||
19,740,664 | ||||||||
|
|
|||||||
53,495,823 | ||||||||
|
|
|||||||
Utilities — 3.3% |
| |||||||
Electric — 3.3% |
| |||||||
AES Corp. |
20,500 | 296,430 | ||||||
Ameren Corp. |
9,200 | 600,116 | ||||||
American Electric Power Co., Inc. |
18,200 | 1,360,268 | ||||||
DTE Energy Co. |
7,100 | 783,130 | ||||||
Duke Energy Corp. |
21,500 | 1,855,450 | ||||||
Edison International |
41,360 | 2,348,007 | ||||||
Entergy Corp. |
66,850 | 5,753,780 | ||||||
Eversource Energy |
11,300 | 734,952 | ||||||
NextEra Energy, Inc. |
38,565 | 6,703,368 | ||||||
OGE Energy Corp. |
6,200 | 242,978 | ||||||
Pinnacle West Capital Corp. |
4,600 | 391,920 | ||||||
Public Service Enterprise Group, Inc. |
19,400 | 1,009,770 | ||||||
WEC Energy Group, Inc. |
12,100 | 838,046 | ||||||
Xcel Energy, Inc. |
16,600 | 817,882 | ||||||
|
|
|||||||
23,736,097 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $659,650,835) |
700,742,106 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $659,650,835) |
700,742,106 | |||||||
|
|
|||||||
MUTUAL FUNDS — 1.3% |
| |||||||
Diversified Financial Services — 1.3% |
| |||||||
iShares Russell 1000 Value ETF |
43,500 | 4,830,675 | ||||||
State Street Navigator Securities Lending Prime Portfolio (c) |
4,720,300 | 4,720,300 | ||||||
|
|
|||||||
9,550,975 | ||||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $10,095,094) |
9,550,975 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $669,745,929) |
710,293,081 | |||||||
|
|
Principal Amount |
Value | |||||||
SHORT-TERM INVESTMENTS — 1.4% |
| |||||||
Repurchase Agreement — 1.4% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, |
$ | 10,120,183 | $ | 10,120,183 | ||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,120,183) |
10,120,183 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 100.4% (Cost $679,866,112) (e) |
720,413,264 | |||||||
Other Assets/(Liabilities) — (0.4)% | (2,733,128 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 717,680,136 | ||||||
|
|
Abbreviation Legend
ETF | Exchange-Traded Fund |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $3,719,522 or 0.52% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Represents investment of security lending collateral. (Note 2). |
(d) | Maturity value of $10,120,885. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $10,328,086. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
44
Number of Shares |
Value | |||||||
EQUITIES — 0.2% |
| |||||||
PREFERRED STOCK — 0.2% |
| |||||||
Financial — 0.2% |
| |||||||
Insurance — 0.2% |
| |||||||
The Allstate Corp. 3 mo. USD LIBOR + 3.165%, |
95,000 | $ | 2,264,800 | |||||
|
|
|||||||
TOTAL PREFERRED STOCK (Cost $2,375,000) |
2,264,800 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $2,375,000) |
2,264,800 | |||||||
|
|
|||||||
Principal Amount |
||||||||
BONDS & NOTES — 99.7% |
| |||||||
CORPORATE DEBT — 38.3% |
| |||||||
Advertising — 0.0% |
| |||||||
WPP Finance 2010 |
$ | 105,000 | 102,938 | |||||
|
|
|||||||
Aerospace & Defense — 0.0% |
| |||||||
United Technologies Corp. |
350,000 | 401,002 | ||||||
|
|
|||||||
Agriculture — 0.4% |
| |||||||
Bunge Ltd. Finance Corp. |
1,824,000 | 1,598,136 | ||||||
4.350% 3/15/24 |
1,910,000 | 1,873,930 | ||||||
Reynolds American, Inc. |
1,085,000 | 1,007,997 | ||||||
|
|
|||||||
4,480,063 | ||||||||
|
|
|||||||
Airlines — 1.0% |
| |||||||
American Airlines Group, Inc. |
7,351,000 | 7,369,377 | ||||||
American Airlines Pass-Through Trust, Series 2014-1,
Class B, |
180,990 | 179,067 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1,
Class A, |
1,624,604 | 1,595,036 | ||||||
United Airlines Pass-Through Trust, Series 2018-1,
Class B, |
565,000 | 565,236 | ||||||
WestJet Airlines Ltd. |
735,000 | 728,604 | ||||||
|
|
|||||||
10,437,320 | ||||||||
|
|
|||||||
Auto Manufacturers — 1.2% |
| |||||||
Ford Motor Co. |
530,000 | 435,120 |
Principal Amount |
Value | |||||||
Ford Motor Credit Co. LLC |
$ | 2,760,000 | $ | 2,623,408 | ||||
4.375% 8/06/23 |
1,028,000 | 973,763 | ||||||
General Motors Co. |
565,000 | 509,258 | ||||||
5.150% 4/01/38 |
800,000 | 683,490 | ||||||
General Motors Financial Co., Inc. |
3,200,000 | 2,925,918 | ||||||
4.150% 6/19/23 |
2,493,000 | 2,429,057 | ||||||
Volkswagen Group of America Finance LLC |
1,850,000 | 1,828,813 | ||||||
|
|
|||||||
12,408,827 | ||||||||
|
|
|||||||
Banks — 5.5% |
| |||||||
Associated Banc-Corp. |
2,991,000 | 3,007,520 | ||||||
Banco Santander SA |
1,200,000 | 1,121,162 | ||||||
Bank of America Corp. |
1,915,000 | 1,840,633 | ||||||
4.200% 8/26/24 |
1,150,000 | 1,140,570 | ||||||
3 mo. USD LIBOR + 1.814% |
1,150,000 | 1,093,990 | ||||||
6.110% 1/29/37 |
1,050,000 | 1,153,989 | ||||||
7.750% 5/14/38 |
400,000 | 517,312 | ||||||
Bank of Montreal |
1,505,000 | 1,393,630 | ||||||
The Bank of Nova Scotia |
795,000 | 791,597 | ||||||
4.650% VRN 12/31/99 (b) (c) |
2,575,000 | 2,232,203 | ||||||
Barclays PLC |
2,085,000 | 1,985,377 | ||||||
4.337% 1/10/28 |
1,720,000 | 1,591,582 | ||||||
CIT Group, Inc. |
2,100,000 | 2,021,250 | ||||||
Citigroup, Inc. |
2,975,000 | 2,791,878 | ||||||
Credit Suisse AG |
1,550,000 | 1,615,875 | ||||||
Credit Suisse Group AG |
910,000 | 846,583 | ||||||
4.282% 1/09/28 (a) |
1,325,000 | 1,278,234 | ||||||
Deutsche Bank AG |
1,805,000 | 1,744,314 | ||||||
Discover Bank |
2,905,000 | 2,842,833 | ||||||
First Republic Bank |
4,360,000 | 4,031,659 | ||||||
Fulton Financial Corp. |
1,565,000 | 1,554,471 |
The accompanying notes are an integral part of the financial statements.
45
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
The Goldman Sachs Group, Inc. |
$ | 960,000 | $ | 896,280 | ||||
5.950% 1/15/27 |
1,410,000 | 1,484,733 | ||||||
6.750% 10/01/37 |
1,145,000 | 1,293,030 | ||||||
HSBC Holdings PLC |
1,225,000 | 1,215,703 | ||||||
4.583% VRN 6/19/29 (b) |
935,000 | 926,808 | ||||||
ING Groep NV |
2,060,000 | 2,058,748 | ||||||
JP Morgan Chase & Co. |
1,125,000 | 1,267,448 | ||||||
Morgan Stanley |
3,500,000 | 3,401,315 | ||||||
5.000% 11/24/25 |
975,000 | 994,175 | ||||||
Royal Bank of Scotland Group PLC 3 mo. USD LIBOR + 1.480% |
1,000,000 | 961,617 | ||||||
Turkiye Garanti Bankasi AS |
3,010,000 | 2,969,064 | ||||||
Valley National Bancorp |
1,530,000 | 1,589,938 | ||||||
Wells Fargo & Co. |
909,000 | 948,609 | ||||||
|
|
|||||||
56,604,130 | ||||||||
|
|
|||||||
Beverages — 0.4% |
| |||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
3,225,000 | 2,990,818 | ||||||
Molson Coors Brewing Co. |
1,124,000 | 933,823 | ||||||
5.000% 5/01/42 |
360,000 | 338,859 | ||||||
|
|
|||||||
4,263,500 | ||||||||
|
|
|||||||
Biotechnology — 0.3% |
| |||||||
Amgen, Inc. |
475,000 | 489,322 | ||||||
Celgene Corp. |
2,525,000 | 2,297,736 | ||||||
4.350% 11/15/47 |
730,000 | 614,736 | ||||||
|
|
|||||||
3,401,794 | ||||||||
|
|
|||||||
Building Materials — 0.7% |
| |||||||
CRH America Finance, Inc. |
1,950,000 | 1,858,073 | ||||||
Standard Industries, Inc. |
3,037,000 | 2,657,375 | ||||||
5.375% 11/15/24 (a) |
1,636,000 | 1,535,795 | ||||||
5.500% 2/15/23 (a) |
1,238,000 | 1,213,240 | ||||||
|
|
|||||||
7,264,483 | ||||||||
|
|
|||||||
Chemicals — 1.2% |
| |||||||
Ashland, Inc. |
302,000 | 297,470 | ||||||
Huntsman International LLC |
1,000,000 | 1,007,500 |
Principal Amount |
Value | |||||||
Incitec Pivot Finance LLC |
$ | 1,160,000 | $ | 1,185,614 | ||||
The Mosaic Co. |
1,034,000 | 980,679 | ||||||
RPM International, Inc. |
426,000 | 404,490 | ||||||
SABIC Capital II BV |
1,304,000 | 1,297,480 | ||||||
4.500% 10/10/28 (a) |
1,276,000 | 1,268,854 | ||||||
The Sherwin-Williams Co. |
700,000 | 631,235 | ||||||
Syngenta Finance NV |
1,870,000 | 1,856,450 | ||||||
4.441% 4/24/23 (a) |
1,315,000 | 1,267,300 | ||||||
Yara International ASA |
2,100,000 | 2,093,100 | ||||||
|
|
|||||||
12,290,172 | ||||||||
|
|
|||||||
Commercial Services — 0.5% |
| |||||||
The ADT Security Corp. |
4,613,000 | 4,676,429 | ||||||
ERAC USA Finance LLC |
125,000 | 148,474 | ||||||
|
|
|||||||
4,824,903 | ||||||||
|
|
|||||||
Computers — 0.6% |
| |||||||
Dell International LLC/EMC Corp. |
487,000 | 489,202 | ||||||
Leidos Holdings, Inc. |
5,665,000 | 5,622,513 | ||||||
|
|
|||||||
6,111,715 | ||||||||
|
|
|||||||
Diversified Financial Services — 2.8% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
2,405,000 | 2,286,461 | ||||||
3.875% 1/23/28 |
3,560,000 | 3,106,826 | ||||||
Affiliated Managers Group, Inc. |
2,080,000 | 2,021,238 | ||||||
Aircastle Ltd. |
970,000 | 954,017 | ||||||
5.000% 4/01/23 |
1,750,000 | 1,756,877 | ||||||
Ally Financial, Inc. |
1,425,000 | 1,384,031 | ||||||
Antares Holdings LP |
2,945,000 | 2,911,260 | ||||||
Ares Finance Co. LLC |
2,080,000 | 1,987,461 | ||||||
Discover Financial Services |
1,750,000 | 1,633,745 | ||||||
GE Capital International Funding Co. Unlimited Co. |
1,035,000 | 866,882 | ||||||
Genpact Luxembourg Sarl |
2,400,000 | 2,381,750 |
The accompanying notes are an integral part of the financial statements.
46
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
High Street Funding Trust I |
$ | 3,075,000 | $ | 3,019,773 | ||||
Lazard Group LLC |
1,253,000 | 1,178,423 | ||||||
4.500% 9/19/28 |
755,000 | 755,142 | ||||||
Legg Mason, Inc. |
1,195,000 | 1,179,308 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. |
1,150,000 | 1,148,978 | ||||||
|
|
|||||||
28,572,172 | ||||||||
|
|
|||||||
Electric — 2.0% |
| |||||||
The Cleveland Electric Illuminating Co. |
945,000 | 900,248 | ||||||
CMS Energy Corp. |
280,000 | 292,276 | ||||||
Duke Energy Corp. |
1,235,000 | 1,067,724 | ||||||
EDP Finance BV |
2,665,000 | 2,491,991 | ||||||
Entergy Louisiana LLC |
1,005,000 | 1,027,146 | ||||||
Infraestructura Energetica Nova SAB de CV |
820,000 | 712,375 | ||||||
IPALCO Enterprises, Inc. |
3,410,000 | 3,405,661 | ||||||
3.700% 9/01/24 |
1,060,000 | 1,031,909 | ||||||
Israel Electric Corp. Ltd. |
2,450,000 | 2,327,304 | ||||||
7.250% 1/15/19 (a) |
417,000 | 417,175 | ||||||
Nevada Power Co., Series N, |
550,000 | 713,461 | ||||||
Oncor Electric Delivery Co. |
495,000 | 692,097 | ||||||
Pacific Gas & Electric Co. |
543,000 | 503,230 | ||||||
Pennsylvania Electric Co. |
1,860,000 | 1,882,693 | ||||||
Southwestern Electric Power Co. |
300,000 | 355,040 | ||||||
Tri-State Pass-Through Trust, Series 2003, Class B,
|
480,000 | 562,608 | ||||||
Virginia Electric and Power Co. |
640,000 | 787,397 | ||||||
Xcel Energy, Inc. |
1,435,000 | 1,805,264 | ||||||
|
|
|||||||
20,975,599 | ||||||||
|
|
|||||||
Electronics — 0.3% |
| |||||||
Arrow Electronics, Inc. |
965,000 | 898,521 | ||||||
3.875% 1/12/28 |
985,000 | 897,253 |
Principal Amount |
Value | |||||||
Ingram Micro, Inc. |
$ | 1,288,000 | $ | 1,252,705 | ||||
Tyco Electronics Group SA |
335,000 | 429,358 | ||||||
|
|
|||||||
3,477,837 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.1% |
| |||||||
Fibria Overseas Finance Ltd. |
1,250,000 | 1,178,750 | ||||||
|
|
|||||||
Gas — 0.3% |
| |||||||
NiSource, Inc. |
535,000 | 517,966 | ||||||
5.800% 2/01/42 |
950,000 | 1,052,572 | ||||||
Spire, Inc. |
1,840,000 | 1,863,256 | ||||||
|
|
|||||||
3,433,794 | ||||||||
|
|
|||||||
Health Care – Products — 0.1% |
| |||||||
Becton Dickinson and Co. |
825,000 | 772,170 | ||||||
|
|
|||||||
Health Care – Services — 0.2% |
| |||||||
Advocate Health & Hospitals Corp. |
965,000 | 993,522 | ||||||
Humana, Inc. |
547,000 | 534,410 | ||||||
4.800% 3/15/47 |
830,000 | 830,654 | ||||||
|
|
|||||||
2,358,586 | ||||||||
|
|
|||||||
Home Builders — 0.5% |
| |||||||
Lennar Corp. |
3,390,000 | 3,364,575 | ||||||
4.750% 5/30/25 |
1,230,000 | 1,153,125 | ||||||
PulteGroup, Inc. |
1,025,000 | 927,625 | ||||||
|
|
|||||||
5,445,325 | ||||||||
|
|
|||||||
Housewares — 0.1% |
| |||||||
Newell Brands, Inc. |
1,150,000 | 1,133,147 | ||||||
|
|
|||||||
Insurance — 3.6% |
| |||||||
The Allstate Corp. 3 mo. USD |
4,260,000 | 4,153,500 | ||||||
American International Group, Inc. |
1,525,000 | 1,469,129 | ||||||
4.500% 7/16/44 |
1,175,000 | 1,048,604 | ||||||
4.750% 4/01/48 |
505,000 | 462,137 | ||||||
5.750% VRN 4/01/48 (b) |
2,285,000 | 1,987,950 | ||||||
AmTrust Financial Services, Inc. |
3,030,000 | 2,738,044 | ||||||
Arch Capital Group US, Inc. |
1,040,000 | 1,089,311 | ||||||
The Athene Holding Ltd. |
5,070,000 | 4,605,387 |
The accompanying notes are an integral part of the financial statements.
47
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
AXIS Specialty Finance PLC |
$ | 2,500,000 | $ | 2,392,516 | ||||
CNA Financial Corp. |
1,115,000 | 1,037,397 | ||||||
CNO Financial Group, Inc. |
1,602,000 | 1,581,975 | ||||||
5.250% 5/30/25 |
1,571,000 | 1,496,378 | ||||||
Enstar Group Ltd. |
920,000 | 926,143 | ||||||
The Progressive Corp. |
1,175,000 | 1,101,034 | ||||||
Prudential Financial, Inc. |
2,440,000 | 2,269,200 | ||||||
Trinity Acquisition PLC |
445,000 | 442,203 | ||||||
USF&G Capital I |
885,000 | 1,213,644 | ||||||
Voya Financial, Inc. |
1,080,000 | 850,500 | ||||||
Willis North America, Inc. |
1,965,000 | 1,949,596 | ||||||
7.000% 9/29/19 |
566,000 | 578,989 | ||||||
XLIT Ltd. |
3,525,000 | 3,503,045 | ||||||
|
|
|||||||
36,896,682 | ||||||||
|
|
|||||||
Internet — 0.2% |
| |||||||
Amazon.com, Inc. |
1,840,000 | 1,797,862 | ||||||
|
|
|||||||
Investment Companies — 0.8% |
| |||||||
Ares Capital Corp. |
2,600,000 | 2,471,249 | ||||||
BlackRock TCP Capital Corp. |
2,870,000 | 2,765,563 | ||||||
FS KKR Capital Corp. |
3,095,000 | 3,091,500 | ||||||
|
|
|||||||
8,328,312 | ||||||||
|
|
|||||||
Iron & Steel — 0.8% |
| |||||||
ArcelorMittal |
2,165,000 | 2,200,931 | ||||||
5.250% STEP 8/05/20 |
2,034,000 | 2,063,922 | ||||||
Vale Overseas Ltd. |
2,825,000 | 2,962,719 | ||||||
6.875% 11/21/36 |
630,000 | 720,405 | ||||||
|
|
|||||||
7,947,977 | ||||||||
|
|
|||||||
Lodging — 0.1% |
| |||||||
MGM Resorts International |
1,103,000 | 1,130,575 | ||||||
|
|
|||||||
Machinery – Diversified — 0.2% |
| |||||||
CNH Industrial Capital LLC |
2,280,000 | 2,264,724 | ||||||
|
|
Principal Amount |
Value | |||||||
Media — 0.8% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
$ | 1,275,000 | $ | 1,187,535 | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
1,285,000 | 1,320,901 | ||||||
Comcast Corp. |
645,000 | 534,432 | ||||||
6.950% 8/15/37 |
515,000 | 633,281 | ||||||
Discovery Communications LLC |
950,000 | 880,877 | ||||||
5.000% 9/20/37 |
995,000 | 922,935 | ||||||
Grupo Televisa SAB |
711,000 | 780,304 | ||||||
Time Warner Cable, Inc. |
985,000 | 1,000,884 | ||||||
8.250% 4/01/19 |
75,000 | 75,842 | ||||||
8.750% 2/14/19 |
325,000 | 326,815 | ||||||
Warner Media LLC |
210,000 | 226,709 | ||||||
|
|
|||||||
7,890,515 | ||||||||
|
|
|||||||
Mining — 0.8% |
| |||||||
Glencore Finance Canada Ltd. |
894,000 | 804,707 | ||||||
Glencore Funding LLC |
975,000 | 871,631 | ||||||
4.625% 4/29/24 (a) |
1,815,000 | 1,799,101 | ||||||
Kinross Gold Corp. |
1,020,000 | 881,025 | ||||||
5.125% 9/01/21 |
3,495,000 | 3,486,262 | ||||||
|
|
|||||||
7,842,726 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 0.3% |
| |||||||
General Electric Co. |
1,210,000 | 1,122,791 | ||||||
6.875% 1/10/39 |
298,000 | 311,560 | ||||||
4.125% 10/09/42 |
1,430,000 | 1,117,319 | ||||||
|
|
|||||||
2,551,670 | ||||||||
|
|
|||||||
Office Equipment/Supplies — 0.3% |
| |||||||
Pitney Bowes, Inc. |
845,000 | 825,987 | ||||||
3.875% STEP 10/01/21 |
1,855,000 | 1,736,744 | ||||||
|
|
|||||||
2,562,731 | ||||||||
|
|
|||||||
Oil & Gas — 3.0% |
| |||||||
Anadarko Petroleum Corp. |
1,258,000 | 1,389,057 | ||||||
Antero Resources Corp. |
5,459,000 | 5,267,935 |
The accompanying notes are an integral part of the financial statements.
48
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Cenovus Energy, Inc. |
$ | 1,275,000 | $ | 1,210,370 | ||||
4.250% 4/15/27 |
1,375,000 | 1,252,381 | ||||||
6.750% 11/15/39 |
550,000 | 536,752 | ||||||
Continental Resources, Inc. |
1,573,000 | 1,479,818 | ||||||
Diamondback Energy, Inc. |
2,196,000 | 2,119,140 | ||||||
Encana Corp. |
545,000 | 590,885 | ||||||
EQT Corp. |
4,085,000 | 3,521,603 | ||||||
Helmerich & Payne, Inc. |
935,000 | 953,377 | ||||||
Marathon Petroleum Corp. |
510,000 | 428,081 | ||||||
6.500% 3/01/41 |
1,120,000 | 1,208,187 | ||||||
Nabors Industries, Inc. |
1,415,000 | 1,123,115 | ||||||
Newfield Exploration Co. |
1,904,000 | 1,923,040 | ||||||
Patterson-UTI Energy, Inc. |
880,000 | 806,956 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. |
1,175,000 | 1,122,125 | ||||||
Petroleos Mexicanos |
675,000 | 610,875 | ||||||
4.625% 9/21/23 |
575,000 | 539,638 | ||||||
5.350% 2/12/28 |
665,000 | 580,212 | ||||||
5.500% 1/21/21 |
2,690,000 | 2,679,159 | ||||||
6.375% 1/23/45 |
595,000 | 478,975 | ||||||
6.500% 3/13/27 |
585,000 | 549,900 | ||||||
6.625% 6/15/35 |
140,000 | 122,220 | ||||||
|
|
|||||||
30,493,801 | ||||||||
|
|
|||||||
Oil & Gas Services — 0.1% |
| |||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.
|
328,000 | 301,791 | ||||||
National Oilwell Varco, Inc. |
1,451,000 | 1,158,002 | ||||||
|
|
|||||||
1,459,793 | ||||||||
|
|
|||||||
Packaging & Containers — 0.4% |
| |||||||
Amcor Finance USA, Inc. |
3,105,000 | 2,940,325 | ||||||
The WestRock MWV LLC |
1,000,000 | 1,221,301 | ||||||
|
|
|||||||
4,161,626 | ||||||||
|
|
|||||||
Pharmaceuticals — 1.4% |
| |||||||
AbbVie, Inc. |
1,060,000 | 963,977 |
Principal Amount |
Value | |||||||
Bayer US Finance II LLC |
$ | 650,000 | $ | 556,324 | ||||
4.625% 6/25/38 (a) |
1,200,000 | 1,089,769 | ||||||
CVS Health Corp. |
705,000 | 685,690 | ||||||
6.125% 9/15/39 |
560,000 | 620,286 | ||||||
CVS Pass-Through Trust |
1,135,018 | 1,222,427 | ||||||
7.507% 1/10/32 (a) |
996,404 | 1,151,791 | ||||||
Express Scripts Holding Co. |
814,000 | 825,016 | ||||||
4.800% 7/15/46 |
1,180,000 | 1,131,231 | ||||||
McKesson Corp. |
550,000 | 608,953 | ||||||
Mylan, Inc. |
1,175,000 | 1,101,833 | ||||||
Teva Pharmaceutical Finance IV LLC |
1,300,000 | 1,265,085 | ||||||
Teva Pharmaceutical Finance Netherlands III BV |
315,000 | 310,110 | ||||||
2.200% 7/21/21 |
3,293,000 | 3,026,965 | ||||||
4.100% 10/01/46 |
460,000 | 304,050 | ||||||
|
|
|||||||
14,863,507 | ||||||||
|
|
|||||||
Pipelines — 2.2% |
| |||||||
Andeavor Logistics LP |
1,775,000 | 1,579,750 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. |
652,000 | 665,040 | ||||||
Energy Transfer LP |
1,150,000 | 1,170,125 | ||||||
7.500% 10/15/20 |
1,125,000 | 1,170,000 | ||||||
Energy Transfer Operating LP |
1,085,000 | 1,011,146 | ||||||
6.125% 12/15/45 |
800,000 | 782,398 | ||||||
6.250% VRN 12/31/99 (b) (c) |
2,370,000 | 1,983,394 | ||||||
EnLink Midstream Partners LP |
2,075,000 | 1,870,690 | ||||||
4.850% 7/15/26 |
951,000 | 857,580 | ||||||
Enterprise Products Operating LLC |
1,205,000 | 996,338 | ||||||
Kinder Morgan Energy Partners LP |
376,000 | 399,054 | ||||||
6.500% 2/01/37 |
150,000 | 161,594 | ||||||
6.550% 9/15/40 |
500,000 | 539,692 | ||||||
6.950% 1/15/38 |
175,000 | 195,186 | ||||||
MPLX LP |
1,195,000 | 1,043,650 | ||||||
4.800% 2/15/29 |
580,000 | 578,571 | ||||||
5.200% 3/01/47 |
245,000 | 225,522 | ||||||
Phillips 66 Partners LP |
178,000 | 160,293 |
The accompanying notes are an integral part of the financial statements.
49
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Plains All American Pipeline LP |
$ | 2,345,000 | $ | 1,969,800 | ||||
Plains All American Pipeline LP/PAA Finance Corp. |
1,360,000 | 1,309,953 | ||||||
4.700% 6/15/44 |
675,000 | 579,198 | ||||||
Sabine Pass Liquefaction LLC |
1,585,000 | 1,516,082 | ||||||
Sunoco Logistics Partners Operations LP |
1,375,000 | 1,259,423 | ||||||
5.300% 4/01/44 |
525,000 | 463,585 | ||||||
Western Gas Partners LP |
655,000 | 612,244 | ||||||
|
|
|||||||
23,100,308 | ||||||||
|
|
|||||||
Private Equity — 0.5% |
| |||||||
Hercules Capital, Inc. |
2,910,000 | 2,839,723 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
2,775,000 | 2,740,312 | ||||||
|
|
|||||||
5,580,035 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 0.9% |
| |||||||
American Tower Trust #1 |
1,910,000 | 1,907,856 | ||||||
Healthcare Trust of America Holdings LP |
1,265,000 | 1,188,987 | ||||||
Host Hotels & Resorts LP |
1,675,000 | 1,652,409 | ||||||
Kimco Realty Corp. |
960,000 | 914,999 | ||||||
Mid-America Apartments LP |
1,115,000 | 1,076,000 | ||||||
National Retail Properties, Inc. |
810,000 | 813,993 | ||||||
VEREIT Operating Partnership LP |
1,335,000 | 1,337,488 | ||||||
Weingarten Realty Investors |
535,000 | 495,129 | ||||||
|
|
|||||||
9,386,861 | ||||||||
|
|
|||||||
Retail — 0.7% |
| |||||||
Dollar Tree, Inc. |
1,475,000 | 1,417,997 | ||||||
4.200% 5/15/28 |
1,915,000 | 1,813,884 | ||||||
El Puerto de Liverpool SAB de CV |
2,620,000 | 2,456,276 | ||||||
The Home Depot, Inc. |
600,000 | 736,266 | ||||||
QVC, Inc. |
545,000 | 550,757 | ||||||
|
|
|||||||
6,975,180 | ||||||||
|
|
Principal Amount |
Value | |||||||
Semiconductors — 0.1% |
| |||||||
Microchip Technology, Inc. |
$ | 985,000 | $ | 977,108 | ||||
|
|
|||||||
Software — 0.2% |
| |||||||
Microsoft Corp. |
2,064,000 | 2,189,162 | ||||||
|
|
|||||||
Telecommunications — 1.7% |
| |||||||
AT&T, Inc. |
1,075,000 | 1,012,277 | ||||||
4.750% 5/15/46 |
2,080,000 | 1,846,820 | ||||||
5.250% 3/01/37 |
648,000 | 636,483 | ||||||
CenturyLink, Inc. |
560,000 | 567,156 | ||||||
Crown Castle Towers LLC |
1,700,000 | 1,671,729 | ||||||
4.241% 7/15/48 (a) |
1,750,000 | 1,741,513 | ||||||
Embarq Corp. |
145,000 | 131,225 | ||||||
Ericsson LM |
3,075,000 | 3,024,616 | ||||||
Hughes Satellite Systems Corp. |
1,125,000 | 1,134,844 | ||||||
Sprint Communications, Inc. |
2,550,000 | 2,913,375 | ||||||
Telecom Italia SpA |
605,000 | 574,750 | ||||||
Telefonica Emisiones SAU |
1,105,000 | 999,573 | ||||||
Turk Telekomunikasyon AS |
240,000 | 236,595 | ||||||
Verizon Communications, Inc. |
885,000 | 1,043,925 | ||||||
|
|
|||||||
17,534,881 | ||||||||
|
|
|||||||
Transportation — 0.3% |
| |||||||
Autoridad del Canal de Panama |
1,050,000 | 1,068,385 | ||||||
Burlington Northern Santa Fe LLC |
720,000 | 877,069 | ||||||
CSX Corp. |
650,000 | 657,054 | ||||||
Pacific National Finance Pty Ltd. |
610,000 | 617,739 | ||||||
|
|
|||||||
3,220,247 | ||||||||
|
|
|||||||
Trucking & Leasing — 0.7% |
| |||||||
DAE Funding LLC |
1,049,000 | 1,022,775 | ||||||
Park Aerospace Holdings Ltd. |
1,550,000 | 1,449,250 | ||||||
5.250% 8/15/22 (a) |
4,440,000 | 4,295,700 | ||||||
|
|
|||||||
6,767,725 | ||||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $411,086,015) |
395,862,235 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
50
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
MUNICIPAL OBLIGATIONS — 0.7% |
| |||||||
JobsOhio Beverage System Series B |
$ | 3,950,000 | $ | 4,215,558 | ||||
New York City Water & Sewer System |
105,000 | 134,636 | ||||||
Orange County Local Transportation Authority BAB |
1,350,000 | 1,786,928 | ||||||
Panhandle-Plains Student Finance Corp., Series 2001-A2,
|
400,000 | 397,152 | ||||||
State of California BAB |
120,000 | 171,906 | ||||||
7.600% 11/01/40 |
515,000 | 749,948 | ||||||
|
|
|||||||
7,456,128 | ||||||||
|
|
|||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $7,346,760) |
7,456,128 | |||||||
|
|
|||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 32.5% |
| |||||||
Automobile ABS — 1.1% |
| |||||||
Hertz Vehicle Financing II LP |
7,680,000 | 7,553,815 | ||||||
Series 2018-1A, Class B, |
3,810,000 | 3,759,855 | ||||||
|
|
|||||||
11,313,670 | ||||||||
|
|
|||||||
Commercial MBS — 2.9% |
| |||||||
Aventura Mall Trust, Series 2018-AVM, Class C,
|
4,270,000 | 4,233,277 | ||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class C, |
670,000 | 666,951 | ||||||
BBCMS Mortgage Trust |
2,250,000 | 2,233,590 | ||||||
Series 2018-CHRS, Class C, |
1,610,000 | 1,561,893 | ||||||
Series 2018-CHRS, Class D, |
1,370,000 | 1,296,985 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26,
Class AM, |
464,636 | 462,697 | ||||||
BHMS Mortgage Trust, |
4,950,000 | 4,904,059 | ||||||
BX Commercial Mortgage Trust, |
2,026,975 | 1,997,245 |
Principal Amount |
Value | |||||||
Commercial Mortgage Pass-Through Certificates |
$ | 1,060,000 | $ | 1,012,022 | ||||
Series 2014-UBS2, Class AM, |
1,375,000 | 1,394,152 | ||||||
Series 2014-CR14, Class A4, |
1,410,000 | 1,462,414 | ||||||
Series 2015-CR23, Class C, |
1,000,000 | 970,551 | ||||||
DBCCRE Mortgage Trust, |
995,000 | 1,018,406 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7,
Class AM, |
851,149 | 859,197 | ||||||
GS Mortgage Securities Corp. II, |
488,000 | 506,235 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, |
6,121 | 6,117 | ||||||
Morgan Stanley Capital I Trust |
760,000 | 778,860 | ||||||
Series 2011-C2, Class B, |
1,325,000 | 1,360,731 | ||||||
MSCG Trust, Series 2018-SELF, Class C, |
440,000 | 432,157 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4,
Class AJ, |
50,808 | 50,927 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2,
Class AFX, |
1,091,013 | 1,084,552 | ||||||
Wells Fargo Commercial Mortgage Trust |
52,721 | 52,762 | ||||||
Series 2018-C45, Class AS, |
1,450,000 | 1,483,442 | ||||||
Series 2018-C45, Class B, |
400,000 | 411,425 | ||||||
|
|
|||||||
30,240,647 | ||||||||
|
|
|||||||
Home Equity ABS — 0.1% |
| |||||||
Countrywide Partnership Trust, |
541,680 | 528,496 |
The accompanying notes are an integral part of the financial statements.
51
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, |
$ | 145,515 | $ | 145,794 | ||||
|
|
|||||||
674,290 | ||||||||
|
|
|||||||
Other ABS — 15.6% |
| |||||||
321 Henderson Receivables LLC |
525,620 | 495,584 | ||||||
Series 2015-1A, Class A, |
1,136,594 | 1,118,838 | ||||||
Aames Mortgage Investment Trust, Series 2004-1,
Class M5, |
184,273 | 183,113 | ||||||
AASET US Ltd., Series 2018-2A, Class A |
1,708,132 | 1,725,503 | ||||||
Adams Outdoor Advertising LP, Series 2018-1, Class A
|
1,987,626 | 2,044,211 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo.
USD |
2,620,000 | 2,621,310 | ||||||
Alterna Funding II LLC, Series 2015-1A, Class A
|
152,258 | 151,497 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 |
1,843,000 | 1,907,734 | ||||||
Ascentium Equipment Receivables Trust, Series 2018-2A,
Class D |
2,473,000 | 2,522,745 | ||||||
Assurant CLO III Ltd., Series 2018-2A, Class C,
|
820,000 | 776,170 | ||||||
Atrium XV, Series 15A, Class B, |
1,190,000 | 1,173,178 | ||||||
Avery Point III CLO Ltd., Series 2013-3A,
Class AR, |
542,804 | 541,510 | ||||||
Bain Capital Credit CLO, Series 2017-1A,
Class A1, |
1,990,000 | 1,976,488 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE |
435,203 | 435,203 |
Principal Amount |
Value | |||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A,
Class A |
$ | 853,023 | $ | 841,999 | ||||
CAL Funding II Ltd., Series 2018-2A, Class A |
1,482,000 | 1,517,825 | ||||||
Capital Automotive REIT |
900,000 | 898,151 | ||||||
Series 2017-1A, Class A2, |
983,333 | 990,865 | ||||||
Carlyle Global Market Strategies CLO Ltd. |
4,000,000 | 3,956,816 | ||||||
Series 2015-3A, Class CR, |
330,000 | 313,426 | ||||||
Castlelake Aircraft Structured Trust, Series 2018-1,
Class A |
1,648,953 | 1,674,953 | ||||||
CIFC Funding V Ltd., Series 2017-5A, Class A1, |
2,330,000 | 2,313,098 | ||||||
Clear Creek CLO Ltd., Series 2015-1A, Class AR,
|
2,040,000 | 2,025,269 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5,
Class 3A, |
54,696 | 54,154 | ||||||
Cronos Containers Program I Ltd., Series 2014-2A,
Class A |
327,778 | 325,260 | ||||||
Diamond Resorts Owner Trust |
373,338 | 372,140 | ||||||
Series 2016-1, Class A, |
1,672,463 | 1,651,656 | ||||||
Series 2018-1, Class A, |
1,660,133 | 1,673,710 | ||||||
Domino’s Pizza Master Issuer LLC |
1,542,250 | 1,523,050 | ||||||
Series 2017-1A, Class A23, |
770,250 | 777,341 | ||||||
Series 2015-1A, Class A2II, |
3,022,500 | 3,052,455 | ||||||
Drug Royalty Corp., Inc. |
150,839 | 149,769 | ||||||
Series 2012-1, Class A2, |
19,487 | 19,461 |
The accompanying notes are an integral part of the financial statements.
52
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Eaton Vance CLO Ltd., Series 2018-1A, Class B, |
$ | 1,700,000 | $ | 1,682,441 | ||||
Elara HGV Timeshare Issuer LLC, Series 2016-A,
Class A |
1,238,942 | 1,226,576 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series
2015-1, Class A |
448,945 | 441,717 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class AR, |
3,000,000 | 2,962,293 | ||||||
Global SC Finance II SRL, Series 2014-1A, Class A1
|
279,167 | 275,863 | ||||||
Global SC Finance IV Ltd., Series 2017-1A, Class A
|
1,534,423 | 1,526,787 | ||||||
Goldentree Loan Management US CLO Ltd., Series 2017-2A,
Class A, |
1,950,000 | 1,935,256 | ||||||
Goodgreen Trust |
2,230,712 | 2,194,581 | ||||||
Series 2017-1A, Class A, |
1,043,604 | 1,054,586 | ||||||
Series 2018-1A, Class A, |
2,768,992 | 2,817,003 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR +
..645% |
56,192 | 55,797 | ||||||
Harbor Park CLO Ltd., Series 2018-1A, Class B1,
|
1,290,000 | 1,263,066 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A |
1,623,032 | 1,652,972 | ||||||
Hero Funding Trust |
1,220,351 | 1,194,208 | ||||||
Series 2017-3A, Class A1, |
1,357,414 | 1,343,222 | ||||||
Series 2017-2A, Class A1, |
399,770 | 399,937 | ||||||
Series 2016-4A, Class A1, |
1,365,748 | 1,381,761 | ||||||
Series 2017-2A, Class A2, |
321,384 | 329,940 | ||||||
Series 2018-1A, Class A2, |
2,411,277 | 2,510,354 | ||||||
Highbridge Loan Management Ltd., Series 12A-18, Class B,
|
1,200,000 | 1,114,814 |
Principal Amount |
Value | |||||||
Hilton Grand Vacations Trust |
$ | 350,378 | $ | 348,721 | ||||
Series 2018-AA, Class C, |
400,131 | 404,930 | ||||||
Horizon Aircraft Finance I Ltd., Series 2018-1,
Class A |
1,060,000 | 1,080,486 | ||||||
J.G. Wentworth XLII LLC, Series 2018-2A, Class A
|
1,539,921 | 1,587,714 | ||||||
KREF Ltd., Series 2018-FL1, Class C, |
1,670,000 | 1,636,973 | ||||||
Labrador Aviation Finance Ltd., Series 2016-1A,
Class A1 |
2,482,188 | 2,529,875 | ||||||
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400% |
3,030,000 | 3,023,667 | ||||||
Lendmark Funding Trust |
1,270,000 | 1,253,488 | ||||||
Series 2018-1A, Class A, |
1,730,000 | 1,727,082 | ||||||
Madison Park Funding Ltd., Series 2018-29A, Class C,
|
620,000 | 596,033 | ||||||
Madison Park Funding XXVIII Ltd., Series 2018-28A,
Class B, |
1,665,000 | 1,632,306 | ||||||
Marble Point CLO XI Ltd., Series 2017-2A, Class A,
|
1,200,000 | 1,185,012 | ||||||
Marriott Vacation Club Owner Trust, Series 2012-1A,
Class A |
123,909 | 123,532 | ||||||
Mosaic Solar Loans LLC |
864,982 | 870,226 | ||||||
Series 2018-1A, Class A, |
420,364 | 425,467 | ||||||
Series 2017-1A, Class A, |
434,170 | 437,388 | ||||||
MP CLO III Ltd., Series 2013-1A, Class AR, |
1,750,000 | 1,737,265 | ||||||
MVW Owner Trust |
356,772 | 350,001 | ||||||
Series 2015-1A, Class A, |
450,642 | 443,982 |
The accompanying notes are an integral part of the financial statements.
53
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
NP Ferrum LLC |
$ | 339,487 | $ | 335,693 | ||||
Series 16-1A, Class A1, |
999,199 | 1,010,159 | ||||||
NP SPE II LLC, Series 2017-1A, Class A2 |
2,260,000 | 2,291,966 | ||||||
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3
|
10,600,000 | 10,456,946 | ||||||
Orange Lake Timeshare Trust |
159,945 | 157,334 | ||||||
Series 2016-A, Class B, |
818,557 | 812,958 | ||||||
Oxford Finance Funding Trust, Series 2016-1A,
Class A |
1,061,664 | 1,064,953 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A,
|
1,270,000 | 1,272,728 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class AR,
3 mo. USD LIBOR + 1.340% |
700,000 | 696,728 | ||||||
RR 3 Ltd., Series 2018-3A, Class A1R2, |
2,450,000 | 2,406,290 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A,
Class B |
137,722 | 137,008 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2018-3A,
Class D |
1,752,027 | 1,776,410 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A
|
1,552,352 | 1,548,878 | ||||||
Spirit Master Funding LLC, Series 2014-4A, Class A1
|
996,562 | 992,050 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A
|
886,737 | 878,161 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2,
Class AT2 |
4,490,000 | 4,481,644 | ||||||
Steele Creek CLO Ltd. |
660,000 | 652,069 | ||||||
Series 2018-2A, Class C, 4.573% FRN 8/18/31 (a) (b) |
1,170,000 | 1,109,522 |
Principal Amount |
Value | |||||||
Store Master Funding I-VII,
Series 2018-1A, Class A2 |
$ | 1,345,351 | $ | 1,382,977 | ||||
Structured Receivables Finance LLC, Series 2010-B,
Class A |
209,078 | 205,242 | ||||||
Sunnova Helios II Issuer LLC, Series 2018-1A,
Class A |
472,000 | 481,841 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A,
Class A |
2,012,639 | 1,956,796 | ||||||
Taco Bell Funding LLC, Series 2018-1A, Class A2II
|
1,140,000 | 1,150,040 | ||||||
TAL Advantage VI LLC, Series 2017-1A, Class A
|
2,260,969 | 2,306,114 | ||||||
TCI-Symphony CLO Ltd.,
Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480% |
2,150,000 | 2,149,972 | ||||||
THL Credit Wind River CLO Ltd. |
1,150,000 | 1,129,260 | ||||||
Series 2016-2A, Class BR, |
900,000 | 890,622 | ||||||
Trinity Rail Leasing L.P., Series 2018-1A, Class A2
|
2,420,000 | 2,477,427 | ||||||
Trip Rail Master Funding LLC |
473,018 | 469,054 | ||||||
Series 2017-1A, Class A2, |
810,000 | 816,875 | ||||||
Triton Container Finance IV LLC, Series 2017-2A,
Class A |
3,014,717 | 3,004,496 | ||||||
Triton Container Finance VI LLC |
818,792 | 806,745 | ||||||
Series 2018-2A, Class A, 4.190% 6/22/43 (a) |
1,558,000 | 1,568,166 | ||||||
Vivint Solar Financing V LLC, Series 2018-1A,
Class B |
2,991,869 | 3,051,233 | ||||||
VSE VOI Mortgage LLC, Series 2016-A, Class A |
1,288,657 | 1,267,577 | ||||||
WAVE Trust |
3,721,802 | 3,726,250 | ||||||
Series 2017-1A, Class C, 6.656% 11/15/42 (a) |
2,332,752 | 2,328,098 |
The accompanying notes are an integral part of the financial statements.
54
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Wendy’s Funding LLC |
$ | 1,770,525 | $ | 1,779,360 | ||||
Series 2015-1A, Class A23, |
2,128,500 | 2,192,727 | ||||||
Westgate Resorts LLC, Series 2017-1A, Class A
|
1,079,485 | 1,071,436 | ||||||
Willis Engine Structured Trust IV, Series 2018-A,
Class A, |
1,334,778 | 1,369,448 | ||||||
Wingstop Funding LLC, Series 2018-1, Class A2
|
650,000 | 656,343 | ||||||
|
|
|||||||
160,881,400 | ||||||||
|
|
|||||||
Student Loans ABS — 12.2% |
| |||||||
AccessLex Institute |
2,950,000 | 2,906,854 | ||||||
Series 2003-A, Class A3, 3 mo. Treasury + 1.200% |
232,520 | 226,995 | ||||||
College Loan Corp. Trust I, Series 2007-1, Class B2,
28 day ARS |
900,000 | 715,566 | ||||||
Collegiate Funding Services Education Loan Trust, Series
2005-B, Class A4, 3 mo. USD LIBOR + .160% |
1,284,781 | 1,269,714 | ||||||
DRB Prime Student Loan Trust, Series 2015-D,
Class A2 |
647,530 | 652,278 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A2
|
802,482 | 799,840 | ||||||
ECMC Group Student Loan Trust |
2,656,714 | 2,654,474 | ||||||
Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200% |
2,570,314 | 2,599,453 | ||||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350% |
3,124,809 | 3,184,092 | ||||||
EdLinc Student Loan Funding, |
3,108,447 | 3,144,695 | ||||||
Education Services of America |
1,200,000 | 1,126,632 |
Principal Amount |
Value | |||||||
Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500% |
$ | 1,100,000 | $ | 1,045,340 | ||||
Educational Funding of the South, Inc., |
625,000 | 655,695 | ||||||
Higher Education Funding I |
450,000 | 396,173 | ||||||
Series 2004-1, Class B2, 28 day ARS |
450,000 | 385,168 | ||||||
KeyCorp Student Loan Trust, |
120,457 | 120,162 | ||||||
Laurel Road Prime Student Loan Trust, |
957,860 | 940,340 | ||||||
Navient Private Education Loan Trust, |
880,000 | 882,463 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-CA,
Class B |
1,530,000 | 1,507,707 | ||||||
Navient Student Loan Trust |
4,150,000 | 4,126,751 | ||||||
Series 2014-1, Class A4, 1 mo. USD LIBOR + .750% |
3,000,000 | 2,967,155 | ||||||
Series 2017-5A, Class A, |
1,744,717 | 1,747,665 | ||||||
Series 2018-3A, Class A3, |
4,700,000 | 4,641,848 | ||||||
Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250% |
2,487,777 | 2,506,401 | ||||||
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% |
7,050,000 | 7,201,942 | ||||||
Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500% |
940,000 | 953,404 | ||||||
Series 2016-2, Class A3, 1 mo. USD LIBOR + 1.500% |
2,370,000 | 2,448,780 | ||||||
Nelnet Private Education Loan Trust, |
820,014 | 798,509 |
The accompanying notes are an integral part of the financial statements.
55
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Nelnet Student Loan Trust |
$ | 325,000 | $ | 317,653 | ||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% |
730,056 | 670,789 | ||||||
Series 2018-3A, Class A3, |
3,800,000 | 3,804,804 | ||||||
North Carolina State Education Assistance Authority, Series
2011-2, Class A3, 3 mo. USD LIBOR + .800% |
1,600,000 | 1,606,633 | ||||||
PHEAA Student Loan Trust, |
2,635,192 | 2,648,328 | ||||||
SLM Student Loan Trust |
550,000 | 529,260 | ||||||
Series 2005-3, Class B, 3 mo. USD LIBOR + .150% |
961,926 | 885,800 | ||||||
Series 2006-10, Class A6, 3 mo. USD LIBOR + .150% |
5,310,000 | 5,163,869 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% |
2,258,162 | 2,143,657 | ||||||
Series 2005-6, Class B, 3 mo. USD LIBOR + .290% |
2,357,122 | 2,187,226 | ||||||
Series 2005-9, Class A7A, 3 mo. EURIBOR + .600% |
3,530,000 | 3,500,357 | ||||||
Series 2003-14, Class A7, 3 mo. USD LIBOR + .600% |
15,050,000 | 15,008,126 | ||||||
Series 2005-7, Class A5, 3 mo. USD LIBOR + .750% |
5,300,000 | 5,257,765 | ||||||
Series 2005-5, Class A5, 3 mo. USD LIBOR + .750% |
1,056,000 | 1,047,424 | ||||||
Series 2013-2, Class B, 1 mo. USD LIBOR + 1.500% |
1,420,000 | 1,400,382 | ||||||
Series 2002-7, Class A11, |
518,000 | 518,000 |
Principal Amount |
Value | |||||||
Series 2002-7, Class A10, |
$ | 234,000 | $ | 234,000 | ||||
Series 2003-5, Class A7, |
250,000 | 250,000 | ||||||
Series 2002-7, Class B, 28 day ARS |
3,950,000 | 3,964,260 | ||||||
Series 2003-2, Class A7, |
650,000 | 650,000 | ||||||
SMB Private Education Loan Trust, |
1,249,423 | 1,227,265 | ||||||
SoFi Professional Loan Program LLC |
1,200 | 1,245,000 | ||||||
Series 2017-D, Class R1, 0.000%9/25/40 (a) |
4,688,500 | 3,025,255 | ||||||
Series 2018-A, Class R1, 0.000%2/25/42 (a) |
3,759,800 | 2,700,288 | ||||||
Series 2018-B, Class R1, 0.000%8/26/47 (a) |
3,324,300 | 1,823,732 | ||||||
Series 2018-D, Class R1, 0.000%2/25/48 (a) |
4,961,600 | 1,709,271 | ||||||
Series 2016-D, Class A2B, |
1,300,000 | 1,272,326 | ||||||
Series 2017-A, Class B, |
1,220,000 | 1,191,518 | ||||||
Series 2017-C, Class C, |
990,000 | 965,087 | ||||||
South Carolina Student Loan Corp. |
1,800,000 | 1,816,000 | ||||||
Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500% |
3,050,000 | 3,092,770 | ||||||
South Texas Higher Education Authority, Inc., Series 2012-1,
Class A3, 3 mo. USD LIBOR + .850% |
1,700,000 | 1,719,368 | ||||||
|
|
|||||||
126,182,309 | ||||||||
|
|
|||||||
WL Collateral CMO — 0.6% |
| |||||||
Bank of America Mortgage Securities, |
30,198 | 29,735 | ||||||
Countrywide Home Loans, Inc. |
18,506 | 17,902 | ||||||
Series 2003-42, Class 1A1, |
4,141 | 3,752 |
The accompanying notes are an integral part of the financial statements.
56
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
GSR Mortgage Loan Trust, |
$ | 5,855 | $ | 5,605 | ||||
IndyMac Index Mortgage Loan Trust, |
40,157 | 37,858 | ||||||
JP Morgan Mortgage Trust, |
3,085,702 | 3,012,804 | ||||||
Merrill Lynch Mortgage Investors, Inc. Series 2004-A1,
Class IA, |
3,461 | 3,206 | ||||||
Series 2003-A4, Class IA, |
2,685 | 2,598 | ||||||
PSMC Trust, Series 2018-2, Class A1, |
3,723,579 | 3,648,061 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2,
Class 2A, |
22,589 | 21,750 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, |
64,221 | 62,002 | ||||||
|
|
|||||||
6,845,273 | ||||||||
|
|
|||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $337,041,358) |
336,137,589 | |||||||
|
|
|||||||
SOVEREIGN DEBT OBLIGATIONS — 0.8% |
| |||||||
Colombia Government International Bond |
2,580,000 | 2,786,400 | ||||||
Mexico Government International Bond |
4,727,000 | 4,296,843 | ||||||
6.750% 9/27/34 |
685,000 | 780,284 | ||||||
|
|
|||||||
7,863,527 | ||||||||
|
|
|||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $8,257,423) |
7,863,527 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 26.9% |
| |||||||
Collateralized Mortgage Obligations — 0.3% |
| |||||||
Federal Home Loan Mortgage Corp. |
1,191,900 | 1,296,229 | ||||||
Series 2693, Class Z, 5.500% 10/15/33 |
2,155,904 | 2,312,210 |
Principal Amount |
Value | |||||||
Series 2178, Class PB, |
$ | 48,710 | $ | 53,442 | ||||
|
|
|||||||
3,661,881 | ||||||||
|
|
|||||||
Pass-Through Securities — 26.2% |
| |||||||
Federal Home Loan Mortgage Corp. |
3,556 | 3,558 | ||||||
Pool #J13972 3.500% 1/01/26 |
47,461 | 48,173 | ||||||
Pool #C91344 3.500% 11/01/30 |
136,535 | 138,717 | ||||||
Pool #C91424 3.500% 1/01/32 |
92,806 | 94,230 | ||||||
Pool #Q41916 3.500% 7/01/46 |
1,576,813 | 1,583,896 | ||||||
Pool #Q42045 3.500% 7/01/46 |
668,869 | 671,873 | ||||||
Pool #Q44275 3.500% 11/01/46 |
1,328,315 | 1,333,867 | ||||||
Pool #Q44277 3.500% 11/01/46 |
388,845 | 389,984 | ||||||
Pool #Q52216 3.500% 11/01/47 |
3,590,763 | 3,590,061 | ||||||
Pool #V83764 4.000% 12/01/47 |
9,973,311 | 10,175,115 | ||||||
Pool #V83796 4.000% 12/01/47 |
8,966,967 | 9,148,408 | ||||||
Pool #Q52834 4.000% 12/01/47 |
1,478,257 | 1,507,707 | ||||||
Pool #V83962 4.000% 2/01/48 |
2,636,086 | 2,689,426 | ||||||
Pool #Q57232 4.000% 7/01/48 |
2,336,106 | 2,382,099 | ||||||
Pool #C91239 4.500% 3/01/29 |
6,896 | 7,172 | ||||||
Pool #C91251 4.500% 6/01/29 |
43,213 | 44,942 | ||||||
Pool #G05253 5.000% 2/01/39 |
209,238 | 222,030 | ||||||
Pool #C90939 5.500% 12/01/25 |
25,060 | 26,627 | ||||||
Pool #D97258 5.500% 4/01/27 |
14,063 | 14,943 | ||||||
Pool #C91026 5.500% 4/01/27 |
40,079 | 42,585 | ||||||
Pool #C91074 5.500% 8/01/27 |
4,194 | 4,459 | ||||||
Pool #D97417 5.500% 10/01/27 |
11,247 | 11,961 | ||||||
Pool #C91128 5.500% 12/01/27 |
2,061 | 2,192 | ||||||
Pool #C91148 5.500% 1/01/28 |
91,381 | 97,182 | ||||||
Pool #C91176 5.500% 5/01/28 |
31,856 | 33,878 | ||||||
Pool #C91217 5.500% 11/01/28 |
12,430 | 13,219 | ||||||
Pool #C01079 7.500% 10/01/30 |
1,682 | 1,919 | ||||||
Pool #C01135 7.500% 2/01/31 |
5,400 | 6,145 | ||||||
Federal National Mortgage Association |
36,837 | 36,182 | ||||||
Pool #AB7397 3.000% 12/01/42 |
174,913 | 171,804 | ||||||
Pool #AB7401 3.000% 12/01/42 |
163,173 | 160,273 | ||||||
Pool #AP8668 3.000% 12/01/42 |
200,840 | 197,271 | ||||||
Pool #AR1975 3.000% 12/01/42 |
45,372 | 44,565 | ||||||
Pool #AR0306 3.000% 1/01/43 |
13,672 | 13,429 | ||||||
Pool #AR5391 3.000% 1/01/43 |
109,472 | 107,526 | ||||||
Pool #AL3215 3.000% 2/01/43 |
149,458 | 146,661 | ||||||
Pool #AR4109 3.000% 2/01/43 |
146,690 | 143,946 | ||||||
Pool #AR4432 3.000% 3/01/43 |
59,108 | 58,002 | ||||||
Pool #AT0169 3.000% 3/01/43 |
265,880 | 261,155 | ||||||
Pool #AB8809 3.000% 3/01/43 |
81,511 | 79,985 | ||||||
Pool #MA1368 3.000% 3/01/43 |
274,813 | 269,671 | ||||||
Pool #AR2174 3.000% 4/01/43 |
296,577 | 291,028 | ||||||
Pool #MA2806 3.000% 11/01/46 |
14,687,725 | 14,344,055 | ||||||
Pool #BM3564 3.000% 7/01/47 |
7,257,802 | 7,085,713 | ||||||
Pool #AS1304 3.500% 12/01/28 |
1,497,002 | 1,520,743 |
The accompanying notes are an integral part of the financial statements.
57
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Pool #AV1897 3.500% 12/01/28 |
$ | 270,657 | $ | 274,950 | ||||
Pool #AV2325 3.500% 12/01/28 |
742,882 | 754,663 | ||||||
Pool #BF0196 3.500% 2/01/41 |
1,435,080 | 1,446,796 | ||||||
Pool #MA1356 3.500% 2/01/43 |
10,402,357 | 10,467,778 | ||||||
Pool #BM3994 3.500% 1/01/44 |
1,613,739 | 1,623,888 | ||||||
Pool #CA1073 3.500% 1/01/48 |
13,922,037 | 13,922,582 | ||||||
Pool #BJ0686 4.000% 4/01/48 |
3,380,595 | 3,448,603 | ||||||
Pool #CA1951 4.000% 7/01/48 |
4,367,759 | 4,458,356 | ||||||
Pool #775539 12 mo. USD LIBOR + 1.645% 4.179% FRN 5/01/34 |
45,576 | 47,436 | ||||||
Pool #725692 1 year CMT + 2.138% 4.318% FRN 10/01/33 |
92,469 | 96,973 | ||||||
Pool #888586 1 year CMT + 2.199% 4.379% FRN 10/01/34 |
96,846 | 101,804 | ||||||
Pool #AA3980 4.500% 4/01/28 |
68,634 | 71,355 | ||||||
Pool #CA1952 4.500% 6/01/48 |
3,250,794 | 3,374,731 | ||||||
Pool #CA1909 4.500% 6/01/48 |
10,798,440 | 11,186,508 | ||||||
Pool #BK7877 4.500% 7/01/48 |
2,220,156 | 2,304,799 | ||||||
Pool #AD6437 5.000% 6/01/40 |
511,492 | 544,339 | ||||||
Pool #AD6996 5.000% 7/01/40 |
3,422,200 | 3,631,275 | ||||||
Pool #AL8173 5.000% 2/01/44 |
1,374,038 | 1,455,836 | ||||||
Pool #AD0836 5.500% 11/01/28 |
77,487 | 82,405 | ||||||
Pool #575667 7.000% 3/01/31 |
12,116 | 13,859 | ||||||
Pool #529453 7.500% 1/01/30 |
2,601 | 2,971 | ||||||
Pool #531196 7.500% 2/01/30 |
307 | 347 | ||||||
Pool #530299 7.500% 3/01/30 |
346 | 383 | ||||||
Pool #535996 7.500% 6/01/31 |
5,975 | 6,812 | ||||||
Pool #523499 8.000% 11/01/29 |
261 | 297 | ||||||
Pool #252926 8.000% 12/01/29 |
153 | 176 | ||||||
Pool #532819 8.000% 3/01/30 |
126 | 146 | ||||||
Pool #534703 8.000% 5/01/30 |
2,704 | 3,116 | ||||||
Pool #253437 8.000% 9/01/30 |
134 | 155 | ||||||
Pool #253481 8.000% 10/01/30 |
81 | 93 | ||||||
Pool #190317 8.000% 8/01/31 |
3,178 | 3,667 | ||||||
Pool #596656 8.000% 8/01/31 |
826 | 845 | ||||||
Pool #602008 8.000% 8/01/31 |
4,060 | 4,663 | ||||||
Pool #597220 8.000% 9/01/31 |
3,149 | 3,647 | ||||||
Federal National Mortgage Association TBA |
53,525,000 | 54,557,867 | ||||||
Pool #18718 4.500% 6/01/48 (g) |
34,450,000 | 35,661,131 | ||||||
Government National Mortgage Association |
4,735,348 | 4,793,429 | ||||||
Pool #371146 7.000% 9/15/23 |
99 | 104 | ||||||
Pool #352022 7.000% 11/15/23 |
4,507 | 4,808 | ||||||
Pool #374440 7.000% 11/15/23 |
297 | 317 | ||||||
Pool #491089 7.000% 12/15/28 |
8,472 | 9,229 | ||||||
Pool #480539 7.000% 4/15/29 |
412 | 461 | ||||||
Pool #478658 7.000% 5/15/29 |
2,145 | 2,425 | ||||||
Pool #488634 7.000% 5/15/29 |
2,243 | 2,519 |
Principal Amount |
Value | |||||||
Pool #500928 7.000% 5/15/29 |
$ | 4,212 | $ | 4,748 | ||||
Pool #499410 7.000% 7/15/29 |
1,248 | 1,415 | ||||||
Pool #510083 7.000% 7/15/29 |
922 | 1,035 | ||||||
Pool #493723 7.000% 8/15/29 |
2,537 | 2,877 | ||||||
Pool #516706 7.000% 8/15/29 |
57 | 59 | ||||||
Pool #581417 7.000% 7/15/32 |
12,112 | 13,763 | ||||||
Government National Mortgage Association II |
4,270 | 4,346 | ||||||
Pool #080136 1 year CMT + 1.500% 3.125% FRN 11/20/27 |
837 | 855 | ||||||
Government National Mortgage Association II TBA |
41,350,000 | 40,716,828 | ||||||
Pool #207 3.500% 12/01/47 (g) |
10,875,000 | 10,948,916 | ||||||
Pool #232 4.000% 5/01/48 (g) |
5,300,000 | 5,427,117 | ||||||
|
|
|||||||
270,708,880 | ||||||||
|
|
|||||||
Whole Loans — 0.4% |
| |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
94,579 | 94,601 | ||||||
Series 2016-HQA3, Class M2, 1 mo. USD LIBOR + 1.350% |
790,000 | 793,927 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities |
1,414,070 | 1,420,303 | ||||||
Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350% |
711,842 | 712,713 | ||||||
Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450% |
921,819 | 925,429 | ||||||
|
|
|||||||
3,946,973 | ||||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $278,810,742) |
278,317,734 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
58
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
U.S. TREASURY OBLIGATIONS — 0.5% |
| |||||||
U.S. Treasury Bonds & Notes — 0.5% |
| |||||||
U.S. Treasury Bond |
$ | 500,000 | $ | 450,859 | ||||
3.500% 2/15/39 (f) |
3,900,000 | 4,264,508 | ||||||
|
|
|||||||
4,715,367 | ||||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $4,591,426) |
4,715,367 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $1,047,133,724) |
1,030,352,580 | |||||||
|
|
|||||||
TOTAL PURCHASED OPTIONS (#) — 1.0% (Cost $10,172,309) |
10,628,513 | |||||||
|
|
|||||||
MUTUAL FUNDS — 0.2% |
| |||||||
Diversified Financial Services — 0.2% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (h) |
1,752,085 | 1,752,085 | ||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $1,752,085) |
1,752,085 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,061,433,118) |
1,044,997,978 | |||||||
|
|
|||||||
SHORT-TERM INVESTMENTS — 13.7% |
| |||||||
Commercial Paper — 13.7% |
| |||||||
AT&T, Inc. |
8,000,000 | 7,949,236 | ||||||
CBS Corp. |
4,500,000 | 4,480,939 | ||||||
Duke Energy Corp. |
8,000,000 | 7,945,455 | ||||||
Entergy Corp. |
11,500,000 | 11,438,780 | ||||||
Experian Finance Plc |
10,000,000 | 9,975,863 | ||||||
FMC Tech, Inc. |
5,000,000 | 4,969,140 | ||||||
Glencore Funding LLC |
3,600,000 | 3,599,183 | ||||||
Harley-Davidson, Inc. |
5,000,000 | 4,963,577 | ||||||
Mondelez International, Inc. |
10,000,000 | 9,958,569 | ||||||
National Grid USA |
3,000,000 | 2,988,937 |
Principal Amount |
Value | |||||||
Public Service Enterprise Group, Inc. |
$ | 7,091,000 | $ | 7,078,075 | ||||
Public Storage |
2,162,000 | 2,158,238 | ||||||
Southern Co. Gas Capital |
5,000,000 | 4,981,562 | ||||||
Spectra Energy Partners |
5,800,000 | 5,796,515 | ||||||
3.100% 1/15/19 (a) |
6,000,000 | 5,993,000 | ||||||
Suncor Energy, Inc. |
6,600,000 | 6,555,613 | ||||||
Telus Corp. |
7,000,000 | 6,952,273 | ||||||
3.167% 3/19/19 (a) |
4,000,000 | 3,973,099 | ||||||
Transcanada Pipelines Ltd. |
4,200,000 | 4,174,847 | ||||||
3.218% 3/15/19 (a) |
5,000,000 | 4,968,221 | ||||||
Tyco International Holding Sarl |
5,000,000 | 4,966,078 | ||||||
Walgreens Boots Alliance, Inc. |
7,000,000 | 6,935,054 | ||||||
3.349% 5/31/19 |
4,000,000 | 3,946,814 | ||||||
Westar Energy, Inc. |
4,300,000 | 4,297,078 | ||||||
|
|
|||||||
141,046,146 | ||||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $141,045,972) |
141,046,146 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 114.8% (Cost $1,202,479,090) (i) |
1,186,044,124 | |||||||
|
|
|||||||
Other Assets/(Liabilities) — (14.8)% | (152,557,532 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 1,033,486,592 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
The accompanying notes are an integral part of the financial statements.
59
MML Managed Bond Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2018, these securities amounted to a value of $498,957,155 or 48.28% of net assets. |
(b) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2018. |
(c) | Security is perpetual and has no stated maturity date. |
(d) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was |
$1,717,576 or 0.17% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $1,345,852 or 0.13% of net assets. |
(f) | A portion of this security is pledged/held as collateral for open futures contracts and open swap agreements. (Note 2). |
(g) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(h) | Represents investment of security lending collateral. (Note 2). |
(i) | See Note 6 for aggregate cost for federal tax purposes. |
(#) | Purchased Swaptions contracts at December 31, 2018: |
OTC Counterparty | Units | Notional Amount |
Expiration Date |
Pay/ Receive Exercise Rate |
Description | Premiums Purchased |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
Barclays Bank PLC* | 32,720,000 | USD 32,720,000 | 12/13/32 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Exercise Rate 2.44% |
$ | 1,635,748 | $ | 1,398,969 | $ | (236,779 | ) | ||||||||||||||||||
Credit Suisse International* | 36,280,000 | USD 36,280,000 | 1/31/33 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/02/43, Exercise Rate 2.61% | 1,741,440 | 1,724,189 | (17,251 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
3,377,188 | 3,123,158 | (254,030 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Barclays Bank PLC* | 66,610,000 | USD 66,610,000 | 12/13/32 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Exercise Rate 2.94% | $ | 3,330,035 | $ | 3,774,085 | $ | 444,050 | |||||||||||||||||||
Credit Suisse International* | 72,340,000 | USD 72,340,000 | 1/31/33 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/02/43, Exercise Rate 3.11% | 3,465,086 | 3,731,270 | 266,184 | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
6,795,121 | 7,505,355 | 710,234 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 10,172,309 | $ | 10,628,513 | $ | 456,204 | |||||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
The accompanying notes are an integral part of the financial statements.
60
MML Managed Bond Fund – Portfolio of Investments (Continued)
Futures contracts at December 31, 2018:
Expiration Date |
Number of Contracts |
Notional Amount |
Value/ Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Long | ||||||||||||||||
U.S. Treasury Ultra Bond |
3/20/19 | 509 | $ | 77,651,332 | $ | 4,122,699 | ||||||||||
U.S. Treasury Note 2 Year |
3/29/19 | 368 | 77,618,979 | 512,021 | ||||||||||||
U.S. Treasury Note 5 Year |
3/29/19 | 609 | 68,816,170 | 1,028,518 | ||||||||||||
|
|
|||||||||||||||
$ | 5,663,238 | |||||||||||||||
|
|
|||||||||||||||
Short | ||||||||||||||||
U.S. Treasury Long Bond |
3/20/19 | 278 | $ | (38,836,980 | ) | $ | (1,751,020 | ) | ||||||||
U.S. Treasury Ultra 10 Year |
3/20/19 | 7 | (907,024 | ) | (3,523 | ) | ||||||||||
|
|
|||||||||||||||
$ | (1,754,543 | ) | ||||||||||||||
|
|
Swap agreements at December 31, 2018:
Counterparty | Currency | Notional Amount |
Expiration Date |
Payment Frequency |
Receive (Pay) Fixed Rate |
Deliverable on Default | Unrealized Appreciation (Depreciation) |
Premium (Received) Paid |
Value | |||||||||||||||||||
Credit Default Swaps — Sell Protection†† |
| |||||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||
Goldman Sachs International* | USD | 3,200,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) |
$ | (518,001 | ) | $ | 1,972 | $ | (516,029 | ) | ||||||||||||||
Goldman Sachs International* | USD | 2,540,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) |
(189,635 | ) | (219,964 | ) | (409,599 | ) | ||||||||||||||||
Goldman Sachs International* | USD | 920,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) |
(74,648 | ) | (73,711 | ) | (148,359 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (782,284 | ) | $ | (291,703 | ) | $ | (1,073,987 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Collateral for swap agreements held by Goldman Sachs International amounted to $260,000 in cash at December 31, 2018; and collateral for swap agreements held by Goldman Sachs International amounted to $663,970 in securities at December 31, 2018.
* | Contracts are subject to a Master Netting Agreement. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection. |
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
61
MML Managed Bond Fund – Portfolio of Investments (Continued)
Country weightings, as a percentage of net assets, is as follows:
United States |
85.2 | % | ||
Cayman Islands |
6.2 | % | ||
Mexico |
1.4 | % | ||
Canada |
1.3 | % | ||
Netherlands |
1.3 | % | ||
Bermuda |
1.0 | % | ||
United Kingdom |
0.9 | % | ||
Luxembourg |
0.7 | % | ||
Ireland |
0.6 | % | ||
Switzerland |
0.4 | % | ||
Turkey |
0.3 | % | ||
Sweden |
0.3 | % | ||
Colombia |
0.3 | % | ||
Israel |
0.3 | % | ||
Spain |
0.2 | % | ||
Norway |
0.2 | % | ||
Germany |
0.2 | % | ||
Panama |
0.1 | % | ||
Australia |
0.1 | % | ||
Italy |
0.1 | % | ||
Barbados |
0.0 | % | ||
|
|
|||
Total Long-Term Investments |
101.1 | % | ||
Short-Term Investments and Other Assets and Liabilities |
(1.1 | )% | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
62
Principal Amount |
Value | |||||||
SHORT-TERM INVESTMENTS — 100.0% |
| |||||||
Discount Notes — 69.4% |
| |||||||
Federal Farm Credit Bank |
$ | 5,000,000 | $ | 5,002,825 | ||||
1 mo. USD LIBOR + .175% |
1,500,000 | 1,500,691 | ||||||
2.729% 10/22/19, 10/22/19 (a) |
655,000 | 640,932 | ||||||
2.758% 9/30/19, 9/30/19 (a) |
1,000,000 | 979,902 | ||||||
Federal Home Loan Bank |
6,000,000 | 5,999,998 | ||||||
3 mo. USD LIBOR - .220% |
3,000,000 | 3,000,328 | ||||||
2.325% 1/02/19, 1/02/19 (a) |
3,400,000 | 3,399,784 | ||||||
2.365% FRN 1/17/19, 7/17/19 (a) (b) |
10,000,000 | 10,000,041 | ||||||
2.375% 1/02/19, 1/02/19 (a) |
5,000,000 | 4,999,675 | ||||||
2.379% FRN 1/21/19, 8/21/19 (a) (b) |
4,000,000 | 4,000,000 | ||||||
2.390% FRN 1/20/19, 3/20/19 (a) (b) |
3,450,000 | 3,449,880 | ||||||
2.394% FRN 1/22/19, 4/22/19 (a) (b) |
2,500,000 | 2,500,104 | ||||||
2.400% 1/11/19, 1/11/19 (a) |
3,000,000 | 2,998,029 | ||||||
2.405% FRN 1/17/19, 1/17/20 (a) (b) |
4,500,000 | 4,500,000 | ||||||
2.407% 1/14/19, 1/14/19 (a) |
5,000,000 | 4,995,721 | ||||||
2.407% 1/15/19, 1/15/19 (a) |
5,000,000 | 4,995,392 | ||||||
2.408% 1/18/19, 1/18/19 (a) |
700,000 | 699,216 | ||||||
2.409% 2/08/19, 2/08/19 (a) |
600,000 | 598,499 | ||||||
1 mo. USD LIBOR - .090% |
1,600,000 | 1,600,033 | ||||||
2.416% 1/24/19, 1/24/19 (a) |
1,600,000 | 1,597,569 | ||||||
2.416% 1/10/19, 1/10/19 (a) |
4,000,000 | 3,997,620 | ||||||
1 mo. USD LIBOR - .090% |
5,000,000 | 5,000,053 | ||||||
2.416% 2/08/19, 2/08/19 (a) |
4,162,000 | 4,151,566 | ||||||
2.418% 1/23/19, 1/23/19 (a) |
3,715,000 | 3,709,597 | ||||||
2.421% 2/21/19, 2/21/19 (a) |
6,640,000 | 6,617,612 | ||||||
2.428% 1/25/19, 1/25/19 (a) |
1,200,000 | 1,198,088 | ||||||
2.428% 1/28/19, 1/28/19 (a) |
1,160,000 | 1,157,921 | ||||||
2.431% FRN 1/28/19, 2/28/19 (a) (b) |
5,000,000 | 4,999,968 | ||||||
2.446% 2/13/19, 2/13/19 (a) |
6,850,000 | 6,830,322 | ||||||
2.468% 4/10/19, 4/10/19 (a) |
2,000,000 | 1,986,772 | ||||||
1 mo. USD LIBOR - .035% |
1,400,000 | 1,400,064 | ||||||
2.486% 4/12/19, 4/12/19 (a) |
500,000 | 496,591 | ||||||
3 mo. USD LIBOR - .235% |
2,000,000 | 1,999,751 |
Principal Amount |
Value | |||||||
3 mo. USD LIBOR - .160% |
$ | 7,000,000 | $ | 7,003,749 | ||||
2.561% 5/22/19, 5/22/19 (a) |
2,077,000 | 2,056,703 | ||||||
2.592% 6/13/19, 6/13/19 (a) |
2,300,000 | 2,273,757 | ||||||
2.713% 9/12/19, 9/12/19 (a) |
1,770,000 | 1,737,281 | ||||||
2.767% 9/26/19, 9/26/19 (a) |
200,000 | 196,025 | ||||||
|
|
|||||||
124,272,059 | ||||||||
|
|
|||||||
Repurchase Agreement — 11.2% |
| |||||||
HSBC Securities (USA) Inc., Tri-Party Repurchase Agreement,
dated 12/31/18, |
20,000,000 | 20,000,000 | ||||||
|
|
|||||||
U.S. Treasury Bonds & Notes — 19.4% |
| |||||||
U.S. Treasury Note |
5,000,000 | 4,990,973 | ||||||
1.000% 8/31/19, 8/31/19 (a) |
5,500,000 | 5,441,064 | ||||||
1.000% 11/30/19, 11/30/19 (a) |
3,500,000 | 3,445,574 | ||||||
1.125% 1/31/19, 1/31/19 (a) |
8,000,000 | 7,992,992 | ||||||
1.500% 3/31/19, 3/31/19 (a) |
8,000,000 | 7,982,920 | ||||||
1.625% 8/31/19, 8/31/19 (a) |
5,000,000 | 4,966,877 | ||||||
|
|
|||||||
34,820,400 | ||||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $179,092,459) |
179,092,459 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 100.0% (Cost $179,092,459) (d) |
179,092,459 | |||||||
Other Assets/(Liabilities) — 0.0% | 10,032 | |||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 179,102,491 | ||||||
|
|
Abbreviation Legend
FRN | Floating Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | The stated maturity dates reflect demand date and stated maturity date, respectively. |
(b) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2018. |
(c) | Maturity value of $20,003,222. Collateralized by U.S. Government Agency obligations with rates ranging from 0.000% – 3.125%, maturity dates ranging from 8/31/19 – 5/15/48, and an aggregate market value, including accrued interest, of $20,400,000. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
63
MML Series Investment Fund II – Financial Statements
Statements of Assets and Liabilities
MML Blend Fund |
MML Equity Fund |
MML Managed Bond Fund |
MML U.S. Government Money Market Fund |
|||||||||||||
Assets: | ||||||||||||||||
Investments, at value (Note 2) (a) |
$ | 640,291,048 | $ | 710,293,081 | $ | 1,044,997,978 | $ | - | ||||||||
Repurchase agreements, at value (Note 2) (b) |
3,389,677 | 10,120,183 | - | 20,000,000 | ||||||||||||
Other short-term investments, at value (Note 2) (c) |
41,325,815 | - | 141,046,146 | 159,092,459 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total investments (d) |
685,006,540 | 720,413,264 | 1,186,044,124 | 179,092,459 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Cash |
5,287 | 5,155 | 2,846,400 | 26,455 | ||||||||||||
Receivables from: |
||||||||||||||||
Investments sold |
2,766,309 | 334,668 | 16,384,250 | - | ||||||||||||
Investments sold on a when-issued basis (Note 2) |
22,109,424 | - | 87,174,102 | - | ||||||||||||
Fund shares sold |
335,426 | 2,661,542 | 294,742 | 925,752 | ||||||||||||
Collateral pledged for open swap agreements (Note 2) |
- | - | 260,000 | - | ||||||||||||
Variation margin on open derivative instruments (Note 2) |
79,030 | - | 362,198 | - | ||||||||||||
Interest and dividends |
2,099,415 | 998,099 | 7,140,730 | 211,143 | ||||||||||||
Interest tax reclaim receivable |
4,961 | - | 6,966 | - | ||||||||||||
Foreign taxes withheld |
- | 12,094 | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
712,406,392 | 724,424,822 | 1,300,513,512 | 180,255,809 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities: | ||||||||||||||||
Payables for: |
||||||||||||||||
Investments purchased |
1,592,971 | 1,029,885 | - | - | ||||||||||||
Collateral held for open purchased options (Note 2) |
1,690,000 | - | 10,555,000 | - | ||||||||||||
Collateral held for when-issued securities (Note 2) |
128,874 | - | 727,000 | - | ||||||||||||
Investments purchased on a when-issued basis (Note 2) |
62,224,731 | - | 233,183,277 | - | ||||||||||||
Fund shares repurchased |
229,809 | 258,264 | 18,710,117 | 962,882 | ||||||||||||
Securities on loan (Note 2) |
67,674 | 4,720,300 | 1,752,085 | - | ||||||||||||
Open swap agreements, at value (Note 2) |
175,773 | - | 1,073,987 | - | ||||||||||||
Trustees’ fees and expenses (Note 3) |
218,397 | 274,014 | 263,709 | 56,460 | ||||||||||||
Affiliates (Note 3): |
||||||||||||||||
Investment advisory fees |
233,585 | 258,181 | 355,466 | 72,929 | ||||||||||||
Service fees |
77,029 | 56,903 | 172,686 | - | ||||||||||||
Commitment and Contingent Liabilities (Note 9) |
- | - | - | - | ||||||||||||
Accrued expense and other liabilities |
156,416 | 147,139 | 233,593 | 61,047 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
66,795,259 | 6,744,686 | 267,026,920 | 1,153,318 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net assets |
$ | 645,611,133 | $ | 717,680,136 | $ | 1,033,486,592 | $ | 179,102,491 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital |
$ | 539,365,085 | $ | 625,692,488 | $ | 1,084,781,286 | $ | 179,152,670 | ||||||||
Accumulated Gain (Loss) |
106,246,048 | 91,987,648 | (51,294,694 | ) | (50,179 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net assets |
$ | 645,611,133 | $ | 717,680,136 | $ | 1,033,486,592 | $ | 179,102,491 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(a) Cost of investments: |
$ | 566,393,648 | $ | 669,745,929 | $ | 1,061,433,118 | $ | - | ||||||||
(b) Cost of repurchase agreements: |
$ | 3,389,677 | $ | 10,120,183 | $ | - | $ | 20,000,000 | ||||||||
(c) Cost of other short-term investments: |
$ | 41,329,041 | $ | - | $ | 141,045,972 | $ | 159,092,459 | ||||||||
(d) Securities on loan with market value of: |
$ | 66,188 | $ | 3,719,522 | $ | 1,717,576 | $ | - |
The accompanying notes are an integral part of the financial statements.
64
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Assets and Liabilities
MML Blend Fund |
MML Equity Fund |
MML Managed Bond Fund |
MML U.S. Government Money Market Fund |
|||||||||||||
Initial Class shares: | ||||||||||||||||
Net assets |
$ | 527,007,339 | $ | 634,703,458 | $ | 778,603,115 | $ | 179,102,491 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares outstanding (a) |
25,900,189 | 26,268,320 | 65,240,508 | 179,105,668 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value, offering price and redemption price per share |
$ | 20.35 | $ | 24.16 | $ | 11.93 | $ | 1.00 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Service Class shares: | ||||||||||||||||
Net assets |
$ | 118,603,794 | $ | 82,976,678 | $ | 254,883,477 | $ | - | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares outstanding (a) |
5,844,160 | 3,483,007 | 21,400,361 | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value, offering price and redemption price per share |
$ | 20.29 | $ | 23.82 | $ | 11.91 | $ | - | ||||||||
|
|
|
|
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
65
MML Series Investment Fund II – Financial Statements (Continued)
For the Year Ended December 31, 2018
MML Blend Fund |
MML Equity Fund |
MML Managed Bond Fund |
MML U.S. Government Money Market Fund |
|||||||||||||
Investment income (Note 2): |
| |||||||||||||||
Dividends (a) |
$ | 10,164,072 | $ | 20,251,499 | $ | 121,125 | $ | - | ||||||||
Interest |
7,772,777 | 107,940 | 43,771,655 | 3,233,205 | ||||||||||||
Securities lending net income |
25 | 30,288 | 1,891 | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total investment income |
17,936,874 | 20,389,727 | 43,894,671 | 3,233,205 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses (Note 3): |
| |||||||||||||||
Investment advisory fees |
2,887,407 | 3,377,250 | 4,534,099 | 821,910 | ||||||||||||
Custody fees |
72,698 | 72,339 | 112,709 | 18,322 | ||||||||||||
Audit fees |
37,419 | 36,653 | 38,425 | 31,881 | ||||||||||||
Legal fees |
20,919 | 13,108 | 35,979 | 19,532 | ||||||||||||
Proxy fees |
1,293 | 1,293 | 1,293 | 1,293 | ||||||||||||
Shareholder reporting fees |
69,662 | 104,585 | 113,509 | 16,552 | ||||||||||||
Trustees’ fees |
40,358 | 48,800 | 68,286 | 9,863 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
3,129,756 | 3,654,028 | 4,904,300 | 919,353 | |||||||||||||
Service fees: |
||||||||||||||||
Service Class |
268,566 | 233,559 | 689,951 | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
3,398,322 | 3,887,587 | 5,594,251 | 919,353 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
14,538,552 | 16,502,140 | 38,300,420 | 2,313,852 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||
Net realized gain (loss) on: |
||||||||||||||||
Investment transactions |
35,568,060 | 38,001,527 | (13,456,104 | ) | 360 | |||||||||||
Futures contracts |
(820,832 | ) | - | (7,460,772 | ) | - | ||||||||||
Swap agreements |
75,062 | - | 458,075 | - | ||||||||||||
Foreign currency transactions |
- | (14,857 | ) | - | - | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) |
34,822,290 | 37,986,670 | (20,458,801 | ) | 360 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||||||
Investment transactions |
(79,381,342 | ) | (133,765,394 | ) | (30,316,894 | ) | - | |||||||||
Futures contracts |
852,187 | - | 4,498,984 | - | ||||||||||||
Swap agreements |
(16,285 | ) | - | (99,503 | ) | - | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change in unrealized appreciation (depreciation) |
(78,545,440 | ) | (133,765,394 | ) | (25,917,413 | ) | - | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) |
(43,723,150 | ) | (95,778,724 | ) | (46,376,214 | ) | 360 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from operations |
$ | (29,184,598 | ) | $ | (79,276,584 | ) | $ | (8,075,794 | ) | $ | 2,314,212 | |||||
|
|
|
|
|
|
|
|
|||||||||
(a) Net of foreign withholding tax of: |
$ | - | $ | 129,304 | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
66
THIS PAGE INTENTIONALLY LEFT BLANK
67
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Changes in Net Assets
MML Blend Fund |
||||||||
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
|||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) |
$ | 14,538,552 | $ | 12,535,897 | ||||
Net realized gain (loss) |
34,822,290 | 48,668,642 | ||||||
Net change in unrealized appreciation (depreciation) |
(78,545,440 | ) | 33,381,194 | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
(29,184,598 | ) | 94,585,733 | |||||
|
|
|
|
|||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class |
(52,441,279 | ) | (36,251,636 | )* | ||||
Service Class |
(8,800,849 | ) | (4,094,882 | )* | ||||
|
|
|
|
|||||
Total distributions |
(61,242,128 | ) | (40,346,518 | ) | ||||
|
|
|
|
|||||
Net fund share transactions (Note 5): | ||||||||
Initial Class |
(5,036,502 | ) | (22,711,107 | ) | ||||
Service Class |
45,586,652 | 21,969,778 | ||||||
|
|
|
|
|||||
Increase (decrease) in net assets from fund share transactions |
40,550,150 | (741,329 | ) | |||||
|
|
|
|
|||||
Total increase (decrease) in net assets |
(49,876,576 | ) | 53,497,886 | |||||
Net assets* | ||||||||
Beginning of year |
695,487,709 | 641,989,823 | ||||||
|
|
|
|
|||||
End of year |
$ | 645,611,133 | $ | 695,487,709 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
68
MML Equity Fund | MML Managed Bond Fund | MML U.S. Government Money Market Fund |
||||||||||||||||||||
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
|||||||||||||||||
$ | 16,502,140 | $ | 14,219,053 | $ | 38,300,420 | $ | 33,465,384 | $ | 2,313,852 | $ | 543,828 | |||||||||||
37,986,670 | 117,572,295 | (20,458,801 | ) | 8,858,067 | 360 | 223 | ||||||||||||||||
(133,765,394 | ) | (9,508,654 | ) | (25,917,413 | ) | 13,359,717 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
(79,276,584 | ) | 122,282,694 | (8,075,794 | ) | 55,683,168 | 2,314,212 | 544,051 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
(116,978,081 | ) | (18,607,494 | )* | (30,373,956 | ) | (30,212,037 | )* | (2,314,775 | ) | (548,038 | )* | |||||||||||
(14,830,448 | ) | (2,062,871 | )* | (8,910,347 | ) | (8,142,837 | )* | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
(131,808,529 | ) | (20,670,365 | ) | (39,284,303 | ) | (38,354,874 | ) | (2,314,775 | ) | (548,038 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
47,524,177 | (44,354,184 | ) | (138,678,104 | ) | (1,563,502 | ) | 29,832,220 | (16,861,181 | ) | |||||||||||||
12,148,379 | 2,249,122 | (13,148,914 | ) | 14,553,437 | - | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
59,672,556 | (42,105,062 | ) | (151,827,018 | ) | 12,989,935 | 29,832,220 | (16,861,181 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
(151,412,557 | ) | 59,507,267 | (199,187,115 | ) | 30,318,229 | 29,831,657 | (16,865,168 | ) | ||||||||||||||
869,092,693 | 809,585,426 | 1,232,673,707 | 1,202,355,478 | 149,270,834 | 166,136,002 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 717,680,136 | $ | 869,092,693 | $ | 1,033,486,592 | $ | 1,232,673,707 | $ | 179,102,491 | $ | 149,270,834 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
69
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Blend Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 23.33 | $ | 0.47 | $ | (1.39 | ) | $ | (0.92 | ) | $ | (0.48 | ) | $ | (1.58 | ) | $ | (2.06 | ) | $ | 20.35 | (4.34% | ) | $ | 527,007 | 0.45% | 2.12% | |||||||||||||||||||||
12/31/17 | 21.54 | 0.42 | 2.74 | 3.16 | (0.47 | ) | (0.90 | ) | (1.37 | ) | 23.33 | 15.25% | 607,368 | 0.45% | 1.91% | |||||||||||||||||||||||||||||||||
12/31/16 | 22.22 | 0.43 | 1.48 | 1.91 | (0.46 | ) | (2.13 | ) | (2.59 | ) | 21.54 | 9.42% | 581,972 | 0.46% | 2.03% | |||||||||||||||||||||||||||||||||
12/31/15 | 24.51 | 0.48 | (0.45 | ) | 0.03 | (0.50 | ) | (1.82 | ) | (2.32 | ) | 22.22 | 0.08% | 586,082 | 0.45% | 2.07% | ||||||||||||||||||||||||||||||||
12/31/14 | 22.78 | 0.45 | 2.01 | 2.46 | (0.49 | ) | (0.24 | ) | (0.73 | ) | 24.51 | 10.99% | 644,881 | 0.45% | 1.92% | |||||||||||||||||||||||||||||||||
Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 23.27 | $ | 0.42 | $ | (1.40 | ) | $ | (0.98 | ) | $ | (0.42 | ) | $ | (1.58 | ) | $ | (2.00 | ) | $ | 20.29 | (4.58% | ) | $ | 118,604 | 0.70% | 1.89% | |||||||||||||||||||||
12/31/17 | 21.50 | 0.37 | 2.72 | 3.09 | (0.42 | ) | (0.90 | ) | (1.32 | ) | 23.27 | 14.97% | 88,119 | 0.70% | 1.66% | |||||||||||||||||||||||||||||||||
12/31/16 | 22.18 | 0.37 | 1.48 | 1.85 | (0.40 | ) | (2.13 | ) | (2.53 | ) | 21.50 | 9.15% | 60,018 | 0.71% | 1.78% | |||||||||||||||||||||||||||||||||
12/31/15 | 24.48 | 0.42 | (0.46 | ) | (0.04 | ) | (0.44 | ) | (1.82 | ) | (2.26 | ) | 22.18 | (0.17% | ) | 47,555 | 0.70% | 1.83% | ||||||||||||||||||||||||||||||
12/31/14 | 22.75 | 0.39 | 2.01 | 2.40 | (0.43 | ) | (0.24 | ) | (0.67 | ) | 24.48 | 10.71% | 40,333 | 0.70% | 1.68% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate |
86 | % | 134 | % | 175 | % | 209 | % | 183 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
70
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Equity Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 31.69 | $ | 0.60 | $ | (3.06 | ) | $ | (2.46 | ) | $ | (0.57 | ) | $ | (4.50 | ) | $ | (5.07 | ) | $ | 24.16 | (9.99% | ) | $ | 634,703 | 0.44% | 2.00% | |||||||||||||||||||||
12/31/17 |
28.08 | 0.52 | 3.85 | 4.37 | (0.55 | ) | (0.21 | ) | (0.76 | ) | 31.69 | 15.79% | 774,278 | 0.43% | 1.73% | |||||||||||||||||||||||||||||||||
12/31/16 | 27.08 | 0.58 | 2.69 | 3.27 | (0.49 | ) | (1.78 | ) | (2.27 | ) | 28.08 | 12.59% | 727,540 | 0.44% | 2.15% | |||||||||||||||||||||||||||||||||
12/31/15 | 30.28 | 0.50 | (1.67 | ) | (1.17 | ) | (0.64 | ) | (1.39 | ) | (2.03 | ) | 27.08 | (3.43% | ) | 709,315 | 0.43% | 1.69% | ||||||||||||||||||||||||||||||
12/31/14 | 27.55 | 0.61 | 2.57 | 3.18 | (0.45 | ) | - | (0.45 | ) | 30.28 | 11.57% | 799,222 | 0.43% | 2.12% | ||||||||||||||||||||||||||||||||||
Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 31.31 | $ | 0.52 | $ | (3.01 | ) | $ | (2.49 | ) | $ | (0.50 | ) | $ | (4.50 | ) | $ | (5.00 | ) | $ | 23.82 | (10.22% | ) | $ | 82,977 | 0.69% | 1.75% | |||||||||||||||||||||
12/31/17 |
27.77 | 0.44 | 3.80 | 4.24 | (0.49 | ) | (0.21 | ) | (0.70 | ) | 31.31 | 15.50% | 94,815 | 0.68% | 1.49% | |||||||||||||||||||||||||||||||||
12/31/16 | 26.81 | 0.50 | 2.67 | 3.17 | (0.43 | ) | (1.78 | ) | (2.21 | ) | 27.77 | 12.31% | 82,045 | 0.69% | 1.90% | |||||||||||||||||||||||||||||||||
12/31/15 | 30.01 | 0.42 | (1.65 | ) | (1.23 | ) | (0.58 | ) | (1.39 | ) | (1.97 | ) | 26.81 | (3.67% | ) | 69,098 | 0.68% | 1.45% | ||||||||||||||||||||||||||||||
12/31/14 | 27.34 | 0.52 | 2.56 | 3.08 | (0.41 | ) | - | (0.41 | ) | 30.01 | 11.29% | 56,685 | 0.68% | 1.82% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate |
41 | % | 70 | % | 47 | % | 39 | % | 38 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
71
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Managed Bond Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.41 | $ | 0.40 | $ | (0.46 | ) | $ | (0.06 | ) | $ | (0.42 | ) | $ | - | $ | (0.42 | ) | $ | 11.93 | (0.44% | ) | $ | 778,603 | 0.42% | 3.34% | ||||||||||||||||||||||
12/31/17 | 12.24 | 0.35 | 0.22 | 0.57 | (0.40 | ) | - | (0.40 | ) | 12.41 | 4.69% | 953,592 | 0.40% | 2.78% | ||||||||||||||||||||||||||||||||||
12/31/16 | 12.31 | 0.33 | 0.02 | 0.35 | (0.36 | ) | (0.06 | ) | (0.42 | ) | 12.24 | 2.75% | 941,621 | 0.39% | 2.61% | |||||||||||||||||||||||||||||||||
12/31/15 | 12.82 | 0.33 | (0.43 | ) | (0.10 | ) | (0.36 | ) | (0.05 | ) | (0.41 | ) | 12.31 | (0.75% | ) | 976,932 | 0.39% | 2.59% | ||||||||||||||||||||||||||||||
12/31/14 | 12.44 | 0.32 | 0.47 | 0.79 | (0.41 | ) | - | (0.41 | ) | 12.82 | 6.46% | 1,218,504 | 0.39% | 2.47% | ||||||||||||||||||||||||||||||||||
Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.39 | $ | 0.37 | $ | (0.46 | ) | $ | (0.09 | ) | $ | (0.39 | ) | $ | - | $ | (0.39 | ) | $ | 11.91 | (0.69% | ) | $ | 254,883 | 0.67% | 3.10% | ||||||||||||||||||||||
12/31/17 | 12.22 | 0.31 | 0.23 | 0.54 | (0.37 | ) | - | (0.37 | ) | 12.39 | 4.43% | 279,082 | 0.65% | 2.53% | ||||||||||||||||||||||||||||||||||
12/31/16 | 12.29 | 0.29 | 0.03 | 0.32 | (0.33 | ) | (0.06 | ) | (0.39 | ) | 12.22 | 2.49% | 260,735 | 0.64% | 2.36% | |||||||||||||||||||||||||||||||||
12/31/15 | 12.80 | 0.30 | (0.43 | ) | (0.13 | ) | (0.33 | ) | (0.05 | ) | (0.38 | ) | 12.29 | (1.00% | ) | 245,418 | 0.64% | 2.36% | ||||||||||||||||||||||||||||||
12/31/14 | 12.42 | 0.28 | 0.48 | 0.76 | (0.38 | ) | - | (0.38 | ) | 12.80 | 6.19% | 217,495 | 0.64% | 2.22% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate |
138 | % | 237 | % | 314 | % | 358 | % | 368 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
72
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML U. S. Government Money Market Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||||||||
Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 1.00 | $ | 0.01 | $ | 0.00 | d | $ | 0.01 | $ | (0.01 | ) | $ | - | $ | (0.01 | ) | $ | 1.00 | 1.32% | $ | 179,102 | 0.54% | N/A | 1.35 | % | ||||||||||||||||||||||||||
12/31/17 | 1.00 | 0.00 | d | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | (0.00 | )d | 1.00 | 0.36% | 149,271 | 0.54% | N/A | 0.35 | % | ||||||||||||||||||||||||||||||||
12/31/16 | 1.00 | 0.00 | d | 0.00 | d | 0.00 | d | (0.00 | )d | - | (0.00 | )d | 1.00 | 0.11% | 166,136 | 0.54% | 0.40% | 0.00 | %e | |||||||||||||||||||||||||||||||||
12/31/15 | 1.00 | - | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | (0.00 | )d | 1.00 | 0.00% | e | 167,900 | 0.52% | 0.15% | - | |||||||||||||||||||||||||||||||||
12/31/14 | 1.00 | - | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | (0.00 | )d | 1.00 | 0.00% | e | 252,701 | 0.51% | 0.11% | - |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
e | Amount is less than 0.005%. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
73
1. | The Funds |
MML Series Investment Fund II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated February 8, 2005, which was amended and restated as of February 28, 2005 and December 15, 2011, as it may be further amended from time to time. The following are four series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Blend Fund (“Blend Fund”)
MML Equity Fund (“Equity Fund”)
MML Managed Bond Fund (“Managed Bond Fund”)
MML U.S. Government Money Market Fund (“U.S. Government Money Market Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, C.M. Life Insurance Company, and the MML Allocation Funds, which are “funds of funds” series of MML Series Investment Fund, another open-end management investment company sponsored by MassMutual, are the record owners of all of the outstanding shares of the Funds.
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.
New Disclosure Requirements
Pursuant to amendments to certain disclosure requirements in Regulation S-X adopted by the Securities and Exchange Commission, the presentation of certain disclosures within the Statements of Assets and Liabilities and the Statements of Changes in Net Assets have been conformed to meet these new requirements. There is no longer a requirement to present the components of distributable earnings on the Statements of Assets and Liabilities. Adjustments to the Statements of Changes in Net Assets include updates to prior year distributions to shareholders, distributions in excess of net investment income, and undistributed net investment income.
74
Notes to Financial Statements (Continued)
The following is a summary of the previously disclosed amounts, as reported at December 31 2017:
Blend Fund | Equity Fund | Managed Bond Fund |
U.S. Government Money Market Fund |
|||||||||||||
Distributions to shareholders |
||||||||||||||||
From net investment income: |
||||||||||||||||
Initial Class |
$ | (12,531,025 | ) | $ | (13,519,486 | ) | $ | (30,212,037 | ) | $ | (546,360 | ) | ||||
Service Class |
(1,429,608 | ) | (1,449,726 | ) | (8,142,837 | ) | - | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total distributions from net investment income |
(13,960,633 | ) | (14,969,212 | ) | (38,354,874 | ) | (546,360 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
From net realized gains: |
||||||||||||||||
Initial Class |
(23,720,611 | ) | (5,088,008 | ) | - | (1,678 | ) | |||||||||
Service Class |
(2,665,274 | ) | (613,145 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total distributions from net realized gains |
(26,385,885 | ) | (5,701,153 | ) | - | (1,678 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Accumulated undistributed (distributions in excess of) net investment income at end of year |
$ | (97,146 | ) | $ | 14,674,449 | $ | 1,192,188 | $ | (49,379 | ) | ||||||
|
|
|
|
|
|
|
|
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (with the exception of debt securities held by the U.S. Government Money Market Fund) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day. The U.S. Government Money Market Fund’s debt securities are typically valued at amortized cost, but may be valued using a vendor quote if the Fund’s investment adviser determines it more closely approximates current market value, in accordance with Rule 2a-7 under the 1940 Act pursuant to which the U.S. Government Money Market Fund must adhere to certain conditions. It is the intention of the U.S. Government Money Market Fund to maintain a stable net asset value per share of $1.00, although this cannot be assured.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields,
75
Notes to Financial Statements (Continued)
bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee1 in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Funds’ subadvisers utilize one or a combination of, but not limited to, the following inputs:
Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.
Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.
Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.
1 | The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general. |
76
Notes to Financial Statements (Continued)
Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. Government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and
77
Notes to Financial Statements (Continued)
other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The U.S. Government Money Market Fund characterized all investments at Level 2, as of December 31, 2018. The Equity Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of December 31, 2018. For each Fund noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The following is the aggregate value by input level, as of December 31, 2018, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Blend Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock |
$ | 388,531,701 | $ | - | $ | - | $ | 388,531,701 | ||||||||
Preferred Stock |
476,800 | - | - | 476,800 | ||||||||||||
Corporate Debt |
- | 92,223,579 | - | 92,223,579 | ||||||||||||
Municipal Obligations |
- | 2,033,213 | - | 2,033,213 | ||||||||||||
Non-U.S. Government Agency Obligations |
- | 76,544,877 | - | 76,544,877 | ||||||||||||
Sovereign Debt Obligations |
- | 1,719,042 | - | 1,719,042 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
- | 66,538,101 | - | 66,538,101 | ||||||||||||
U.S. Treasury Obligations |
- | 10,417,568 | - | 10,417,568 | ||||||||||||
Purchased Options |
- | 1,738,493 | - | 1,738,493 | ||||||||||||
Mutual Funds |
67,674 | - | - | 67,674 | ||||||||||||
Short-Term Investments |
- | 44,715,492 | - | 44,715,492 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 389,076,175 | $ | 295,930,365 | $ | - | $ | 685,006,540 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts |
$ | 985,250 | $ | - | $ | - | $ | 985,250 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts |
$ | (207,915 | ) | $ | - | $ | - | $ | (207,915 | ) | ||||||
Swap Agreements |
- | (175,773 | ) | - | (175,773 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (207,915 | ) | $ | (175,773 | ) | $ | - | $ | (383,688 | ) | |||||
|
|
|
|
|
|
|
|
78
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Managed Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock |
$ | 2,264,800 | $ | - | $ | - | $ | 2,264,800 | ||||||||
Corporate Debt |
- | 395,862,235 | - | 395,862,235 | ||||||||||||
Municipal Obligations |
- | 7,456,128 | - | 7,456,128 | ||||||||||||
Non-U.S. Government Agency Obligations |
- | 336,137,589 | - | 336,137,589 | ||||||||||||
Sovereign Debt Obligations |
- | 7,863,527 | - | 7,863,527 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
- | 278,317,734 | - | 278,317,734 | ||||||||||||
U.S. Treasury Obligations |
- | 4,715,367 | - | 4,715,367 | ||||||||||||
Purchased Options |
- | 10,628,513 | - | 10,628,513 | ||||||||||||
Mutual Funds |
1,752,085 | - | - | 1,752,085 | ||||||||||||
Short-Term Investments |
- | 141,046,146 | - | 141,046,146 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 4,016,885 | $ | 1,182,027,239 | $ | - | $ | 1,186,044,124 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts |
$ | 5,663,238 | $ | - | $ | - | $ | 5,663,238 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts |
$ | (1,754,543 | ) | $ | - | $ | - | $ | (1,754,543 | ) | ||||||
Swap Agreements |
- | (1,073,987 | ) | - | (1,073,987 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (1,754,543 | ) | $ | (1,073,987 | ) | $ | - | $ | (2,828,530 | ) | |||||
|
|
|
|
|
|
|
|
The following table shows Fund(s) with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of December 31, 2018.
Statements of Assets and Liabilities location: |
Blend |
Equity |
Managed | |||
Receivables from: |
||||||
Investments sold on a when-issued basis |
X | X | ||||
Collateral pledged for open swap agreements |
X | |||||
Payables for: |
||||||
Investments purchased on a when-issued basis |
X | X | ||||
Securities on loan |
X | X | X | |||
Collateral held for when-issued securities |
X | X | ||||
Collateral held for open purchased options |
X | X |
The Funds, with the exception of the Blend Fund and Managed Bond Fund, had no transfers between Levels of the fair value hierarchy during the year ended December 31, 2018. The Blend Fund and the Managed Bond Fund had transfers between Level 2 and Level 3 of the fair value hierarchy during the year ended December 31, 2018; however, none of the transfers collectively had a material impact on the Fund. The Funds recognize transfers between the Levels as of the beginning of the year.
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Losses from derivatives can be substantially greater than their original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the year ended December 31,
79
Notes to Financial Statements (Continued)
2018, the following table shows how the Fund used these types of derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).
Type of Derivative and Objective for Use |
Blend |
Managed | ||
Futures Contracts* | ||||
Hedging/Risk Management |
A | A | ||
Duration/Credit Quality Management |
A | A | ||
Substitution for Direct Investment |
A | A | ||
Intention to Create Investment Leverage in Portfolio |
M | M | ||
Interest Rate Swaps** |
||||
Hedging/Risk Management |
A | A | ||
Duration Management |
A | A | ||
Asset/Liability Management |
M | A | ||
Substitution for Direct Investment |
M | A | ||
Intention to Create Investment Leverage in Portfolio |
M | M | ||
Credit Default Swaps (Protection Seller) |
||||
Hedging/Risk Management |
A | A | ||
Duration/Credit Quality Management |
A | A | ||
Income |
A | A | ||
Substitution for Direct Investment |
A | A | ||
Intention to Create Investment Leverage in Portfolio |
M | M | ||
Options (Purchased) |
||||
Hedging/Risk Management |
A | A | ||
Duration/Credit Quality Management |
A | A | ||
Substitution for Direct Investment |
A | A | ||
Directional Investment |
A | A | ||
Intention to Create Investment Leverage in Portfolio |
M | M |
* | Includes any options purchased or written on futures contracts, if applicable. |
** | Includes any caps, floors, and collars, and related purchased or written options, if applicable. |
At December 31, 2018, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Credit Risk |
Equity |
Interest |
Total | |||||||||||||
Blend Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* |
$ | - | $ | - | $ | 1,738,493 | $ | 1,738,493 | ||||||||
Futures Contracts^^ |
- | - | 985,250 | 985,250 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Value |
$ | - | $ | - | $ | 2,723,743 | $ | 2,723,743 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ |
$ | - | $ | - | $ | (207,915 | ) | $ | (207,915 | ) | ||||||
Swap Agreements^ |
(175,773 | ) | - | - | (175,773 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Value |
$ | (175,773 | ) | $ | - | $ | (207,915 | ) | $ | (383,688 | ) | |||||
|
|
|
|
|
|
|
|
80
Notes to Financial Statements (Continued)
Credit Risk |
Equity |
Interest |
Total | |||||||||||||
Blend Fund (Continued) | ||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||
Futures Contracts |
$ | - | $ | 331,999 | $ | (1,152,831 | ) | $ | (820,832 | ) | ||||||
Swap Agreements |
33,154 | - | 41,908 | 75,062 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Realized Gain (Loss) |
$ | 33,154 | $ | 331,999 | $ | (1,110,923 | ) | $ | (745,770 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options |
$ | - | $ | - | $ | 111,468 | $ | 111,468 | ||||||||
Futures Contracts |
- | - | 852,187 | 852,187 | ||||||||||||
Swap Agreements |
(16,285 | ) | - | - | (16,285 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Change in Appreciation (Depreciation) |
$ | (16,285 | ) | $ | - | $ | 963,655 | $ | 947,370 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Managed Bond Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* |
$ | - | $ | - | $ | 10,628,513 | $ | 10,628,513 | ||||||||
Futures Contracts^^ |
- | - | 5,663,238 | 5,663,238 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Value |
$ | - | $ | - | $ | 16,291,751 | $ | 16,291,751 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ |
$ | - | $ | - | $ | (1,754,543 | ) | $ | (1,754,543 | ) | ||||||
Swap Agreements^ |
(1,073,987 | ) | - | - | (1,073,987 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Value |
$ | (1,073,987 | ) | $ | - | $ | (1,754,543 | ) | $ | (2,828,530 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Realized Gain (Loss)# | ||||||||||||||||
Futures Contracts |
$ | - | $ | - | $ | (7,460,772 | ) | $ | (7,460,772 | ) | ||||||
Swap Agreements |
202,575 | - | 255,500 | 458,075 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Realized Gain (Loss) |
$ | 202,575 | $ | - | $ | (7,205,272 | ) | $ | (7,002,697 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options |
$ | - | $ | - | $ | 683,416 | $ | 683,416 | ||||||||
Futures Contracts |
- | - | 4,498,984 | 4,498,984 | ||||||||||||
Swap Agreements |
(99,503 | ) | - | - | (99,503 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Change in Appreciation (Depreciation) |
$ | (99,503 | ) | $ | - | $ | 5,182,400 | $ | 5,082,897 | |||||||
|
|
|
|
|
|
|
|
* | Statements of Assets and Liabilities location: Investments, at value. |
^ | Statements of Assets and Liabilities location: Payables for: open swap agreements, at value. |
^^ | Cumulative appreciation (depreciation) on futures contracts is reported in “Futures Contracts” in each applicable Fund’s Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: futures contracts or swap agreements, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts or swap agreements, as applicable. |
For the year ended December 31, 2018, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:
Number of Contracts, Notional Amounts, or Shares/Units† |
||||||||||||
Futures Contracts | Swap Agreements | Purchased Swaptions | ||||||||||
Blend Fund |
315 | $ | 1,215,000 | $ | 34,020,000 | |||||||
Managed Bond Fund |
2,009 | 7,418,333 | 207,950,000 |
81
Notes to Financial Statements (Continued)
† | Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for swap agreements and purchased swaptions, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended December 31, 2018. |
The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund(s) as of December 31, 2018.
Asset Valuation Inputs
Counterparty |
Derivative Assets Subject to an MNA by Counterparty† |
Financial Instruments Available for Offset |
Collateral Received*** |
Net Amount* | ||||||||||||
Blend Fund | ||||||||||||||||
Barclays Bank PLC |
$ | 837,960 | $ | - | $ | (790,000 | ) | $ | 47,960 | |||||||
Credit Suisse International |
900,533 | - | (900,000 | ) | 533 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 1,738,493 | $ | - | $ | (1,690,000 | ) | $ | 48,493 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Managed Bond Fund | ||||||||||||||||
Barclays Bank PLC |
$ | 5,173,054 | $ | - | $ | (5,155,000 | ) | $ | 18,054 | |||||||
Credit Suisse International |
5,455,459 | - | (5,400,000 | ) | 55,459 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 10,628,513 | $ | - | $ | (10,555,000 | ) | $ | 73,513 | ||||||||
|
|
|
|
|
|
|
|
The following table presents derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund(s) as of December 31, 2018.
Liability Valuation Inputs
Counterparty |
Derivative Liabilities Subject to an MNA by Counterparty† |
Financial Instruments Available for Offset |
Collateral Pledged*** |
Net Amount** | ||||||||||||
Blend Fund | ||||||||||||||||
Goldman Sachs International |
$ | (175,773 | ) | $ | - | $ | - | $ | (175,773 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Managed Bond Fund | ||||||||||||||||
Goldman Sachs International |
$ | (1,073,987 | ) | $ | - | $ | 923,970 | $ | (150,017 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents the net amount receivable from the counterparty in the event of default. |
** | Represents the net amount payable to the counterparty in the event of default. |
*** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
† | The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements. |
Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.
Further details regarding the derivatives and other investments held by the Fund(s) during the year ended December 31, 2018, are discussed below.
Futures Contracts
A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its
82
Notes to Financial Statements (Continued)
portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.
Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Swap Agreements
Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the
83
Notes to Financial Statements (Continued)
value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
84
Notes to Financial Statements (Continued)
A Fund’s current exposure to a counterparty is the fair value of the transaction.
Options, Rights, and Warrants
A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.
Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.
Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.
Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
85
Notes to Financial Statements (Continued)
OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.
Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.
Inflation-Linked Securities
Inflation-linked securities are typically fixed income securities whose principal values are periodically adjusted according to a measure of inflation. If the index measuring inflation falls, the principal value of an inflation-linked security will be adjusted downward, and consequently the interest payable on the security (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original principal of the security upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-linked securities. For securities that do not provide a similar guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal.
Alternatively, the interest rates payable on certain inflation-linked securities may be adjusted according to a measure of inflation. As a result, the principal values of such securities do not adjust according to the rate of inflation, although the interest payable on such securities may decline during times of falling inflation.
The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities may cause a potential cash flow mismatch to investors, because an increase in the principal amount of an inflation-linked security will be treated as interest income currently subject to tax at ordinary income rates even though investors will not receive repayment of principal until maturity. If a Fund invests in such securities, it will be required to distribute such interest income in order to qualify for treatment as a regulated investment company and eliminate the Fund-level tax, without a corresponding receipt of cash, and therefore may be required to dispose of portfolio securities at a time when it may not be advantageous to do so in order to make such distributions.
Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund,
86
Notes to Financial Statements (Continued)
through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.
When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Dollar Roll Transactions
A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.
Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.
A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.
Securities Lending
The Blend Fund, Equity Fund, and Managed Bond Fund may lend their securities; however, lending cannot exceed 10% of the total assets of the Managed Bond Fund taken at current value, and 33% of the total assets of the Blend Fund and Equity Fund,
87
Notes to Financial Statements (Continued)
respectively, taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“Agent”). The Lending Agreement authorizes the Agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each, a “Borrower”).
Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash (U.S. currency) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At December 31, 2018, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.
Subject to the terms of the Lending Agreement and the agreement between the Agent and the applicable Borrower (“Borrowing Agreement”), security loans can be terminated by the Agent, the Fund, or the Borrower and the related securities must be returned within the earlier of the customary settlement period for such securities or the period of time specified in the Borrowing Agreement. For all Funds, all securities on loan are classified as common stock in the Fund’s Portfolio of Investments at December 31, 2018.
The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. For the year ended December 31, 2018, the Fund(s) earned securities lending net income as follows:
Securities Lending Gross Income |
Securities Lending Fees and Expenses |
Securities Lending Net Income |
||||||||||
Blend Fund |
$ | 29 | $ | 4 | $ | 25 | ||||||
Equity Fund |
35,608 | 5,320 | 30,288 | |||||||||
Managed Bond Fund |
2,221 | 330 | 1,891 |
Accounting for Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and realized capital gain distributions are recorded on the ex-dividend date. Non-cash dividends received in the form of stock are recorded as dividend income at market value. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling
88
Notes to Financial Statements (Continued)
rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among classes to which the expense relates based on relative net assets.
Foreign Securities
The Funds may invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income are declared and paid quarterly for the Blend Fund and Managed Bond Fund and annually for the Equity Fund and at other times as may be required to satisfy tax or regulatory requirements. Dividends from net investment income are declared daily and paid monthly for the U.S. Government Money Market Fund. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
3. | Advisory Fees and Other Transactions |
Investment Advisory Fees and Investment Subadvisers
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers
89
Notes to Financial Statements (Continued)
receives advisory fees, based upon each Fund’s average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
0.50% on the first $100 million; |
0.45% on the next $200 million; |
0.40% on the next $200 million; and |
0.35% on any excess over $500 million |
MML Advisers has entered into investment subadvisory agreements with Barings LLC (“Barings”), a wholly-owned subsidiary of MM Asset Management Holding LLC, itself a wholly-owned subsidiary of MassMutual Holding LLC, a controlled subsidiary of MassMutual, on behalf of certain Funds. These agreements provide that Barings manage the investment and reinvestment of assets of these Funds. Barings receives a subadvisory fee from MML Advisers, based upon each Fund’s average daily net assets at the following annual rates:
Blend Fund |
0.13% (Equity Segment) 0.09% (Money Market and Bond Segments) | |
Managed Bond Fund |
0.10% | |
U.S. Government Money Market Fund |
0.05% |
MML Advisers has entered into an investment subadvisory agreement with OppenheimerFunds, Inc. (“OFI”), a wholly-owned subsidiary of Oppenheimer Acquisition Corp., itself an indirect majority-owned subsidiary of MassMutual Holding LLC, pursuant to which OFI serves as one of the subadvisers to the Equity Fund. This agreement provides that OFI manage the investment and reinvestment of a portion of the assets of the Fund. OFI receives a subadvisory fee from MML Advisers, based upon the average daily net assets of the portion of the Fund that OFI manages, at the following annual rate:
Equity Fund |
0.23% |
MML Advisers has entered into an investment subadvisory agreement with the unaffiliated subadviser, Brandywine Global Investment, LLC (“Brandywine Global”), pursuant to which Brandywine Global serves as one of the subadvisers to the Equity Fund. This agreement provides that Brandywine Global manage the investment and reinvestment of a portion of the assets of the Fund. Brandywine Global receives a subadvisory fee from MassMutual based upon the average daily net assets of the portion of the Fund that Brandywine Global manages.
The Funds’ subadvisory fees are paid monthly by MML Advisers out of the advisory fees previously disclosed above.
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares, if available, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Expense Caps and Waivers
For the U.S. Government Money Market Fund, MML Advisers has agreed to voluntarily waive some or all of its advisory fees and, if necessary, reimburse some or all of the Fund’s other expenses, in an attempt to allow the Initial Class shares of the Fund to maintain a 1-day yield of at least approximately 0.00%. MML Advisers may amend or discontinue this waiver at any time without advance notice.
90
Notes to Financial Statements (Continued)
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
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, 2018, were as follows:
Purchases | Sales | |||||||||||||||
Long-Term U.S. Government Securities |
Other Long-Term Securities |
Long-Term U.S. Government Securities |
Other Long-Term Securities |
|||||||||||||
Blend Fund |
$ | 321,579,837 | $ | 271,155,388 | $ | 311,688,788 | $ | 287,496,430 | ||||||||
Equity Fund |
- | 336,798,848 | - | 390,276,853 | ||||||||||||
Managed Bond Fund |
1,212,851,425 | 380,704,769 | 1,301,131,879 | 413,862,232 |
The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule 17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.
Purchases | Sales | |||||||
Equity Fund |
$ | 2,500,916 | $ | 1,958,364 |
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Blend Fund Initial Class | ||||||||||||||||
Sold |
625,785 | $ | 14,006,821 | 589,688 | $ | 13,074,798 | ||||||||||
Issued as reinvestment of dividends |
2,429,485 | 52,441,279 | 1,674,930 | 36,251,636 | ||||||||||||
Redeemed |
(3,190,937 | ) | (71,484,602 | ) | (3,243,006 | ) | (72,037,541 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(135,667 | ) | $ | (5,036,502 | ) | (978,388 | ) | $ | (22,711,107 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Blend Fund Service Class | ||||||||||||||||
Sold |
2,039,495 | $ | 45,474,149 | 1,146,791 | $ | 25,446,915 | ||||||||||
Issued as reinvestment of dividends |
408,906 | 8,800,849 | 189,349 | 4,094,882 | ||||||||||||
Redeemed |
(390,358 | ) | (8,688,346 | ) | (341,691 | ) | (7,572,019 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
2,058,043 | $ | 45,586,652 | 994,449 | $ | 21,969,778 | ||||||||||
|
|
|
|
|
|
|
|
91
Notes to Financial Statements (Continued)
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Equity Fund Initial Class | ||||||||||||||||
Sold |
484,231 | $ | 14,394,766 | 516,163 | $ | 15,345,297 | ||||||||||
Issued as reinvestment of dividends |
4,161,219 | 116,978,081 | 639,529 | 18,607,495 | ||||||||||||
Redeemed |
(2,813,597 | ) | (83,848,670 | ) | (2,630,242 | ) | (78,306,976 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
1,831,853 | $ | 47,524,177 | (1,474,550 | ) | $ | (44,354,184 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Equity Fund Service Class | ||||||||||||||||
Sold |
386,041 | $ | 10,944,880 | 436,476 | $ | 12,912,046 | ||||||||||
Issued as reinvestment of dividends |
534,608 | 14,830,448 | 71,682 | 2,062,870 | ||||||||||||
Redeemed |
(465,617 | ) | (13,626,949 | ) | (434,797 | ) | (12,725,794 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
455,032 | $ | 12,148,379 | 73,361 | $ | 2,249,122 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Managed Bond Fund Initial Class | ||||||||||||||||
Sold |
8,678,243 | $ | 105,617,099 | 11,771,449 | $ | 146,212,529 | ||||||||||
Issued as reinvestment of dividends |
2,532,822 | 30,373,956 | 2,440,386 | 30,212,037 | ||||||||||||
Redeemed |
(22,781,672 | ) | (274,669,159 | ) | (14,315,792 | ) | (177,988,068 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(11,570,607 | ) | $ | (138,678,104 | ) | (103,957 | ) | $ | (1,563,502 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Managed Bond Fund Service Class | ||||||||||||||||
Sold |
2,464,470 | $ | 30,033,415 | 2,870,161 | $ | 35,490,830 | ||||||||||
Issued as reinvestment of dividends |
744,727 | 8,910,347 | 659,027 | 8,142,837 | ||||||||||||
Redeemed |
(4,332,865 | ) | (52,092,676 | ) | (2,343,314 | ) | (29,080,230 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(1,123,668 | ) | $ | (13,148,914 | ) | 1,185,874 | $ | 14,553,437 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
U.S. Government Money Market Fund Initial Class | ||||||||||||||||
Sold |
126,020,751 | $ | 126,020,751 | 52,121,545 | $ | 52,121,863 | ||||||||||
Issued as reinvestment of dividends |
2,314,774 | 2,314,774 | 548,038 | 548,038 | ||||||||||||
Redeemed |
(98,503,306 | ) | (98,503,305 | ) | (69,530,642 | ) | (69,531,082 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
29,832,219 | $ | 29,832,220 | (16,861,059 | ) | $ | (16,861,181 | ) | ||||||||
|
|
|
|
|
|
|
|
6. Federal Income Tax Information
At December 31, 2018, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost |
Tax Basis Unrealized Appreciation |
Tax Basis Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
Blend Fund |
$ | 614,051,674 | $ | 98,146,782 | $ | (26,540,605 | ) | $ | 71,606,177 | |||||||
Equity Fund |
685,633,676 | 99,190,582 | (64,410,994 | ) | 34,779,588 | |||||||||||
Managed Bond Fund |
1,207,020,135 | 10,906,133 | (28,755,733 | ) | (17,849,600 | ) |
Note: The aggregate cost for investments for the U.S. Government Money Market Fund at December 31, 2018, is the same for financial reporting and federal income tax purposes.
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be
92
Notes to Financial Statements (Continued)
carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.
At December 31, 2018, for federal income tax purposes, there were no unused capital losses.
At December 31, 2018, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term Capital Loss Carryforward |
Long term Capital Loss Carryforward |
|||||||
Managed Bond Fund |
$ | 11,246,804 | $ | 23,861,744 |
Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2018, was as follows:
Ordinary Income |
Long Term Capital Gain |
|||||||
Blend Fund |
$ | 25,569,926 | $ | 35,672,202 | ||||
Equity Fund |
14,740,597 | 117,067,932 | ||||||
Managed Bond Fund |
39,284,303 | - | ||||||
U.S. Government Money Market Fund |
2,314,775 | - |
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2017, was as follows:
Ordinary Income |
Long Term Capital Gain |
|||||||
Blend Fund |
$ | 18,645,802 | $ | 21,700,716 | ||||
Equity Fund |
14,969,212 | 5,701,153 | ||||||
Managed Bond Fund |
38,354,874 | - | ||||||
U.S. Government Money Market Fund |
548,038 | - |
Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2018, temporary book and tax accounting differences were primarily attributable to investments in futures contracts, swap agreements, premium amortization accruals, corporate action basis adjustments, non-taxable dividends basis adjustments, the deferral of wash sale losses, and deferred Trustee compensation.
93
Notes to Financial Statements (Continued)
At December 31, 2018, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income |
Undistributed Long Term Capital Gain (Capital Loss Carryover) |
Other Temporary Differences |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Blend Fund |
$ | 4,513,255 | $ | 30,341,809 | $ | (215,193 | ) | $ | 71,606,177 | |||||||
Equity Fund |
16,413,558 | 41,062,716 | (268,214 | ) | 34,779,588 | |||||||||||
Managed Bond Fund |
1,919,131 | (35,108,548 | ) | (255,677 | ) | (17,849,600 | ) | |||||||||
U.S. Government Money Market Fund |
5,068 | - | (55,247 | ) | - |
During the year ended December 31, 2018, the following amounts were reclassified due to permanent differences between book and tax accounting:
Paid-in Capital |
Accumulated Net Realized Gain (Loss) on Investments |
Undistributed Net Investment Income (Loss) |
||||||||||
Blend Fund |
$ | 1,771 | $ | (838,536 | ) | $ | 836,765 | |||||
Equity Fund |
2,231 | 895,540 | (897,771 | ) | ||||||||
Managed Bond Fund |
2,071 | (2,229,834 | ) | 2,227,763 | ||||||||
U.S. Government Money Market Fund |
460 | (223 | ) | (237 | ) |
The Funds did not have any unrecognized tax benefits at December 31, 2018, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended December 31, 2018, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
7. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
8. | New Accounting Pronouncements |
In October 2016, the Securities and Exchange Commission (“SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments, for all reporting periods ending after August 1, 2017. The Funds have adopted the Rule’s Regulation S-X amendments and the Funds’ financial statements are in compliance with those amendments. In December 2017, the SEC issued a temporary final rule (“Temporary Rule”) that provides for a nine-month delay of N-PORT filing with the SEC. Under the Temporary Rule, those funds subject to the original June 1, 2018 compliance date will still be required to gather and maintain all of the data required by Form N-PORT as of the original reporting date and such information will be subject to examination by the SEC staff.
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Notes to Financial Statements (Continued)
In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.
In August 2018, FASB issued Accounting Standards Update 2018-13 — Fair Value Measurement (Topic 820) Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The amendments modify fair value measurement disclosures and are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.
9. | Legal Proceedings |
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds. On April 5, 2012, the adversary proceeding was transferred to the Southern District of New York for consolidated pretrial proceedings. The action is now being prosecuted by the litigation trustee (“Trustee”) for the Tribune Litigation Trust.
The potential amount sought to be recovered from the Blend Fund is approximately $207,400, plus interest and the Official Committee’s court costs.
In addition, on June 2, 2011, the Blend Fund was named as a defendant in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds. On December 20, 2011, this action was transferred to the Southern District of New York for consolidated pretrial proceedings.
The Fund cannot predict the outcome of these proceedings. Accordingly, the Fund has not accrued any amounts related to these proceedings. If the proceedings were to be decided in a manner adverse to the Fund, or if the Fund was to enter into a settlement agreement with the Trustee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Fund’s net asset value depending on the net assets of the Fund at the time of such judgment or settlement.
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To the Board of Trustees of MML Series Investment Fund II and Shareholders of MML Blend Fund, MML Equity Fund, MML Managed Bond Fund, and MML U.S. Government Money Market Fund (collectively, the “Funds,” certain of the funds constituting MML Series Investment Fund II):
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of the Funds, including the portfolios of investments, as of December 31, 2018, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the 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.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2018, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Boston, Massachusetts
We have served as the auditor of one or more MassMutual investment companies since 1995.
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The following table lists the Trust’s Trustees and Officers; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MML Series Investment Fund II, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.
Disinterested Trustees
Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | |||||
Allan W. Blair Age: 70 |
Trustee | Since 2012 |
Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company). | 111 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
Nabil N. El-Hage Age: 60 |
Trustee
Chairman |
Since 2005
2006-2012 |
Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC). | 111 | Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company). | |||||
Maria D. Furman Age: 64 |
Trustee | Since 2005 |
Retired. | 111 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
R. Alan Hunter, Jr. Age: 72 |
Chairperson
Trustee |
Since 2016
Since 2012 |
Retired. | 111 | Director (2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MassMutual Select Funds (open-end investment company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
97
Trustees and Officers (Unaudited) (Continued)
Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | |||||
C. Ann Merrifield Age: 67 |
Trustee | Since 2005 |
Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company). | 111 | Director (2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson (2017-2018) and Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
Susan B. Sweeney Age: 66 |
Trustee | Since 2012 |
Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company). | 113^ | Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
Interested Trustees
Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | |||||
Teresa Hassara^^ Age: 56 |
Trustee | Since 2017 |
Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF. | 111 | Director (since 2017), MML Advisers; Trustee (since 2017), MassMutual Select Funds (open-end investment company); Trustee (since 2017), MML Series Investment Fund (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company). | |||||
Robert E. Joyal^^^ Age: 73 |
Trustee | Since 2012 |
Retired. | 113^ | Director (since 2018), Jeffries Financial Group Inc. (holding company); Director (2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technology, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
98
Trustees and Officers (Unaudited) (Continued)
Principal Officers who are Not Trustees
Name, Address*, and Age |
Position(s) |
Term of Office# and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer | ||||
Joseph Fallon Age: 43 |
Vice President
Assistant Vice President |
Since 2017
2015- |
Investment Director (since 2014), MML Advisers; Head of Investment Consulting (since 2018), Head of Investment Consulting & Strategy (2017-2018), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Select Funds (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Andrew M. Goldberg Age: 52 |
Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer
Assistant Clerk |
Since 2008
2005- |
Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Renee Hitchcock Age: 48 |
Chief Financial Officer and Treasurer
Assistant Treasurer |
Since 2016
2007- |
Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Jill Nareau Robert Age: 46 |
Vice President and Assistant Secretary
Assistant Secretary (formerly known as “Assistant Clerk”) |
Since 2017
2008- |
Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MassMutual Select Funds (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MML Series Investment Fund (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Douglas Steele Age: 43 |
Vice President | Since 2016 |
Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company). | 111 |
99
Trustees and Officers (Unaudited) (Continued)
Name, Address*, and Age |
Position(s) |
Term of Office# and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer | ||||
Philip S. Wellman Age: 54 |
Vice President and Chief Compliance Officer | Since 2007 |
Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds and RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Eric H. Wietsma |
Vice President | Since 2006 |
Vice President (since 2018), Director (since 2013), and President (2013-2018), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (2010-2018), MassMutual; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); Vice President (since 2006), MML Series Investment Fund (open-end investment company); President (since 2008), Vice President (2006-2008), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Tina Wilson Age: 48 |
Vice President | Since 2016 |
President (since 2018), Head of Investments (since 2016), and Vice President (2016-2018), MML Advisers; Head of Investment Solutions Innovation, Product Management (since 2018), Senior Vice President (2014-2018), Vice President (2009-2014), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); President (since 2017), Vice President (2016-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company). | 111 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, CT 06082-1981. |
** | 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 or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate. |
The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees. |
^ | Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers. |
^^ | Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual. |
^^^ | Mr. Joyal is an Interested Person through his position as a director of Leucadia National Corporation, which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion. |
# | The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees. |
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For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2018, qualified for the dividends received deduction, as follows:
Dividends Received Deductions |
||||
Blend Fund |
43.07% | |||
Equity Fund |
99.30% | |||
Managed Bond Fund |
0.30% |
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Other Information (Unaudited)
A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
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Other Information (Unaudited) (Continued)
Fund Expenses December 31, 2018
Expense Examples:
The following information is in regards to expenses for the six months ended December 31, 2018:
As a shareholder of the Funds, you incur ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2018.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Value |
Annualized Expense Ratio |
Ending Value (Based on Actual Returns and Expenses) |
Operating Expenses Incurred* |
Ending Value (Based on Hypothetical Returns and Expenses) |
Operating Expenses Incurred* |
|||||||||||||||||||
Blend Fund | ||||||||||||||||||||||||
Initial Class |
$ | 1,000 | 0.45 | % | $ | 948.80 | $ | 2.22 | $ | 1,023.10 | $ | 2.31 | ||||||||||||
Service Class |
1,000 | 0.70 | % | 947.60 | 3.45 | 1,021.80 | 3.59 | |||||||||||||||||
Equity Fund | ||||||||||||||||||||||||
Initial Class |
1,000 | 0.44 | % | 912.20 | 2.13 | 1,023.10 | 2.26 | |||||||||||||||||
Service Class |
1,000 | 0.69 | % | 911.10 | 3.34 | 1,021.80 | 3.54 | |||||||||||||||||
Managed Bond Fund | ||||||||||||||||||||||||
Initial Class |
1,000 | 0.42 | % | 1,009.80 | 2.14 | 1,023.20 | 2.15 | |||||||||||||||||
Service Class |
1,000 | 0.67 | % | 1,008.50 | 3.41 | 1,021.90 | 3.43 | |||||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||
Initial Class |
1,000 | 0.54 | % | 1,007.80 | 2.75 | 1,022.60 | 2.77 |
* | Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2018, multiplied by the average account value over the period, multiplied by 185 days in the period, divided by 365 days in the year, unless stated otherwise. The annualized expense ratio does not reflect expenses deducted under the variable life insurance or variable annuity contract through which the Funds are invested in. Inclusion of these expenses would increase the annualized expense ratios shown. |
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Underwriter:
MML Distributors, LLC 100 Bright Meadow Blvd. |
© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC |
RS-45236-01 |
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MML Series Investment Fund II. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
To Our Shareholders
“MassMutual believes that those who invest with an eye toward helping their retirement savings withstand all market conditions have the potential for more favorable long-term financial outcomes.”
Despite the intense volatility, markets remained strong overall
I am pleased to present you with the MML Series Investment Fund II Annual Report, covering the year ended December 31, 2018.
During the year, U.S. stocks encountered more volatility than investors experienced in 2017, varying widely throughout most of the year before dropping into negative return territory to end the year. Global economic optimism faded during the year under the weight of geopolitical tensions, indications of slowing global growth, trade war rhetoric, and a more hawkish Federal Reserve Board. Foreign stocks in developed markets trailed their U.S. counterparts for the year, but generally fared better than emerging-market stocks. U.S. bond investors struggled to find positive returns in a rising yield environment fueled by rate hikes, a strong U.S. dollar, falling oil prices, and central bank policy.
In MassMutual’s view, the dynamics of the investment markets during the year validate the importance of retirement investors maintaining a long-term perspective rather than reacting to current headlines. We also believe that individuals who follow certain investment guidelines, such as the ones below, may enhance their retirement income.
Suggestions for retirement investors under any market conditions
Save as much as possible
While you can’t control – or predict the direction of – the investment markets at any given time, you can control how often and how much you contribute to your retirement savings account. Contributing as much as possible and increasing contribution levels regularly is one way retirement investors can help themselves reach their retirement income goals, regardless of how the markets perform.*
Invest continually
Financial professionals often advise their clients to stay in the market, regardless of short-term results. Here’s why: Individuals who can invest in all market conditions have the potential to be rewarded even during market downturns, when more favorable prices may enable them to accumulate larger positions. This has the potential to put them at an advantage when the markets turn around.
Invest for the long run
Investing for retirement doesn’t happen overnight. Many people save and invest for retirement throughout their working years. It may help you to keep in mind that, although the financial markets will go up and down over time, taking a long-term approach to investing gives you more time to ride out the downturns as you work toward achieving your long-term investment goals. Even if you are approaching or in retirement, your retirement savings will likely remain invested for a number of years before being withdrawn.
* | Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels. |
(Continued)
1
MML Series Investment Fund II – President’s Letter to Shareholders (Unaudited) (Continued)
Monitor your asset allocation regularly – and diversify
The most common retirement plan investments – stocks, bonds, and short-term/money market investments – typically (although not always) behave differently at any given time. Each of these asset classes contains an array of sub-categories, such as small-cap stocks, international stocks, and high-yield bonds. Many financial professionals believe that investors can reduce the risk of over-exposure to one or two poorly performing investment types by investing in a diverse mix of investment types and sub-categories.**
Choose the investments you feel are right for you – and seek professional guidance
Many financial advisors believe that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.
If you work with a financial professional, you may wish to consider reaching out to him or her for assistance in helping you ensure:
• | you are saving enough for retirement based on your long-term financial needs; |
• | your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as your investment time horizon; and |
• | you are taking the right steps to help reduce your longevity risk, which is the risk that you could “run out” of retirement savings during your lifetime. |
Why we do what we do
Acts of mutuality are happening all around us. Every day, people go out of their way to look out for each other, from lending a hand to making sure their loved ones are financially taken care of. MassMutual believes that your long-term financial security is crucial – and we recognize that you want to make sure your loved ones are financially taken care of. That’s why we’re committed to helping people financially protect their families and put themselves on the path to a more secure retirement. And that’s why we continually stress the importance of maintaining a long-term perspective on retirement planning. We believe that those who invest with an eye toward helping their retirement savings withstand all market conditions have the potential for more favorable long-term financial outcomes. Thank you for your continued confidence and trust in MassMutual.
Sincerely,
President
The information provided is the opinion of MML Investment Advisers, LLC as of 1/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
** | Diversification and asset allocation do not ensure a profit or protect against loss in a declining market, but can be sound investment strategies. |
2
Market Highlights
• | During 2018, U.S. stocks encountered more volatility than investors experienced in 2017, varying widely throughout most of the year before dropping into negative return territory to end the period. |
• | Global economic optimism faded during the year under the weight of geopolitical tensions, indications of slowing global growth, trade war rhetoric, and a more hawkish Federal Reserve Board (the “Fed”) tone. |
• | Foreign stocks in developed markets trailed their U.S. counterparts for the period, but generally fared better than emerging-market stocks. |
• | U.S. bond investors struggled to find positive returns in a rising yield environment fueled by rate hikes, a strong U.S. dollar, falling oil prices, and central bank policy. |
Market Environment
U.S. equity investors encountered increased volatility in 2018. Through the first month of 2018, stocks hit record levels following a year of steady gains in 2017. However, after a two-and-a-half-year streak of positive quarterly results, both the S&P 500® Index* (the “S&P 500”) and the Dow Jones Industrial AverageSM (the Dow) posted modest negative results for the first quarter of 2018.
During the first and second quarters of the year, markets fought to find their footing. Wage growth in the U.S. triggered a major sell-off in early February 2018, as investors sought to balance the likelihood of continued growth against Federal Open Market Committee (FOMC) intentions to raise the short-term federal funds rate several times in the year ahead. (The federal funds rate is the interest rate that banks and financial institutions charge each other for borrowing funds overnight.) Scrutiny concerning revelations about how social media companies use data, and in particular, how social media giant Facebook had allowed customer data to be mined without users’ knowledge, undercut investor confidence in the information technology sector, triggering several rounds of sell-offs. Political turbulence, which characterized the entire reporting period, unsettled markets as investors tried to assess the potential impacts of reduced taxes, increasing federal debt limits, and ongoing rhetoric over global trade wars.
Markets gained some traction through the third quarter of the year. The S&P 500 rebounded, ending the quarter in positive territory. Corporate earnings reports continued to show strong performance, markets seemingly shrugged off three Fed rate hikes, and progress seemed evident on the trade war front. By the end of September, both the Dow and the S&P 500 reached record territory again, but investors were unsettled.
In early October, Fed Chairman Jerome Powell’s statements that the central bank was “a long way” from neutral interest rates stoked fears of more frequent and higher rate hikes. Along with trade war concerns, international political jitters, a strengthening U.S. dollar, and declining oil prices, this seemed enough to trigger a broad market sell-off. October was the worst month for the S&P 500 since September 2011. Volatility continued through November, as investors looked for a lift following the U.S. midterm elections. Then, December brought another round of sell-offs, resulting in the worst performance for the month since 1931 for the Dow and S&P 500. By year-end, major equity markets dropped into negative return territory for the year for the first time since 2008.
At year-end, the broad market S&P 500 ended down 4.38% and the Dow followed a similar pattern, down 3.48%. The technology-heavy NASDAQ Composite Index ended down 2.84% for the year, as prominent technology companies like Facebook, Apple, Amazon, Netflix, and Google faced heavy sell-offs in the last quarter. Small- and mid-cap stocks underperformed their larger peers and growth stocks continued to outperform their value counterparts during the period.
The health care, information technology, and consumer discretionary sectors managed to end the year in positive territory and beat the S&P 500. The remaining sectors delivered negative returns, most lagging the S&P 500 and most falling below in the
* | Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment. |
3
MML Series Investment Fund II – Economic and Market Overview (Unaudited) (Continued)
month of December. The reconfigured communication services and financials sectors delivered the worst performances for the year. (In September, the Global Industry Classification Standard (GICS) renamed the telecommunications sector and added media companies and internet services companies to the reconfigured communication services sector.)
Developed international markets, as measured by the MSCI EAFE® Index, trailed their domestic peers and ended the year down 13.79%. Developed international markets struggled to gain traction under the weight of a strong U.S. dollar, widespread local political issues, including floundering Brexit negotiations, and tariff speculations. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) Emerging-market stocks, as measured by the MSCI Emerging Markets Index, ended the year with a return of -14.58%.
The Fed reasserted its influence on markets through actual and forecasted rate hikes and a change in leadership during the year. Under new Fed Chairman Jerome Powell, the FOMC raised the target range for the federal funds rate four times. While investors had anticipated the rate hikes, the 1.00% total increase over the year – in tandem with prospects for additional hikes in 2019 – proved to be a headwind to overall market performance.
Bond yields rose during the fiscal year, with the 10-year U.S. Treasury bond crossing the 3.00% threshold multiple times. After starting the year at 2.46%, yields rose 0.22% to end at 2.68%. Since rising yields drive bond prices down, returns on the Bloomberg Barclays U.S. Aggregate Bond Index failed to move significantly through the year, ending at 0.01%. Investment-grade corporate bonds also fared poorly in the rising yield environment. The Bloomberg Barclays U.S. Corporate 10+ Year Bond Index, which tracks investment-grade corporate bonds, ended the year down 2.51%. The Bloomberg Barclays U.S. Corporate High Yield Index also ended in negative territory, down 2.08% for the year. In December, yield curve inversion added additional pessimism to investor sentiment. (Yield curve inversion occurs when yields on longer-term bonds drop below yields of shorter-term bonds.)
At the end of a volatile year in which returns fell well short of those enjoyed in 2017, investors generally feel compelled to evaluate their investment strategy. At MassMutual, we remain convinced that a broadly diversified portfolio aligned with a long-term strategy is the wisest course for those investors seeking retirement income. We remind you that it is important to maintain perspective and have realistic expectations about the future performance of your investment portfolio. As described in this report, financial markets can reverse suddenly, stumble along sideways, and reverse again. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to markets like these, with how long you have to save and invest, and with your specific financial goals and risk tolerance. Thank you for your confidence in MassMutual.
The information provided is the opinion of MML Investment Advisers, LLC as of 1/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
4
What is the investment approach of MML Asset Momentum Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing in asset classes the Fund’s subadviser considers to exhibit “bull market” characteristics. These “bull market” characteristics may include, for example, upward trending prices and relatively low volatility. The Fund expects that it will allocate its investments among the following asset classes: equity investments, debt investments, property investments, alternative investments, currency, and cash on deposit, excluding short term instruments. The Fund may invest in securities of issuers anywhere in the world, including emerging market countries. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned -16.69%, significantly underperforming the -4.38% return of the S&P 500® Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, U.S. stocks detracted the most from the Fund’s performance. The Fund’s holdings in technology, homebuilders, banks, defense, and industrials suffered significant losses. With respect to specific Fund holdings, key detractors included Facebook and homebuilder NVR Inc., which went down 30% in 2018 due to rising mortgage rates. Defense contractors Lockheed Martin and Raytheon were both down 17% in 2018 on growth concerns. Fears of an economic slowdown sent the KBW Bank Index down 18% in 2018, and the Fund’s bank stocks went down by about the same amount. Trade tariffs and higher shipping costs hurt the Fund’s industrial stocks. Not owning shares of companies in the health care and utilities sectors also proved detrimental to the Fund’s performance, as they were the best-performing sectors in 2018. The Fund’s international stocks suffered a loss as foreign stocks fell into a bear market.
One bright spot during the year was the Fund’s investment in Brazil. The Brazilian stock market went up in anticipation of what President Bolsonaro would do to deregulate, privatize, and improve fiscal sustainability.
With respect to currencies, the U.S. dollar strengthened in 2018, which hurt the value of the Fund’s international holdings. The British pound dropped in value due to the increasing probability of Brexit without a deal with the European Union (EU). (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the EU.) The Fund lost money on the British pound, the Malaysian ringgit, and the Thai baht.
The fixed-income securities of the Fund were short-duration bonds, which are less sensitive to rising inflation and interest rates. The return was flat for the Fund’s bond holdings for the year.
The Fund uses derivative instruments to gain exposure to global assets and to hedge the downside risk of securities. In 2018, derivatives were detractors from the Fund’s performance. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.
Subadviser outlook
Fund management believes that the market seems to be driven by two opposing forces. On one side, are tariffs and rates that weigh on the market and growth, and on the other side are valuations that support the market. They believe that a compromise on trade regulation is likely, as the trade war starts to hit the U.S. stock market and the real economy. Their view is that President Trump would prefer to have a good economy in place ahead of the 2020 election. They also believe it is possible that the latest market turbulence could keep the U.S. Federal Reserve Board in a dovish stance with respect to interest rate increases in the near term.
5
MML Asset Momentum Fund Portfolio Characteristics (% of Net Assets) on 12/31/18 |
||||
Mutual Funds |
53.0 | % | ||
Common Stock |
20.3 | % | ||
U.S. Treasury Obligations |
12.1 | % | ||
|
|
|||
Total Long-Term Investments |
85.4 | % | ||
Short-Term Investments and Other Assets and Liabilities |
14.6 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
6
MML Asset Momentum Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Asset Momentum Fund Class II, Service Class I, and the S&P 500 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Since Inception 5/15/15 - 12/31/18 |
||||||
Class II | -16.69% | 4.18% | ||||||
Service Class I | -16.93% | 3.92% | ||||||
S&P 500 Index | -4.38% | 6.87% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
7
MML Dynamic Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Dynamic Bond Fund, and who is the Fund’s subadviser?
The Fund seeks to maximize current income and total return by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in bonds, which may include securities issued or guaranteed by the U.S. Government, its agencies, instrumentalities, or sponsored corporations; corporate obligations (including foreign hybrid securities); mortgage-backed securities; asset-backed securities; foreign securities (corporate and government); emerging market securities (corporate and government); bank loans and assignments; and other securities bearing fixed or variable interest rates of any maturity. The Fund may invest a portion of its net assets in inverse floaters and interest-only and principal-only securities, which may experience high volatility in response to changes in interest rates. The Fund may invest in other investment companies, including other open-end or closed-end investment companies, exchange-traded funds (ETFs), and domestic or foreign private investment vehicles, including investment companies sponsored or managed by the Fund’s subadviser and its affiliates. The Fund’s subadviser is DoubleLine Capital LP (DoubleLine).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned -0.10%, underperforming the 0.01% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable-rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
2018 was a volatile year for the bond market, with the 10-year U.S. Treasury yield ranging from 2.41% to 3.26%, closing the year at 2.68%. With interest rates trending up and corporate credit spreads (i.e., the difference in yields between comparable bonds) ending the year materially wider, the Fund benefited by maintaining a duration that was shorter than the benchmark, specifically aided by performance from structured products sectors, such as non-Agency mortgage-backed securities, CMBS, and ABS. (Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the bond or portfolio when interest rates rise or fall.) In addition, the Fund maintained an overall underweight positioning, relative to the benchmark, in corporate credit.
Various corners of the corporate credit market detracted from the Fund’s overall performance; however, the Fund maintained an overall underweight position across the combined targeted allocations to investment-grade credit, high-yield credit, bank loans, and emerging-market debt, which contributed to the Fund’s performance.
While bank loans were one of the top performers throughout the year as they rode a combination of rising short rates and stable credit, returns stumbled in the final two months to end the year flat as spreads widened significantly and the asset class began pricing in relatively large default expectations. On the other hand, the investment-grade credit, high-yield credit, and emerging-market debt sectors all underperformed, posting negative returns. These sectors were all influenced by a combination of the return of general market volatility, pricing of geopolitical risk following the trade friction between the U.S. and China, and volatility in the oil market. These factors were all in addition to historically rich valuations entering the year.
Non-Agency MBS was the best-performing sector for the year. This sector achieved positive returns the entire year, until a general flight to quality and rate rally took place in November and December. The strong performance can be attributed to a combination of relatively stable spreads, a duration that was less than half that of the overall benchmark, and a material weighting to floating-rate coupons. CMBS was the next-best-performing sector. Similar to non-Agency MBS, this sector maintained a duration significantly below the overall benchmark, while also carrying a meaningful allocation to floating-rate coupons.
Subadviser outlook
Fund management is starting to see pockets of value in the market, such as the emerging markets, where they increased the Fund’s allocation for the New Year. They believe that the overall credit cycle seems to be nearing the later stages, while the Federal Reserve Board finds itself needing to walk back the hawkish rhetoric of 2018 as it continues the experiment of quantitative tightening. Fund management still believes that a combination of higher rates in the future and limited upside to most spread products merits slightly defensive positioning. As a result, they are positioning the Fund so as to stay shorter in duration and higher in credit quality relative to other points in the cycle.
8
MML Dynamic Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
MML Dynamic Bond Fund Portfolio Characteristics (% of Net Assets) on 12/31/18 |
||||
U.S. Treasury Obligations |
26.8 | % | ||
Non-U.S. Government Agency Obligations |
26.1 | % | ||
Corporate Debt |
24.7 | % | ||
U.S. Government Agency Obligations and Instrumentalities |
15.5 | % | ||
Mutual Funds |
3.7 | % | ||
Sovereign Debt Obligations |
1.3 | % | ||
Municipal Obligations |
0.1 | % | ||
|
|
|||
Total Long-Term Investments |
98.2 | % | ||
Short-Term Investments and Other Assets and Liabilities |
1.8 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
9
MML Dynamic Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Dynamic Bond Fund Class II, Service Class I, and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Since Inception 5/15/15 - 12/31/18 |
||||||
Class II | -0.10% | 2.15% | ||||||
Service Class I | -0.33% | 1.89% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01% | 1.61% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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 Bloomberg Barclays U.S. Aggregate Bond Index is unmanaged, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
10
MML Equity Rotation Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Equity Rotation Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing primarily in common stocks of large- and medium-capitalization U.S. companies. The Fund’s subadviser does not typically invest in companies with market capitalizations, at the time of purchase, of less than $1 billion. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned -8.86%, underperforming the -4.38% return of the S&P 500® Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Within the equity investments in the Fund, it was a year of extremes. In the first nine months of the year, the companies with the highest earnings and revenue rates had the highest returns. In the last quarter, these growth stocks were among the worst performers. (Growth stocks often do well when investors are worried about a slowdown because they are more likely than cyclical stocks to deliver cash flow in a downturn.) In the fourth quarter, investors’ worry turned into a panic. They abandoned these high-flying issues for the safety of stocks that have lower volatility, such as utilities.
The Fund was underweight, relative to the benchmark, in pharmaceutical industries for most of the year, but in August, the Fund moved to a significant overweight in these companies. Pharmaceuticals is considered a growth area, but it has more stable earnings than other higher growth areas. The Fund was overweight in Merck, a drug company that has stable earnings, and this contributed to the Fund’s performance for the year.
The Fund held a significantly overweight stake in banks throughout the year. Despite the fact that banks had been growing their earnings and improving their balance sheets and loan quality, the share prices of these stocks fell throughout the year as short-term interest rates rose. Since banks borrow at the short rate and lend at the long rate, investors seemed concerned that the increase in rates may hurt their earnings. The Fund was overweight Bank of America, which declined 15% for the year.
The Fund had a small loss due to its derivatives use in 2018. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.
Subadviser outlook
Fund management believes that the past few years make a great case for the Fund’s investment strategy. The market has been fixated on growth stocks, and they were able to take advantage of that for a while. When more opportunities arose in value and stability, the Fund moved into those stocks. Overall, the Fund has significantly outperformed its benchmark since inception by rotating its factor exposures.
Rising interest rates and a trade war make the selection of factor portfolios difficult, but Fund management believes that stocks with stable earnings may be favored as we move into 2019. Given that both of the threats to the outlook can be changed at any time (the trade war may end, and the Federal Reserve Board may decide to stop raising rates), the Fund has investments in other areas outside of stable stocks. For example, Fund management continues to favor certain growth stocks, particularly those that have been able to use “free” resources (data) to build new products. In their view, these are self-financing, cash flow-generating companies that are somewhat different from most growth stocks due to their low need for outside capital to grow.
11
MML Equity Rotation Fund – Portfolio Manager Report (Unaudited) (Continued)
MML Equity Rotation Fund Largest Holdings (% of Net Assets) on 12/31/18 |
||||
US Foods Holding Corp. |
4.8 | % | ||
Amgen, Inc. |
4.5 | % | ||
Mastercard, Inc. Class A |
4.1 | % | ||
Pfizer, Inc. |
4.1 | % | ||
Alphabet, Inc. Class A |
3.6 | % | ||
Berkshire Hathaway, Inc. Class B |
3.4 | % | ||
HCA Healthcare, Inc. |
3.2 | % | ||
Workday, Inc. Class A |
3.0 | % | ||
Verizon Communications, Inc. |
2.7 | % | ||
Herbalife Nutrition Ltd. |
2.7 | % | ||
|
|
|||
36.1 | % | |||
|
|
MML Equity Rotation Fund Sector Table (% of Net Assets) on 12/31/18 |
||||
Consumer, Non-cyclical |
32.8 | % | ||
Financial |
14.6 | % | ||
Communications |
10.6 | % | ||
Technology |
9.5 | % | ||
Consumer, Cyclical |
6.8 | % | ||
Industrial |
6.4 | % | ||
Energy |
4.9 | % | ||
Basic Materials |
0.7 | % | ||
Utilities |
0.6 | % | ||
|
|
|||
Total Long-Term Investments |
86.9 | % | ||
Short-Term Investments and Other Assets and Liabilities |
13.1 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
12
MML Equity Rotation Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Equity Rotation Fund Class II, Service Class I, and the S&P 500 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Since Inception 5/15/15 - 12/31/18 |
||||||
Class II | -8.86% | 8.89% | ||||||
Service Class I | -9.10% | 8.61% | ||||||
S&P 500 Index | -4.38% | 6.87% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
13
MML High Yield Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML High Yield Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities. The Fund invests primarily in lower rated U.S. debt securities (“junk” or “high yield” bonds), including securities in default. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in lower rated fixed income securities (rated below Baa3 by Moody’s, below BBB- by Standard & Poor’s or the equivalent by any NRSRO (using the lower rating) or, if unrated, determined to be of below investment grade quality by the Fund’s subadviser). The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned -3.40%, underperforming the -2.08% return of the Bloomberg Barclays U.S. Corporate High-Yield Bond Index (the “benchmark”), which measures the performance of U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bonds, including corporate bonds, fixed-rate bullet, putable, and callable bonds, SEC Rule 144A securities, original issue zeros, pay-in-kind bonds, fixed-rate and fixed-to-floating capital securities.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, credit selection led to the notable underperformance of the basic industry sector, due to the credit events related to Fund holdings Pinnacle Operating Corporation and Appvion. Fund holdings that were the largest detractors from performance for the year included Pinnacle Operating Corporation, one of the largest agricultural input supply and distribution businesses in the Mid-South; Jupiter Resources, a Western Canadian natural gas producer; and Veritas, an information management software provider offering backup and recovery, appliances, and storage management.
Fund holdings in the consumer cyclicals and energy sectors outperformed, relative to the benchmark, due to favorable credit selection within each. Since the consumer cyclicals sector underperformed during the period, the Fund’s underweight allocation to the sector contributed to the Fund’s relative performance.
The Fund’s top-performing holdings during the year were Fieldwood Energy, a private exploration and production company with operations focused in the Gulf of Mexico; Carlson Travel, a global market leader specializing in business travel management; and Caelus Energy, a privately held energy exploration and production company with operations primarily in the North Slope of Alaska.
From a ratings perspective, the Fund’s performance was negative across ratings categories during the year; however, the Fund outperformed relative to the benchmark in the single-B and double-B categories. Credit selection drove outperformance in each, although an underweight allocation to double-Bs and an overweight allocation to single-Bs were slight detractors. Credit selection within the triple-C sector was a drag on relative performance, while an overweight allocation to that sector proved beneficial to the Fund’s full-year returns.
Subadviser outlook
Fund management believes that technical factors drove the volatility in the high-yield market as geopolitical and headline events propelled a risk-off sentiment. They believe that issuers continue to generate modest top- and bottom-line growth, with leverage remaining at healthy and sustainable levels. Default rates are below historical averages, and Fund management expects that this could continue into 2019. While crude oil prices and geopolitical events may continue to cause further market price volatility, they believe this represents an opportunity for investors in high yield.
14
MML High Yield Fund – Portfolio Manager Report (Unaudited) (Continued)
MML High Yield Fund Portfolio Characteristics (% of Net Assets) on 12/31/18 |
||||
Corporate Debt |
91.8 | % | ||
Bank Loans |
4.1 | % | ||
Mutual Funds |
3.3 | % | ||
Common Stock |
0.5 | % | ||
Preferred Stock |
0.1 | % | ||
Warrants |
0.0 | % | ||
|
|
|||
Total Long-Term Investments |
99.8 | % | ||
Short-Term Investments and Other Assets and Liabilities |
0.2 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
15
MML High Yield Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML High Yield Fund Class II, Service Class I, and the Bloomberg Barclays U.S. Corporate High-Yield Bond Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Five Year Average Annual 1/1/14 - 12/31/18 |
Since Inception Average Annual 5/3/10 - 12/31/18 |
|||||||||
Class II | -3.40% | 4.00% | 6.90% | |||||||||
Service Class I | -3.54% | 3.74% | 6.64% | |||||||||
Bloomberg Barclays U.S. Corporate High-Yield Bond Index | -2.08% | 3.83% | 6.28% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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 Bloomberg Barclays U.S. Corporate High-Yield Bond Index is unmanaged, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
16
MML Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Inflation-Protected and Income Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve as high a total rate of real return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in inflation-indexed bonds and other income-producing securities. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned -1.29%, modestly underperforming the -1.26% return of the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) (the “benchmark”), which measures the performance of rules-based, market value-weighted inflation-protected securities issued by the U.S. Treasury. It is a subset of the Global Inflation-Linked Index (Series-L).
How do inflation-indexed bonds protect against inflation?
Like many other fixed-income securities, inflation-indexed bonds pay income twice a year, based on a stated coupon rate. However, both the principal and the interest payment are adjusted for the level of inflation. The inflation rate – as measured by the Consumer Price Index for All Urban Consumers (CPI-U) – results in an adjustment to the principal amount of an inflation-protected security. The coupon rate is then applied to the adjusted principal amount to determine the interest payment. For example, assuming an inflation rate of 3%, a security with a par value of $1,000 and an annual coupon rate of 1.75%, the adjusted principal amount after one year would be $1,030 ($1,000 increased by 3%). The semi-annual interest payment would be calculated by multiplying $1,030 by 1.75% and dividing by 2 instead of using the original $1,000 par value to calculate the amount of interest.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, generally speaking, inflation-protected securities did not perform as well as conventional U.S. Treasury bonds. As of November 2018, consumer prices, as measured by the U.S. Bureau of Labor Statistics, were up for the year, as unadjusted Headline CPI came in at 2.2%, up from 2.1% at 2017 year end. (CPI measures changes in the price of a market basket of consumer goods and services; Core CPI does not include food and energy prices. Headline CPI includes food and energy.) While shelter costs continued to be a major driver of inflation, the headline year-to-date increase was driven, in large part, by service prices. As of November 2018, Core CPI increased to 2.2%, up from 1.8% at 2017 year end. Core CPI was running modestly above the 2% inflation objective of the Federal Open Market Committee (FOMC).
TIPS positioning in aggregate contributed to Fund performance during the period. Notably, the Fund’s underweight positioning in short-maturity inflation securities was offset by allocations to high-quality income-producing assets that earned higher yields than U.S. Treasuries.
In addition to TIPS, the Fund also invested in high-quality income-producing securities, including asset-backed and money market securities. The income earned by these asset classes contributed positively to the Fund’s performance during the year. Asset-backed securities (ABS) were the main drivers of performance. Security selections in auto loans and student loans within the ABS sector were the primary contributors. An allocation to high-quality commercial paper also contributed to performance over the year. (Commercial paper is the commonly used name for short-term unsecured promissory notes sold by banks and corporations to meet short-term debt obligations.)
The Fund may use derivative instruments for yield curve and duration management, as well as for replicating cash bonds and gaining market exposure in order to implement manager views. During the period, these derivative positions detracted modestly from the Fund’s performance. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.
17
MML Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
Despite recent weakness in energy markets and volatility in risk assets, Fund management ended 2018 constructive on inflation market performance as CPI and PCE edged higher to meet central bank objectives. (The “core” PCE price index is defined as personal consumption expenditures (PCE) prices, excluding food and energy prices. The core PCE price index measures the prices paid by consumers for goods and services without the volatility caused by movements in food and energy prices to reveal underlying inflation trends.) They believe inflation markets have priced in much of the recent weakness and softer sentiment. In 2019, Fund management expects seasonal strength in energy prices, continued stability in consumer fundamentals, and a more balanced Federal Reserve policy to lend support to inflation markets.
MML Inflation-Protected and Income Fund Portfolio Characteristics (% of Net Assets) on 12/31/18 |
||||
U.S. Treasury Obligations |
85.4 | % | ||
Non-U.S. Government Agency Obligations |
51.2 | % | ||
Corporate Debt |
2.5 | % | ||
Purchased Options |
0.8 | % | ||
U.S. Government Agency Obligations and Instrumentalities |
0.7 | % | ||
Municipal Obligations |
0.0 | % | ||
|
|
|||
Total Long-Term Investments |
140.6 | % | ||
Short-Term Investments and Other Assets and Liabilities |
(40.6 | )% | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
18
MML Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Inflation-Protected and Income Fund Initial Class, Service Class, and the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L).
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Five Year Average Annual 1/1/14 - 12/31/18 |
Ten Year Average Annual 1/1/09 - 12/31/18 |
|||||||||
Initial Class | -1.29% | 1.78% | 3.66% | |||||||||
Service Class | -1.54% | 1.53% | 3.40% | |||||||||
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | -1.26% | 1.69% | 3.64% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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 Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) is unmanaged, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
19
MML Short-Duration Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Short-Duration Bond Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high total rate of return primarily from current income while minimizing fluctuations in capital values by investing primarily in a diversified portfolio of short-term investment grade fixed income securities. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s, BBB- or higher by Standard & Poor’s or the equivalent by any NRSRO, or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned 1.53%, modestly underperforming the 1.58% return of the Bloomberg Barclays U.S. 1-3 Year Government Bond Index (the “benchmark”), which measures the performance of the U.S. Treasury and U.S. Agency Indexes with maturities of 1-3 years, including Treasuries and U.S. agency debentures. It is a component of the U.S. Government/Credit Index and the U.S. Aggregate Index.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Federal Reserve Board (the Fed) raised interest rates a total of four times in 2018, starting at the March Federal Open Market Committee (FOMC) meeting. The U.S. economic outlook remained positive throughout 2018, with the headlines of tariffs and trade wars weighing on investor sentiment near the end of the year. The rise in front-end rates caused the yield curve to flatten as a direct result of Fed action, ultimately resulting in the flattening of the entire curve over the 12-month period. (When the yield curve is flattening, that means the yield spread between long-term and short-term rates is decreasing.) Bond duration and maturity positioning benefited the Fund as it shifted duration in accordance with its duration management process. Duration of the Fund was targeted at 1.0 years.
An allocation to corporate credit detracted from the Fund’s performance. Investment-grade and BB-rated high-yield bonds detracted. Information/data technology, pharmaceuticals, and diversified telecommunications were the best-performing sub-sectors. Banking, automotive manufacturers, and chemical sectors underperformed. During 2018, investment-grade corporate fundamentals showed signs of improvement, while both gross and net issuance declined for the year. December’s volatility caused spreads to widen, impacting corporate performance for the period.
The securitized sector was the top contributor to performance, led by asset-backed securities (ABS), where allocations to government-guaranteed Federal Family Education Loan Program (FFELP) student loans and automobile ABS collateral were the largest contributors. The Fund increased its allocation to ABS over the year as the sector continued to have a natural liquidity profile, and remained attractive on a relative basis to other asset classes. The Fund’s holdings in residential mortgage-backed securities (RMBS) were modest contributors to performance.
The Fund uses derivative instruments on occasion for yield curve, duration, downside risk management, and to gain exposures. The Fund’s use of derivatives contributed to the Fund’s relative performance during 2018. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.
Subadviser outlook
Looking forward, Fund management expects potential market turbulence as investors seek to interpret Fed policy, brace for potential Treasury yield curve inversion, consider a growing BBB market, and evaluate slowing foreign demand. While these technicals present a wide range of potential outcomes for high-grade investors, Fund management remains vigilant in both sector and issuer selection within the Fund. They believe the market may see a slowdown in corporate merger and acquisition (M&A) activity due to the rising cost of funding. However, they do not anticipate a large-scale compression in corporate profit margins. Corporate and ABS issuance slowed in 2018, while commercial mortgage-backed securities (CMBS) issuance accelerated. Fund management continues to find value in FFELP student loans, and single-name ABS. They will closely watch the volume of primary market issuance, on the belief that the level at which new deals come to market (along with price, and how those deals are received by the market) could be indicators of 2019 sentiment.
20
MML Short-Duration Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
MML Short-Duration Bond Fund Portfolio Characteristics (% of Net Assets) on 12/31/18 |
||||
Non-U.S. Government Agency Obligations |
50.5 | % | ||
Corporate Debt |
45.3 | % | ||
U.S. Treasury Obligations |
1.7 | % | ||
U.S. Government Agency Obligations and Instrumentalities |
1.1 | % | ||
Purchased Options |
1.0 | % | ||
Municipal Obligations |
0.0 | % | ||
|
|
|||
Total Long-Term Investments |
99.6 | % | ||
Short-Term Investments and Other Assets and Liabilities |
0.4 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
21
MML Short-Duration Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Short-Duration Bond Fund Class II, Service Class I, and the Bloomberg Barclays U.S. 1-3 Year Government Bond Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Five Year Average Annual 1/1/14 - 12/31/18 |
Since Inception Average Annual 5/3/10 - 12/31/18 |
|||||||||
Class II | 1.53% | 1.85% | 2.26% | |||||||||
Service Class I | 1.29% | 1.58% | 2.01% | |||||||||
Bloomberg Barclays U.S. 1-3 Year Government Bond Index | 1.58% | 0.82% | 0.93% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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 Bloomberg Barclays U.S. 1-3 Year Government Bond Index is unmanaged, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
22
MML Small Cap Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Small Cap Equity Fund, and who is the Fund’s subadviser?
The Fund seeks capital appreciation by investing primarily in common stocks of small-capitalization U.S. companies that the Fund’s subadviser believes have favorable business trends or prospects based on fundamental analysis. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000® Index. The Fund’s subadviser is OppenheimerFunds, Inc. (OFI).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Initial Class shares returned -10.19%, outperforming the -11.01% return of the Russell 2000 Index (the “benchmark), which measures the performance of the small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, the Fund outperformed the benchmark primarily within the energy, health care, and information technology sectors, due to stronger relative stock selection. Underperforming sectors for the Fund included financials, industrials, and materials, where stock selection detracted from results.
Fund holdings that contributed to the Fund’s relative performance included Renewable Energy Group, Inc. (energy); Amedisys, Inc. (health care); and Etsy, Inc. (consumer discretionary). Renewable Energy Group rallied as investors cheered the company’s second-quarter earnings report, which showed improved profitability and a strengthening balance sheet. Home health provider Amedisys continued its strong run with better-than-expected second-quarter earnings due to operational improvements, notably in labor cost management. Investors also warmed to the home health space, as the reimbursement environment has improved. The Fund exited Amedisys late in the reporting period due to valuation, as the stock exceeded Fund management’s upside price target. Etsy’s stock moved substantially higher after raising their “take rate” significantly. (Take rate refers to the percentage of each sale the company keeps for itself.) This was interpreted by the market as a sign of confidence that the marketplace has developed enough stickiness with sellers to support pricing power.
Fund holdings that were top detractors from the Fund’s relative performance included Visteon Corporation (consumer discretionary); Summit Materials, Inc. (materials); and Prestige Consumer Healthcare, Inc. (health care). Visteon designs, engineers, and manufactures cockpit electronics products and connected car solutions for most of the world’s major vehicle manufacturers. After a strong two- to three-year run of meeting or beating analyst earnings estimates, the company reported disappointing second-quarter 2018 results in late July, and lowered its previous 2018 guidance. Specifically, the company has been facing increasing headwinds related to softening vehicle production, diesel demand, and tariffs. Summit Materials is one of the fastest-growing construction materials companies, which supplies aggregates, cement, ready-mix concrete, and asphalt paving mix within the U.S. and western Canada. In early August, the company reported softer-than-expected second-quarter 2018 results and lowered its full-year EBITDA guidance. (Earnings before interest, tax, depreciation and amortization (EBITDA) is a measure of a company’s operating performance.) In addition to the negative impact from poor weather in several of its key end markets, the company noted higher costs for raw materials, freight, labor, and fuel. Prestige Consumer Healthcare markets, sells, and distributes various over-the-counter health care and consumer products. In 2017 and into 2018, the consumer staples sector as a group was under pressure due to a variety of factors, and Prestige was no exception. Organic sales trends slowed and cost pressures increased, especially for transportation. Despite an attractive valuation, the Fund exited the stock during the second quarter of 2018.
Subadviser outlook
In the short term, Fund management expects that the U.S. economy has the potential to continue to show economic growth, albeit at slower rates than experienced in 2018, as the “sugar high” from tax cuts wears off. Fund management believes this may be driven by favorable ongoing consumer confidence, falling regulatory hurdles, and technological innovation. They believe that the biggest macro risks are trade tariffs and higher interest rates.
23
MML Small Cap Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
MML Small Cap Equity Fund Largest Holdings (% of Net Assets) on 12/31/18 |
||||
Korn/Ferry International |
2.1 | % | ||
CACI International, Inc. Class A |
2.1 | % | ||
Four Corners Property Trust, Inc. |
2.1 | % | ||
ASGN, Inc. |
1.9 | % | ||
Jack in the Box, Inc. |
1.8 | % | ||
National Storage Affiliates Trust |
1.8 | % | ||
Zynga, Inc. Class A |
1.8 | % | ||
Generac Holdings, Inc. |
1.8 | % | ||
j2 Global, Inc. |
1.6 | % | ||
Visteon Corp. |
1.5 | % | ||
|
|
|||
18.5 | % | |||
|
|
MML Small Cap Equity Fund Sector Table (% of Net Assets) on 12/31/18 |
||||
Financial |
23.5 | % | ||
Consumer, Non-cyclical |
19.1 | % | ||
Industrial |
15.2 | % | ||
Consumer, Cyclical |
15.2 | % | ||
Technology |
12.1 | % | ||
Utilities |
3.6 | % | ||
Basic Materials |
3.4 | % | ||
Communications |
2.9 | % | ||
Energy |
2.9 | % | ||
Mutual Funds |
2.8 | % | ||
|
|
|||
Total Long-Term Investments |
100.7 | % | ||
Short-Term Investments and Other Assets and Liabilities |
(0.7 | )% | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
24
MML Small Cap Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Small Cap Equity Fund Initial Class, Service Class, and the Russell 2000 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Five Year Average Annual 1/1/14 - 12/31/18 |
Ten Year Average Annual 1/1/09 - 12/31/18 |
|||||||||
Initial Class | -10.19% | 5.15% | 13.46% | |||||||||
Service Class | -10.41% | 4.88% | 13.18% | |||||||||
Russell 2000 Index | -11.01% | 4.41% | 11.97% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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 Russell 2000 Index is unmanaged, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
25
MML Special Situations Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Special Situations Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing primarily in common stocks of U.S. companies that are involved in “special situations.” A special situation might include, for example, a recently announced spin-off or divestiture, a change in dividend policy, involvement in a merger or acquisition transaction, a change in management, a significant change in ownership, or changes due to bankruptcy or insolvency process. The Fund’s subadviser expects that the Fund’s portfolio will initially emphasize “large capitalization” issuers, which are considered to be companies with market capitalizations at the time of purchase within the market capitalization range of companies included within the Russell 1000® Index, although the Fund’s holdings of securities of different market capitalizations will vary over time, depending on market conditions generally and on the companies involved at the time (or that the subadviser expects to be involved) in special situations. The Fund will typically invest primarily in common stocks. When the subadviser determines that there are an insufficient number of companies involved (or likely to be involved) in special situations, it may invest in any equity securities it considers to be consistent with the Fund’s objective of growth of capital over the long term. It may also invest in exchange-traded funds (ETFs) providing broad equity exposures or in derivatives, including swaps, futures contracts, and options, to gain broad exposures to equity markets. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II shares returned -4.83%, underperforming the -4.38% return of the S&P 500® Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Fund invests in many spin-offs, since when a company spins off a division into a separate company, it tends to unlock value in the shares. The pace of corporations spinning off divisions slowed dramatically in 2017 and 2018. There was a total of 26 spin-offs in the past two years, relative to an average of 29 spin-offs per year in the previous four years.
Spin-offs are owned disproportionately by hedge funds, so when the market turns, spin-offs tend to be the “canary in the coal mine.” The year 2018 was no different. Spin-offs started to underperform the market in July, and by October, they were down significantly relative to the rest of the market.
Companies that were created by spin-offs over the past two years fell, on average, 21% in 2018. In spin-offs, there are often big winners, but there are big losers as well. In 2018, there were only two big winners. The Fund was heavily invested in one of them, but not the other. There were many big losers.
The Fund was invested in Bioverativ, the biotechnology firm, before Sanofi, the French drug company, acquired it. The stock was up 94% in 2018, which helped performance. The Fund did not invest in the second big winner in the spin-off universe, the commercial real estate company Rafael Holdings. This company was spun off by IDT, the communications company, and the stock rose 70% during the year.
Two companies that were spun off a few years ago, PayPal and Zoetis, are still in the Fund’s portfolio, and these both turned in positive returns in 2018. Another Fund holding is Fortive, the industrial automation company that was spun off by Danaher, the industrial conglomerate in 2016; it declined over 40% in 2018.
The Fund had a small loss from the use of derivative securities in 2018. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.
Subadviser outlook
The Fund owns many spin-offs, which tend to be small- and mid-size companies in the industrials sector. The trade war hurt the prospects of these companies in 2018 because they are reliant on overseas sales, or they use the global supply chain for intermediate goods in their manufacturing processes. Given these dependencies, Fund management is cautious on the outlook for special situations. They still believe there are opportunities, but currently, are holding more cash than normal in the Fund until some of the uncertainty has, in their view, been resolved.
26
MML Special Situations Fund – Portfolio Manager Report (Unaudited) (Continued)
MML Special Situations Fund Largest Holdings (% of Net Assets) on 12/31/18 |
||||
PayPal Holdings, Inc. |
12.9 | % | ||
Zoetis, Inc. |
7.4 | % | ||
Hewlett Packard Enterprise Co. |
4.7 | % | ||
Keysight Technologies, Inc. |
4.0 | % | ||
Lamb Weston Holdings, Inc. |
3.8 | % | ||
Liberty Latin America Ltd. Class A |
3.4 | % | ||
Allegion PLC |
3.0 | % | ||
ONE Gas, Inc. |
2.6 | % | ||
AbbVie, Inc. |
2.6 | % | ||
Danaher Corp. |
2.5 | % | ||
|
|
|||
46.9 | % | |||
|
|
MML Special Situations Fund Sector Table (% of Net Assets) on 12/31/18 |
||||
Consumer, Non-cyclical |
33.4 | % | ||
Industrial |
11.7 | % | ||
Communications |
10.0 | % | ||
Technology |
8.4 | % | ||
Financial |
4.7 | % | ||
Energy |
2.9 | % | ||
Basic Materials |
2.7 | % | ||
Utilities |
2.6 | % | ||
Consumer, Cyclical |
1.7 | % | ||
|
|
|||
Total Long-Term Investments |
78.1 | % | ||
Short-Term Investments and Other Assets and Liabilities |
21.9 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
27
MML Special Situations Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Special Situations Fund Class II, Service Class I, and the S&P 500 Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Since Inception 5/15/15 - 12/31/18 |
||||||
Class II | -4.83% | 2.78% | ||||||
Service Class I | -5.13% | 2.51% | ||||||
S&P 500 Index | -4.38% | 6.87% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
28
MML Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Strategic Emerging Markets Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth by investing mainly in common stocks of issuers in developing and emerging markets throughout the world and, at times, up to 100% of its total assets in foreign securities. Under normal market conditions, the Fund will invest at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities of issuers whose principal activities are in a developing (or emerging) market, i.e., are in a developing market or are economically tied to a developing market country. The Fund will invest in at least three developing markets. The Fund focuses on companies with above-average earnings growth. In general, countries may be considered developing or emerging markets if they are included in any one of the MSCI emerging markets indices, classified as a developing or emerging market, or classified under a similar or corresponding classification, by organizations such as the World Bank and the International Monetary Fund, or have economies, industries, and stock markets with similar characteristics. The Fund’s subadviser is OppenheimerFunds, Inc. (OFI).
How did the Fund perform during the 12 months ended December 31, 2018?
The Fund’s Class II Shares returned -12.40%, outperforming the -14.58% return of the MSCI EM Index (the “benchmark”), which measures the performance of the large and mid cap segments of emerging market equity securities.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2018, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2018, the Fund outperformed the benchmark due to stock selection in the information technology, consumer discretionary, financials, health care, and energy sectors. Stock selection in the materials, consumer staples, communication services, and industrials sectors detracted from performance. In terms of countries, stock selection in India contributed positively to relative performance, as did an overweight position, relative to the benchmark, in France and an underweight stake in South Korea. Detractors from performance included overweight positions in the U.K. and U.S., and stock selection in the United Arab Emirates.
Top-performing Fund holdings included Novatek (energy, Russia), Housing Development Finance Corporation (HDFC) (financials, India), and Kotak Mahindra Bank Ltd. (financials, India). Novatek, a Russian energy company, has always stood at the forefront of technological and business innovation, finding creative ways to add value to its constantly expanding natural gas and condensate resource base. The company posted a 75% year-over-year increase in EBITDA during the third quarter of 2018. (Earnings before interest, tax, depreciation and amortization (EBITDA) is a measure of a company’s operating performance.) HDFC is a financial institution that provides housing finance in India to low- and middle-income individuals, as well as to corporations. The company released strong second-quarter fiscal year 2019 results at the beginning of November. Kotak Mahindra Bank, the fourth-largest private bank in India, has about 1,400 branches, and owns 100% of its various subsidies, which enables it to provide a full range of financial services.
Fund holdings that were top detractors from performance included Alibaba Group Holding Ltd. (consumer discretionary, China), Tencent Holdings Ltd. (communication services, China), and Glencore plc (materials, U.K.). Alibaba is one of China’s most dominant internet companies and holds the leading position in the sizable ecommerce market. During the year, the company saw its share price pull back as trade rhetoric between the United States and China negatively impacted all U.S.-listed Chinese companies. Tencent is a Chinese internet company that dominates the Chinese consumer market through a broad ecosystem built on gaming, messaging, payment, and content. Although Tencent continues to diversify, the company still derives 65% of gross profits from gaming, which has had slowing growth as a result of a very large base of comparison. Additionally, approvals for new PC and mobile games have been delayed due to changes in administrative procedures at the regulators. These factors, along with the escalated trade rhetoric between the United States and China noted above, hampered Tencent’s performance. Glencore is one of the world’s leading producers and marketers of commodities and one of the most diversified. Its stock price was adversely impacted by developments at the Katanga mine in the Democratic Republic of Congo, including ongoing political and policy controversies and a six-month suspension of Katanga cobalt sales announced November 6, due to the detection of low-level radioactivity. This proved highly disruptive to global cobalt prices.
29
MML Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
Fund management continues to believe that emerging markets (EM) should be an increasingly core allocation for global investors. EM now represents a meaningful portion of global gross domestic product (GDP) and is the largest contributor to global growth. Fund management believes most investors are still under-allocated to EM and, especially for those who invest through passive vehicles, to the areas of EM that exhibit the most attractive growth characteristics. Fund management’s approach to investing and the positioning of the Fund remain unchanged – they strive to focus on long-term investments in extraordinary companies that they believe have the potential to possess competitive advantages that could manifest themselves over the course of many years. This results in exposure to various sectors and industries – including e-commerce, cloud computing, internet services, health care, travel, and education.
MML Strategic Emerging Markets Fund Largest Holdings (% of Net Assets) on 12/31/18 |
||||
Alibaba Group Holding Ltd. Sponsored ADR |
5.8 | % | ||
Taiwan Semiconductor Manufacturing Co. Ltd. |
5.4 | % | ||
Novatek PJSC Sponsored GDR Registered |
4.3 | % | ||
Kering SA |
3.9 | % | ||
Housing Development Finance Corp. Ltd. |
3.9 | % | ||
Tencent Holdings Ltd. |
3.8 | % | ||
Glencore PLC |
3.7 | % | ||
Kotak Mahindra Bank Ltd. |
3.4 | % | ||
AIA Group Ltd. |
2.9 | % | ||
LVMH Moet Hennessy Louis Vuitton SE |
2.3 | % | ||
|
|
|||
39.4 | % | |||
|
|
MML Strategic Emerging Markets Fund Sector Table (% of Net Assets) on 12/31/18 |
||||
Financial |
25.6 | % | ||
Communications |
16.2 | % | ||
Consumer, Cyclical |
16.1 | % | ||
Consumer, Non-cyclical |
13.8 | % | ||
Technology |
7.6 | % | ||
Basic Materials |
6.1 | % | ||
Energy |
5.2 | % | ||
Industrial |
3.2 | % | ||
Diversified |
1.4 | % | ||
Mutual Funds |
1.3 | % | ||
|
|
|||
Total Long-Term Investments |
96.5 | % | ||
Short-Term Investments and Other Assets and Liabilities |
3.5 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
30
MML Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MML Strategic Emerging Markets Fund Service Class I and the MSCI EM Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Five Year Average Annual 1/1/14 - 12/31/18 |
Ten Year Average Annual 1/1/09 - 12/31/18 |
|||||||||
Service Class I | -12.60% | 0.06% | 5.81% | |||||||||
MSCI EM Index | -14.58% | 1.65% | 8.02% |
Hypothetical Investments in MML Strategic Emerging Markets Fund Class II and the MSCI EM Index.
TOTAL RETURN | One Year 1/1/18 - 12/31/18 |
Five Year Average Annual 1/1/14 - 12/31/18 |
Since Inception Average Annual 5/1/09 - 12/31/18 |
|||||||||
Class II | -12.40% | 0.28% | 4.60% | |||||||||
MSCI EM Index | -14.58% | 1.65% | 6.49% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
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 MSCI EM Index is unmanaged, 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 (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
31
Number of Shares |
Value | |||||||
EQUITIES — 20.3% |
| |||||||
COMMON STOCK — 20.3% |
| |||||||
Communications — 1.3% |
| |||||||
Internet — 0.8% |
| |||||||
Rightmove PLC |
35,000 | $ | 192,322 | |||||
|
|
|||||||
Telecommunications — 0.5% |
| |||||||
NTT DOCOMO, Inc. |
5,600 | 125,748 | ||||||
|
|
|||||||
318,070 | ||||||||
|
|
|||||||
Consumer, Cyclical — 3.1% |
| |||||||
Distribution & Wholesale — 3.1% |
| |||||||
Pool Corp. |
5,100 | 758,115 | ||||||
|
|
|||||||
Consumer, Non-cyclical — 3.0% |
| |||||||
Health Care – Products — 0.8% |
| |||||||
Advanced Medical Solutions Group PLC |
54,425 | 189,816 | ||||||
|
|
|||||||
Health Care – Services — 1.1% |
| |||||||
Fresenius SE & Co. KGaA |
5,900 | 285,192 | ||||||
|
|
|||||||
Household Products & Wares — 1.1% |
| |||||||
Henkel AG & Co. KGaA |
2,000 | 196,688 | ||||||
Portmeirion Group PLC |
5,600 | 67,809 | ||||||
|
|
|||||||
264,497 | ||||||||
|
|
|||||||
739,505 | ||||||||
|
|
|||||||
Financial — 5.3% |
| |||||||
Diversified Financial Services — 5.3% |
| |||||||
Mastercard, Inc. Class A |
5,300 | 999,845 | ||||||
Visa, Inc. Class A |
2,200 | 290,268 | ||||||
|
|
|||||||
1,290,113 | ||||||||
|
|
|||||||
Industrial — 4.1% |
| |||||||
Building Materials — 0.3% |
| |||||||
Breedon Group PLC (a) |
88,437 | 66,506 | ||||||
|
|
|||||||
Electronics — 1.2% |
| |||||||
Halma PLC |
17,600 | 304,662 | ||||||
|
|
|||||||
Hand & Machine Tools — 0.6% |
| |||||||
Schindler Holding AG |
700 | 139,071 | ||||||
|
|
|||||||
Machinery – Diversified — 2.0% |
| |||||||
Keyence Corp. |
400 | 201,592 | ||||||
Roper Technologies, Inc. |
1,100 | 293,172 | ||||||
|
|
|||||||
494,764 | ||||||||
|
|
|||||||
1,005,003 | ||||||||
|
|
|||||||
Technology — 3.5% |
| |||||||
Computers — 2.5% |
| |||||||
Fortinet, Inc. (a) |
8,800 | 619,784 | ||||||
|
|
Number of Shares |
Value | |||||||
Software — 1.0% |
| |||||||
EMIS Group PLC |
11,800 | $ | 137,263 | |||||
Nexus AG |
3,400 | 95,732 | ||||||
|
|
|||||||
232,995 | ||||||||
|
|
|||||||
852,779 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $4,680,976) |
4,963,585 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $4,680,976) |
4,963,585 | |||||||
|
|
|||||||
Principal Amount |
||||||||
BONDS & NOTES — 12.1% |
| |||||||
U.S. TREASURY OBLIGATIONS — 12.1% |
| |||||||
U.S. Treasury Bonds & Notes — 12.1% |
| |||||||
U.S. Treasury Note |
$ | 3,000,000 | 2,976,309 | |||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,991,914) |
2,976,309 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $2,991,914) |
2,976,309 | |||||||
|
|
|||||||
Number of Shares |
||||||||
MUTUAL FUNDS — 53.0% |
| |||||||
Diversified Financial Services — 53.0% |
| |||||||
iShares MSCI Brazil Capped Index Fund (c) |
36,000 | 1,375,200 | ||||||
iShares MSCI India ETF |
6,600 | 220,044 | ||||||
iShares MSCI Mexico ETF |
17,000 | 700,060 | ||||||
State Street Navigator Securities Lending Prime Portfolio (d) |
1,389,960 | 1,389,960 | ||||||
Vanguard Short-Term Bond ETF |
82,000 | 6,442,740 | ||||||
Vanguard Total Stock Market ETF |
22,200 | 2,833,386 | ||||||
|
|
|||||||
12,961,390 | ||||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $13,134,439) |
12,961,390 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $20,807,329) |
20,901,284 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
32
MML Asset Momentum Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
SHORT-TERM INVESTMENTS — 21.0% |
| |||||||
Repurchase Agreement — 21.0% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (e) |
$ | 5,136,732 | $ | 5,136,732 | ||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,136,732) |
5,136,732 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 106.4% (Cost $25,944,061) (f) |
26,038,016 | |||||||
Other Assets/(Liabilities) — (6.4)% | (1,570,986 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 24,467,030 | ||||||
|
|
Abbreviation Legend
ETF | Exchange-Traded Fund |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $1,361,448 or 5.56% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $5,137,089. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $5,243,566. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
Forward contracts at December 31, 2018:
Counterparty | Settlement Date |
In Exchange for |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||
Contract to Buy | ||||||||||||||||||||
GBP |
1,016,335 | HSBC Bank USA* | 6/21/19 | $ | 1,400,000 | $ | (94,061 | ) | ||||||||||||
|
|
|||||||||||||||||||
Cross Currency Forwards | ||||||||||||||||||||
MYR |
6,000,000 | Barclays Bank PLC* | 2/22/19 | JPY | 159,300,000 | $ | (7,762 | ) | ||||||||||||
|
|
|||||||||||||||||||
GBP |
995,000 | HSBC Bank USA* | 4/05/19 | AUD | 1,846,464 | (28,626 | ) | |||||||||||||
|
|
|||||||||||||||||||
$ | (36,388 | ) | ||||||||||||||||||
|
|
* | Contracts are subject to a Master Netting Agreement. |
Futures contracts at December 31, 2018:
Expiration Date |
Number of Contracts |
Notional Amount |
Value/ Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Long | ||||||||||||||||
Mexican Bolsa Index |
3/15/19 | 11 | $ | 236,120 | $ | (2,269 | ) | |||||||||
NASDAQ 100 E-Mini Index |
3/15/19 | 51 | 6,930,559 | (470,644 | ) | |||||||||||
S&P 500 E-Mini Index |
3/15/19 | 111 | 14,742,834 | (838,974 | ) | |||||||||||
|
|
|||||||||||||||
$ | (1,311,887 | ) | ||||||||||||||
|
|
Currency Legend
AUD | Australian Dollar |
GBP | British Pound |
JPY | Japanese Yen |
MYR | Malaysian Ringgit |
The accompanying notes are an integral part of the financial statements.
33
Principal Amount |
Value | |||||||
BONDS & NOTES — 94.5% |
| |||||||
CORPORATE DEBT — 24.7% |
| |||||||
Advertising — 0.1% |
| |||||||
The Interpublic Group of Cos., Inc. |
$ | 545,000 | $ | 516,116 | ||||
|
|
|||||||
Aerospace & Defense — 0.2% |
| |||||||
Lockheed Martin Corp. |
505,000 | 526,226 | ||||||
TransDigm, Inc. |
165,000 | 153,450 | ||||||
|
|
|||||||
679,676 | ||||||||
|
|
|||||||
Agriculture — 0.2% |
| |||||||
BAT Capital Corp. |
180,000 | 178,189 | ||||||
JBS Investments II GmbH |
200,000 | 196,000 | ||||||
Reynolds American, Inc. |
335,000 | 331,389 | ||||||
|
|
|||||||
705,578 | ||||||||
|
|
|||||||
Airlines — 0.2% |
| |||||||
Delta Air Lines, Inc. |
570,000 | 560,882 | ||||||
Guanay Finance Ltd. |
327,017 | 329,061 | ||||||
Latam Finance Ltd. |
200,000 | 196,952 | ||||||
|
|
|||||||
1,086,895 | ||||||||
|
|
|||||||
Auto Manufacturers — 0.7% |
| |||||||
Daimler Finance North America LLC |
985,000 | 974,814 | ||||||
Ford Motor Co. |
485,000 | 500,047 | ||||||
General Motors Co. 3 mo. USD LIBOR + .800% |
210,000 | 207,882 | ||||||
General Motors Financial Co., Inc. |
505,000 | 479,068 | ||||||
3.950% 4/13/24 |
115,000 | 109,217 | ||||||
Volkswagen Group of America Finance LLC |
700,000 | 694,264 | ||||||
|
|
|||||||
2,965,292 | ||||||||
|
|
|||||||
Banks — 3.9% |
| |||||||
Banco Bilbao Vizcaya Argentaria Colombia SA |
300,000 | 291,750 | ||||||
Banco de Credito e Inversiones |
200,000 | 197,771 |
Principal Amount |
Value | |||||||
Banco de Reservas de la Republica Dominicana |
$ | 200,000 | $ | 200,000 | ||||
Banco do Brasil SA 10 year CMT + 4.398% |
600,000 | 514,500 | ||||||
Banco Macro SA 5 year |
350,000 | 282,625 | ||||||
Banco Mercantil del Norte SA 5 year |
200,000 | 179,796 | ||||||
10 year CMT + 5.353% |
400,000 | 387,000 | ||||||
Banco Santander Chile |
150,000 | 149,295 | ||||||
Banco Santander Mexico SA |
250,000 | 250,938 | ||||||
Banco Santander SA |
600,000 | 587,471 | ||||||
Bancolombia SA |
400,000 | 385,504 | ||||||
Banistmo SA |
200,000 | 190,000 | ||||||
Bank of Montreal |
450,000 | 416,700 | ||||||
Barclays PLC |
425,000 | 404,693 | ||||||
BBVA Bancomer SA |
800,000 | 694,000 | ||||||
BDO Unibank, Inc. |
300,000 | 288,090 | ||||||
2.950% 3/06/23 (c) |
300,000 | 283,560 | ||||||
BNP Paribas SA |
595,000 | 559,941 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 1.100% |
845,000 | 824,390 | ||||||
Credit Agricole SA |
535,000 | 523,519 | ||||||
Credit Suisse Group AG |
430,000 | 423,518 | ||||||
DBS Group Holdings Ltd. 5 year |
600,000 | 573,000 | ||||||
Global Bank Corp. |
700,000 | 700,350 | ||||||
The Goldman Sachs Group, Inc. |
370,000 | 360,521 | ||||||
3.786% FRN 5/15/26 (a) |
360,000 | 345,519 | ||||||
HSBC Holdings PLC |
835,000 | 822,243 | ||||||
Industrial Senior Trust |
100,000 | 97,250 |
The accompanying notes are an integral part of the financial statements.
34
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Itau Unibanco Holding SA |
$ | 350,000 | $ | 331,187 | ||||
Lloyds Banking Group PLC |
600,000 | 533,714 | ||||||
Macquarie Group Ltd. |
260,000 | 249,897 | ||||||
4.150% VRN 3/27/24 (a) (b) |
280,000 | 280,032 | ||||||
Malayan Banking Bhd 5 year |
600,000 | 592,416 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
495,000 | 486,797 | ||||||
Morgan Stanley 3 mo. |
585,000 | 553,120 | ||||||
Royal Bank of Scotland Group PLC 3 mo. USD LIBOR + 1.480% |
285,000 | 274,061 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
815,000 | 804,777 | ||||||
Union Bank of the Philippines |
400,000 | 380,600 | ||||||
United Overseas Bank Ltd. |
500,000 | 460,553 | ||||||
Westpac Banking Corp. |
850,000 | 841,074 | ||||||
|
|
|||||||
16,722,172 | ||||||||
|
|
|||||||
Beverages — 0.2% |
| |||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
250,000 | 231,846 | ||||||
Anheuser-Busch InBev Worldwide, Inc. |
290,000 | 259,915 | ||||||
Embotelladora Andina SA |
310,000 | 318,280 | ||||||
|
|
|||||||
810,041 | ||||||||
|
|
|||||||
Biotechnology — 0.1% |
| |||||||
Celgene Corp. |
595,000 | 501,052 | ||||||
|
|
|||||||
Building Materials — 0.2% |
| |||||||
Builders FirstSource, Inc. |
250,000 | 231,875 | ||||||
Owens Corning |
350,000 | 264,563 | ||||||
Votorantim Cimentos SA |
200,000 | 204,500 | ||||||
|
|
|||||||
700,938 | ||||||||
|
|
|||||||
Chemicals — 0.5% |
| |||||||
Ashland LLC |
155,000 | 152,675 | ||||||
Braskem Finance Ltd. |
200,000 | 210,002 |
Principal Amount |
Value | |||||||
DowDuPont, Inc. |
$ | 435,000 | $ | 451,940 | ||||
Grupo Idesa SA de CV |
400,000 | 279,500 | ||||||
Hexion, Inc. |
80,000 | 63,800 | ||||||
10.375% 2/01/22 (b) |
95,000 | 75,762 | ||||||
The Mosaic Co. |
600,000 | 569,059 | ||||||
UPL Corp. Ltd. |
200,000 | 193,374 | ||||||
|
|
|||||||
1,996,112 | ||||||||
|
|
|||||||
Coal — 0.1% |
| |||||||
Peabody Energy Corp. |
405,000 | 392,850 | ||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. |
230,000 | 217,925 | ||||||
|
|
|||||||
610,775 | ||||||||
|
|
|||||||
Commercial Services — 0.3% |
| |||||||
Adani Ports & Special Economic Zone Ltd. |
375,000 | 368,836 | ||||||
ENA Norte Trust |
133,149 | 133,416 | ||||||
Garda World Security Corp. |
210,000 | 191,100 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. |
223,000 | 229,969 | ||||||
Refinitiv US Holdings, Inc. |
195,000 | 188,175 | ||||||
United Rentals North America, Inc. |
190,000 | 187,150 | ||||||
Verscend Escrow Corp. |
237,000 | 222,780 | ||||||
|
|
|||||||
1,521,426 | ||||||||
|
|
|||||||
Diversified Financial Services — 2.0% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
600,000 | 547,424 | ||||||
Air Lease Corp. |
470,000 | 465,090 | ||||||
Ally Financial, Inc. |
480,000 | 474,600 | ||||||
4.250% 4/15/21 |
30,000 | 29,442 | ||||||
American Express Co. |
1,115,000 | 1,076,175 | ||||||
ASP AMC Merger Sub, Inc. |
170,000 | 90,100 |
The accompanying notes are an integral part of the financial statements.
35
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Banco BTG Pactual SA 5 year |
$ | 200,000 | $ | 202,040 | ||||
BOC Aviation Ltd. |
565,000 | 562,024 | ||||||
Capital One Financial Corp. |
140,000 | 136,189 | ||||||
The Charles Schwab Corp. |
550,000 | 550,127 | ||||||
Credito Real SAB de CV SOFOM ER |
200,000 | 187,752 | ||||||
Discover Financial Services |
720,000 | 672,169 | ||||||
Interoceanica IV Finance Ltd. |
975,178 | 824,026 | ||||||
Nationstar Mortgage Holdings, Inc. |
145,000 | 141,375 | ||||||
NFP Corp. |
320,000 | 286,400 | ||||||
SPARC EM SPC Panama Metro Line 2 SP |
597,914 | 541,866 | ||||||
0.010% 12/05/22 (c) |
512,498 | 464,456 | ||||||
SURA Asset Management SA |
200,000 | 198,002 | ||||||
Synchrony Financial |
530,000 | 526,502 | ||||||
3.950% 12/01/27 |
25,000 | 21,057 | ||||||
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. |
150,000 | 138,750 | ||||||
Unifin Financiera SAB de CV SOFOM ENR |
400,000 | 330,000 | ||||||
|
|
|||||||
8,465,566 | ||||||||
|
|
|||||||
Electric — 2.7% |
| |||||||
AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It |
500,000 | 505,000 | ||||||
American Electric Power Co., Inc. |
313,000 | 306,916 | ||||||
Cometa Energia SA de CV |
394,800 | 365,190 | ||||||
DTE Energy Co. |
500,000 | 487,843 | ||||||
Duke Energy Corp. |
215,000 | 185,879 | ||||||
3.950% 8/15/47 |
240,000 | 216,611 | ||||||
Duke Energy Florida LLC |
1,000,000 | 967,579 |
Principal Amount |
Value | |||||||
Duke Energy Progress, Inc. |
$ | 415,000 | $ | 402,887 | ||||
Edison International |
260,000 | 246,080 | ||||||
Empresa Electrica Angamos SA |
182,600 | 174,601 | ||||||
Empresa Electrica Guacolda SA |
200,000 | 176,869 | ||||||
Enel Finance International NV |
565,000 | 552,449 | ||||||
Energuate Trust |
200,000 | 185,000 | ||||||
Engie Energia Chile SA |
100,000 | 102,252 | ||||||
Eversource Energy |
1,000,000 | 982,650 | ||||||
Exelon Corp. |
750,000 | 713,044 | ||||||
Fortis, Inc. |
505,000 | 485,490 | ||||||
Inkia Energy Ltd. |
400,000 | 370,504 | ||||||
Israel Electric Corp. Ltd. |
200,000 | 201,456 | ||||||
Mexico Generadora de Energia S. de R.L. |
172,140 | 164,394 | ||||||
NextEra Energy Capital Holdings, Inc. |
280,000 | 267,189 | ||||||
NextEra Energy Operating Partners LP |
170,000 | 151,300 | ||||||
Pampa Energia SA |
600,000 | 502,620 | ||||||
PSEG Power LLC |
430,000 | 430,350 | ||||||
Sierra Pacific Power Co. |
1,000,000 | 931,626 | ||||||
The Southern Co. |
65,000 | 64,682 | ||||||
Vistra Operations Co. LLC |
235,000 | 226,188 | ||||||
Xcel Energy, Inc. |
1,000,000 | 977,200 | ||||||
|
|
|||||||
11,343,849 | ||||||||
|
|
|||||||
Electronics — 0.2% |
| |||||||
Arrow Electronics, Inc. |
290,000 | 264,166 | ||||||
Corning, Inc. |
595,000 | 499,384 | ||||||
|
|
|||||||
763,550 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
36
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Engineering & Construction — 0.2% |
| |||||||
Mexico City Airport Trust |
$ | 500,000 | $ | 445,630 | ||||
Sydney Airport Finance Co. Pty Ltd. |
300,000 | 287,928 | ||||||
3.625% 4/28/26 (b) |
300,000 | 286,928 | ||||||
|
|
|||||||
1,020,486 | ||||||||
|
|
|||||||
Entertainment — 0.1% |
| |||||||
Caesars Resort Collection LLC/CRC Finco, Inc. |
210,000 | 180,600 | ||||||
Eldorado Resorts, Inc. |
80,000 | 75,600 | ||||||
Eldorado Resorts, Inc. |
235,000 | 226,690 | ||||||
|
|
|||||||
482,890 | ||||||||
|
|
|||||||
Environmental Controls — 0.1% |
| |||||||
Tervita Escrow Corp. |
235,000 | 223,838 | ||||||
|
|
|||||||
Food Services — 0.1% |
| |||||||
Aramark Services, Inc. |
230,000 | 224,825 | ||||||
|
|
|||||||
Foods — 1.1% |
| |||||||
Albertsons Cos. LLC / Safeway, Inc. / New Albertsons LP / Albertson’s LLC |
175,000 | 153,125 | ||||||
B&G Foods, Inc. |
160,000 | 148,800 | ||||||
Cosan Overseas Ltd. |
500,000 | 503,750 | ||||||
ESAL GmbH |
400,000 | 396,004 | ||||||
JBS Investments GmbH |
200,000 | 201,602 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. |
260,000 | 253,500 | ||||||
The Kroger Co. |
565,000 | 559,185 | ||||||
MARB BondCo PLC |
200,000 | 185,352 | ||||||
7.000% 3/15/24 (c) |
200,000 | 188,952 | ||||||
Marfrig Holdings Europe BV |
200,000 | 200,500 | ||||||
Minerva Luxembourg SA |
400,000 | 348,000 | ||||||
6.500% 9/20/26 (c) |
400,000 | 372,500 | ||||||
Pilgrim’s Pride Corp. |
255,000 | 239,063 | ||||||
Post Holdings, Inc. |
240,000 | 230,354 |
Principal Amount |
Value | |||||||
Smithfield Foods, Inc. |
$ | 595,000 | $ | 554,644 | ||||
|
|
|||||||
4,535,331 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.0% |
| |||||||
Celulosa Arauco y Constitucion SA |
200,000 | 202,202 | ||||||
|
|
|||||||
Health Care – Products — 0.4% |
| |||||||
Avantor, Inc. |
270,000 | 270,000 | ||||||
Becton Dickinson and Co. |
810,000 | 784,501 | ||||||
Zimmer Biomet Holdings, Inc. |
570,000 | 564,561 | ||||||
|
|
|||||||
1,619,062 | ||||||||
|
|
|||||||
Health Care – Services — 0.2% |
| |||||||
Centene Corp. |
310,000 | 296,050 | ||||||
5.375% 6/01/26 (b) |
35,000 | 34,038 | ||||||
HCA, Inc. |
320,000 | 311,200 | ||||||
MPH Acquisition Holdings LLC |
150,000 | 139,875 | ||||||
WellCare Health Plans, Inc. |
200,000 | 193,000 | ||||||
|
|
|||||||
974,163 | ||||||||
|
|
|||||||
Home Furnishing — 0.1% |
| |||||||
Tempur Sealy International, Inc. |
248,000 | 226,300 | ||||||
|
|
|||||||
Insurance — 0.7% |
| |||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer
|
265,000 | 261,025 | ||||||
Athene Global Funding |
485,000 | 473,768 | ||||||
AXA Equitable Holdings, Inc. |
490,000 | 483,928 | ||||||
Brighthouse Financial, Inc. |
575,000 | 485,859 | ||||||
Liberty Mutual Group, Inc. |
690,000 | 818,281 | ||||||
Willis North America, Inc. |
565,000 | 560,571 | ||||||
|
|
|||||||
3,083,432 | ||||||||
|
|
|||||||
Internet — 0.2% |
| |||||||
Expedia, Inc. Co. |
595,000 | 539,566 | ||||||
Match Group, Inc. |
165,000 | 151,388 | ||||||
|
|
|||||||
690,954 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
37
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Leisure Time — 0.1% |
| |||||||
Royal Caribbean Cruises Ltd. |
$ | 295,000 | $ | 272,800 | ||||
Viking Cruises Ltd. |
235,000 | 219,137 | ||||||
|
|
|||||||
491,937 | ||||||||
|
|
|||||||
Lodging — 0.3% |
| |||||||
Gohl Capital Ltd. |
600,000 | 564,439 | ||||||
Hilton Domestic Operating Co., Inc. |
565,000 | 542,400 | ||||||
|
|
|||||||
1,106,839 | ||||||||
|
|
|||||||
Media — 0.6% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
175,000 | 161,000 | ||||||
5.750% 2/15/26 (b) |
160,000 | 156,800 | ||||||
Cengage Learning, Inc. |
185,000 | 125,800 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
525,000 | 522,039 | ||||||
Comcast Corp. |
555,000 | 561,570 | ||||||
CSC Holdings LLC |
170,000 | 155,762 | ||||||
Gray Escrow, Inc. |
265,000 | 257,890 | ||||||
Sirius XM Radio, Inc. |
160,000 | 149,600 | ||||||
VTR Finance BV |
200,000 | 200,000 | ||||||
6.875% 1/15/24 (b) |
200,000 | 200,000 | ||||||
|
|
|||||||
2,490,461 | ||||||||
|
|
|||||||
Mining — 0.4% |
| |||||||
Anglo American Capital PLC |
585,000 | 543,872 | ||||||
Fresnillo PLC |
500,000 | 508,130 | ||||||
Nexa Resources SA |
200,000 | 193,500 | ||||||
Vedanta Resources PLC |
400,000 | 331,595 | ||||||
|
|
|||||||
1,577,097 | ||||||||
|
|
|||||||
Oil & Gas — 2.1% |
| |||||||
Bharat Petroleum Corp. Ltd. |
200,000 | 201,248 | ||||||
BPRL International Singapore Pte Ltd. |
500,000 | 472,448 |
Principal Amount |
Value | |||||||
Canacol Energy Ltd. |
$ | 200,000 | $ | 184,002 | ||||
7.250% 5/03/25 (c) |
400,000 | 368,004 | ||||||
CNOOC Finance 2015 USA LLC |
570,000 | 569,627 | ||||||
Continental Resources, Inc. |
265,000 | 249,302 | ||||||
Delek & Avner Tamar Bond Ltd. |
100,000 | 99,855 | ||||||
5.412% 12/30/25 (b) |
100,000 | 99,872 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. |
160,000 | 141,600 | ||||||
EQT Corp. |
610,000 | 525,870 | ||||||
Geopark Ltd. |
400,000 | 370,000 | ||||||
Gran Tierra Energy International Holdings Ltd. |
400,000 | 371,500 | ||||||
Gulfport Energy Corp. |
250,000 | 221,250 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co. |
165,000 | 145,200 | ||||||
Indian Oil Corp. Ltd. |
600,000 | 631,866 | ||||||
Indigo Natural Resources LLC |
165,000 | 141,900 | ||||||
Marathon Petroleum Corp. |
530,000 | 542,885 | ||||||
Nabors Industries, Inc. |
200,000 | 151,414 | ||||||
ONGC Videsh Vankorneft Pte Ltd. |
850,000 | 789,109 | ||||||
Petrobras Global Finance BV |
500,000 | 462,500 | ||||||
7.250% 3/17/44 |
100,000 | 98,551 | ||||||
Petronas Capital Ltd. |
800,000 | 785,802 | ||||||
QEP Resources, Inc. |
165,000 | 136,950 | ||||||
Sinopec Group Overseas Development Ltd. |
500,000 | 454,224 | ||||||
Sunoco LP / Sunoco Finance Corp. |
165,000 | 156,337 | ||||||
Transocean Guardian Ltd. |
85,000 | 81,388 | ||||||
Transocean, Inc. |
210,000 | 183,225 | ||||||
YPF Sociedad Anonima |
350,000 | 285,250 | ||||||
8.500% 7/28/25 (c) |
300,000 | 269,250 | ||||||
|
|
|||||||
9,190,429 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
38
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Oil & Gas Services — 0.0% |
| |||||||
USA Compression Partners LP/USA Compression Finance Corp. |
$ | 160,000 | $ | 153,600 | ||||
|
|
|||||||
Packaging & Containers — 0.3% |
| |||||||
Crown Americas LLC/Crown Americas Capital Corp. VI |
325,000 | 306,312 | ||||||
Flex Acquisition Co., Inc. |
210,000 | 186,900 | ||||||
Packaging Corp. of America |
290,000 | 271,964 | ||||||
WRKCo, Inc. |
530,000 | 520,060 | ||||||
|
|
|||||||
1,285,236 | ||||||||
|
|
|||||||
Pharmaceuticals — 0.8% |
| |||||||
AbbVie, Inc. |
580,000 | 527,459 | ||||||
AstraZeneca PLC |
600,000 | 575,538 | ||||||
Bausch Health Cos., Inc. |
150,000 | 151,500 | ||||||
Cigna Corp. |
500,000 | 492,381 | ||||||
CVS Health Corp. |
520,000 | 505,757 | ||||||
Shire Acquisitions Investments Ireland DAC |
580,000 | 548,284 | ||||||
Teva Pharmaceutical Finance Netherlands III BV |
465,000 | 400,479 | ||||||
Valeant Pharmaceuticals International |
150,000 | 150,000 | ||||||
|
|
|||||||
3,351,398 | ||||||||
|
|
|||||||
Pipelines — 1.0% |
| |||||||
Cheniere Energy Partners LP |
240,000 | 223,800 | ||||||
Enable Midstream Partners LP |
590,000 | 550,906 | ||||||
Energy Transfer Operating LP |
80,000 | 74,555 | ||||||
4.750% 1/15/26 |
470,000 | 456,680 | ||||||
EQM Midstream Partners LP |
660,000 | 658,581 | ||||||
Fermaca Enterprises S de RL de CV |
225,447 | 225,167 | ||||||
Kinder Morgan Energy Partners LP |
700,000 | 780,744 | ||||||
Sabine Pass Liquefaction LLC |
660,000 | 662,204 |
Principal Amount |
Value | |||||||
Sunoco Logistics Partners Operations LP |
$ | 750,000 | $ | 692,637 | ||||
|
|
|||||||
4,325,274 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 1.3% |
| |||||||
Alexandria Real Estate Equities, Inc. |
420,000 | 424,830 | ||||||
American Tower Corp. |
570,000 | 532,572 | ||||||
4.400% 2/15/26 |
950,000 | 949,258 | ||||||
Boston Properties LP |
520,000 | 527,046 | ||||||
Crown Castle International Corp. |
575,000 | 533,048 | ||||||
3.700% 6/15/26 |
700,000 | 672,877 | ||||||
4.000% 3/01/27 |
225,000 | 219,142 | ||||||
Digital Realty Trust LP |
250,000 | 235,955 | ||||||
ESH Hospitality, Inc. |
240,000 | 223,200 | ||||||
GLP Capital LP/GLP Financing II, Inc. |
215,000 | 210,276 | ||||||
5.750% 6/01/28 |
325,000 | 328,250 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. |
320,000 | 301,600 | ||||||
Welltower, Inc. |
560,000 | 561,395 | ||||||
|
|
|||||||
5,719,449 | ||||||||
|
|
|||||||
Retail — 0.4% |
| |||||||
1011778 BC ULC/New Red Finance, Inc. |
335,000 | 308,200 | ||||||
Beacon Roofing Supply, Inc. |
270,000 | 237,262 | ||||||
Dollar Tree, Inc. |
555,000 | 533,551 | ||||||
Golden Nugget, Inc. |
200,000 | 188,500 | ||||||
McDonald’s Corp. |
235,000 | 224,684 | ||||||
PetSmart, Inc. |
40,000 | 28,900 | ||||||
7.125% 3/15/23 (b) |
185,000 | 107,763 | ||||||
|
|
|||||||
1,628,860 | ||||||||
|
|
|||||||
Semiconductors — 0.3% |
| |||||||
Marvell Technology Group Ltd. |
560,000 | 558,379 | ||||||
Microchip Technology, Inc. |
565,000 | 551,109 | ||||||
|
|
|||||||
1,109,488 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
39
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Software — 0.3% |
| |||||||
Fidelity National Information Services, Inc. |
$ | 415,000 | $ | 416,887 | ||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho |
220,000 | 230,450 | ||||||
Informatica LLC |
230,000 | 223,995 | ||||||
Oracle Corp. |
285,000 | 269,669 | ||||||
Solera LLC/ Solera Finance, Inc. |
70,000 | 74,550 | ||||||
Sophia LP/Sophia Finance, Inc. |
310,000 | 310,000 | ||||||
|
|
|||||||
1,525,551 | ||||||||
|
|
|||||||
Telecommunications — 1.4% |
| |||||||
AT&T, Inc. |
750,000 | 736,671 | ||||||
Axiata SPV2 Bhd |
300,000 | 299,475 | ||||||
Bharti Airtel International Netherlands BV |
400,000 | 393,195 | ||||||
Bharti Airtel Ltd. |
500,000 | 454,863 | ||||||
C&W Senior Financing DAC |
800,000 | 734,000 | ||||||
Colombia Telecomunicacio SA |
200,000 | 205,502 | ||||||
Comunicaciones Celulares SA Via Comcel Trust |
200,000 | 203,648 | ||||||
Digicel Group Ltd. |
500,000 | 232,500 | ||||||
Empresa Nacional de Telecomunicaciones SA |
200,000 | 187,859 | ||||||
GTT Communications, Inc. |
255,000 | 220,575 | ||||||
Level 3 Financing, Inc. |
330,000 | 314,325 | ||||||
Millicom International Cellular SA |
200,000 | 178,000 | ||||||
6.625% 10/15/26 (b) |
200,000 | 202,520 | ||||||
Sprint Capital Corp. |
80,000 | 75,600 | ||||||
Sprint Corp. |
165,000 | 163,406 | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC |
565,000 | 554,406 |
Principal Amount |
Value | |||||||
Telesat Canada/Telesat LLC |
$ | 185,000 | $ | 192,400 | ||||
Verizon Communications, Inc. |
565,000 | 544,542 | ||||||
|
|
|||||||
5,893,487 | ||||||||
|
|
|||||||
Toys, Games & Hobbies — 0.1% |
| |||||||
Hasbro, Inc. |
610,000 | 565,605 | ||||||
|
|
|||||||
Transportation — 0.4% |
| |||||||
CSX Corp. |
600,000 | 528,467 | ||||||
Empresa de Transporte de Pasajeros Metro SA |
750,000 | 733,132 | ||||||
FedEx Corp. |
545,000 | 513,846 | ||||||
|
|
|||||||
1,775,445 | ||||||||
|
|
|||||||
Trucking & Leasing — 0.1% |
| |||||||
Avolon Holdings Funding Ltd. |
315,000 | 300,825 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. |
275,000 | 268,932 | ||||||
|
|
|||||||
569,757 | ||||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $110,212,769) |
105,432,434 | |||||||
|
|
|||||||
MUNICIPAL OBLIGATIONS — 0.1% |
| |||||||
Missouri Highway & Transportation Commission |
135,000 | 147,270 | ||||||
State of California BAB |
190,000 | 272,184 | ||||||
|
|
|||||||
419,454 | ||||||||
|
|
|||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $428,519) |
419,454 | |||||||
|
|
|||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 26.1% |
| |||||||
Automobile ABS — 0.1% |
| |||||||
GLS Auto Receivables Trust, Series 2018-2A, Class B
|
500,000 | 501,490 | ||||||
|
|
|||||||
Commercial MBS — 7.8% |
| |||||||
BBCMS Mortgage Trust, Series 2017-C1, Class XA,
|
4,553,938 | 410,027 | ||||||
BHMS, Series 2018-ATLS, Class C, |
552,000 | 546,606 |
The accompanying notes are an integral part of the financial statements.
40
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
CD Mortgage Trust, Series 2017-CD4, Class XA, |
$ | 5,778,929 | $ | 447,436 | ||||
CFCRE Commercial Mortgage Trust, Series 2016-C3,
Class XA, |
5,728,556 | 335,570 | ||||||
CHT Mortgage Trust |
378,000 | 371,839 | ||||||
Series 2017-CSMO, Class F, |
754,000 | 739,412 | ||||||
Citigroup Commercial Mortgage Trust |
5,266,135 | 207,391 | ||||||
Series 2016-P4, Class XA, |
2,876,845 | 304,193 | ||||||
Series 2016-GC36, Class D, |
519,000 | 406,334 | ||||||
Series 2016-P4, Class A4, |
547,000 | 518,711 | ||||||
Series 2016-P6, Class A5, |
435,000 | 435,006 | ||||||
Series 2015-GC31, Class C, |
700,000 | 667,388 | ||||||
Series 2015-GC35, Class C, |
413,000 | 402,612 | ||||||
CLNS Trust |
190,000 | 188,136 | ||||||
Series 2017-IKPR, Class E, 1 mo. LIBOR + 3.500% |
190,000 | 187,815 | ||||||
Series 2017-IKPR, Class F, 1 mo. LIBOR + 4.500% |
190,000 | 187,563 | ||||||
COMM Mortgage Trust |
973,480 | 53,341 | ||||||
Series 2016-GCT, Class E, |
210,000 | 202,637 | ||||||
Series 2015-CR22, Class D, |
650,000 | 587,395 | ||||||
Series 2012-CR4, Class D |
738,000 | 370,651 | ||||||
Series 2015-LC23, Class C, |
470,000 | 463,265 | ||||||
Commercial Mortgage Trust, |
517,000 | 506,295 | ||||||
CSAIL Commercial Mortgage Trust |
9,073,948 | 361,171 |
Principal Amount |
Value | |||||||
Series 2017-C8, Class XA, |
$ | 6,671,582 | $ | 450,417 | ||||
Series 2015-C4, Class C, |
427,000 | 418,925 | ||||||
Series 2018-C14, Class C, |
405,000 | 396,990 | ||||||
CSMC Trust |
257,000 | 253,012 | ||||||
Series 2017-LSTK, Class D, |
306,000 | 299,548 | ||||||
Series 2017-CHOP, Class D, 1 mo. LIBOR + 1.900% |
285,000 | 282,106 | ||||||
Series 2017-CHOP, Class E, 1 mo. LIBOR + 3.300% |
285,000 | 281,176 | ||||||
DBGS Mortgage Trust |
550,000 | 532,426 | ||||||
Series 2018-5BP, Class F, |
550,000 | 530,192 | ||||||
Great Wolf Trust |
286,000 | 279,807 | ||||||
Series 2017-WOLF, Class E, |
443,000 | 436,205 | ||||||
Series 2017-WOLF, Class F, |
236,000 | 232,528 | ||||||
GS Mortgage Securities Corp. II, |
4,965,339 | 251,791 | ||||||
GS Mortgage Securities Corp. Trust, Series 2018-3PCK, Class A, |
551,000 | 547,920 | ||||||
GS Mortgage Securities Trust |
8,054,827 | 362,180 | ||||||
Series 2014-GC20, Class XA, |
5,357,785 | 211,232 | ||||||
Series 2017-GS7, Class XA, |
6,694,177 | 486,940 | ||||||
Series 2014-GC26, Class D, |
1,450,000 | 1,219,161 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. |
551,000 | 545,533 | ||||||
Series 2018-LAQ, Class D, |
551,000 | 541,001 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
5,315,104 | 236,430 |
The accompanying notes are an integral part of the financial statements.
41
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2016-JP2, Class B, |
$ | 174,000 | $ | 165,361 | ||||
Series 2017-MAUI, Class C, 1 mo. LIBOR + 1.250% |
145,000 | 143,792 | ||||||
Series 2016-JP2, Class C, |
134,000 | 125,500 | ||||||
Series 2017-MAUI, Class D, 1 mo. LIBOR + 1.950% |
136,000 | 134,547 | ||||||
Series 2017-MAUI, Class E, 1 mo. LIBOR + 2.950% |
121,000 | 119,444 | ||||||
Series 2007-LDPX, Class AM, |
68,372 | 67,972 | ||||||
Series 2017-MAUI, Class F, 1 mo. LIBOR + 3.750% |
170,000 | 168,644 | ||||||
JPMBB Commercial Mortgage Securities Trust |
10,295,151 | 285,296 | ||||||
Series 2015-C29, Class XA, |
11,226,111 | 326,665 | ||||||
Series 2014-C25, Class XA, |
5,052,145 | 189,119 | ||||||
Series 2015-C28, Class XA, |
8,415,634 | 353,674 | ||||||
Series 2015-C27, Class D, |
704,000 | 629,176 | ||||||
Series 2015-C29, Class C, |
325,000 | 311,777 | ||||||
Series 2015-C33, Class C, |
527,000 | 520,341 | ||||||
Series 2015-C32, Class C, |
100,000 | 98,318 | ||||||
Series 2016-C1, Class C, |
466,000 | 463,541 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
368,000 | 308,492 | ||||||
Series 2015-C27, Class D, |
504,000 | 417,889 | ||||||
Series 2016-C32, Class A4, |
454,000 | 457,126 | ||||||
Series 2014-C19, Class C, |
650,000 | 615,490 | ||||||
Series 2015-C23, Class C, |
650,000 | 624,742 | ||||||
Series 2015-C27, Class C, |
351,000 | 339,512 | ||||||
Series 2016-C29, Class C, |
475,000 | 477,374 |
Principal Amount |
Value | |||||||
Morgan Stanley Capital I Trust |
$ | 6,422,339 | $ | 321,338 | ||||
Series 2016-UB11, Class XA, |
1,557,685 | 130,619 | ||||||
MSCG Trust |
458,150 | 452,251 | ||||||
Series 2018-SELF, Class F, |
733,000 | 722,496 | ||||||
Natixis Commercial Mortgage Securities Trust |
368,000 | 366,654 | ||||||
Series 2018-FL1, Class C, |
368,000 | 365,537 | ||||||
PFP Ltd. |
164,000 | 163,973 | ||||||
Series 2017-3, Class B, 1 mo. |
94,000 | 92,818 | ||||||
Series 2017-3, Class C, 1 mo. |
99,000 | 97,708 | ||||||
RAIT Trust, Series 2017-FL7, Class AS, 1 mo. LIBOR +
1.300% |
141,000 | 140,977 | ||||||
SG Commercial Mortgage Securities Trust, Series 2016-C5,
Class XA, |
3,908,614 | 392,216 | ||||||
UBS Commercial Mortgage Trust |
5,135,545 | 343,752 | ||||||
Series 2017-C6, Class C, |
580,000 | 557,087 | ||||||
Wells Fargo Commercial Mortgage Trust |
12,612,517 | 398,103 | ||||||
Series 2015-P2, Class XA, |
5,428,457 | 258,279 | ||||||
Series 2015-C31, Class XA, |
6,591,685 | 365,488 | ||||||
Series 2016-NXS6, Class XA, |
2,364,745 | 196,204 | ||||||
Series 2015-P2, Class A4, |
392,000 | 397,579 | ||||||
Series 2014-LC16, Class D, |
560,000 | 451,595 | ||||||
Series 2015-LC22, Class C, |
390,000 | 382,662 | ||||||
Series 2015-NXS4, Class C, |
421,000 | 419,591 |
The accompanying notes are an integral part of the financial statements.
42
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2015-C31, Class C, |
$ | 468,000 | $ | 456,150 | ||||
Series 2018-C46, Class C, |
270,000 | 267,909 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-C21,
Class XA, |
12,166,297 | 508,805 | ||||||
|
|
|||||||
33,289,897 | ||||||||
|
|
|||||||
Home Equity ABS — 0.7% |
| |||||||
GSAA Home Equity Trust, |
4,475,150 | 3,117,550 | ||||||
|
|
|||||||
Other ABS — 9.2% |
| |||||||
AASET US Ltd., Series 2018-1A, Class A |
910,589 | 913,812 | ||||||
ALM VII R Ltd., Series 2013-7RA, Class CR, 3 mo. |
1,000,000 | 999,962 | ||||||
ALM XIX LLC |
500,000 | 500,060 | ||||||
Series 2016-19A, Class C, 3 mo. USD LIBOR + 4.350% |
500,000 | 499,990 | ||||||
Anchorage Capital CLO Ltd., |
1,000,000 | 984,809 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series
2016-1A, Class B, |
880,208 | 923,740 | ||||||
BlueMountain CLO Ltd. |
1,000,000 | 909,286 | ||||||
Series 2013-1A, Class CR, 3 mo. USD LIBOR + 4.150% |
1,000,000 | 995,002 | ||||||
CAL Funding III Ltd., Series 2018-1A, Class A |
458,333 | 460,322 | ||||||
Castle Aircraft SecuritizationTrust, Series 2015-1A,
Class A, |
807,384 | 816,750 | ||||||
CLI Funding V LLC, Series 2014-2A, Class A |
393,234 | 390,380 | ||||||
Dryden 40 Senior Loan Fund, |
500,000 | 471,847 |
Principal Amount |
Value | |||||||
Gilbert Park Clo Ltd., Series 2017-1A, Class D,
|
$ | 500,000 | $ | 470,636 | ||||
Gilbert Park CLO Ltd., Series 2017-1A, Class E,
|
1,000,000 | 948,623 | ||||||
Global SC Finance II SRL, |
396,417 | 391,726 | ||||||
Global SC Finance IV Ltd., |
560,220 | 572,921 | ||||||
Grippen Park CLO Ltd., Series 2017-1A, Class D, 3 mo. USD
LIBOR + 3.300% |
1,000,000 | 965,815 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A |
231,862 | 236,139 | ||||||
Hero Funding Trust, Series 2016-4A, Class A2 |
325,178 | 339,438 | ||||||
Highbridge Loan Management Ltd., Series 13A-18, Class D,
|
500,000 | 461,186 | ||||||
Invitation Homes Trust |
1,145,000 | 1,138,599 | ||||||
Series 2018-SFR1, Class D, |
750,000 | 747,910 | ||||||
LCM XVIII LP, Series 19A, Class D, 3 mo. USD LIBOR + 3.450% |
1,000,000 | 981,410 | ||||||
Madison Park Funding XIV Ltd., Series 2014-14A,
Class DRR, |
500,000 | 466,242 | ||||||
Madison Park Funding XV Ltd., Series 2014-15A,
Class DR, 3 mo. USD LIBOR + 5.440% |
1,000,000 | 969,275 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class A2C, 1 mo. USD LIBOR + .150%
|
2,533,149 | 2,364,869 | ||||||
Mosaic Solar Loans LLC |
916,769 | 915,485 | ||||||
Series 2017-1A, Class A, |
571,276 | 575,510 | ||||||
Oak Hill Credit Partners Ltd., Series 2018-1A,
Class D, |
500,000 | 470,170 |
The accompanying notes are an integral part of the financial statements.
43
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Octagon Investment Partners Ltd. |
$ | 1,000,000 | $ | 959,728 | ||||
Series 2017-1A, Class D, 3 mo. |
500,000 | 462,561 | ||||||
Octagon Investment Partners XIV Ltd., Series 2012-1A,
Class CR, 3 mo. |
1,000,000 | 990,344 | ||||||
Octagon Investment Partners XXII Ltd., Series 2014-1A,
Class ERR, |
1,000,000 | 878,476 | ||||||
OneMain Financial Issuance Trust, Series 2015-1A,
Class A |
583,155 | 582,743 | ||||||
Springleaf Funding Trust, Series 2015-AA, Class A
|
753,752 | 752,913 | ||||||
Sprite Ltd., Series 2017-1, Class A |
461,111 | 457,681 | ||||||
Symphony CLO XVI Ltd., Series 2015-16A, Class DR,
|
500,000 | 469,800 | ||||||
TAL Advantage V LLC |
208,333 | 204,629 | ||||||
Series 2014-1A, Class A, |
355,467 | 353,256 | ||||||
TCI-Cent CLO Income Note Issuer Ltd., Series 2017-1A, Class C, 3 mo. |
500,000 | 484,058 | ||||||
TCI-Cent CLO Ltd., Series
2016-1A, Class C, 3 mo. USD LIBOR + 4.000% |
1,000,000 | 990,797 | ||||||
Thacher Park CLO Ltd., Series 2014-1A, Class D1R, 3 mo.
USD LIBOR + 3.400% |
1,000,000 | 991,669 | ||||||
THL Credit Wind River CLO Ltd. |
1,000,000 | 980,358 | ||||||
Series 2012-1A, Class DR, 3 mo. |
1,000,000 | 995,546 | ||||||
Thunderbolt II Aircraft Lease Ltd., Series 2018-A,
Class A, |
491,071 | 495,441 | ||||||
Towd Point Mortgage Trust, Series 2015-2,
Class 1A13, |
2,560,974 | 2,498,629 |
Principal Amount |
Value | |||||||
Trip Rail Master Funding LLC, Series 2017-1A,
Class A1 |
$ | 375,411 | $ | 372,265 | ||||
Triton Container Finance V LLC, Series 2018-1A,
Class A |
462,500 | 465,741 | ||||||
Vantage Data Centers Issuer LLC, Series 2018-1A,
Class A2 |
743,750 | 745,238 | ||||||
Venture VII CDO Ltd., |
715,390 | 714,857 | ||||||
Westcott Park Clo Ltd., |
500,000 | 500,278 | ||||||
Willis Engine Structured Trust IV, |
889,852 | 912,965 | ||||||
|
|
|||||||
39,141,887 | ||||||||
|
|
|||||||
Student Loans ABS — 0.3% |
| |||||||
College Ave Student Loans LLC, |
486,532 | 482,702 | ||||||
SoFi Professional Loan Program LLC |
350,000 | 340,128 | ||||||
Series 2018-B, Class BFX, |
500,000 | 499,574 | ||||||
|
|
|||||||
1,322,404 | ||||||||
|
|
|||||||
WL Collateral CMO — 7.5% |
| |||||||
CIM Trust, Series 2017-6, Class A1, |
2,380,922 | 2,308,066 | ||||||
Citigroup Mortgage Loan Trust, |
2,168,062 | 2,055,883 | ||||||
CitiMortgage Alternative Loan Trust, Series 2006-A1, Class 1A5 5.500% 4/25/36 |
2,935,285 | 2,786,329 | ||||||
Countrywide Alternative Loan Trust |
2,510,253 | 1,914,866 | ||||||
Series 2006-36T2, Class 2A1, 6.250% 12/25/36 |
4,181,611 | 2,828,063 | ||||||
Countrywide Home Loans Mortgage Pass-Through Trust |
1,770,559 | 1,538,976 |
The accompanying notes are an integral part of the financial statements.
44
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2007-14, Class A6, 6.000% 9/25/37 |
$ | 1,848,346 | $ | 1,553,065 | ||||
HarborView Mortgage Loan Trust, |
1,446,982 | 1,276,771 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2007-AR5,
Class 2A1, |
2,981,479 | 2,697,248 | ||||||
Lehman XS Trust, Series 2007-12N, Class 1A3A, 1 mo. LIBOR
+ .200% |
3,652,503 | 3,381,711 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR,
Class 2A1, |
640,809 | 559,858 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust,
Series 2006-AR1, Class 2A1, |
2,935,387 | 2,606,203 | ||||||
RBSSP Resecuritization Trust, Series 2009-5,
Class 2A3, |
1,162,116 | 924,361 | ||||||
RFMSI Trust, Series 2007-S4, Class A5, 1 mo. |
483,751 | 442,495 | ||||||
Seasoned Credit Risk Transfer Trust, Series 2018-2,
Class HV, |
2,947,105 | 2,771,882 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1,
Class A2, |
1,469,448 | 1,338,104 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust,
Series 2006-4, Class 3A5, |
1,310,867 | 1,053,591 | ||||||
|
|
|||||||
32,037,472 | ||||||||
|
|
|||||||
WL Collateral PAC — 0.5% |
| |||||||
Countrywide Alternative Loan Trust, Series 2006-19CB, Class A15 |
2,267,827 | 1,920,553 | ||||||
|
|
|||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $116,534,796) |
111,331,253 | |||||||
|
|
|||||||
SOVEREIGN DEBT OBLIGATIONS — 1.3% |
| |||||||
Argentine Republic Government International Bond |
200,000 | 143,750 | ||||||
6.625% 7/06/28 |
150,000 | 110,550 | ||||||
6.875% 1/26/27 |
550,000 | 419,375 |
Principal Amount |
Value | |||||||
Fondo MIVIVIENDA SA |
$ | 150,000 | $ | 144,227 | ||||
3.500% 1/31/23 (c) |
200,000 | 192,302 | ||||||
Israel Government International Bond |
400,000 | 384,448 | ||||||
Malaysia Sovereign Sukuk Bhd |
500,000 | 488,055 | ||||||
Mexico Government International Bond |
735,000 | 687,967 | ||||||
4.150% 3/28/27 |
643,000 | 621,723 | ||||||
Panama Government International Bond |
200,000 | 201,702 | ||||||
Perusahaan Penerbit SBSN Indonesia III |
400,000 | 384,400 | ||||||
4.150% 3/29/27 (c) |
200,000 | 192,200 | ||||||
Philippine Government International Bond |
900,000 | 925,025 | ||||||
Provincia de Buenos Aires |
700,000 | 504,007 | ||||||
|
|
|||||||
4,895,724 | ||||||||
|
|
|||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $5,961,268) |
5,399,731 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 15.5% |
| |||||||
Collateralized Mortgage Obligations — 9.4% |
| |||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates |
6,539,008 | 287,520 | ||||||
Series K053, Class A2, 2.995% 12/25/25 |
463,000 | 458,926 | ||||||
Series K050, Class A2, |
350,000 | 354,513 | ||||||
Federal Home Loan Mortgage Corp. REMICS |
4,802,918 | 4,707,711 | ||||||
Series 4481, Class B, 3.000% 12/15/42 |
6,575,192 | 6,512,816 | ||||||
Series 4483, Class CA, 3.000% 6/15/44 |
6,045,524 | 5,985,452 | ||||||
Series 4750, Class PA, 3.000% 7/15/46 |
2,830,329 | 2,800,202 | ||||||
Federal Home Loan Mortgage Corp. STRIPS |
3,371,006 | 3,300,752 |
The accompanying notes are an integral part of the financial statements.
45
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 358, Class 300, 3.000% 10/15/47 |
$ | 2,971,648 | $ | 2,908,274 | ||||
Federal National Mortgage Association ACES |
465,000 | 450,055 | ||||||
Federal National Mortgage Association REMICS |
3,792,503 | 3,004,159 | ||||||
Series 2015-9, Class HA, 3.000% 1/25/45 |
862,644 | 859,013 | ||||||
Government National Mortgage Association |
3,246,371 | 3,179,461 | ||||||
Series 2015-92, Class CZ, 3.500% 6/20/45 |
5,165,468 | 5,068,642 | ||||||
|
|
|||||||
39,877,496 | ||||||||
|
|
|||||||
Pass-Through Securities — 6.1% |
| |||||||
Federal Home Loan Mortgage Corp. |
1,268,526 | 1,206,190 | ||||||
Pool #G08658 3.000% 8/01/45 |
3,645,353 | 3,567,034 | ||||||
Pool #G08632 3.500% 3/01/45 |
2,762,177 | 2,769,407 | ||||||
Pool #G61645 4.000% 10/01/48 |
2,862,606 | 2,918,852 | ||||||
Federal National Mortgage Association |
4,023,643 | 3,942,070 | ||||||
Pool #MA2248 3.000% 4/01/45 |
2,527,006 | 2,467,088 | ||||||
Pool #MA2711 3.000% 8/01/46 |
5,665,172 | 5,529,075 | ||||||
Pool #AS7661 3.000% 8/01/46 |
1,638,867 | 1,599,496 | ||||||
Pool #AX2501 4.000% 10/01/44 |
2,142,254 | 2,195,392 | ||||||
|
|
|||||||
26,194,604 | ||||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $66,917,779) |
66,072,100 | |||||||
|
|
|||||||
U.S. TREASURY OBLIGATIONS — 26.8% |
| |||||||
U.S. Treasury Bonds & Notes — 26.8% |
| |||||||
U.S. Treasury Bond |
455,000 | 434,916 | ||||||
2.750% 8/15/47 |
2,500,000 | 2,367,774 | ||||||
2.750% 11/15/47 |
3,190,000 | 3,019,368 | ||||||
3.000% 8/15/48 |
1,870,000 | 1,861,429 | ||||||
3.125% 2/15/43 |
3,970,000 | 4,049,090 | ||||||
3.625% 8/15/43 |
4,080,000 | 4,515,200 | ||||||
3.750% 11/15/43 |
4,130,000 | 4,663,458 | ||||||
U.S. Treasury Note |
395,000 | 394,540 | ||||||
1.125% 2/28/21 |
5,710,000 | 5,545,986 | ||||||
1.375% 2/15/20 |
5,050,000 | 4,980,234 |
Principal Amount |
Value | |||||||
1.625% 11/30/20 |
$ | 3,230,000 | $ | 3,176,713 | ||||
1.750% 10/31/20 |
5,060,000 | 4,990,590 | ||||||
1.875% 1/31/22 |
695,000 | 682,602 | ||||||
1.875% 8/31/24 |
5,700,000 | 5,502,355 | ||||||
2.000% 9/30/20 |
4,430,000 | 4,390,718 | ||||||
2.000% 5/31/21 |
5,530,000 | 5,468,579 | ||||||
2.125% 8/31/20 |
5,170,000 | 5,135,230 | ||||||
2.125% 9/30/24 |
5,710,000 | 5,580,261 | ||||||
2.250% 10/31/24 |
6,480,000 | 6,372,507 | ||||||
2.250% 8/15/27 |
6,125,000 | 5,927,772 | ||||||
2.250% 11/15/27 |
5,310,000 | 5,129,336 | ||||||
2.500% 3/31/23 |
5,530,000 | 5,530,864 | ||||||
2.625% 2/28/23 |
4,640,000 | 4,663,925 | ||||||
2.750% 8/15/21 |
5,360,000 | 5,396,013 | ||||||
2.750% 9/15/21 |
5,420,000 | 5,457,263 | ||||||
2.750% 4/30/23 |
5,420,000 | 5,476,176 | ||||||
3.000% 9/30/25 |
3,670,000 | 3,764,187 | ||||||
|
|
|||||||
114,477,086 | ||||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $113,962,750) |
114,477,086 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $414,017,881) |
403,132,058 | |||||||
|
|
|||||||
Number of Shares |
||||||||
MUTUAL FUNDS — 3.7% |
| |||||||
Diversified Financial Services — 3.7% |
| |||||||
DoubleLine Floating Rate Fund |
1,605,088 | 15,200,181 | ||||||
State Street Navigator Securities Lending Prime Portfolio (h) |
487,358 | 487,358 | ||||||
|
|
|||||||
15,687,539 | ||||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $16,642,295) |
15,687,539 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $430,660,176) |
418,819,597 | |||||||
|
|
|||||||
Principal Amount |
||||||||
SHORT-TERM INVESTMENTS — 0.7% |
| |||||||
Repurchase Agreement — 0.4% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (i) |
$ | 1,834,838 | 1,834,838 | |||||
|
|
|||||||
U.S. Treasury Bill — 0.3% |
| |||||||
U.S. Treasury Bill |
210,000 | 209,111 | ||||||
0.000% 3/07/19 |
1,110,000 | 1,105,301 | ||||||
|
|
|||||||
1,314,412 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
46
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Value | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,149,330) |
$ | 3,149,250 | ||||||
|
|
|||||||
TOTAL INVESTMENTS — 98.9% (Cost $433,809,506) (j) |
421,968,847 | |||||||
Other Assets/(Liabilities) — 1.1% | 4,647,510 | |||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 426,616,357 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
BAB | Build America Bonds |
CDO | Collateralized Debt Obligation |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
PAC | Planned Amortization Class |
STEP | Step Up Bond |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2018. |
(b) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2018, these securities amounted to a value of $83,976,853 or 19.68% of net assets. |
(c) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At December 31, 2018, these securities amounted to a value of $25,933,499 or 6.08% of net assets. |
(d) | Security is perpetual and has no stated maturity date. |
(e) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $477,288 or 0.11% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(f) | Investment was valued using significant unobservable inputs. |
(g) | Restricted security. Certain securities are restricted as to resale. At December 31, 2018, these securities amounted to a value of $1,115,889 or 0.26% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(h) | Represents investment of security lending collateral. (Note 2). |
(i) | Maturity value of $1,834,965. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $1,873,767. |
(j) | See Note 6 for aggregate cost for federal tax purposes. |
Currency Legend
USD | U.S. Dollar |
Country weightings, as a percentage of net assets, is as follows:
United States |
81.3 | % | ||
Cayman Islands |
6.0 | % | ||
Mexico |
1.1 | % | ||
United Kingdom |
1.0 | % | ||
Netherlands |
0.7 | % | ||
Singapore |
0.7 | % | ||
Malaysia |
0.6 | % | ||
Canada |
0.6 | % | ||
Argentina |
0.6 | % | ||
Chile |
0.5 | % | ||
Bermuda |
0.5 | % | ||
Australia |
0.5 | % | ||
Philippines |
0.4 | % | ||
Ireland |
0.4 | % | ||
India |
0.4 | % | ||
Luxembourg |
0.3 | % | ||
Japan |
0.3 | % | ||
Brazil |
0.3 | % | ||
Panama |
0.3 | % | ||
France |
0.3 | % | ||
Colombia |
0.3 | % | ||
Austria |
0.2 | % | ||
Israel |
0.2 | % | ||
Spain |
0.1 | % | ||
Indonesia |
0.1 | % | ||
British Virgin Islands |
0.1 | % | ||
Switzerland |
0.1 | % | ||
Barbados |
0.1 | % | ||
Peru |
0.1 | % | ||
Liberia |
0.1 | % | ||
Dominican Republic |
0.0 | % | ||
Mauritius |
0.0 | % | ||
|
|
|||
Total Long-Term Investments |
98.2 | % | ||
Short-Term Investments and Other Assets and Liabilities |
1.8 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
47
Number of Shares |
Value | |||||||
EQUITIES — 86.9% |
| |||||||
COMMON STOCK — 86.9% |
| |||||||
Basic Materials — 0.7% |
| |||||||
Chemicals — 0.2% |
| |||||||
Eastman Chemical Co. |
300 | $ | 21,933 | |||||
Linde PLC |
200 | 31,208 | ||||||
|
|
|||||||
53,141 | ||||||||
|
|
|||||||
Iron & Steel — 0.5% |
| |||||||
Reliance Steel & Aluminum Co. |
2,100 | 149,457 | ||||||
|
|
|||||||
202,598 | ||||||||
|
|
|||||||
Communications — 10.6% |
| |||||||
Internet — 6.1% |
| |||||||
Alphabet, Inc. Class A (a) |
990 | 1,034,510 | ||||||
Alphabet, Inc. Class C (a) |
50 | 51,780 | ||||||
Amazon.com, Inc. (a) |
447 | 671,381 | ||||||
|
|
|||||||
1,757,671 | ||||||||
|
|
|||||||
Media — 0.8% |
| |||||||
News Corp. Class A |
2,400 | 27,240 | ||||||
Viacom, Inc. Class B |
8,000 | 205,600 | ||||||
|
|
|||||||
232,840 | ||||||||
|
|
|||||||
Telecommunications — 3.7% |
| |||||||
Cisco Systems, Inc. |
6,000 | 259,980 | ||||||
Verizon Communications, Inc. |
13,900 | 781,458 | ||||||
|
|
|||||||
1,041,438 | ||||||||
|
|
|||||||
3,031,949 | ||||||||
|
|
|||||||
Consumer, Cyclical — 6.8% |
| |||||||
Airlines — 0.6% |
| |||||||
Delta Air Lines, Inc. |
3,700 | 184,630 | ||||||
|
|
|||||||
Apparel — 0.4% |
| |||||||
Columbia Sportswear Co. |
1,200 | 100,908 | ||||||
|
|
|||||||
Auto Manufacturers — 0.8% |
| |||||||
General Motors Co. |
6,800 | 227,460 | ||||||
|
|
|||||||
Auto Parts & Equipment — 1.5% |
| |||||||
Allison Transmission Holdings, Inc. |
4,200 | 184,422 | ||||||
Magna International, Inc. |
5,300 | 240,885 | ||||||
|
|
|||||||
425,307 | ||||||||
|
|
|||||||
Distribution & Wholesale — 0.5% |
| |||||||
HD Supply Holdings, Inc. (a) |
3,900 | 146,328 | ||||||
|
|
|||||||
Home Builders — 0.7% |
| |||||||
Toll Brothers, Inc. |
6,000 | 197,580 | ||||||
|
|
|||||||
Retail — 2.3% |
| |||||||
Dollar General Corp. |
970 | 104,838 | ||||||
Foot Locker, Inc. |
2,600 | 138,320 | ||||||
Genuine Parts Co. |
1,470 | 141,149 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) |
320 | 78,349 |
Number of Shares |
Value | |||||||
Yum! Brands, Inc. |
2,200 | $ | 202,224 | |||||
|
|
|||||||
664,880 | ||||||||
|
|
|||||||
1,947,093 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 32.8% |
| |||||||
Agriculture — 0.7% |
| |||||||
Archer-Daniels-Midland Co. |
5,100 | 208,947 | ||||||
|
|
|||||||
Biotechnology — 8.7% |
| |||||||
Amgen, Inc. |
6,650 | 1,294,555 | ||||||
Biogen, Inc. (a) |
680 | 204,626 | ||||||
Celgene Corp. (a) |
3,940 | 252,515 | ||||||
Gilead Sciences, Inc. |
7,600 | 475,380 | ||||||
United Therapeutics Corp. (a) |
2,450 | 266,805 | ||||||
|
|
|||||||
2,493,881 | ||||||||
|
|
|||||||
Commercial Services — 2.0% |
| |||||||
Grand Canyon Education, Inc. (a) |
1,060 | 101,908 | ||||||
ManpowerGroup, Inc. |
4,900 | 317,520 | ||||||
Quanta Services, Inc. |
5,400 | 162,540 | ||||||
|
|
|||||||
581,968 | ||||||||
|
|
|||||||
Foods — 5.3% |
| |||||||
Hormel Foods Corp. |
3,200 | 136,576 | ||||||
US Foods Holding Corp. (a) |
43,700 | 1,382,668 | ||||||
|
|
|||||||
1,519,244 | ||||||||
|
|
|||||||
Health Care – Products — 0.6% |
| |||||||
Patterson Cos., Inc. |
9,100 | 178,906 | ||||||
|
|
|||||||
Health Care – Services — 3.6% |
| |||||||
HCA Healthcare, Inc. |
7,440 | 925,908 | ||||||
Universal Health Services, Inc. Class B |
940 | 109,566 | ||||||
|
|
|||||||
1,035,474 | ||||||||
|
|
|||||||
Pharmaceuticals — 11.9% |
| |||||||
Cigna Corp. |
243 | 46,227 | ||||||
CVS Health Corp. |
1,449 | 94,938 | ||||||
Herbalife Nutrition Ltd. (a) |
13,200 | 778,140 | ||||||
Horizon Pharma PLC (a) |
16,700 | 326,318 | ||||||
Johnson & Johnson |
2,610 | 336,821 | ||||||
Merck & Co., Inc. |
4,900 | 374,409 | ||||||
Pfizer, Inc. |
26,800 | 1,169,820 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR |
18,300 | 282,186 | ||||||
|
|
|||||||
3,408,859 | ||||||||
|
|
|||||||
9,427,279 | ||||||||
|
|
|||||||
Energy — 4.9% |
| |||||||
Oil & Gas — 4.9% |
| |||||||
Apache Corp. |
400 | 10,500 | ||||||
Chevron Corp. |
3,320 | 361,183 | ||||||
Devon Energy Corp. |
16,000 | 360,640 | ||||||
Exxon Mobil Corp. |
300 | 20,457 |
The accompanying notes are an integral part of the financial statements.
48
MML Equity Rotation Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Marathon Petroleum Corp. |
7,317 | $ | 431,776 | |||||
Occidental Petroleum Corp. |
2,700 | 165,726 | ||||||
Rowan Cos. PLC Class A (a) |
7,000 | 58,730 | ||||||
|
|
|||||||
1,409,012 | ||||||||
|
|
|||||||
Financial — 14.6% |
| |||||||
Banks — 3.1% |
| |||||||
JP Morgan Chase & Co. |
7,200 | 702,864 | ||||||
State Street Corp. |
3,100 | 195,517 | ||||||
|
|
|||||||
898,381 | ||||||||
|
|
|||||||
Diversified Financial Services — 6.4% |
| |||||||
Mastercard, Inc. Class A |
6,260 | 1,180,949 | ||||||
Visa, Inc. Class A |
4,860 | 641,228 | ||||||
|
|
|||||||
1,822,177 | ||||||||
|
|
|||||||
Insurance — 4.7% |
| |||||||
Aflac, Inc. |
3,600 | 164,016 | ||||||
Berkshire Hathaway, Inc. Class B (a) |
4,770 | 973,939 | ||||||
The Progressive Corp. |
2,500 | 150,825 | ||||||
Torchmark Corp. |
700 | 52,171 | ||||||
|
|
|||||||
1,340,951 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 0.4% |
| |||||||
EPR Properties |
1,900 | 121,657 | ||||||
|
|
|||||||
4,183,166 | ||||||||
|
|
|||||||
Industrial — 6.4% |
| |||||||
Aerospace & Defense — 2.3% |
| |||||||
Lockheed Martin Corp. |
1,830 | 479,167 | ||||||
Spirit AeroSystems Holdings, Inc. Class A |
2,500 | 180,225 | ||||||
|
|
|||||||
659,392 | ||||||||
|
|
|||||||
Electronics — 0.4% |
| |||||||
Gentex Corp. |
4,600 | 92,966 | ||||||
KEMET Corp. |
2,300 | 40,342 | ||||||
|
|
|||||||
133,308 | ||||||||
|
|
|||||||
Machinery – Diversified — 0.9% |
| |||||||
AGCO Corp. |
4,400 | 244,948 | ||||||
GrafTech International Ltd. |
900 | 10,296 | ||||||
|
|
|||||||
255,244 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 1.1% |
| |||||||
3M Co. |
400 | 76,216 | ||||||
Eaton Corp. PLC |
3,400 | 233,444 | ||||||
|
|
|||||||
309,660 | ||||||||
|
|
|||||||
Transportation — 1.4% |
| |||||||
Norfolk Southern Corp. |
2,500 | 373,850 | ||||||
Union Pacific Corp. |
200 | 27,646 | ||||||
|
|
|||||||
401,496 | ||||||||
|
|
|||||||
Trucking & Leasing — 0.3% |
| |||||||
AerCap Holdings NV (a) |
2,000 | 79,200 | ||||||
|
|
|||||||
1,838,300 | ||||||||
|
|
Number of Shares |
Value | |||||||
Technology — 9.5% |
| |||||||
Computers — 1.6% |
| |||||||
Apple, Inc. |
720 | $ | 113,573 | |||||
Check Point Software Technologies Ltd. (a) |
1,400 | 143,710 | ||||||
Seagate Technology PLC |
5,100 | 196,809 | ||||||
|
|
|||||||
454,092 | ||||||||
|
|
|||||||
Semiconductors — 1.6% |
| |||||||
ASML Holding NV |
810 | 126,052 | ||||||
Broadcom, Inc. |
500 | 127,140 | ||||||
Micron Technology, Inc. (a) |
6,800 | 215,764 | ||||||
|
|
|||||||
468,956 | ||||||||
|
|
|||||||
Software — 6.3% |
| |||||||
Intuit, Inc. |
1,360 | 267,716 | ||||||
Microsoft Corp. |
6,680 | 678,488 | ||||||
Workday, Inc. Class A (a) |
5,440 | 868,659 | ||||||
|
|
|||||||
1,814,863 | ||||||||
|
|
|||||||
2,737,911 | ||||||||
|
|
|||||||
Utilities — 0.6% |
| |||||||
Gas — 0.6% |
| |||||||
Atmos Energy Corp. |
1,800 | 166,896 | ||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $24,611,809) |
24,944,204 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $24,611,809) |
24,944,204 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $24,611,809) |
24,944,204 | |||||||
|
|
|||||||
Principal Amount |
||||||||
SHORT-TERM INVESTMENTS — 13.1% |
| |||||||
Repurchase Agreement — 13.1% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (b) |
$ | 3,778,231 | 3,778,231 | |||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,778,231) |
3,778,231 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 100.0% (Cost $28,390,040) (c) |
28,722,435 | |||||||
Other Assets/(Liabilities) — (0.0)% | (12,366 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 28,710,069 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
49
MML Equity Rotation Fund – Portfolio of Investments (Continued)
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $3,778,493. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $3,856,879. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
50
Number of Shares |
Value | |||||||
EQUITIES — 0.6% |
| |||||||
COMMON STOCK — 0.5% |
| |||||||
Energy — 0.5% |
| |||||||
Oil & Gas — 0.5% |
| |||||||
Fieldwood Energy LLC Restricted Common Equity (a) |
3,193 | $ | 114,948 | |||||
Fieldwood Energy LLC Common |
13,011 | 468,396 | ||||||
|
|
|||||||
583,344 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $392,368) |
583,344 | |||||||
|
|
|||||||
PREFERRED STOCK — 0.1% |
| |||||||
Consumer, Non-cyclical — 0.1% |
| |||||||
Agriculture — 0.1% |
| |||||||
Pinnacle Agriculture Holdings LLC (a) |
1,144,535 | 114,453 | ||||||
|
|
|||||||
TOTAL PREFERRED STOCK (Cost $733,962) |
114,453 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $1,126,330) |
697,797 | |||||||
|
|
|||||||
Principal Amount |
||||||||
BONDS & NOTES — 95.9% |
| |||||||
BANK LOANS — 4.1% |
| |||||||
Advertising — 0.7% |
| |||||||
Getty Images, Inc., Term Loan B, 1 mo. LIBOR + 3.500% |
$ | 906,053 | 878,872 | |||||
|
|
|||||||
Electronics — 0.8% |
| |||||||
Vertafore, Inc., 2018 1st Lien Term Loan, |
950,000 | 900,419 | ||||||
|
|
|||||||
Oil & Gas — 0.8% |
| |||||||
Fieldwood Energy LLC |
674,554 | 628,604 | ||||||
Exit 2nd Lien Term Loan, 1 mo. LIBOR + 7.250% |
387,384 | 336,636 | ||||||
|
|
|||||||
965,240 | ||||||||
|
|
|||||||
Retail — 0.8% |
| |||||||
Michaels Stores, Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.500% |
950,000 | 906,062 | ||||||
|
|
Principal Amount |
Value | |||||||
Telecommunications — 1.0% |
| |||||||
CenturyLink, Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.750% |
$ | 1,343,467 | $ | 1,250,768 | ||||
|
|
|||||||
TOTAL BANK LOANS (Cost $4,826,161) |
4,901,361 | |||||||
|
|
|||||||
CORPORATE DEBT — 91.8% |
| |||||||
Aerospace & Defense — 2.1% |
| |||||||
TransDigm UK Holdings PLC |
393,000 | 374,333 | ||||||
TransDigm, Inc. |
1,219,000 | 1,133,670 | ||||||
Triumph Group, Inc. |
422,000 | 378,745 | ||||||
5.250% 6/01/22 |
305,000 | 265,350 | ||||||
7.750% 8/15/25 |
471,000 | 415,657 | ||||||
|
|
|||||||
2,567,755 | ||||||||
|
|
|||||||
Agriculture — 0.9% |
| |||||||
Pinnacle Operating Corp. |
1,667,522 | 1,083,889 | ||||||
|
|
|||||||
Airlines — 3.3% |
| |||||||
Allegiant Travel Co. |
1,350,000 | 1,350,000 | ||||||
American Airlines Group, Inc. |
1,891,000 | 1,895,727 | ||||||
VistaJet Malta Finance PLC / VistaJet Co. Finance LLC |
688,000 | 658,760 | ||||||
|
|
|||||||
3,904,487 | ||||||||
|
|
|||||||
Auto Manufacturers — 1.1% |
| |||||||
Deck Chassis Acquisition, Inc. |
1,371,000 | 1,316,160 | ||||||
|
|
|||||||
Building Materials — 1.7% |
| |||||||
Griffon Corp. |
174,000 | 157,470 | ||||||
James Hardie International Finance DAC 5.000% 1/15/28 (b) |
485,000 | 414,675 | ||||||
PGT Escrow Issuer, Inc. |
368,000 | 362,480 | ||||||
Standard Industries, Inc. |
1,345,000 | 1,129,800 | ||||||
|
|
|||||||
2,064,425 | ||||||||
|
|
|||||||
Chemicals — 2.8% |
| |||||||
Consolidated Energy Finance SA |
655,000 | 623,887 |
The accompanying notes are an integral part of the financial statements.
51
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA |
$ | 1,225,000 | $ | 1,218,875 | ||||
Platform Specialty Products Corp. |
414,000 | 387,090 | ||||||
6.500% 2/01/22 (b) |
423,000 | 423,000 | ||||||
Starfruit Finco BV/Starfruit US Holdco LLC |
705,000 | 652,125 | ||||||
|
|
|||||||
3,304,977 | ||||||||
|
|
|||||||
Coal — 2.8% |
| |||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. |
669,000 | 670,672 | ||||||
Peabody Energy Corp. |
1,383,000 | 1,341,510 | ||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. |
1,013,000 | 959,817 | ||||||
Warrior Met Coal, Inc. |
339,000 | 336,458 | ||||||
|
|
|||||||
3,308,457 | ||||||||
|
|
|||||||
Commercial Services — 3.3% |
| |||||||
Nielsen Finance LLC/Nielsen Finance Co. |
625,000 | 596,875 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. |
1,830,000 | 1,887,187 | ||||||
Refinitiv US Holdings, Inc. |
314,000 | 286,918 | ||||||
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary |
680,000 | 620,500 | ||||||
United Rentals North America, Inc. |
249,000 | 222,233 | ||||||
4.875% 1/15/28 |
365,000 | 320,287 | ||||||
|
|
|||||||
3,934,000 | ||||||||
|
|
|||||||
Computers — 1.6% |
| |||||||
Dell, Inc. |
501,000 | 445,890 | ||||||
GCI LLC |
1,550,000 | 1,503,500 | ||||||
|
|
|||||||
1,949,390 | ||||||||
|
|
|||||||
Diversified Financial Services — 2.8% |
| |||||||
LPL Holdings, Inc. |
1,364,000 | 1,278,750 | ||||||
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. |
704,000 | 651,200 |
Principal Amount |
Value | |||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc. |
$ | 1,477,000 | $ | 1,435,600 | ||||
|
|
|||||||
3,365,550 | ||||||||
|
|
|||||||
Electric — 0.6% |
| |||||||
NRG Energy, Inc. |
702,000 | 707,265 | ||||||
|
|
|||||||
Engineering & Construction — 1.2% |
| |||||||
Zachry Holdings, Inc. |
1,510,000 | 1,479,800 | ||||||
|
|
|||||||
Entertainment — 0.3% |
| |||||||
Eldorado Resorts, Inc. |
324,000 | 306,180 | ||||||
|
|
|||||||
Foods — 4.8% |
| |||||||
C&S Group Enterprises LLC |
1,030,000 | 986,225 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. |
646,000 | 636,310 | ||||||
6.750% 2/15/28 (b) |
824,000 | 803,400 | ||||||
KeHE Distributors LLC/KeHE Finance Corp. |
650,000 | 617,500 | ||||||
Pilgrim’s Pride Corp. |
247,000 | 231,563 | ||||||
5.875% 9/30/27 (b) |
877,000 | 795,877 | ||||||
Post Holdings, Inc. |
309,000 | 296,581 | ||||||
5.625% 1/15/28 (b) |
468,000 | 430,560 | ||||||
5.750% 3/01/27 (b) |
382,000 | 358,125 | ||||||
Simmons Foods, Inc. |
483,000 | 342,930 | ||||||
7.750% 1/15/24 (b) |
189,000 | 189,945 | ||||||
|
|
|||||||
5,689,016 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.0% |
| |||||||
Appvion Inc. (Escrow Shares) |
2,157,000 | - | ||||||
|
|
|||||||
Gas — 0.8% |
| |||||||
LBC Tank Terminals Holding Netherlands BV |
1,111,000 | 988,790 | ||||||
|
|
|||||||
Hand & Machine Tools — 0.8% |
| |||||||
Apex Tool Group LLC/BC Mountain Finance, Inc. |
1,138,000 | 961,610 | ||||||
|
|
|||||||
Health Care – Products — 5.5% |
| |||||||
Avanos Medical, Inc. |
1,300,000 | 1,290,250 | ||||||
Avantor, Inc. |
652,000 | 640,590 | ||||||
9.000% 10/01/25 (b) |
1,397,000 | 1,397,000 |
The accompanying notes are an integral part of the financial statements.
52
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC |
$ | 398,000 | $ | 274,620 | ||||
5.625% 10/15/23 (b) |
202,000 | 153,520 | ||||||
5.750% 8/01/22 (b) (c) |
355,000 | 305,300 | ||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA |
2,784,000 | 2,505,600 | ||||||
|
|
|||||||
6,566,880 | ||||||||
|
|
|||||||
Health Care – Services — 2.7% |
| |||||||
Envision Healthcare Corp. |
789,000 | 682,485 | ||||||
HCA, Inc. |
1,138,000 | 1,132,310 | ||||||
RegionalCare Hospital Partners Holdings, Inc. |
719,000 | 726,190 | ||||||
Tenet Healthcare Corp. |
400,000 | 372,000 | ||||||
8.125% 4/01/22 |
340,000 | 340,850 | ||||||
|
|
|||||||
3,253,835 | ||||||||
|
|
|||||||
Home Builders — 0.5% |
| |||||||
Brookfield Residential Properties, Inc. |
491,000 | 448,038 | ||||||
William Lyon Homes, Inc. |
194,000 | 174,600 | ||||||
|
|
|||||||
622,638 | ||||||||
|
|
|||||||
Insurance — 1.8% |
| |||||||
Acrisure LLC/Acrisure Finance, Inc. |
791,000 | 674,327 | ||||||
USIS Merger Sub, Inc. |
836,000 | 767,532 | ||||||
York Risk Services Holding Corp. |
992,000 | 689,440 | ||||||
|
|
|||||||
2,131,299 | ||||||||
|
|
|||||||
Internet — 0.5% |
| |||||||
Netflix, Inc. |
595,000 | 578,162 | ||||||
|
|
|||||||
Iron & Steel — 1.0% |
| |||||||
Allegheny Technologies, Inc. |
1,192,000 | 1,168,160 | ||||||
|
|
|||||||
Leisure Time — 3.4% |
| |||||||
Brunswick Corp. |
285,000 | 309,226 | ||||||
7.125% 8/01/27 |
2,245,000 | 2,480,356 | ||||||
Carlson Travel, Inc. |
496,000 | 478,020 | ||||||
9.500% 12/15/24 (b) |
862,000 | 782,265 | ||||||
|
|
|||||||
4,049,867 | ||||||||
|
|
Principal Amount |
Value | |||||||
Lodging — 0.5% |
| |||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. |
$ | 492,000 | $ | 432,960 | ||||
5.500% 3/01/25 (b) |
140,000 | 130,550 | ||||||
|
|
|||||||
563,510 | ||||||||
|
|
|||||||
Media — 7.5% |
| |||||||
Altice Financing SA |
600,000 | 576,000 | ||||||
Altice Luxembourg SA |
700,000 | 523,250 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
1,086,000 | 999,120 | ||||||
5.750% 2/15/26 (b) |
550,000 | 539,000 | ||||||
5.875% 4/01/24 (b) |
1,500,000 | 1,492,500 | ||||||
5.875% 5/01/27 (b) |
822,000 | 797,340 | ||||||
Clear Channel Worldwide Holdings, Inc. |
1,476,000 | 1,439,100 | ||||||
CSC Holdings LLC |
565,000 | 563,587 | ||||||
DISH DBS Corp. |
681,000 | 563,528 | ||||||
Midcontinent Communications/Midcontinent Finance Corp. |
864,000 | 885,600 | ||||||
Sirius XM Radio, Inc. |
167,000 | 156,145 | ||||||
Ziggo BV |
489,000 | 437,655 | ||||||
|
|
|||||||
8,972,825 | ||||||||
|
|
|||||||
Mining — 4.8% |
| |||||||
Compass Minerals International, Inc. |
294,000 | 266,070 | ||||||
First Quantum Minerals Ltd. |
659,000 | 579,920 | ||||||
7.500% 4/01/25 (b) |
652,000 | 537,900 | ||||||
Hecla Mining Co. |
1,271,000 | 1,245,580 | ||||||
Kinross Gold Corp. |
640,000 | 552,800 | ||||||
5.950% 3/15/24 |
441,000 | 438,795 | ||||||
6.875% 9/01/41 |
476,000 | 454,580 | ||||||
New Gold, Inc. |
998,000 | 838,320 | ||||||
Northwest Acquisitions ULC/Dominion Finco, Inc. |
884,000 | 873,215 | ||||||
|
|
|||||||
5,787,180 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 0.5% |
| |||||||
General Electric Co. |
559,000 | 560,677 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
53
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Oil & Gas — 7.6% |
| |||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. |
$ | 362,000 | $ | 292,315 | ||||
7.750% 4/15/23 (c) |
204,000 | 155,040 | ||||||
Chesapeake Energy Corp. |
251,000 | 221,508 | ||||||
8.000% 6/15/27 |
25,000 | 21,000 | ||||||
Citgo Holding, Inc. |
1,677,000 | 1,710,540 | ||||||
Ensco PLC |
234,000 | 173,160 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. |
637,000 | 262,762 | ||||||
Jonah Energy LLC/Jonah Energy Finance Corp. |
985,000 | 630,400 | ||||||
Jupiter Resources, Inc. |
2,607 | 11,082 | ||||||
8.500% 10/01/22 (b) (f) |
2,310,000 | 785,400 | ||||||
Kosmos Energy Ltd. |
1,823,000 | 1,804,770 | ||||||
7.875% 8/01/21 (b) |
800,000 | 796,000 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. |
47,000 | 44,885 | ||||||
SM Energy Co. |
188,000 | 166,380 | ||||||
Transocean Guardian Ltd. |
269,000 | 257,567 | ||||||
Transocean, Inc. |
483,000 | 321,195 | ||||||
9.350% STEP 12/15/41 |
150,000 | 124,875 | ||||||
Tullow Oil PLC |
1,364,000 | 1,312,850 | ||||||
|
|
|||||||
9,091,729 | ||||||||
|
|
|||||||
Oil & Gas Services — 1.0% |
| |||||||
KCA Deutag UK Finance PLC |
341,000 | 274,505 | ||||||
Welltec A/S |
1,000,000 | 987,500 | ||||||
|
|
|||||||
1,262,005 | ||||||||
|
|
|||||||
Packaging & Containers — 0.2% |
| |||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. |
200,000 | 199,500 | ||||||
|
|
|||||||
Pharmaceuticals — 3.6% |
| |||||||
Bausch Health Cos., Inc |
1,643,000 | 1,433,517 | ||||||
Bausch Health Cos., Inc. |
171,000 | 171,855 |
Principal Amount |
Value | |||||||
Bausch Health Cos., Inc. |
$ | 452,000 | $ | 413,580 | ||||
5.875% 5/15/23 (b) |
193,000 | 178,525 | ||||||
7.000% 3/15/24 (b) |
290,000 | 292,900 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. |
981,000 | 703,868 | ||||||
Endo Finance LLC/Endo Finco, Inc. |
139,000 | 105,640 | ||||||
7.250% STEP 1/15/22 (b) |
112,000 | 96,880 | ||||||
Teva Pharmaceutical Finance Netherlands III BV |
315,000 | 303,412 | ||||||
Valeant Pharmaceuticals International |
600,000 | 600,000 | ||||||
|
|
|||||||
4,300,177 | ||||||||
|
|
|||||||
Pipelines — 2.3% |
| |||||||
Cheniere Energy Partners LP |
725,000 | 677,875 | ||||||
Energy Transfer LP |
1,364,000 | 1,312,850 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. |
765,000 | 707,625 | ||||||
|
|
|||||||
2,698,350 | ||||||||
|
|
|||||||
Private Equity — 0.6% |
| |||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
761,000 | 732,463 | ||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 1.0% |
| |||||||
MPT Operating Partnership LP/MPT Finance Corp. |
539,000 | 492,848 | ||||||
RHP Hotel Properties LP/RHP Finance Corp. |
789,000 | 769,275 | ||||||
|
|
|||||||
1,262,123 | ||||||||
|
|
|||||||
Retail — 2.4% |
| |||||||
Ferrellgas LP/Ferrellgas Finance Corp. |
500,000 | 407,500 | ||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. |
449,000 | 321,035 | ||||||
8.625% 6/15/20 |
742,000 | 530,530 | ||||||
Golden Nugget, Inc. |
242,000 | 232,320 | ||||||
KGA Escrow LLC |
426,000 | 419,610 | ||||||
Penske Automotive Group, Inc. |
1,000,000 | 930,000 |
The accompanying notes are an integral part of the financial statements.
54
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Sonic Automotive, Inc. |
$ | 72,000 | $ | 65,340 | ||||
|
|
|||||||
2,906,335 | ||||||||
|
|
|||||||
Software — 3.5% |
| |||||||
RP Crown Parent LLC |
191,000 | 192,433 | ||||||
TIBCO Software, Inc. |
2,877,000 | 3,013,657 | ||||||
Veritas US, Inc./Veritas Bermuda Ltd. |
1,500,000 | 982,500 | ||||||
|
|
|||||||
4,188,590 | ||||||||
|
|
|||||||
Telecommunications — 7.1% |
| |||||||
CenturyLink, Inc. |
500,000 | 481,875 | ||||||
Frontier Communications Co. |
1,250,000 | 1,215,625 | ||||||
Hughes Satellite Systems Corp. |
805,000 | 737,581 | ||||||
6.625% 8/01/26 |
272,000 | 249,220 | ||||||
Intelsat Connect Finance SA |
412,000 | 354,320 | ||||||
Intelsat Jackson Holdings SA |
889,000 | 862,330 | ||||||
9.750% 7/15/25 (b) |
132,000 | 132,370 | ||||||
Sprint Corp. |
745,000 | 762,508 | ||||||
7.625% 3/01/26 |
422,000 | 416,725 | ||||||
7.875% 9/15/23 |
1,578,000 | 1,619,422 | ||||||
T-Mobile USA, Inc. |
453,000 | 453,000 | ||||||
6.500% 1/15/26 |
679,000 | 692,580 | ||||||
Telecom Italia SpA |
512,000 | 486,400 | ||||||
|
|
|||||||
8,463,956 | ||||||||
|
|
|||||||
Toys, Games & Hobbies — 0.1% |
| |||||||
Mattel, Inc. |
147,000 | 131,152 | ||||||
|
|
|||||||
Transportation — 2.6% |
| |||||||
The Kenan Advantage Group, Inc. |
3,200,000 | 3,064,000 | ||||||
|
|
|||||||
Trucking & Leasing — 0.2% |
| |||||||
Park Aerospace Holdings Ltd. |
249,000 | 240,908 | ||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $120,788,772) |
109,728,072 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $125,614,933) |
114,629,433 | |||||||
|
|
Number of Shares |
Value | |||||||
WARRANTS — 0.0% |
| |||||||
Basic Materials — 0.0% |
| |||||||
Forest Products & Paper — 0.0% |
| |||||||
Appvion Holding Corp. (a) (d) (e) |
2,106 | $ | - | |||||
Appvion Holding Corp. (a) (d) (e) |
2,106 | 22,426 | ||||||
|
|
|||||||
22,426 | ||||||||
|
|
|||||||
TOTAL WARRANTS (Cost $0) |
22,426 | |||||||
|
|
|||||||
MUTUAL FUNDS — 3.3% |
| |||||||
Diversified Financial Services — 3.3% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (g) |
3,990,143 | 3,990,143 | ||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $3,990,143) |
3,990,143 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $130,731,406) |
119,339,799 | |||||||
|
|
|||||||
Principal Amount |
||||||||
SHORT-TERM INVESTMENTS — 1.7% |
| |||||||
Commercial Paper — 1.7% |
| |||||||
Cox Enterprises, Inc. |
$ | 2,000,000 | 1,999,705 | |||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,999,850) |
1,999,705 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 101.5% (Cost $132,731,256) (h) |
121,339,504 | |||||||
Other Assets/(Liabilities) — (1.5)% | (1,814,811 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 119,524,693 | ||||||
|
|
Abbreviation Legend
STEP | Step Up Bond |
VRN | Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2018, these securities amounted to a value of $76,962,626 or 64.39% of net assets. |
The accompanying notes are an integral part of the financial statements.
55
MML High Yield Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $3,905,647 or 3.27% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(d) | Investment was valued using significant unobservable inputs. |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $33,508 or 0.03% of net assets. |
(f) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At December 31, 2018, these securities amounted to a value of $785,400 or 0.66% of net assets. |
(g) | Represents investment of security lending collateral. (Note 2). |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States |
79.8 | % | ||
Canada |
7.7 | % | ||
Luxembourg |
3.2 | % | ||
Bermuda |
2.2 | % | ||
Netherlands |
2.0 | % | ||
United Kingdom |
1.8 | % | ||
Denmark |
0.8 | % | ||
Cayman Islands |
0.8 | % | ||
Malta |
0.6 | % | ||
Ireland |
0.5 | % | ||
Italy |
0.4 | % | ||
|
|
|||
Total Long-Term Investments |
99.8 | % | ||
Short-Term Investments and Other Assets and Liabilities |
0.2 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
56
Principal Amount |
Value | |||||||
BONDS & NOTES — 139.8% |
| |||||||
CORPORATE DEBT — 2.5% |
| |||||||
Auto Manufacturers — 1.0% |
| |||||||
Ford Motor Credit Co. LLC |
$ | 2,060,000 | $ | 1,905,789 | ||||
General Motors Financial Co., Inc. 3 mo. USD LIBOR + 2.060% |
1,720,000 | 1,720,852 | ||||||
|
|
|||||||
3,626,641 | ||||||||
|
|
|||||||
Computers — 0.3% |
| |||||||
Dell International LLC/EMC Corp. |
1,100,000 | 1,096,749 | ||||||
|
|
|||||||
Health Care – Products — 0.6% |
| |||||||
Becton Dickinson & Co. |
2,060,000 | 2,039,296 | ||||||
|
|
|||||||
Pharmaceuticals — 0.6% |
| |||||||
Cardinal Health, Inc. 3 mo. |
2,060,000 | 2,037,420 | ||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $6,282,330) |
8,800,106 | |||||||
|
|
|||||||
MUNICIPAL OBLIGATIONS — 0.0% |
| |||||||
Louisiana State Public Facilities Authority, Series 2011-A,
Class A2, 3 mo. USD LIBOR + 0.900%, |
96,041 | 96,129 | ||||||
|
|
|||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $96,041) |
96,129 | |||||||
|
|
|||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 51.2% |
| |||||||
Auto Floor Plan ABS — 1.0% |
| |||||||
Ally Master Owner Trust, |
1,200,000 | 1,200,124 | ||||||
NextGear Floorplan Master Owner Trust |
470,000 | 470,220 | ||||||
Series 2018-1A, Class A1, |
850,000 | 849,257 | ||||||
Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700% |
960,000 | 963,598 | ||||||
|
|
|||||||
3,483,199 | ||||||||
|
|
|||||||
Automobile ABS — 12.8% |
| |||||||
American Credit Acceptance Receivables Trust |
96,929 | 96,895 |
Principal Amount |
Value | |||||||
Series 2018-3, Class A, 2.920% 8/12/21 (b) |
$ | 291,164 | $ | 290,831 | ||||
Series 2018-2, Class A, |
639,699 | 638,759 | ||||||
Series 2017-4, Class C, |
1,450,000 | 1,443,448 | ||||||
Series 2018-4, Class A, |
1,950,000 | 1,950,705 | ||||||
ARI Fleet Lease Trust, Series 2018-A, Class A1 |
224,318 | 224,230 | ||||||
Chesapeake Funding II LLC |
1,067,310 | 1,069,803 | ||||||
Series 2016-2A, Class A2, 1 mo. |
679,010 | 680,650 | ||||||
CPS Auto Trust |
545,658 | 543,827 | ||||||
Series 2018-A, Class A, |
157,993 | 157,326 | ||||||
Series 2017-A, Class B, |
2,000,000 | 1,993,952 | ||||||
Series 2018-C, Class A, |
579,076 | 577,989 | ||||||
Series 2018-C, Class B, |
260,000 | 260,047 | ||||||
Drive Auto Receivables Trust |
740,068 | 740,060 | ||||||
Series 2018-5, Class A1, |
435,017 | 434,921 | ||||||
Series 2017-1, Class C, |
650,000 | 649,483 | ||||||
Series 2018-2, Class B, |
350,000 | 349,639 | ||||||
DT Auto Owner Trust |
130,419 | 130,358 | ||||||
Series 2017-3A, Class B, |
723,374 | 722,134 | ||||||
Series 2018-1A, Class A, |
600,890 | 599,802 | ||||||
Series 2018 2A ,Class A, |
885,892 | 883,468 | ||||||
Series 2018-1A, Class B, |
520,000 | 518,685 | ||||||
Enterprise Fleet Financing LLC, |
10,534 | 10,528 |
The accompanying notes are an integral part of the financial statements.
57
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Exeter Automobile Receivables Trust |
$ | 294,158 | $ | 293,443 | ||||
Series 2018-1A, Class B, |
450,000 | 447,791 | ||||||
Series 2016-3A, Class B, |
415,549 | 415,003 | ||||||
Series 2018-3A, Class A, |
735,500 | 734,550 | ||||||
Series 2017-1A, Class B, |
700,000 | 698,856 | ||||||
Series 2018-4A, Class A, |
1,118,142 | 1,117,783 | ||||||
First Investors Auto Owner Trust |
836,965 | 832,789 | ||||||
Series 2018-1A, Class A1, |
826,617 | 825,904 | ||||||
Flagship Credit Auto Trust |
1,210,458 | 1,202,309 | ||||||
Series 2015-3, Class A, |
249,226 | 249,084 | ||||||
Series 2018-1, Class A, |
1,411,201 | 1,404,699 | ||||||
Series 2017-4, Class B, |
2,190,000 | 2,168,633 | ||||||
Series 2016-4, Class C, |
680,000 | 675,360 | ||||||
Series 2016-1, Class A, |
75,023 | 74,992 | ||||||
Series 2017-1, Class B, |
1,320,000 | 1,316,360 | ||||||
Series 2018-2, Class A, |
2,572,097 | 2,567,173 | ||||||
Hertz Fleet Lease Funding LP |
2,530,000 | 2,532,944 | ||||||
Series 2016-1, Class A1, 1 mo. |
524,337 | 524,634 | ||||||
Hertz Vehicle Financing II LP, |
730,000 | 728,047 | ||||||
OneMain Direct Auto Receivables Trust, Series 2017-2A,
Class A |
940,000 | 934,325 | ||||||
Oscar US Funding Trust II, |
532,163 | 530,564 | ||||||
Oscar US Funding Trust IX LLC, |
1,500,000 | 1,499,555 |
Principal Amount |
Value | |||||||
Oscar US Funding Trust VI |
$ | 500,000 | $ | 498,374 | ||||
Series 2017-1A, Class A4, |
420,000 | 420,280 | ||||||
Oscar US Funding Trust VII LLC, |
463,201 | 461,213 | ||||||
Oscar US Funding Trust VIII LLC, Series 2018-1A,
Class A2A |
420,736 | 419,777 | ||||||
Prestige Auto Receivables Trust, |
387,211 | 387,049 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-2,
Class C |
218,261 | 218,091 | ||||||
Securitized Equipment Receivable |
400,000 | 401,338 | ||||||
4.200% 10/11/24 |
430,000 | 431,560 | ||||||
Tesla Auto Lease Trust |
477,768 | 475,848 | ||||||
Series 2018-A, Class B, |
265,000 | 264,162 | ||||||
Series 2018-B, Class A, |
770,000 | 772,687 | ||||||
Toyota Auto Receivables Owner Trust, Series 2018-C,
Class A2B, |
1,920,000 | 1,919,998 | ||||||
Westlake Automobile Receivables Trust, Series 2018-2A,
Class A2A |
1,298,069 | 1,296,072 | ||||||
World Omni Select Auto Trust, |
713,285 | 712,960 | ||||||
|
|
|||||||
45,421,747 | ||||||||
|
|
|||||||
Commercial MBS — 1.9% |
| |||||||
BHMS Mortgage Trust, |
1,700,000 | 1,684,222 | ||||||
BX Commercial Mortgage Trust, |
758,868 | 747,737 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7,
Class AM, |
274,564 | 277,160 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., |
1,150,000 | 1,145,635 |
The accompanying notes are an integral part of the financial statements.
58
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
RETL, Series 2018-RVP, Class A, |
$ | 774,848 | $ | 766,993 | ||||
TPG Real Estate Finance Issuer Ltd., Series 2018-FL1,
Class A, |
1,108,013 | 1,093,543 | ||||||
VMC Finance LLC, Series 2018-FL1, Class A, |
1,094,613 | 1,085,331 | ||||||
|
|
|||||||
6,800,621 | ||||||||
|
|
|||||||
Credit Card ABS — 0.3% |
| |||||||
Citibank Credit Card Issuance Trust, Series 2017-A6,
Class A6, 1 mo. LIBOR + .770% |
1,100,000 | 1,097,561 | ||||||
|
|
|||||||
Other ABS — 14.7% |
| |||||||
321 Henderson Receivables I LLC |
521,376 | 512,793 | ||||||
Series 2006-2A, Class A1, 1 mo. USD LIBOR + .200% |
1,619,848 | 1,588,975 | ||||||
Series 2006-4A, Class A1, 1 mo. USD LIBOR + .200% |
287,901 | 282,527 | ||||||
321 Henderson Receivables II LLC, Series 2006-3A,
Class A1, 1 mo. USD LIBOR + .200% |
164,978 | 157,677 | ||||||
321 Henderson Receivables LLC, |
675,798 | 637,180 | ||||||
AASET US Ltd., Series 2018-2A, Class A |
575,998 | 581,856 | ||||||
AIMCO CLO, Series 2015-AA, Class AR, |
2,450,000 | 2,410,187 | ||||||
Arbor Realty Commercial Real Estate Notes, Series 2018-FL1,
Class A, |
780,000 | 767,413 | ||||||
Ascentium Equipment Receivables Trust, Series 2018-2A,
Class A1 |
3,701,758 | 3,699,253 | ||||||
Avant Loans Funding Trust |
848,503 | 847,133 | ||||||
Series 2018-B, Class A, |
1,213,571 | 1,211,902 |
Principal Amount |
Value | |||||||
Avery Point IV CLO Ltd., |
$ | 1,699,664 | $ | 1,694,660 | ||||
BCC Funding XIV LLC, |
961,934 | 959,259 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE |
265,957 | 265,957 | ||||||
Cazenovia Creek Funding I LLC, |
103,667 | 103,084 | ||||||
CCG Receivables Trust, |
1,120,000 | 1,119,814 | ||||||
CIFC Funding II Ltd., |
2,450,000 | 2,420,617 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5,
Class 3A, 1 mo. USD LIBOR + .460% |
25,380 | 25,128 | ||||||
Diamond Resorts Owner Trust, |
94,579 | 94,225 | ||||||
Drug Royalty II LP, |
154,610 | 155,600 | ||||||
Elara HGV Timeshare Issuer LLC, |
157,940 | 153,933 | ||||||
Hilton Grand Vacations Trust, |
98,616 | 97,161 | ||||||
KREF Ltd., |
2,000,000 | 1,969,141 | ||||||
Lendmark Funding Trust, |
630,000 | 628,937 | ||||||
Mariner Finance Issuance Trust |
1,600,000 | 1,583,246 | ||||||
Series 2017-AA, Class A, |
770,000 | 773,323 | ||||||
Marlette Funding Trust |
206,773 | 206,103 | ||||||
Series 2017-2A, Class A, |
138,950 | 138,761 |
The accompanying notes are an integral part of the financial statements.
59
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2018-1A, Class A, |
$ | 1,033,191 | $ | 1,030,502 | ||||
Series 2017-1A, Class A, |
236,289 | 236,195 | ||||||
Series 2018-2A, Class A, |
799,446 | 798,840 | ||||||
Series 2018-3A, Class A, |
870,879 | 869,652 | ||||||
MVW Owner Trust, Series 2017-1A, Class A |
156,980 | 154,000 | ||||||
Neuberger Berman CLO XX Ltd., |
2,450,000 | 2,408,713 | ||||||
New Residential Advance Receivables Trust, Series 2016-T2,
Class AT2 |
1,900,000 | 1,888,150 | ||||||
NP Ferrum LLC, Series 16-1A, Class A1 |
337,230 | 340,929 | ||||||
OCP CLO Ltd., Series 2015-10A, Class A1R, |
2,450,000 | 2,425,106 | ||||||
Orange Lake Timeshare Trust, |
341,870 | 337,298 | ||||||
Oxford Finance Funding Trust, |
379,166 | 380,340 | ||||||
PNMAC GMSR Issuer Trust, |
440,000 | 440,945 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%
|
1,535 | 1,535 | ||||||
Sierra Timeshare Receivables Funding LLC |
164,292 | 164,150 | ||||||
Series 2014-3A, Class A |
185,123 | 184,284 | ||||||
Series 2015-2A, Class A, |
409,428 | 404,331 | ||||||
Series 2014-3A, Class B, |
453,233 | 451,515 | ||||||
Series 2015-2A, Class B, |
1,188,980 | 1,183,254 | ||||||
Series 2015-1A, Class B, |
512,107 | 510,206 | ||||||
Series 2015-3A, Class B, |
39,349 | 39,145 |
Principal Amount |
Value | |||||||
SoFi Consumer Loan Program LLC |
$ | 276,767 | $ | 276,592 | ||||
Series 2016-5, Class A, |
1,425,805 | 1,418,297 | ||||||
Series 2016-2A, Class A, |
383,722 | 383,182 | ||||||
Series 2018-3, Class A1, |
1,510,678 | 1,507,744 | ||||||
Series 2016-1A, Class A, |
722,540 | 722,557 | ||||||
Series 2017-2, Class A, |
582,132 | 580,829 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A
|
758,706 | 751,367 | ||||||
Springleaf Funding Trust, |
1,787,403 | 1,777,013 | ||||||
TLF National Tax Lien Trust, |
922,348 | 919,872 | ||||||
Trafigura Securitisation Finance PLC |
1,000,000 | 1,005,104 | ||||||
Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700% |
1,330,000 | 1,328,956 | ||||||
Trip Rail Master Funding LLC, |
240,263 | 238,250 | ||||||
Westgate Resorts LLC |
111,861 | 111,647 | ||||||
Series 2017-1A, Class A, |
539,743 | 535,718 | ||||||
Series 2015-2A, Class A, |
247,167 | 246,671 | ||||||
Series 2018-1A, Class A, |
676,267 | 675,068 | ||||||
|
|
|||||||
51,813,802 | ||||||||
|
|
|||||||
Student Loans ABS — 16.3% |
| |||||||
Academic Loan Funding Trust, |
2,005,924 | 1,999,093 | ||||||
AccessLex Institute |
26,612 | 26,572 | ||||||
Series 2005-1, Class B, 3 mo. USD LIBOR + .570% |
693,864 | 667,430 |
The accompanying notes are an integral part of the financial statements.
60
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2003-A, Class A3, 3 mo. Treasury + 1.200% |
$ | 70,461 | $ | 68,786 | ||||
Brazos Higher Education Authority, Inc., Series 2006-2,
Class A10, 3 mo. USD LIBOR + .120% |
1,132,105 | 1,121,762 | ||||||
College Loan Corp. Trust I, |
522,580 | 492,695 | ||||||
Commonbond Student Loan Trust, |
321,000 | 320,969 | ||||||
DRB Prime Student Loan Trust |
21,839 | 21,715 | ||||||
Series 2015-B, Class A3, |
73,374 | 72,541 | ||||||
Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900% |
954,424 | 961,105 | ||||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000% |
109,188 | 111,499 | ||||||
Earnest Student Loan Program LLC |
396,303 | 399,490 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050% |
323,734 | 328,331 | ||||||
ECMC Group Student Loan Trust |
3,891,085 | 3,885,786 | ||||||
Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200% |
1,587,547 | 1,605,545 | ||||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350% |
1,065,724 | 1,085,943 | ||||||
EdLinc Student Loan Funding Trust, |
1,063,416 | 1,075,817 | ||||||
Edsouth Indenture No. 9 LLC, |
513,261 | 513,264 | ||||||
Edsouth Indenture No. 10 LLC, |
1,000,000 | 1,014,124 |
Principal Amount |
Value | |||||||
ELFI Graduate Loan Program LLC, |
$ | 889,177 | $ | 883,578 | ||||
Goal Capital Funding Trust, |
358,281 | 358,408 | ||||||
JP Morgan Student Loan Trust, |
581,722 | 556,009 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1,
Class A1, 1 mo. USD LIBOR + .750% |
390,691 | 391,301 | ||||||
KeyCorp Student Loan Trust |
301,054 | 298,635 | ||||||
Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310% |
151,344 | 150,973 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-C,
Class A2A |
248,945 | 248,256 | ||||||
Navient Private Education Loan Trust, Series 2015-AA,
Class A2B, 1 mo. USD LIBOR + 1.200% |
606,403 | 609,167 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-A,
Class A1 |
2,150,135 | 2,135,358 | ||||||
Navient Student Loan Trust |
570,074 | 570,073 | ||||||
Series 2018-1A, Class A3, |
1,120,000 | 1,113,725 | ||||||
Series 2016-3A, Class A2, 1 mo. USD LIBOR + .850% |
633,131 | 636,117 | ||||||
Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250% |
2,318,490 | 2,335,847 | ||||||
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% |
2,200,000 | 2,247,415 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A,
Class A1A, 1 mo. USD LIBOR + 1.750% |
567,648 | 565,862 | ||||||
Nelnet Student Loan Trust |
710,120 | 700,508 |
The accompanying notes are an integral part of the financial statements.
61
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .200% |
$ | 859,632 | $ | 817,097 | ||||
Series 2004-3, Class B, 3 mo. USD LIBOR + .350% |
1,345,532 | 1,288,643 | ||||||
Series 2005-2, Class A5, 3 mo. USD LIBOR + .100% |
1,247,060 | 1,235,253 | ||||||
Series 2018-3A, Class A2, |
900,000 | 901,029 | ||||||
Series 2005-2, Class B, 3 mo. USD LIBOR + .170% |
992,853 | 947,220 | ||||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% |
392,720 | 360,838 | ||||||
Series 2018-1A, Class A2, |
1,790,000 | 1,772,109 | ||||||
Series 2010-4A, Class A, 1 mo. USD LIBOR + .800% |
73,518 | 74,049 | ||||||
Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500% |
375,000 | 374,623 | ||||||
SLC Student Loan Trust |
1,388,193 | 1,307,907 | ||||||
Series 2005-2, Class B, 3 mo. USD LIBOR + .280% |
2,077,926 | 1,947,666 | ||||||
SLM Private Education Loan Trust, Series 2011-A,
Class A3, 1 mo. USD LIBOR + 2.500% |
428,352 | 434,349 | ||||||
SLM Student Loan Trust |
580,267 | 560,586 | ||||||
Series 2005-5, Class A4, 3 mo. USD LIBOR + .140% |
636,816 | 632,143 | ||||||
Series 2006-10, Class A6, 3 mo. USD LIBOR + .150% |
1,760,000 | 1,711,565 | ||||||
Series 2006-4, Class B, 3 mo. USD LIBOR + .200% |
404,491 | 384,518 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% |
437,416 | 415,236 | ||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .220% |
448,614 | 420,406 |
Principal Amount |
Value | |||||||
Series 2006-10, Class B, 3 mo. USD LIBOR + .220% |
$ | 968,333 | $ | 907,667 | ||||
Series 2003-14, Class A6, 3 mo. USD LIBOR + .300% |
391,800 | 390,844 | ||||||
Series 2005-8, Class B, 3 mo. USD LIBOR + .310% |
438,674 | 414,899 | ||||||
Series 2004-3, Class B, 3 mo. USD LIBOR + .470% |
333,050 | 316,853 | ||||||
Series 2003-14, Class A7, 3 mo. USD LIBOR + .600% |
2,550,000 | 2,542,905 | ||||||
Series 2003-11, Class B, 3 mo. USD LIBOR + .650% |
489,322 | 468,503 | ||||||
Series 2002-7, Class A11, 28 day ARS |
240,000 | 240,000 | ||||||
Series 2003-5, Class A9, 28 day ARS 4.480% FRN 6/15/30 |
700,000 | 700,000 | ||||||
Series 2003-5, Class A7, 28 day ARS 4.490% FRN 6/15/30 |
550,000 | 550,000 | ||||||
Series 2003-2, Class A7, 28 day ARS 5.083% FRN 9/15/28 |
750,000 | 750,000 | ||||||
SMB Private Education Loan Trust |
296,606 | 296,223 | ||||||
Series 2018-C, Class A1, |
940,387 | 938,814 | ||||||
Series 2014-A, Class A2A, |
479,109 | 478,217 | ||||||
Series 2018-B, Class A2B, |
1,500,000 | 1,489,771 | ||||||
SoFi Professional Loan Program LLC |
3,107 | 3,104 | ||||||
Series 2017-F, Class A1FX, |
718,959 | 713,194 | ||||||
Series 2017-A, Class A1, 1 mo. USD LIBOR + .700% |
621,829 | 621,404 | ||||||
Series 2015-A, Class A1, 1 mo. USD LIBOR + 1.200% |
122,219 | 122,791 | ||||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750% |
422,063 | 427,353 | ||||||
|
|
|||||||
57,531,478 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
62
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
WL Collateral CMO — 4.2% |
| |||||||
Deephaven Residential Mortgage Trust |
$ | 749,564 | $ | 738,725 | ||||
Series 2018-1A, Class A2, |
749,564 | 739,375 | ||||||
Series 2018-2A, Class A1, |
2,044,993 | 2,049,812 | ||||||
Series 2018-4A, Class A3, |
3,188,021 | 3,207,796 | ||||||
JP Morgan Mortgage Trust |
689,116 | 679,994 | ||||||
Series 2018-3, Class A5, |
1,020,107 | 1,003,463 | ||||||
Series 2017-6, Class A5, |
997,331 | 984,750 | ||||||
PSMC Trust, Series 2018-1, Class A3, |
951,457 | 939,304 | ||||||
Sequoia Mortgage Trust |
756,844 | 730,922 | ||||||
Series 2018-3, Class A4, |
922,684 | 910,462 | ||||||
Series 2018-CH1, Class A10, |
699,599 | 703,225 | ||||||
Series 2018-CH2, Class A12, |
1,196,547 | 1,202,801 | ||||||
Series 2018-CH3, Class A11, |
811,594 | 820,932 | ||||||
|
|
|||||||
14,711,561 | ||||||||
|
|
|||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $180,607,460) |
180,859,969 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.7% |
| |||||||
Pass-Through Securities — 0.1% |
| |||||||
Federal Home Loan Mortgage Corp. |
348,919 | 368,438 | ||||||
|
|
|||||||
Whole Loans — 0.6% |
| |||||||
Federal National Mortgage Association Connecticut Avenue Securities |
1,123,719 | 1,121,729 | ||||||
Series 2016-C06, Class 1M1, 1 mo. USD LIBOR + 1.300% |
511,110 | 513,362 | ||||||
Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350% |
114,430 | 114,570 |
Principal Amount |
Value | |||||||
Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450% |
$ | 315,741 | $ | 316,978 | ||||
|
|
|||||||
2,066,639 | ||||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $2,420,570) |
2,435,077 | |||||||
|
|
|||||||
U.S. TREASURY OBLIGATIONS — 85.4% |
| |||||||
U.S. Treasury Bonds & Notes — 85.4% |
| |||||||
U.S. Treasury Inflation Index |
18,031,117 | 17,533,148 | ||||||
0.125% 4/15/22 (d) |
18,716,040 | 18,105,332 | ||||||
0.125% 7/15/22 (d) |
22,542,005 | 21,894,709 | ||||||
0.125% 1/15/23 (d) |
20,289,030 | 19,596,174 | ||||||
0.125% 7/15/24 (d) |
13,312,000 | 12,765,240 | ||||||
0.125% 7/15/26 (d) |
10,549,400 | 9,904,073 | ||||||
0.250% 1/15/25 (d) |
19,217,160 | 18,402,048 | ||||||
0.375% 7/15/25 (d) (e) (f) |
20,851,888 | 20,101,980 | ||||||
0.375% 7/15/27 (d) |
19,279,251 | 18,289,432 | ||||||
0.500% 1/15/28 (d) |
12,455,694 | 11,886,754 | ||||||
0.625% 4/15/23 (d) (f) |
11,839,689 | 11,642,977 | ||||||
0.625% 1/15/24 (d) |
12,463,010 | 12,268,192 | ||||||
0.625% 2/15/43 (d) |
5,939,244 | 5,204,727 | ||||||
0.750% 7/15/28 (d) |
12,214,604 | 11,955,521 | ||||||
0.750% 2/15/42 |
2,383,662 | 2,162,552 | ||||||
0.750% 2/15/45 (d) |
8,880,657 | 7,939,400 | ||||||
0.875% 2/15/47 (d) |
6,285,300 | 5,769,300 | ||||||
1.000% 2/15/48 (d) |
9,690,408 | 9,183,050 | ||||||
1.375% 2/15/44 (d) |
8,137,575 | 8,400,775 | ||||||
1.750% 1/15/28 (d) |
6,638,720 | 7,049,577 | ||||||
2.000% 1/15/26 (d) |
7,644,300 | 8,158,483 | ||||||
2.125% 2/15/40 |
1,462,425 | 1,718,692 | ||||||
2.125% 2/15/41 (d) |
4,630,387 | 5,467,474 | ||||||
2.375% 1/15/25 (d) |
10,061,325 | 10,878,541 | ||||||
2.375% 1/15/27 (d) |
6,520,384 | 7,198,054 | ||||||
3.375% 4/15/32 (d) |
2,849,240 | 3,653,520 | ||||||
3.625% 4/15/28 (d) |
4,690,320 | 5,755,597 | ||||||
3.875% 4/15/29 (d) |
6,891,136 | 8,766,009 | ||||||
|
|
|||||||
301,651,331 | ||||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $311,333,387) |
301,651,331 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $500,739,788) |
493,842,612 | |||||||
|
|
|||||||
TOTAL PURCHASED OPTIONS (#) — 0.8% (Cost $2,611,695) |
2,726,210 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $503,351,483) |
496,568,822 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
63
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
SHORT-TERM INVESTMENTS — 39.9% |
| |||||||
Commercial Paper — 39.9% |
| |||||||
AT&T, Inc. |
$ | 5,200,000 | $ | 5,167,003 | ||||
Bell Canada |
3,600,000 | 3,573,831 | ||||||
CBS Corp. |
6,000,000 | 5,985,983 | ||||||
Cox Enterprises, Inc. |
900,000 | 899,867 | ||||||
E.I. du Point Nemours & Co. |
6,000,000 | 5,962,977 | ||||||
Entergy Corp. |
3,200,000 | 3,182,965 | ||||||
3.218% 3/08/19 (b) |
2,100,000 | 2,088,048 | ||||||
Experian Finance PLC |
6,000,000 | 5,976,108 | ||||||
FMC Technologies, Inc. |
6,000,000 | 5,959,648 | ||||||
Glencore Funding LLC |
3,500,000 | 3,499,205 | ||||||
Harley-Davidson, Inc. |
6,000,000 | 5,956,292 | ||||||
Hyundai Capital America |
3,000,000 | 2,988,938 | ||||||
Keurig Dr Pepper, Inc. |
3,200,000 | 3,196,307 | ||||||
Mondelez International, Inc. |
6,000,000 | 5,975,142 | ||||||
National Grid PLC |
4,000,000 | 3,992,036 | ||||||
Public Service Company of Colorado |
3,800,000 | 3,798,012 | ||||||
Public Sevice Enterprise Group, Inc. |
6,000,000 | 5,970,642 | ||||||
Rogers Communications, Inc. |
5,100,000 | 5,093,225 | ||||||
Schlumberger Holdings Corp. |
6,000,000 | 5,974,546 | ||||||
Spectra Energy Partners |
1,000,000 | 999,321 | ||||||
3.149% 1/15/19 (b) |
2,000,000 | 1,997,667 | ||||||
Suncor Energy, Inc. |
6,000,000 | 5,959,648 | ||||||
Telus Corp. |
5,000,000 | 4,969,140 | ||||||
The Southern Co. |
6,000,000 | 5,991,540 | ||||||
Transcanada Pipelines Ltd. |
6,000,000 | 5,966,796 | ||||||
Tyco International Holding Sarl |
6,000,000 | 5,959,293 |
Principal Amount |
Value | |||||||
United Technologies Corp. |
$ | 6,000,000 | $ | 5,988,054 | ||||
VW Credit, Inc. |
6,000,000 | 5,981,462 | ||||||
Walgreens Boots Alliance, Inc. |
6,000,000 | 5,978,909 | ||||||
Xcel Energy, Inc. |
6,000,000 | 5,995,923 | ||||||
|
|
|||||||
141,028,528 | ||||||||
|
|
|||||||
Repurchase Agreement — 0.0% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (g) |
107,905 | 107,905 | ||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $141,134,901) |
141,136,433 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 180.5% (Cost $644,486,384) (h) |
637,705,255 | |||||||
Other Assets/(Liabilities) — (80.5)% | (284,399,326 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 353,305,929 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2018. |
(b) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2018, these securities amounted to a value of $294,531,962 or 83.36% of net assets. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $340,929 or 0.10% of net assets. |
(d) | All or portion of this security is pledged as collateral for open reverse repurchase agreements. (Note 2). |
The accompanying notes are an integral part of the financial statements.
64
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
(e) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
(f) | A portion of this security is pledged/held as collateral for open swap agreements. (Note 2). |
(g) | Maturity value of $107,912. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $114,315. |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
(#) Purchased Swaptions contracts at December 31, 2018:
OTC Counterparty | Units | Notional Amount |
Expiration Date |
Pay/ Receive Exercise Rate |
Description | Premiums Purchased |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
Barclays Bank PLC* | 11,240,000 | USD | 11,240,000 | 12/13/32 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Exercise Rate 2.44% | $ | 561,914 | $ | 480,575 | $ | (81,339 | ) | |||||||||||||||||
Credit Suisse International* | 6,310,000 | USD | 6,310,000 | 1/31/33 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/02/43, Exercise Rate 2.61% | 302,880 | 299,879 | (3,001 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
864,794 | 780,454 | (84,340 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Barclays Bank PLC* | 22,880,000 | USD | 22,880,000 | 12/13/32 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Exercise Rate 2.94% | $ | 1,143,840 | $ | 1,296,368 | $ | 152,528 | ||||||||||||||||||
Credit Suisse International* | 12,590,000 | USD | 12,590,000 | 1/31/33 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/02/43, Exercise Rate 3.11% | 603,061 | 649,388 | 46,327 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
1,746,901 | 1,945,756 | 198,855 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 2,611,695 | $ | 2,726,210 | $ | 114,515 | |||||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
The accompanying notes are an integral part of the financial statements.
65
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Futures contracts at December 31, 2018:
Expiration Date |
Number of Contracts |
Notional Amount |
Value/ Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Long | ||||||||||||||||
U.S. Treasury Long Bond |
3/20/19 | 1 | $ | 139,390 | $ | 6,610 | ||||||||||
U.S. Treasury Note 5 Year |
3/29/19 | 13 | 1,487,827 | 3,111 | ||||||||||||
|
|
|||||||||||||||
$ | 9,721 | |||||||||||||||
|
|
|||||||||||||||
Short | ||||||||||||||||
U.S. Treasury Note 2 Year |
3/29/19 | 57 | $ | (12,021,242 | ) | $ | (80,570 | ) | ||||||||
|
|
Swap agreements at December 31, 2018:
Counterparty | Currency | Notional Amount |
Expiration Date |
Payment Frequency |
Receive (Pay) Fixed Rate |
Deliverable on Default | Unrealized Appreciation (Depreciation) |
Premium (Received) Paid |
Value | |||||||||||||||||||
Credit Default Swaps — Sell Protection†† |
| |||||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||
Goldman Sachs International* | USD | 450,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) | $ | (72,844 | ) | $ | 277 | $ | (72,567 | ) | ||||||||||||||
Goldman Sachs International* | USD | 890,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) | (66,447 | ) | (77,074 | ) | (143,521 | ) | ||||||||||||||||
Goldman Sachs International* | USD | 330,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) | (26,776 | ) | (26,439 | ) | (53,215 | ) | ||||||||||||||||
JP Morgan Chase Bank N.A.* | USD | 690,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) | (112,119 | ) | 850 | (111,269 | ) | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (278,186 | ) | $ | (102,386 | ) | $ | (380,572 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Counterparty | Currency | Notional Amount |
Expiration Date |
Payment Frequency |
Payments Made by Fund |
Payments Received by Fund |
Unrealized Appreciation (Depreciation) |
Premium Received (Paid) |
Value | |||||||||||||||||||
Interest Rate Swaps |
| |||||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||||
USD | 24,300,000 | 7/02/20 | Quarterly/ Semi-Annually | 3-Month USD-LIBOR-BBA | Fixed 2.775% | $ | 24,535 | $ | - | $ | 24,535 | |||||||||||||||||
USD | 10,160,000 | 12/04/21 | Quarterly/ Semi-Annually | 3-Month USD-LIBOR-BBA | Fixed 2.988% | 114,792 | - | 114,792 | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 139,327 | $ | - | $ | 139,327 | |||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||
Bank of America N.A.* | USD | 8,500,000 | 11/20/19 | Pay at Maturity | 2.012% | U.S. Consumer Price Index | $ | (50,568 | ) | $ | - | $ | (50,568 | ) | ||||||||||||||
Bank of America N.A.* | USD | 8,500,000 | 1/11/20 | Pay at Maturity | 2.057% | U.S. Consumer Price Index | (78,179 | ) | - | (78,179 | ) | |||||||||||||||||
Bank of America N.A.* | USD | 5,300,000 | 1/19/20 | Pay at Maturity | 2.095% | U.S. Consumer Price Index | (54,892 | ) | - | (54,892 | ) | |||||||||||||||||
Bank of America N.A.* | USD | 27,600,000 | 10/01/20 | Pay at Maturity | 2.314% | U.S. Consumer Price Index | (488,900 | ) | - | (488,900 | ) | |||||||||||||||||
JP Morgan Chase Bank N.A.* | USD | 17,000,000 | 12/20/19 | Pay at Maturity | 1.910% | U.S. Consumer Price Index | (94,059 | ) | - | (94,059 | ) | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (766,598 | ) | $ | - | $ | (766,598 | ) | |||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
66
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Collateral for swap agreements held by Bank of America N.A. amounted to $540,000 in cash at December 31, 2018; and collateral for swap agreements held by Goldman Sachs International, and Credit Suisse International amounted to $373,261 and $142,245 in securities, respectively, at December 31, 2018.
* | Contracts are subject to a Master Netting Agreement. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection. |
Reverse Repurchase agreements at December 31, 2018:
Description | Value | Value Including Accrued Interest |
||||||
Agreement with BNP Paribas SA, dated 12/04/18, 2.680%, to be repurchased on demand until 3/04/19 at value plus accrued interest. | $ | 59,763,375 | $ | 59,887,948 | ||||
Agreement with CIBC, dated 11/02/18, 2.500%, to be repurchased on demand until 2/05/19 at value plus accrued interest. | 9,566,989 | 9,606,851 | ||||||
Agreement with Daiwa Securities, dated 12/11/18, 2.680%, to be repurchased on demand until 3/08/19 at value plus accrued interest. | 50,001,250 | 50,079,419 | ||||||
Agreement with Goldman Sachs & Co., dated 11/20/18, 2.650%, to be repurchased on demand until 2/20/19 at value plus accrued interest. | 33,243,316 | 33,346,094 | ||||||
Agreement with HSBC Bank USA, dated 12/18/18, 2.700%, to be repurchased on demand until 3/18/19 at value plus accrued interest. | 21,697,500 | 21,720,282 | ||||||
Agreement with HSBC Bank USA, dated 12/06/18, 2.600%, to be repurchased on demand until 1/04/19 at value plus accrued interest. | 61,420,625 | 61,535,959 | ||||||
Agreement with Morgan Stanley & Co. LLC, dated 11/02/18, 2.560%, to be repurchased on demand until 2/05/19 at value plus accrued interest. | 32,763,750 | 32,903,542 | ||||||
|
|
|
|
|||||
$ | 268,456,805 | $ | 269,080,095 | |||||
|
|
|
|
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
67
Principal Amount |
Value | |||||||
BONDS & NOTES — 98.6% |
| |||||||
CORPORATE DEBT — 45.3% |
| |||||||
Advertising — 0.1% |
| |||||||
The Interpublic Group of Cos., Inc. |
$ | 200,000 | $ | 201,248 | ||||
|
|
|||||||
Aerospace & Defense — 0.5% |
| |||||||
Harris Corp. |
954,000 | 945,875 | ||||||
|
|
|||||||
Agriculture — 1.3% |
| |||||||
Bunge Ltd. Finance Corp. |
1,080,000 | 1,077,388 | ||||||
Imperial Brands Finance PLC |
1,087,000 | 1,070,766 | ||||||
Reynolds American, Inc. |
540,000 | 534,179 | ||||||
|
|
|||||||
2,682,333 | ||||||||
|
|
|||||||
Airlines — 0.4% |
| |||||||
American Airlines Pass-Through Trust, Series 2014-1,
Class B, |
26,326 | 26,046 | ||||||
Delta Air Lines, Inc. |
750,000 | 733,943 | ||||||
|
|
|||||||
759,989 | ||||||||
|
|
|||||||
Auto Manufacturers — 1.7% |
| |||||||
Ford Motor Credit Co. LLC |
405,000 | 394,612 | ||||||
3.851% FRN 2/15/23 (b) |
575,000 | 531,956 | ||||||
General Motors Financial Co., Inc. |
1,290,000 | 1,214,821 | ||||||
Hyundai Capital America |
65,000 | 64,582 | ||||||
2.550% 2/06/19 (a) |
140,000 | 139,919 | ||||||
3.000% 10/30/20 (a) |
800,000 | 790,988 | ||||||
Nissan Motor Acceptance Corp. |
380,000 | 361,875 | ||||||
|
|
|||||||
3,498,753 | ||||||||
|
|
|||||||
Auto Parts & Equipment — 0.5% |
| |||||||
Lear Corp. |
920,000 | 946,392 | ||||||
|
|
|||||||
Banks — 7.9% |
| |||||||
Banco Santander SA |
1,200,000 | 1,177,608 | ||||||
Bancolombia SA |
195,000 | 202,313 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + .930% |
2,150,000 | 2,079,635 | ||||||
Barclays PLC |
485,000 | 461,826 |
Principal Amount |
Value | |||||||
Citigroup, Inc. |
$ | 995,000 | $ | 977,340 | ||||
Compass Bank |
1,150,000 | 1,175,576 | ||||||
Discover Bank |
923,000 | 898,411 | ||||||
4.200% 8/08/23 |
310,000 | 310,071 | ||||||
First Horizon National Corp. |
1,130,000 | 1,129,931 | ||||||
The Goldman Sachs Group, Inc. |
2,105,000 | 2,041,775 | ||||||
JP Morgan Chase & Co. |
990,000 | 1,020,082 | ||||||
Macquarie Bank Ltd. |
130,000 | 128,566 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
1,170,000 | 1,137,044 | ||||||
Morgan Stanley |
1,220,000 | 1,217,849 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
585,000 | 566,550 | ||||||
2.846% 1/11/22 |
150,000 | 147,244 | ||||||
SVB Financial Group |
75,000 | 77,366 | ||||||
Synchrony Bank |
1,105,000 | 1,032,544 | ||||||
Turkiye Garanti Bankasi AS |
370,000 | 364,968 | ||||||
|
|
|||||||
16,146,699 | ||||||||
|
|
|||||||
Beverages — 1.1% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. 3.500% 1/12/24 |
1,075,000 | 1,051,506 | ||||||
Keurig Dr Pepper, Inc. |
625,000 | 622,837 | ||||||
Molson Coors Brewing Co. |
330,000 | 318,170 | ||||||
3.500% 5/01/22 |
197,000 | 195,821 | ||||||
|
|
|||||||
2,188,334 | ||||||||
|
|
|||||||
Biotechnology — 0.4% |
| |||||||
Celgene Corp. |
510,000 | 497,991 | ||||||
4.000% 8/15/23 |
330,000 | 331,502 | ||||||
|
|
|||||||
829,493 | ||||||||
|
|
|||||||
Building Materials — 1.1% |
| |||||||
Holcim US Finance Sarl & Co. |
960,000 | 983,164 | ||||||
Martin Marietta Materials, Inc. 3 mo. USD LIBOR + .650% |
395,000 | 392,869 |
The accompanying notes are an integral part of the financial statements.
68
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Masco Corp. |
$ | 270,000 | $ | 268,740 | ||||
7.125% 3/15/20 |
65,000 | 67,900 | ||||||
Standard Industries, Inc. |
560,000 | 548,800 | ||||||
|
|
|||||||
2,261,473 | ||||||||
|
|
|||||||
Chemicals — 2.4% |
| |||||||
Huntsman International LLC |
1,250,000 | 1,259,375 | ||||||
Incitec Pivot Finance LLC |
902,000 | 921,917 | ||||||
LyondellBasell Industries NV |
365,000 | 365,397 | ||||||
6.000% 11/15/21 |
500,000 | 528,509 | ||||||
RPM International, Inc. |
8,000 | 7,925 | ||||||
6.125% 10/15/19 |
728,000 | 741,254 | ||||||
The Sherwin-Williams Co. |
535,000 | 517,885 | ||||||
Syngenta Finance NV |
440,000 | 436,812 | ||||||
|
|
|||||||
4,779,074 | ||||||||
|
|
|||||||
Commercial Services — 0.2% |
| |||||||
S&P Global, Inc. |
435,000 | 435,857 | ||||||
|
|
|||||||
Computers — 0.9% |
| |||||||
Dell International LLC/EMC Corp. |
725,000 | 723,804 | ||||||
DXC Technology Co. |
230,000 | 228,012 | ||||||
Leidos Holdings, Inc. |
835,000 | 828,738 | ||||||
|
|
|||||||
1,780,554 | ||||||||
|
|
|||||||
Diversified Financial Services — 2.1% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
1,010,000 | 1,012,915 | ||||||
Aircastle Ltd. |
1,210,000 | 1,214,755 | ||||||
Antares Holdings LP |
660,000 | 652,439 | ||||||
Genpact Luxembourg Sarl |
1,035,000 | 1,027,129 | ||||||
Lazard Group LLC |
457,000 | 463,079 | ||||||
|
|
|||||||
4,370,317 | ||||||||
|
|
|||||||
Electric — 1.5% |
| |||||||
Ameren Corp. |
455,000 | 448,917 | ||||||
EDP Finance BV |
452,000 | 452,470 |
Principal Amount |
Value | |||||||
Enel Finance International NV |
$ | 485,000 | $ | 456,970 | ||||
Entergy Texas, Inc. |
95,000 | 93,469 | ||||||
7.125% 2/01/19 |
798,000 | 800,204 | ||||||
Israel Electric Corp. Ltd. |
283,000 | 283,119 | ||||||
Puget Energy, Inc. |
260,000 | 275,036 | ||||||
6.500% 12/15/20 |
255,000 | 269,398 | ||||||
|
|
|||||||
3,079,583 | ||||||||
|
|
|||||||
Electronics — 0.2% |
| |||||||
FLIR Systems, Inc. |
230,000 | 226,763 | ||||||
Tech Data Corp. |
240,000 | 235,468 | ||||||
|
|
|||||||
462,231 | ||||||||
|
|
|||||||
Foods — 0.3% |
| |||||||
McCormick & Co., Inc. |
570,000 | 552,705 | ||||||
|
|
|||||||
Health Care – Products — 0.5% |
| |||||||
Becton Dickinson & Co. |
1,085,000 | 1,074,095 | ||||||
|
|
|||||||
Health Care – Services — 0.6% |
| |||||||
Cigna Holding Co. |
316,000 | 319,234 | ||||||
4.500% 3/15/21 |
790,000 | 807,209 | ||||||
|
|
|||||||
1,126,443 | ||||||||
|
|
|||||||
Home Builders — 0.5% |
| |||||||
Lennar Corp. |
1,028,000 | 1,020,290 | ||||||
|
|
|||||||
Household Products & Wares — 0.3% |
| |||||||
Church & Dwight Co., Inc. |
565,000 | 555,666 | ||||||
|
|
|||||||
Insurance — 3.2% |
| |||||||
American International Group, Inc. |
550,000 | 548,135 | ||||||
AmTrust Financial Services, Inc. |
585,000 | 528,632 | ||||||
Athene Global Funding |
1,240,000 | 1,252,697 | ||||||
CNA Financial Corp. |
443,000 | 467,516 | ||||||
Enstar Group Ltd. |
575,000 | 578,839 | ||||||
Jackson National Life Global Funding |
945,000 | 913,621 | ||||||
Lincoln National Corp. |
122,000 | 124,370 | ||||||
6.250% 2/15/20 |
500,000 | 516,075 |
The accompanying notes are an integral part of the financial statements.
69
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Reinsurance Group of America, Inc. |
$ | 600,000 | $ | 622,929 | ||||
Trinity Acquisition PLC |
470,000 | 465,433 | ||||||
Willis Towers Watson PLC |
370,000 | 386,948 | ||||||
|
|
|||||||
6,405,195 | ||||||||
|
|
|||||||
Investment Companies — 0.9% |
| |||||||
Ares Capital Corp. |
30,000 | 29,125 | ||||||
3.875% 1/15/20 |
678,000 | 679,423 | ||||||
BlackRock TCP Capital Corp. |
675,000 | 650,437 | ||||||
FS KKR Capital Corp. |
470,000 | 469,468 | ||||||
|
|
|||||||
1,828,453 | ||||||||
|
|
|||||||
Leisure Time — 0.5% |
| |||||||
Brunswick Corp. |
1,088,000 | 1,068,510 | ||||||
|
|
|||||||
Lodging — 0.4% |
| |||||||
Marriott International, Inc. |
30,000 | 28,842 | ||||||
2.875% 3/01/21 |
775,000 | 764,244 | ||||||
|
|
|||||||
793,086 | ||||||||
|
|
|||||||
Machinery – Diversified — 1.0% |
| |||||||
CNH Industrial Capital LLC |
353,000 | 350,353 | ||||||
3.875% 10/15/21 |
635,000 | 630,745 | ||||||
4.875% 4/01/21 |
115,000 | 116,852 | ||||||
Wabtec Corp. |
870,000 | 840,721 | ||||||
|
|
|||||||
1,938,671 | ||||||||
|
|
|||||||
Media — 1.0% |
| |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
505,000 | 504,455 | ||||||
Discovery Communications LLC |
435,000 | 416,183 | ||||||
Sirius XM Radio, Inc. |
1,147,000 | 1,089,650 | ||||||
|
|
|||||||
2,010,288 | ||||||||
|
|
|||||||
Mining — 1.3% |
| |||||||
Glencore Finance Canada Ltd. |
254,000 | 253,196 | ||||||
Glencore Funding LLC |
260,000 | 246,844 | ||||||
4.125% 5/30/23 (a) |
590,000 | 579,373 | ||||||
Kinross Gold Corp. |
470,000 | 468,825 | ||||||
5.950% 3/15/24 |
550,000 | 547,250 |
Principal Amount |
Value | |||||||
Newcrest Finance Pty Ltd. |
$ | 565,000 | $ | 568,014 | ||||
|
|
|||||||
2,663,502 | ||||||||
|
|
|||||||
Office Equipment/Supplies — 0.6% |
| |||||||
Pitney Bowes, Inc. |
1,340,000 | 1,254,575 | ||||||
|
|
|||||||
Oil & Gas — 0.7% |
| |||||||
Antero Resources Corp. |
246,000 | 237,390 | ||||||
Continental Resources, Inc. |
568,000 | 563,970 | ||||||
EQT Corp. |
565,000 | 535,748 | ||||||
|
|
|||||||
1,337,108 | ||||||||
|
|
|||||||
Packaging & Containers — 0.5% |
| |||||||
Graphic Packaging International LLC |
944,000 | 941,640 | ||||||
|
|
|||||||
Pharmaceuticals — 2.9% |
| |||||||
Bayer US Finance II LLC |
980,000 | 938,023 | ||||||
Cardinal Health, Inc. 3 mo. |
1,090,000 | 1,078,052 | ||||||
CVS Health Corp. |
840,000 | 810,486 | ||||||
3.700% 3/09/23 |
305,000 | 301,735 | ||||||
Express Scripts Holding Co. |
1,195,000 | 1,190,613 | ||||||
Shire Acquisitions Investments Ireland DAC |
235,000 | 227,241 | ||||||
2.875% 9/23/23 |
360,000 | 340,314 | ||||||
Teva Pharmaceutical Finance Netherlands III BV |
1,125,000 | 1,034,114 | ||||||
|
|
|||||||
5,920,578 | ||||||||
|
|
|||||||
Pipelines — 0.5% |
| |||||||
Energy Transfer Operating LP |
1,060,000 | 1,044,672 | ||||||
|
|
|||||||
Private Equity — 0.5% |
| |||||||
Hercules Capital, Inc. |
1,110,000 | 1,083,193 | ||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 1.3% |
| |||||||
American Tower Corp. |
415,000 | 397,158 | ||||||
3.000% 6/15/23 |
640,000 | 615,759 | ||||||
Crown Castle International Corp. |
514,000 | 513,821 | ||||||
Digital Realty Trust LP |
220,000 | 219,298 |
The accompanying notes are an integral part of the financial statements.
70
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Healthcare Trust of America Holdings LP |
$ | 275,000 | $ | 267,292 | ||||
Simon Property Group LP |
450,000 | 437,030 | ||||||
Weyerhaeuser Co. |
135,000 | 138,716 | ||||||
|
|
|||||||
2,589,074 | ||||||||
|
|
|||||||
Retail — 1.5% |
| |||||||
Advance Auto Parts, Inc. |
306,000 | 313,193 | ||||||
Dollar Tree, Inc. |
1,090,000 | 1,071,835 | ||||||
O’Reilly Automotive, Inc. |
123,000 | 124,324 | ||||||
3.850% 6/15/23 |
503,000 | 505,478 | ||||||
QVC, Inc. |
1,060,000 | 1,017,105 | ||||||
|
|
|||||||
3,031,935 | ||||||||
|
|
|||||||
Semiconductors — 0.8% |
| |||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. |
740,000 | 711,661 | ||||||
Microchip Technology, Inc. |
390,000 | 386,875 | ||||||
NXP BV/NXP Funding LLC |
570,000 | 562,875 | ||||||
|
|
|||||||
1,661,411 | ||||||||
|
|
|||||||
Telecommunications — 1.6% |
| |||||||
Ericsson LM |
1,500,000 | 1,475,423 | ||||||
Hughes Satellite Systems Corp. |
883,000 | 890,726 | ||||||
Sprint Communications, Inc. |
430,000 | 491,275 | ||||||
Verizon Communications, Inc. |
480,000 | 474,943 | ||||||
|
|
|||||||
3,332,367 | ||||||||
|
|
|||||||
Transportation — 0.3% |
| |||||||
Ryder System, Inc. |
175,000 | 172,696 | ||||||
3.750% 6/09/23 |
482,000 | 479,038 | ||||||
|
|
|||||||
651,734 | ||||||||
|
|
|||||||
Trucking & Leasing — 1.3% |
| |||||||
DAE Funding LLC |
205,000 | 199,875 | ||||||
GATX Corp. |
455,000 | 450,577 | ||||||
Park Aerospace Holdings Ltd. |
1,045,000 | 1,011,037 |
Principal Amount |
Value | |||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. |
$ | 150,000 | $ | 148,982 | ||||
3.375% 2/01/22 (a) |
20,000 | 19,777 | ||||||
4.875% 7/11/22 (a) |
860,000 | 890,407 | ||||||
|
|
|||||||
2,720,655 | ||||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $93,946,448) |
91,974,051 | |||||||
|
|
|||||||
MUNICIPAL OBLIGATIONS — 0.0% |
| |||||||
Louisiana State Public Facilities Authority, Series 2011-A,
Class A2, 3 mo. USD LIBOR + 0.900%, |
40,551 | 40,588 | ||||||
|
|
|||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $40,551) |
40,588 | |||||||
|
|
|||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 50.5% |
| |||||||
Auto Floor Plan ABS — 0.6% |
| |||||||
Navistar Financial Dealer Note Master Owner Trust II |
160,000 | 160,318 | ||||||
Series 2018-1, Class D, |
230,000 | 231,559 | ||||||
NextGear Floorplan Master Owner Trust |
480,000 | 476,630 | ||||||
Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700% |
370,000 | 371,387 | ||||||
|
|
|||||||
1,239,894 | ||||||||
|
|
|||||||
Automobile ABS — 7.4% |
| |||||||
American Credit Acceptance Receivables Trust, Series 2017-4,
Class C |
770,000 | 766,520 | ||||||
Canadian Pacer Auto Receivables Trust, Series 2018-2A,
Class B |
180,000 | 182,590 | ||||||
CPS Auto Trust |
97,584 | 97,172 | ||||||
Series 2017-A, Class B, |
1,150,000 | 1,146,523 | ||||||
Series 2018-C, Class B, |
180,000 | 180,033 |
The accompanying notes are an integral part of the financial statements.
71
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Drive Auto Receivables Trust |
$ | 140,000 | $ | 139,761 | ||||
Series 2017-1, Class C, 2.840% 4/15/22 |
270,000 | 269,785 | ||||||
Series 2018-2, Class B, 3.220% 4/15/22 |
200,000 | 199,794 | ||||||
Series 2018-4, Class C, 3.660% 11/15/24 |
230,000 | 231,003 | ||||||
DT Auto Owner Trust, Series 2018-1A, Class B |
290,000 | 289,267 | ||||||
Enterprise Fleet Financing LLC, Series 2016-1,
Class A2 |
4,647 | 4,644 | ||||||
Exeter Automobile Receivables Trust |
270,000 | 268,674 | ||||||
Series 2016-3A, Class B, 2.840% 8/16/21 (a) |
257,245 | 256,907 | ||||||
Series 2018-2A, Class B, 3.270% 5/16/22 (a) |
250,000 | 249,715 | ||||||
Series 2015-2A, Class C, 3.900% 3/15/21 (a) |
535,407 | 536,717 | ||||||
First Investors Auto Owner Trust |
340,000 | 337,019 | ||||||
Series 2018-1A, Class A2, 3.220% 1/17/23 (a) |
290,000 | 290,767 | ||||||
Flagship Credit Auto Trust |
7,979 | 7,974 | ||||||
Series 2016-4, Class B, 2.410% 10/15/21 (a) |
910,000 | 904,343 | ||||||
Series 2018-1, Class A, 2.590% 6/15/22 (a) |
501,760 | 499,448 | ||||||
Series 2016-1, Class A, 2.770% 12/15/20 (a) |
34,101 | 34,087 | ||||||
Series 2017-1, Class B, 2.830% 3/15/23 (a) |
615,000 | 613,304 | ||||||
Series 2017-4, Class C, 2.920% 11/15/23 (a) |
650,000 | 640,838 | ||||||
Series 2018-1, Class B, 3.130% 1/17/23 (a) |
1,250,000 | 1,245,851 | ||||||
GLS Auto Receivables Trust, Series 2018-3A, Class A
|
304,015 | 304,079 | ||||||
Hertz Vehicle Financing II LP |
1,560,000 | 1,534,369 | ||||||
Series 2017-1A, Class B, 3.560% 10/25/21 (a) |
910,000 | 907,565 | ||||||
Series 2018-1A, Class B, 3.600% 2/25/24 (a) |
770,000 | 759,866 |
Principal Amount |
Value | |||||||
Hertz Vehicle Financing LLC, Series 2018-3A, Class B
|
$ | 330,000 | $ | 334,475 | ||||
Oscar US Funding Trust II, Series 2015-1A, Class A4
|
212,865 | 212,226 | ||||||
Oscar US Funding Trust IX LLC, Series 2018-2A,
Class A4 |
260,000 | 262,612 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A3
|
240,000 | 239,219 | ||||||
Oscar US Funding Trust VIII LLC, Series 2018-1A,
Class A2A |
249,325 | 248,756 | ||||||
Securitized Equipment Receivable |
270,000 | 270,903 | ||||||
4.200% 10/11/24 |
310,000 | 311,125 | ||||||
Tesla Auto Lease Trust |
150,000 | 149,526 | ||||||
Series 2018-B, Class A, 3.710% 8/20/21 (a) |
175,000 | 175,611 | ||||||
|
|
|||||||
15,103,068 | ||||||||
|
|
|||||||
Commercial MBS — 1.9% |
| |||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class C, |
130,000 | 129,408 | ||||||
BHMS Mortgage Trust, Series 2018-ATLS, Class B, |
950,000 | 941,183 | ||||||
BX Commercial Mortgage Trust, Series 2018-IND,
Class E, |
419,374 | 413,223 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A2 |
98,073 | 97,017 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7,
Class AM, |
109,826 | 110,864 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series
2018-LAQ, Class A, |
850,000 | 846,774 | ||||||
MSCG Trust, Series 2018-SELF, Class C, |
90,000 | 88,396 | ||||||
RETL, Series 2018-RVP, Class A, |
457,865 | 453,223 |
The accompanying notes are an integral part of the financial statements.
72
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4,
Class AJ, |
$ | 10,422 | $ | 10,447 | ||||
TPG Real Estate Finance Issuer Ltd., Series 2018-FL1,
Class A, |
311,021 | 306,959 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2,
Class AFX, |
224,902 | 223,570 | ||||||
VMC Finance LLC, Series 2018-FL1, Class A, |
338,173 | 335,306 | ||||||
|
|
|||||||
3,956,370 | ||||||||
|
|
|||||||
Home Equity ABS — 0.1% |
| |||||||
Countrywide Partnership Trust, Series 2004-EC1,
Class M1, 1 mo. USD LIBOR + .900% |
102,644 | 100,146 | ||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1,
Class A, 1 mo. USD LIBOR + .240% |
104,438 | 103,995 | ||||||
|
|
|||||||
204,141 | ||||||||
|
|
|||||||
Other ABS — 19.8% |
| |||||||
321 Henderson Receivables I LLC |
64,169 | 63,113 | ||||||
Series 2010-3A, Class A, |
221,059 | 224,178 | ||||||
AASET US Ltd., Series 2018-2A, Class A |
337,654 | 341,088 | ||||||
Adams Outdoor Advertising LP, Series 2018-1, Class A
|
399,523 | 410,897 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. |
370,000 | 370,185 | ||||||
American Tower Trust #1, Series 13, Class 2A |
500,000 | 489,749 | ||||||
Arbys Funding LLC, |
291,000 | 301,221 | ||||||
Ascentium Equipment Receivables Trust |
709,000 | 721,969 | ||||||
Series 2018-2A, Class E, 5.180% 7/10/26 (a) |
640,000 | 652,567 | ||||||
Avant Loans Funding Trust, Series 2018-A, Class A
|
193,518 | 193,206 |
Principal Amount |
Value | |||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo.
USD LIBOR + 1.120% |
$ | 251,861 | $ | 251,261 | ||||
Bain Capital Credit CLO, Series 2017-1A, Class A1, 3 mo.
USD LIBOR + 1.250% |
350,000 | 347,624 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE |
111,219 | 111,219 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A,
Class A |
168,114 | 165,941 | ||||||
CAL Funding II Ltd., |
282,750 | 289,585 | ||||||
Capital Automotive LLC, |
255,667 | 256,784 | ||||||
Castlelake Aircraft Structured Trust, Series 2018-1,
Class A |
356,791 | 362,417 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A,
Class A |
22,618 | 22,491 | ||||||
CLI Funding VI LLC, |
496,841 | 494,994 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5,
Class 3A, 1 mo. USD LIBOR + .460% |
10,463 | 10,359 | ||||||
Denali Capital CLO X LLC, Series 2013-1A, Class A1,
|
350,000 | 348,082 | ||||||
Diamond Resorts Owner Trust |
61,393 | 61,196 | ||||||
Series 2016-1, Class A, |
355,563 | 351,139 | ||||||
Series 2015-2, Class B, |
41,482 | 41,327 | ||||||
Series 2018-1, Class A, |
330,288 | 332,989 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2018-1A,
Class A2I |
358,200 | 353,741 | ||||||
Drug Royalty Corp., Inc., |
12,667 | 12,696 | ||||||
Drug Royalty II LP, |
52,794 | 53,132 |
The accompanying notes are an integral part of the financial statements.
73
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Elara HGV Timeshare Issuer LLC |
$ | 192,070 | $ | 189,871 | ||||
Series 2016-A, Class A, 2.730% 4/25/28 (a) |
344,151 | 340,716 | ||||||
Series 2014-A, Class B, |
63,928 | 62,306 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27 |
66,510 | 65,440 | ||||||
FRS I LLC, |
8,945 | 8,917 | ||||||
Galaxy XX CLO Ltd., |
600,000 | 592,459 | ||||||
Global SC Finance II SRL, Series 2013-1A, Class A
|
127,833 | 125,981 | ||||||
Global SC Finance IV Ltd., Series 2017-1A, Class A
|
273,708 | 272,346 | ||||||
Goodgreen Trust |
408,844 | 402,222 | ||||||
Series 2018-1A, Class A, 3.930% VRN 10/15/53 (a) (b) |
340,665 | 346,571 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. |
14,048 | 13,949 | ||||||
Hero Funding Trust |
266,328 | 263,544 | ||||||
Series 2016-4A, Class A1, 3.570% 9/20/47 (a) |
269,898 | 273,062 | ||||||
Series 2015-1A, Class A, 3.840% 9/21/40 (a) |
595,362 | 604,213 | ||||||
Series 2018-1A, Class A2, 4.670% 9/20/48 (a) |
480,408 | 500,147 | ||||||
Hilton Grand Vacations Trust |
83,929 | 82,690 | ||||||
Series 2013-A, Class A, 2.280% 1/25/26 (a) |
64,069 | 63,766 | ||||||
Series 2017-AA, Class B, 2.960% 12/26/28 (a) (b) |
217,769 | 212,924 | ||||||
KREF Ltd., |
1,150,000 | 1,132,256 | ||||||
LCM XXIII Ltd., |
590,000 | 588,767 |
Principal Amount |
Value | |||||||
Lendmark Funding Trust |
$ | 240,000 | $ | 236,880 | ||||
Series 2018-1A, Class A, |
350,000 | 349,410 | ||||||
Madison Park Funding XXII Ltd., |
420,000 | 420,214 | ||||||
Magnetite XI Ltd., |
700,000 | 697,166 | ||||||
Mariner Finance Issuance Trust |
900,000 | 890,576 | ||||||
Series 2017-AA, Class A, |
400,000 | 401,726 | ||||||
Series 2018-AA, Class A, |
903,000 | 913,058 | ||||||
Marlette Funding Trust |
52,411 | 52,340 | ||||||
Series 2017-1A, Class A, |
78,178 | 78,146 | ||||||
Series 2018-2A, Class A, |
201,435 | 201,283 | ||||||
Series 2018-3A, Class A, |
510,515 | 509,796 | ||||||
Mosaic Solar Loans LLC |
243,849 | 227,791 | ||||||
Series 2018-2GS, Class A, |
330,037 | 329,575 | ||||||
Series 2017-1A, Class A, |
85,691 | 86,327 | ||||||
MVW Owner Trust |
63,941 | 63,219 | ||||||
Series 2014-2, Class A, |
108,710 | 106,825 | ||||||
Series 2016-1A, Class A, |
43,384 | 42,430 | ||||||
Neuberger Berman CLO XX Ltd., Series 2015-20A,
Class BR, |
250,000 | 242,101 | ||||||
New Residential Advance Receivables Trust, Series 2016-T2,
Class AT2 |
975,000 | 968,919 | ||||||
NP Ferrum LLC |
45,265 | 44,759 |
The accompanying notes are an integral part of the financial statements.
74
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 16-1A, Class A1, |
$ | 131,145 | $ | 132,583 | ||||
NP SPE II LLC, Series 2017-1A, Class A1 |
167,025 | 164,964 | ||||||
NRZ Advance Receivables Trust, Series 2016-T4,
Class AT4 |
700,000 | 698,816 | ||||||
OCP CLO Ltd., Series 2015-8A, Class A2AR, |
650,000 | 636,442 | ||||||
OHA Loan Funding Ltd. |
590,000 | 589,984 | ||||||
Series 2012-1A, Class B1R, 3 mo. USD LIBOR + 1.850% |
600,000 | 598,836 | ||||||
Orange Lake Timeshare Trust |
25,591 | 25,173 | ||||||
Series 2016-A, Class A, |
669,294 | 660,344 | ||||||
Series 2016-A, Class B, |
274,457 | 272,580 | ||||||
Oxford Finance Funding Trust, Series 2016-1A,
Class A |
151,666 | 152,136 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%
|
890 | 890 | ||||||
Race Point VIII CLO Ltd., |
700,000 | 696,728 | ||||||
Sierra Receivables Funding Co. LLC |
120,011 | 119,467 | ||||||
Series 2015-1A, Class A, |
240,406 | 237,451 | ||||||
Sierra Timeshare Receivables Funding LLC |
76,347 | 76,281 | ||||||
Series 2015-3A, Class A, |
51,154 | 50,641 | ||||||
Series 2016-2A, Class B, |
191,747 | 190,374 | ||||||
Series 2017-1A, Class A, |
316,652 | 313,677 | ||||||
Series 2015-1A, Class B, |
293,039 | 291,951 | ||||||
Series 2015-3A, Class B, |
19,675 | 19,573 | ||||||
Series 2018-2A, Class C, |
258,261 | 260,298 |
Principal Amount |
Value | |||||||
SoFi Consumer Loan Program LLC |
$ | 135,308 | $ | 135,223 | ||||
Series 2016-2A, Class A, |
148,945 | 148,735 | ||||||
Series 2018-3, Class A1, |
248,022 | 247,540 | ||||||
Series 2016-1A, Class A, |
427,117 | 427,127 | ||||||
Series 2015-2, Class A, |
163,868 | 163,874 | ||||||
Series 2017-2, Class A, |
310,470 | 309,776 | ||||||
Springleaf Funding Trust, Series 2016-AA, Class A
|
1,426,015 | 1,417,726 | ||||||
Store Master Funding I-VII,
Series 2018-1A, Class A3 |
319,733 | 326,228 | ||||||
Taco Bell Funding LLC, |
1,000,000 | 1,009,886 | ||||||
TAL Advantage V LLC, |
375,833 | 374,636 | ||||||
TAL Advantage VI LLC, Series 2017-1A, Class A
|
417,153 | 425,482 | ||||||
TCI-Symphony CLO Ltd.,
Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480% |
300,000 | 299,996 | ||||||
TLF National Tax Lien Trust, Series 2017-1A, Class A
|
373,331 | 372,329 | ||||||
Trafigura Securitisation Finance PLC |
610,000 | 610,159 | ||||||
Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700% |
260,000 | 259,796 | ||||||
Series 2018-1A, Class B, 4.290% 3/15/22 (a) |
920,000 | 928,356 | ||||||
Treman Park CLO Ltd., |
1,000,000 | 989,652 | ||||||
Trinity Rail Leasing LP, |
569,884 | 578,787 | ||||||
Trip Rail Master Funding LLC |
135,148 | 134,015 | ||||||
Series 2011-1A, Class A2, 6.024% 7/15/41 (a) |
668,991 | 711,236 |
The accompanying notes are an integral part of the financial statements.
75
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Triton Container Finance IV LLC, Series 2017-2A,
Class A |
$ | 914,083 | $ | 910,984 | ||||
Triton Container Finance VI LLC, Series 2018-2A, Class A
|
522,500 | 525,909 | ||||||
VSE VOI Mortgage LLC |
392,394 | 385,975 | ||||||
Series 2018-A, Class C, 4.020% 2/20/36 (a) |
288,552 | 290,747 | ||||||
Welk Resorts LLC |
72,529 | 71,372 | ||||||
Series 2017-AA, Class B, 3.410% 6/15/33 (a) |
217,253 | 213,670 | ||||||
Westgate Resorts LLC |
53,632 | 53,529 | ||||||
Series 2017-1A, Class A, 3.050% 12/20/30 (a) |
202,403 | 200,894 | ||||||
Series 2015-2A, Class A, 3.200% 7/20/28 (a) |
108,283 | 108,065 | ||||||
Series 2018-1A, Class A, 3.380% 12/20/31 (a) |
363,494 | 362,849 | ||||||
Willis Engine Structured Trust IV, Series 2018-A,
Class A, |
257,068 | 263,746 | ||||||
Wingstop Funding LLC, |
130,000 | 131,269 | ||||||
|
|
|||||||
40,218,595 | ||||||||
|
|
|||||||
Student Loans ABS — 15.0% |
| |||||||
Access Group, Inc. |
223,322 | 223,255 | ||||||
Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500% |
140,000 | 126,044 | ||||||
AccessLex Institute |
1,250,000 | 1,231,718 | ||||||
Series 2003-A, Class A3, 3 mo. Treasury + 1.200% |
35,230 | 34,393 | ||||||
College Ave Student Loans LLC, Series 2018-A,
Class A1, |
583,838 | 579,242 | ||||||
College Loan Corp. Trust I, Series 2005-2, Class B,
3 mo. USD LIBOR + .490% |
209,032 | 197,078 |
Principal Amount |
Value | |||||||
Commonbond Student Loan Trust |
$ | 230,000 | $ | 229,350 | ||||
Series 2018-BGS, Class C, |
230,000 | 230,665 | ||||||
Series 2018-CGS, Class C, |
202,000 | 201,981 | ||||||
Series 2017-AGS, Class C, |
168,219 | 168,214 | ||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A,
Class B |
82,410 | 77,160 | ||||||
DRB Prime Student Loan Trust |
17,472 | 17,372 | ||||||
Series 2015-B, Class A3, |
29,808 | 29,470 | ||||||
Series 2015-A, Class A2, |
78,181 | 77,910 | ||||||
Series 2015-D, Class A2, |
548,602 | 552,625 | ||||||
Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700% |
125,356 | 127,061 | ||||||
Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900% |
524,933 | 528,608 | ||||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000% |
99,482 | 101,588 | ||||||
Earnest Student Loan Program LLC |
270,561 | 269,052 | ||||||
Series 2016-D, Class A2, |
239,148 | 236,499 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050% |
131,892 | 133,765 | ||||||
ECMC Group Student Loan Trust |
805,052 | 803,956 | ||||||
Series 2018-2A, Class A, |
531,343 | 530,895 | ||||||
Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200% |
869,371 | 879,227 | ||||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350% |
440,763 | 449,125 | ||||||
EdLinc Student Loan Funding, Series 2017-A,
Class A,, |
572,609 | 579,286 |
The accompanying notes are an integral part of the financial statements.
76
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Education Loan Asset-Backed Trust I, Series 2013-1,
Class A1, 1 mo. USD LIBOR + .800% |
$ | 320,715 | $ | 320,824 | ||||
ELFI Graduate Loan Program LLC |
516,296 | 513,045 | ||||||
Series 2018-A, Class B, |
250,000 | 245,725 | ||||||
Higher Education Funding I, Series 2004-1, Class B1, 28
day ARS |
950,000 | 836,366 | ||||||
KeyCorp Student Loan Trust, Series 2006-A,
Class 2A4, 3 mo. USD LIBOR + .310% |
20,076 | 20,027 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-B,
Class CFX |
300,912 | 290,149 | ||||||
Navient Private Education Loan Trust, Series 2018-BA,
Class A2B, |
170,000 | 170,476 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-A,
Class A1 |
372,779 | 370,217 | ||||||
Navient Student Loan Trust |
850,000 | 845,238 | ||||||
Series 2017-5A, Class A, |
360,411 | 361,020 | ||||||
Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150% |
750,000 | 758,344 | ||||||
Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250% |
662,426 | 667,385 | ||||||
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% |
560,000 | 572,069 | ||||||
Nelnet Private Education Loan Trust |
162,201 | 157,947 | ||||||
Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750% |
225,257 | 224,548 | ||||||
Nelnet Student Loan Trust |
217,384 | 214,441 | ||||||
Series 2007-2A, Class A4A2, 28 day ARS 2.856% FRN 6/25/35 (a) |
600,000 | 596,109 | ||||||
Series 2005-2, Class A5, 3 mo. USD LIBOR + .100% |
226,738 | 224,591 |
Principal Amount |
Value | |||||||
Series 2018-3A, Class A3, 3.256% FRN 9/27/66 (a) (b) |
$ | 700,000 | $ | 700,885 | ||||
Series 2014-1A, Class B, 1 mo. USD LIBOR + 1.500% |
170,000 | 163,359 | ||||||
Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500% |
130,000 | 128,239 | ||||||
Northstar Education Finance, Inc., Series 2005-1,
Class A5, 3 mo. USD LIBOR + .750% |
198,587 | 197,097 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1
mo. USD LIBOR + .950% |
518,084 | 520,666 | ||||||
SLC Student Loan Trust, Series 2005-1, Class B, 3
mo. USD LIBOR + .200% |
365,431 | 339,071 | ||||||
SLM Student Loan Trust |
116,053 | 112,117 | ||||||
Series 2005-5, Class A4, 3 mo. USD LIBOR + .140% |
254,726 | 252,857 | ||||||
Series 2006-10, Class A6, 3 mo. USD LIBOR + .150% |
940,000 | 914,131 | ||||||
Series 2006-7, Class B, 3 mo. USD LIBOR + .200% |
1,161,621 | 1,106,998 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% |
437,416 | 415,236 | ||||||
Series 2006-10, Class B, 3 mo. USD LIBOR + .220% |
689,225 | 646,045 | ||||||
Series 2005-6, Class B, 3 mo. USD LIBOR + .290% |
595,483 | 552,562 | ||||||
Series 2003-14, Class A6, 3 mo. USD LIBOR + .300% |
146,925 | 146,566 | ||||||
Series 2005-9, Class B, 3 mo. USD LIBOR + .300% |
440,546 | 421,276 | ||||||
Series 2005-8, Class B, 3 mo. USD LIBOR + .310% |
176,478 | 166,913 | ||||||
Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550% |
850,000 | 838,296 |
The accompanying notes are an integral part of the financial statements.
77
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2005-9, Class A7A, 3 mo. EURIBOR + .600% |
$ | 710,000 | $ | 704,038 | ||||
Series 2003-14, Class A7, 3 mo. USD LIBOR + .600% |
2,150,000 | 2,144,018 | ||||||
Series 2005-7, Class A5, 3 mo. USD LIBOR + .750% |
770,000 | 763,864 | ||||||
Series 2013-4, Class B, 1 mo. USD LIBOR + 1.500% |
120,000 | 116,853 | ||||||
Series 2003-5, Class A7, 28 day ARS 4.490% FRN 6/15/30 |
50,000 | 50,000 | ||||||
SMB Private Education Loan Trust |
279,272 | 281,292 | ||||||
Series 2014-A, Class A2B, 1 mo. USD LIBOR + 1.150% |
426,929 | 429,422 | ||||||
Series 2016-B, Class A2B, 1 mo. USD LIBOR + 1.450% |
114,233 | 115,946 | ||||||
SoFi Professional Loan Program LLC |
200 | 207,500 | ||||||
Series 2017-D, Class R1, 0.000%9/25/40 (a) |
1,000,000 | 645,250 | ||||||
Series 2018-A, Class R1, 0.000%2/25/42 (a) |
1,000,000 | 718,200 | ||||||
Series 2018-D, Class R1, 0.000% 2/25/48 (a) |
956,000 | 329,342 | ||||||
Series 2016-D, Class A1, 1 mo. USD LIBOR + .950% |
73,814 | 73,874 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200% |
126,461 | 128,052 | ||||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750% |
136,359 | 138,068 | ||||||
|
|
|||||||
30,472,093 | ||||||||
|
|
|||||||
WL Collateral CMO — 5.7% |
| |||||||
Bank of America Mortgage Securities, Series 2004-G,
Class 2A7, |
5,752 | 5,664 | ||||||
Countrywide Home Loans, Inc. |
3,525 | 3,410 | ||||||
Series 2003-42, Class 1A1, |
777 | 704 |
Principal Amount |
Value | |||||||
Deephaven Residential Mortgage Trust |
$ | 430,078 | $ | 424,232 | ||||
Series 2018-2A, Class A3, |
785,328 | 787,179 | ||||||
Series 2018-3A, Class A3, |
712,255 | 717,334 | ||||||
Series 2018-4A, Class A3, |
915,080 | 920,756 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1,
|
1,117 | 1,069 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4,
Class 1A, |
7,570 | 7,137 | ||||||
JP Morgan Mortgage Trust |
400,132 | 394,835 | ||||||
Series 2018-3, Class A5, |
602,791 | 592,955 | ||||||
Series 2018-4, Class A15, |
543,550 | 535,992 | ||||||
Series 2017-6, Class A5, |
556,034 | 549,020 | ||||||
Merrill Lynch Mortgage Investors, Inc. |
651 | 603 | ||||||
Series 2003-A4, Class IA, |
509 | 493 | ||||||
New Residential Mortgage Loan Trust, Series 2016-4A,
Class A1, |
317,258 | 318,249 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A,
|
250,000 | 250,537 | ||||||
PSMC Trust |
585,512 | 578,033 | ||||||
Series 2018-2, Class A3, |
611,979 | 604,283 | ||||||
Sequoia Mortgage Trust |
423,833 | 409,316 | ||||||
Series 2018-3, Class A4, |
710,467 | 701,056 | ||||||
Series 2018-5, Class A4, |
565,880 | 558,386 | ||||||
Series 2018-CH1, Class A10, 4.000% VRN 2/25/48 (a) (b) |
349,799 | 351,613 | ||||||
Series 2018-CH2, Class A12, 4.000% VRN 6/25/48 (a) (b) |
854,677 | 859,144 | ||||||
Series 2018-CH3, Class A11, 4.000% VRN 8/25/48 (a) (b) |
598,016 | 604,897 |
The accompanying notes are an integral part of the financial statements.
78
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2018-7, Class A4, 4.000% VRN 9/25/48 (a) (b) |
$ | 230,789 | $ | 232,134 | ||||
Shellpoint Co-Originator Trust,
Series 2016-1, Class 2A3, |
767,792 | 746,327 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2,
Class 2A, |
4,315 | 4,155 | ||||||
TIAA Bank Mortgage Loan Trust, Series 2018-2, Class A4,
|
325,361 | 320,928 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400% |
12,233 | 11,810 | ||||||
|
|
|||||||
11,492,251 | ||||||||
|
|
|||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $102,848,494) |
102,686,412 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 1.1% |
| |||||||
Collateralized Mortgage Obligations — 1.0% |
| |||||||
Federal Home Loan Mortgage Corp. |
274,491 | 272,242 | ||||||
Series 4491, Class B, 3.000% 8/15/40 |
433,452 | 430,319 | ||||||
Series 4720, Class A, 3.000% 3/15/41 |
370,003 | 367,387 | ||||||
Federal National Mortgage Association |
606,048 | 600,565 | ||||||
Series 2015-63, Class KA, 3.000% 1/25/41 |
290,188 | 288,761 | ||||||
Government National Mortgage Association (b) |
125,080 | 133,016 | ||||||
|
|
|||||||
2,092,290 | ||||||||
|
|
|||||||
Pass-Through Securities — 0.1% |
| |||||||
Federal Home Loan Mortgage Corp. |
321 | 367 | ||||||
Pool #C01135 7.500% 2/01/31 |
1,018 | 1,159 | ||||||
Federal National Mortgage Association |
8,681 | 9,035 | ||||||
Pool #725692 1 year CMT + 2.138% |
17,579 | 18,435 |
Principal Amount |
Value | |||||||
Pool #888586 1 year CMT + 2.199% 4.379% FRN 10/01/34 |
$ | 18,321 | $ | 19,259 | ||||
Pool #575667 7.000% 3/01/31 |
2,308 | 2,640 | ||||||
Pool #529453 7.500% 1/01/30 |
496 | 566 | ||||||
Pool #531196 7.500% 2/01/30 |
61 | 69 | ||||||
Pool #530299 7.500% 3/01/30 |
65 | 72 | ||||||
Pool #535996 7.500% 6/01/31 |
1,135 | 1,294 | ||||||
Pool #523499 8.000% 11/01/29 |
52 | 59 | ||||||
Pool #252926 8.000% 12/01/29 |
24 | 27 | ||||||
Pool #532819 8.000% 3/01/30 |
30 | 34 | ||||||
Pool #534703 8.000% 5/01/30 |
503 | 580 | ||||||
Pool #253437 8.000% 9/01/30 |
27 | 31 | ||||||
Pool #253481 8.000% 10/01/30 |
12 | 14 | ||||||
Pool #602008 8.000% 8/01/31 |
772 | 887 | ||||||
Pool #596656 8.000% 8/01/31 |
160 | 164 | ||||||
Pool #190317 8.000% 8/01/31 |
593 | 685 | ||||||
Pool #597220 8.000% 9/01/31 |
613 | 710 | ||||||
Government National Mortgage Association |
61 | 64 | ||||||
Pool #352022 7.000% 11/15/23 |
907 | 968 | ||||||
Pool #491089 7.000% 12/15/28 |
1,633 | 1,779 | ||||||
Pool #500928 7.000% 5/15/29 |
780 | 880 | ||||||
Pool #478658 7.000% 5/15/29 |
409 | 462 | ||||||
Pool #510083 7.000% 7/15/29 |
176 | 197 | ||||||
Pool #499410 7.000% 7/15/29 |
238 | 270 | ||||||
Pool #493723 7.000% 8/15/29 |
476 | 540 | ||||||
Pool #581417 7.000% 7/15/32 |
2,307 | 2,621 | ||||||
Government National Mortgage Association II |
816 | 831 | ||||||
Pool #080136 1 year CMT + 1.500% |
154 | 157 | ||||||
|
|
|||||||
64,856 | ||||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $2,195,831) |
2,157,146 | |||||||
|
|
|||||||
U.S. TREASURY OBLIGATIONS — 1.7% |
| |||||||
U.S. Treasury Bonds & Notes — 1.7% |
| |||||||
U.S. Treasury Note |
3,020,000 | 3,477,129 | ||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,488,091) |
3,477,129 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $202,519,415) |
200,335,326 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
79
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
TOTAL PURCHASED OPTIONS (#) — 1.0% (Cost $2,011,623) |
$ | 2,101,980 | ||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $204,531,038) |
202,437,306 | |||||||
|
|
|||||||
SHORT-TERM INVESTMENTS — 0.9% |
| |||||||
Commercial Paper — 0.9% |
| |||||||
Schlumberger Holdings Corp. |
$ | 500,000 | 499,706 | |||||
Tyson Foods, Inc. |
1,400,000 | 1,399,586 | ||||||
|
|
|||||||
1,899,292 | ||||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,899,384) |
1,899,292 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 100.5% (Cost $206,430,422) (e) |
204,336,598 | |||||||
Other Assets/(Liabilities) — (0.5)% | (1,073,291 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 203,263,307 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
STEP | Step Up Bond |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2018, these securities amounted to a value of $112,740,245 or 55.47% of net assets. |
(b) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2018. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $177,342 or 0.09% of net assets. |
(d) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
(#) Purchased Swaptions contracts at December 31, 2018:
OTC Counterparty | Units | Notional Amount |
Expiration Date |
Pay/ Receive Exercise Rate |
Description | Premiums Purchased |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
Barclays Bank PLC* | 6,340,000 | USD 6,340,000 | 12/13/32 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying Swap terminates 12/15/42, Exercise Rate 2.44% | $ | 316,951 | $ | 271,072 | $ | (45,879 | ) | ||||||||||||||||||
Credit Suisse International* |
7,310,000 | USD 7,310,000 | 1/31/33 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying Swap terminates 2/02/43, Exercise Rate 2.61% | 350,880 | 347,404 | (3,476 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
667,831 | 618,476 | (49,355 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
80
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
OTC Counterparty | Units | Notional Amount |
Expiration Date |
Pay/ Receive Exercise Rate |
Description | Premiums Purchased |
Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Barclays Bank PLC* |
12,910,000 | USD | 12,910,000 | 12/13/32 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying Swap terminates 12/15/42, Exercise Rate 2.94% | $ | 645,410 | $ | 731,473 | $ | 86,063 | ||||||||||||||||||
Credit Suisse International* |
14,580,000 | USD | 14,580,000 | 1/31/33 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying Swap terminates 2/02/43, Exercise Rate 3.11% | 698,382 | 752,031 | 53,649 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
1,343,792 | 1,483,504 | 139,712 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 2,011,623 | $ | 2,101,980 | $ | 90,357 | |||||||||||||||||||||||||
|
|
|
|
|
|
* Contracts are subject to a Master Netting Agreement.
Futures contracts at December 31, 2018:
Expiration Date |
Number of Contracts |
Notional Amount |
Value/ Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Long | ||||||||||||||||
U.S. Treasury Note 10 Year |
3/20/19 | 218 | $ | 25,942,484 | $ | 656,922 | ||||||||||
U.S. Treasury Note 2 Year |
3/29/19 | 76 | 16,039,910 | 95,840 | ||||||||||||
|
|
|||||||||||||||
$ | 752,762 | |||||||||||||||
|
|
|||||||||||||||
Short | ||||||||||||||||
U.S. Treasury Ultra 10 Year |
3/20/19 | 80 | $ | (10,069,742 | ) | $ | (336,508 | ) | ||||||||
U.S. Treasury Note 5 Year |
3/29/19 | 619 | (69,858,233 | ) | (1,133,330 | ) | ||||||||||
|
|
|||||||||||||||
$ | (1,469,838 | ) | ||||||||||||||
|
|
Swap agreements at December 31, 2018:
Counterparty | Currency | Notional Amount |
Expiration Date |
Payment Frequency |
Receive (Pay) Fixed Rate |
Deliverable on Default | Unrealized Appreciation (Depreciation) |
Premium (Received) Paid |
Value | |||||||||||||||||||
Credit Default Swaps — Sell Protection†† |
| |||||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||
Goldman Sachs International* | USD | 150,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) |
$ | (12,171 | ) | $ | (12,018 | ) | $ | (24,189 | ) | |||||||||||||
Goldman Sachs International* | USD | 410,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) |
(66,369 | ) | 253 | (66,116 | ) | |||||||||||||||||
Goldman Sachs International* | USD | 410,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.6† (Rating: BBB-) |
(30,610 | ) | (35,506 | ) | (66,116 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (109,150 | ) | $ | (47,271 | ) | $ | (156,421 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection. |
The accompanying notes are an integral part of the financial statements.
81
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Currency Legend
USD | U.S. Dollar |
Country weightings, as a percentage of net assets, is as follows:
United States |
83.3 | % | ||
Cayman Islands |
5.5 | % | ||
Netherlands |
1.9 | % | ||
Ireland |
1.9 | % | ||
Japan |
1.2 | % | ||
Bermuda |
1.0 | % | ||
Luxembourg |
1.0 | % | ||
United Kingdom |
1.0 | % | ||
Sweden |
0.7 | % | ||
Canada |
0.7 | % | ||
Spain |
0.6 | % | ||
Australia |
0.3 | % | ||
Turkey |
0.2 | % | ||
Israel |
0.1 | % | ||
Colombia |
0.1 | % | ||
Barbados |
0.1 | % | ||
|
|
|||
Total Long-Term Investments |
99.6 | % | ||
Short-Term Investments and Other Assets and Liabilities |
0.4 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
82
Number of Shares |
Value | |||||||
EQUITIES — 97.9% |
| |||||||
COMMON STOCK — 97.9% |
| |||||||
Basic Materials — 3.4% |
| |||||||
Iron & Steel — 1.1% |
| |||||||
Allegheny Technologies, Inc. (a) |
51,525 | $ | 1,121,699 | |||||
|
|
|||||||
Mining — 2.3% |
| |||||||
Compass Minerals International, Inc. |
19,310 | 805,034 | ||||||
Kaiser Aluminum Corp. |
16,975 | 1,515,698 | ||||||
|
|
|||||||
2,320,732 | ||||||||
|
|
|||||||
3,442,431 | ||||||||
|
|
|||||||
Communications — 2.9% |
| |||||||
Internet — 1.8% |
| |||||||
Etsy, Inc. (a) |
17,110 | 813,923 | ||||||
Q2 Holdings, Inc. (a) |
20,970 | 1,039,063 | ||||||
|
|
|||||||
1,852,986 | ||||||||
|
|
|||||||
Media — 1.1% |
| |||||||
Houghton Mifflin Harcourt Co. (a) |
123,360 | 1,092,970 | ||||||
|
|
|||||||
2,945,956 | ||||||||
|
|
|||||||
Consumer, Cyclical — 15.2% |
| |||||||
Airlines — 1.3% |
| |||||||
Spirit Airlines, Inc. (a) |
22,350 | 1,294,512 | ||||||
|
|
|||||||
Auto Manufacturers — 0.7% |
| |||||||
Navistar International Corp. (a) |
28,090 | 728,936 | ||||||
|
|
|||||||
Auto Parts & Equipment — 1.6% |
| |||||||
Visteon Corp. (a) |
25,680 | 1,547,990 | ||||||
|
|
|||||||
Distribution & Wholesale — 1.3% |
| |||||||
Dorman Products, Inc. (a) |
14,820 | 1,334,096 | ||||||
|
|
|||||||
Retail — 10.3% |
| |||||||
AutoNation, Inc. (a) |
32,410 | 1,157,037 | ||||||
The Children’s Place, Inc. |
16,710 | 1,505,404 | ||||||
Jack in the Box, Inc. |
23,790 | 1,846,818 | ||||||
The Michaels Cos., Inc. (a) |
52,880 | 715,995 | ||||||
Nu Skin Enterprises, Inc. Class A |
18,750 | 1,149,938 | ||||||
Suburban Propane Partners LP (b) |
78,580 | 1,514,237 | ||||||
Texas Roadhouse, Inc. |
20,880 | 1,246,536 | ||||||
The Wendy’s Co. |
82,850 | 1,293,288 | ||||||
|
|
|||||||
10,429,253 | ||||||||
|
|
|||||||
15,334,787 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 19.1% |
| |||||||
Biotechnology — 2.0% |
| |||||||
Emergent BioSolutions, Inc. (a) |
20,770 | 1,231,245 | ||||||
Ligand Pharmaceuticals, Inc. (a) |
6,160 | 835,912 | ||||||
|
|
|||||||
2,067,157 | ||||||||
|
|
|||||||
Commercial Services — 5.8% |
| |||||||
ASGN, Inc. (a) |
35,851 | 1,953,879 | ||||||
Korn/Ferry International |
54,601 | 2,158,924 | ||||||
Paylocity Holding Corp. (a) |
14,930 | 898,935 |
Number of Shares |
Value | |||||||
Weight Watchers International, Inc. (a) |
22,990 | $ | 886,265 | |||||
|
|
|||||||
5,898,003 | ||||||||
|
|
|||||||
Health Care – Products — 5.0% |
| |||||||
AtriCure, Inc. (a) |
20,710 | 633,726 | ||||||
Inogen, Inc. (a) |
3,440 | 427,145 | ||||||
Inspire Medical Systems, Inc. (a) |
15,779 | 666,663 | ||||||
Intersect ENT, Inc. (a) |
24,510 | 690,692 | ||||||
Quidel Corp. (a) |
16,470 | 804,065 | ||||||
Repligen Corp. (a) |
17,140 | 903,963 | ||||||
Wright Medical Group NV (a) |
34,940 | 951,067 | ||||||
|
|
|||||||
5,077,321 | ||||||||
|
|
|||||||
Health Care – Services — 3.3% |
| |||||||
Addus HomeCare Corp. (a) |
12,832 | 871,036 | ||||||
LHC Group, Inc. (a) |
15,630 | 1,467,344 | ||||||
Teladoc Health, Inc. (a) (c) |
19,210 | 952,240 | ||||||
|
|
|||||||
3,290,620 | ||||||||
|
|
|||||||
Household Products & Wares — 1.0% |
| |||||||
Acco Brands Corp. |
143,570 | 973,405 | ||||||
|
|
|||||||
Pharmaceuticals — 2.0% |
| |||||||
Diplomat Pharmacy, Inc. (a) |
46,820 | 630,197 | ||||||
Senseonics Holdings, Inc. (a) (c) |
121,350 | 314,297 | ||||||
TherapeuticsMD, Inc. (a) (c) |
119,150 | 453,961 | ||||||
uniQure NV (a) |
11,440 | 329,701 | ||||||
Zogenix, Inc. (a) |
7,950 | 289,857 | ||||||
|
|
|||||||
2,018,013 | ||||||||
|
|
|||||||
19,324,519 | ||||||||
|
|
|||||||
Energy — 2.9% |
| |||||||
Energy – Alternate Sources — 1.0% |
| |||||||
Renewable Energy Group, Inc. (a) (c) |
39,879 | 1,024,890 | ||||||
|
|
|||||||
Oil & Gas — 1.1% |
| |||||||
Matador Resources Co. (a) |
68,195 | 1,059,069 | ||||||
|
|
|||||||
Pipelines — 0.8% |
| |||||||
Noble Midstream Partners LP (b) |
27,500 | 793,100 | ||||||
|
|
|||||||
2,877,059 | ||||||||
|
|
|||||||
Financial — 23.5% |
| |||||||
Banks — 6.7% |
| |||||||
The Bank of NT Butterfield & Son Ltd. |
31,809 | 997,212 | ||||||
BankUnited, Inc. |
35,789 | 1,071,523 | ||||||
Cathay General Bancorp |
19,740 | 661,882 | ||||||
Chemical Financial Corp. |
25,022 | 916,055 | ||||||
Columbia Banking System, Inc. |
23,040 | 836,122 | ||||||
Customers Bancorp, Inc. (a) |
27,450 | 499,590 | ||||||
Heritage Financial Corp. |
22,720 | 675,238 | ||||||
IBERIABANK Corp. |
17,160 | 1,103,045 | ||||||
|
|
|||||||
6,760,667 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
83
MML Small Cap Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Diversified Financial Services — 2.2% |
| |||||||
Federated Investors, Inc. Class B |
25,400 | $ | 674,370 | |||||
Focus Financial Partners, Inc. Class A (a) |
15,700 | 413,381 | ||||||
Stifel Financial Corp. |
27,030 | 1,119,583 | ||||||
|
|
|||||||
2,207,334 | ||||||||
|
|
|||||||
Insurance — 1.9% |
| |||||||
James River Group Holdings Ltd. |
20,155 | 736,464 | ||||||
ProAssurance Corp. |
28,250 | 1,145,820 | ||||||
|
|
|||||||
1,882,284 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 7.6% |
| |||||||
Brandywine Realty Trust |
103,330 | 1,329,857 | ||||||
DiamondRock Hospitality Co. |
169,570 | 1,539,695 | ||||||
EPR Properties |
15,090 | 966,213 | ||||||
Four Corners Property Trust, Inc. |
79,540 | 2,083,948 | ||||||
National Storage Affiliates Trust |
68,630 | 1,815,950 | ||||||
|
|
|||||||
7,735,663 | ||||||||
|
|
|||||||
Savings & Loans — 5.1% |
| |||||||
Beneficial Bancorp, Inc. |
52,520 | 750,511 | ||||||
Berkshire Hills Bancorp, Inc. |
28,000 | 755,160 | ||||||
OceanFirst Financial Corp. |
39,690 | 893,422 | ||||||
Pacific Premier Bancorp, Inc. (a) |
21,260 | 542,555 | ||||||
Sterling Bancorp |
55,060 | 909,040 | ||||||
WSFS Financial Corp. |
35,170 | 1,333,295 | ||||||
|
|
|||||||
5,183,983 | ||||||||
|
|
|||||||
23,769,931 | ||||||||
|
|
|||||||
Industrial — 15.2% |
| |||||||
Building Materials — 1.9% |
| |||||||
Masonite International Corp. (a) |
24,103 | 1,080,537 | ||||||
Summit Materials, Inc. Class A (a) |
70,679 | 876,420 | ||||||
|
|
|||||||
1,956,957 | ||||||||
|
|
|||||||
Electrical Components & Equipment — 3.2% |
| |||||||
Energizer Holdings, Inc. |
32,480 | 1,466,472 | ||||||
Generac Holdings, Inc. (a) |
35,650 | 1,771,805 | ||||||
|
|
|||||||
3,238,277 | ||||||||
|
|
|||||||
Electronics — 0.4% |
| |||||||
Atkore International Group, Inc. (a) |
20,170 | 400,173 | ||||||
|
|
|||||||
Engineering & Construction — 2.7% |
| |||||||
Dycom Industries, Inc. (a) |
15,270 | 825,191 | ||||||
KBR, Inc. |
75,216 | 1,141,779 | ||||||
TopBuild Corp. (a) |
16,910 | 760,950 | ||||||
|
|
|||||||
2,727,920 | ||||||||
|
|
|||||||
Environmental Controls — 2.0% |
| |||||||
Advanced Disposal Services, Inc. (a) |
52,158 | 1,248,662 | ||||||
Evoqua Water Technologies Corp. (a) |
74,950 | 719,520 | ||||||
|
|
|||||||
1,968,182 | ||||||||
|
|
Number of Shares |
Value | |||||||
Machinery – Diversified — 0.4% |
| |||||||
The Manitowoc Co., Inc. (a) |
29,187 | $ | 431,092 | |||||
|
|
|||||||
Metal Fabricate & Hardware — 1.2% |
| |||||||
Rexnord Corp. (a) |
53,040 | 1,217,268 | ||||||
|
|
|||||||
Miscellaneous – Manufacturing — 0.9% |
| |||||||
EnPro Industries, Inc. |
14,630 | 879,263 | ||||||
|
|
|||||||
Transportation — 1.4% |
| |||||||
CryoPort, Inc. (a) (c) |
25,370 | 279,831 | ||||||
Genesee & Wyoming, Inc. Class A (a) |
15,800 | 1,169,516 | ||||||
|
|
|||||||
1,449,347 | ||||||||
|
|
|||||||
Trucking & Leasing — 1.1% |
| |||||||
The Greenbrier Cos., Inc. |
27,770 | 1,098,026 | ||||||
|
|
|||||||
15,366,505 | ||||||||
|
|
|||||||
Technology — 12.1% |
| |||||||
Computers — 3.0% |
| |||||||
CACI International, Inc. Class A (a) |
14,531 | 2,092,900 | ||||||
Perspecta, Inc. |
52,028 | 895,922 | ||||||
|
|
|||||||
2,988,822 | ||||||||
|
|
|||||||
Semiconductors — 2.3% |
| |||||||
Brooks Automation, Inc. |
36,880 | 965,518 | ||||||
MKS Instruments, Inc. |
21,480 | 1,387,823 | ||||||
|
|
|||||||
2,353,341 | ||||||||
|
|
|||||||
Software — 6.8% |
| |||||||
Blackline, Inc. (a) |
24,780 | 1,014,741 | ||||||
Envestnet, Inc. (a) |
14,350 | 705,876 | ||||||
j2 Global, Inc. |
23,561 | 1,634,662 | ||||||
Pegasystems, Inc. |
23,966 | 1,146,294 | ||||||
SendGrid, Inc. (a) |
12,804 | 552,749 | ||||||
Zynga, Inc. Class A (a) |
454,702 | 1,786,979 | ||||||
|
|
|||||||
6,841,301 | ||||||||
|
|
|||||||
12,183,464 | ||||||||
|
|
|||||||
Utilities — 3.6% |
| |||||||
Electric — 2.6% |
| |||||||
Black Hills Corp. |
23,970 | 1,504,837 | ||||||
NorthWestern Corp. |
19,680 | 1,169,779 | ||||||
|
|
|||||||
2,674,616 | ||||||||
|
|
|||||||
Gas — 1.0% |
| |||||||
South Jersey Industries, Inc. |
35,800 | 995,240 | ||||||
|
|
|||||||
3,669,856 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $97,510,148) |
98,914,508 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $97,510,148) |
98,914,508 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
84
MML Small Cap Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
MUTUAL FUNDS — 2.8% |
| |||||||
Diversified Financial Services — 2.8% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (d) |
2,813,007 | $ | 2,813,007 | |||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $2,813,007) |
2,813,007 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $100,323,155) |
101,727,515 | |||||||
|
|
|||||||
Principal Amount |
||||||||
SHORT-TERM INVESTMENTS — 2.1% |
| |||||||
Repurchase Agreement — 2.1% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (e) |
$ | 2,125,869 | 2,125,869 | |||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,125,869) |
2,125,869 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 102.8% (Cost $102,449,024) (f) |
103,853,384 | |||||||
Other Assets/(Liabilities) — (2.8)% | (2,818,785 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 101,034,599 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Security is a Master Limited Partnership. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $2,726,837 or 2.70% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $2,126,017. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $2,171,980. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
85
Number of Shares |
Value | |||||||
EQUITIES — 78.1% |
| |||||||
COMMON STOCK — 78.1% |
| |||||||
Basic Materials — 2.7% |
| |||||||
Chemicals — 2.7% |
| |||||||
Ingevity Corp. (a) |
6,639 | $ | 555,618 | |||||
Rayonier Advanced Materials, Inc. |
4,600 | 48,990 | ||||||
|
|
|||||||
604,608 | ||||||||
|
|
|||||||
Communications — 10.0% |
| |||||||
Internet — 0.2% |
| |||||||
Liberty Expedia Holdings, Inc. Class A (a) |
1,360 | 53,190 | ||||||
|
|
|||||||
Media — 5.7% |
| |||||||
Cable One, Inc. |
500 | 410,050 | ||||||
Liberty Broadband Corp. Class A (a) |
3,500 | 251,335 | ||||||
Liberty Media Corp-Liberty Formula One Class C (a) |
5,300 | 162,710 | ||||||
Liberty Media Corp-Liberty SiriusXM Class A (a) |
5,600 | 206,080 | ||||||
Liberty Media Corp-Liberty SiriusXM Class C (a) |
5,600 | 207,088 | ||||||
News Corp. Class A |
5,800 | 65,830 | ||||||
|
|
|||||||
1,303,093 | ||||||||
|
|
|||||||
Telecommunications — 4.1% |
| |||||||
GCI Liberty, Inc. Class A (a) |
3,440 | 141,590 | ||||||
Liberty Latin America Ltd. Class A (a) |
54,100 | 783,368 | ||||||
|
|
|||||||
924,958 | ||||||||
|
|
|||||||
2,281,241 | ||||||||
|
|
|||||||
Consumer, Cyclical — 1.7% |
| |||||||
Auto Parts & Equipment — 1.3% |
| |||||||
Aptiv PLC |
4,679 | 288,087 | ||||||
Garrett Motion, Inc. (a) |
306 | 3,776 | ||||||
|
|
|||||||
291,863 | ||||||||
|
|
|||||||
Retail — 0.4% |
| |||||||
J Alexander’s Holdings, Inc. (a) |
11,500 | 94,645 | ||||||
|
|
|||||||
386,508 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 33.4% |
| |||||||
Commercial Services — 12.9% |
| |||||||
PayPal Holdings, Inc. (a) |
35,000 | 2,943,150 | ||||||
|
|
|||||||
Foods — 3.8% |
| |||||||
Lamb Weston Holdings, Inc. |
11,733 | 863,079 | ||||||
|
|
|||||||
Health Care – Products — 5.8% |
| |||||||
Avanos Medical, Inc. (a) |
6,100 | 273,219 | ||||||
Danaher Corp. |
5,400 | 556,848 | ||||||
Varex Imaging Corp. (a) |
7,500 | 177,600 | ||||||
West Pharmaceutical Services, Inc. |
3,100 | 303,893 | ||||||
|
|
|||||||
1,311,560 | ||||||||
|
|
Number of Shares |
Value | |||||||
Household Products & Wares — 0.9% |
| |||||||
Avery Dennison Corp. |
2,400 | $ | 215,592 | |||||
|
|
|||||||
Pharmaceuticals — 10.0% |
| |||||||
AbbVie, Inc. |
6,300 | 580,797 | ||||||
Zoetis, Inc. |
19,700 | 1,685,138 | ||||||
|
|
|||||||
2,265,935 | ||||||||
|
|
|||||||
7,599,316 | ||||||||
|
|
|||||||
Energy — 2.9% |
| |||||||
Oil & Gas — 2.5% |
| |||||||
Marathon Petroleum Corp. |
3,091 | 182,400 | ||||||
Murphy USA, Inc. (a) |
5,000 | 383,200 | ||||||
|
|
|||||||
565,600 | ||||||||
|
|
|||||||
Oil & Gas Services — 0.4% |
| |||||||
KLX Energy Services Holdings, Inc. (a) |
3,600 | 84,420 | ||||||
|
|
|||||||
650,020 | ||||||||
|
|
|||||||
Financial — 4.7% |
| |||||||
Banks — 0.5% |
| |||||||
City Holding Co. |
1,809 | 122,270 | ||||||
|
|
|||||||
Diversified Financial Services — 1.0% |
| |||||||
Synchrony Financial |
9,540 | 223,809 | ||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 3.2% |
| |||||||
Four Corners Property Trust, Inc. |
10,300 | 269,860 | ||||||
Gaming and Leisure Properties, Inc. |
13,900 | 449,109 | ||||||
|
|
|||||||
718,969 | ||||||||
|
|
|||||||
1,065,048 | ||||||||
|
|
|||||||
Industrial — 11.7% |
| |||||||
Electronics — 9.0% |
| |||||||
Allegion PLC |
8,500 | 677,535 | ||||||
Honeywell International, Inc. |
3,060 | 404,287 | ||||||
Keysight Technologies, Inc. (a) |
14,570 | 904,506 | ||||||
nVent Electric PLC |
2,340 | 52,556 | ||||||
Resideo Technologies, Inc. (a) |
510 | 10,481 | ||||||
|
|
|||||||
2,049,365 | ||||||||
|
|
|||||||
Engineering & Construction — 1.5% |
| |||||||
TopBuild Corp. (a) |
7,600 | 342,000 | ||||||
|
|
|||||||
Environmental Controls — 0.4% |
| |||||||
Pentair PLC |
2,340 | 88,405 | ||||||
|
|
|||||||
Machinery – Construction & Mining — 0.5% |
| |||||||
Oshkosh Corp. |
2,002 | 122,742 | ||||||
|
|
|||||||
Metal Fabricate & Hardware — 0.3% |
| |||||||
TimkenSteel Corp. (a) |
7,100 | 62,054 | ||||||
|
|
|||||||
2,664,566 | ||||||||
|
|
|||||||
Technology — 8.4% |
| |||||||
Computers — 8.4% |
| |||||||
DXC Technology Co. |
3,874 | 205,981 | ||||||
Hewlett Packard Enterprise Co. |
81,600 | 1,077,936 |
The accompanying notes are an integral part of the financial statements.
86
MML Special Situations Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Lumentum Holdings, Inc. (a) |
4,500 | $ | 189,045 | |||||
Perspecta, Inc. |
25,437 | 438,025 | ||||||
|
|
|||||||
1,910,987 | ||||||||
|
|
|||||||
Utilities — 2.6% |
| |||||||
Gas — 2.6% |
| |||||||
ONE Gas, Inc. |
7,300 | 581,080 | ||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $16,361,102) |
17,743,374 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $16,361,102) |
17,743,374 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $16,361,102) |
17,743,374 | |||||||
|
|
|||||||
Principal Amount |
||||||||
SHORT-TERM INVESTMENTS — 21.9% |
| |||||||
Repurchase Agreement — 21.9% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (b) |
$ | 4,985,125 | 4,985,125 | |||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,985,125) |
4,985,125 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 100.0% (Cost $21,346,227) (c) |
22,728,499 | |||||||
Other Assets/(Liabilities) — (0.0)% | (674 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 22,727,825 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $4,985,471. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $5,089,490. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
87
Number of Shares |
Value | |||||||
EQUITIES — 95.2% |
| |||||||
COMMON STOCK — 93.9% |
| |||||||
Bermuda — 2.8% |
| |||||||
Credicorp Ltd. |
7,680 | $ | 1,702,425 | |||||
Jardine Strategic Holdings Ltd. |
49,289 | 1,800,756 | ||||||
|
|
|||||||
3,503,181 | ||||||||
|
|
|||||||
Brazil — 4.6% |
| |||||||
Atacadao Distribuicao Comercio e Industria Ltda |
356,500 | 1,670,822 | ||||||
B3 SA — Brasil Bolsa Balcao |
306,565 | 2,117,681 | ||||||
Itau Unibanco Holding SA Sponsored ADR |
75,545 | 690,481 | ||||||
Vale SA Sponsored ADR |
104,770 | 1,381,916 | ||||||
|
|
|||||||
5,860,900 | ||||||||
|
|
|||||||
Cayman Islands — 15.9% |
| |||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) |
53,829 | 7,378,341 | ||||||
Huazhu Group Ltd. ADR |
84,975 | 2,432,834 | ||||||
Hutchison China MediTech Ltd. ADR (a) (b) |
13,367 | 308,644 | ||||||
Innovent Biologics, Inc. (a) (c) |
47,000 | 145,235 | ||||||
Meituan Dianping Class B (a) (d) |
101,200 | 569,227 | ||||||
Meituan Dianping Class B (a) (e) |
159,800 | 851,090 | ||||||
Pinduoduo, Inc. ADR (a) (b) |
49,780 | 1,117,063 | ||||||
Ping An Healthcare and Technology Co. Ltd. (a) (c) |
8,670 | 30,631 | ||||||
Sunny Optical Technology Group Co. Ltd. |
73,900 | 648,378 | ||||||
Tencent Holdings Ltd. |
121,759 | 4,826,408 | ||||||
Wuxi Biologics Cayman, Inc. (a) (c) |
85,500 | 540,946 | ||||||
ZTO Express Cayman, Inc. ADR |
80,910 | 1,280,805 | ||||||
|
|
|||||||
20,129,602 | ||||||||
|
|
|||||||
Chile — 0.9% |
| |||||||
Banco de Chile |
1,489,731 | 213,158 | ||||||
SACI Falabella |
134,893 | 985,117 | ||||||
|
|
|||||||
1,198,275 | ||||||||
|
|
|||||||
China — 3.8% |
| |||||||
China International Capital Corp. Ltd. Class H (c) |
312,800 | 582,567 | ||||||
Dong-E-E-Jiao Co. Ltd. |
86,899 | 500,257 | ||||||
Jiangsu Hengrui Medicine Co. Ltd. Class A |
192,450 | 1,486,926 | ||||||
Shanghai Junshi Bioscience Class H (a) (c) |
56,000 | 172,709 | ||||||
Sinopharm Group Co. Ltd. Class H |
484,600 | 2,029,122 | ||||||
|
|
|||||||
4,771,581 | ||||||||
|
|
|||||||
Colombia — 0.5% |
| |||||||
Grupo Aval Acciones y Valores SA ADR |
99,060 | 584,454 |
Number of Shares |
Value | |||||||
Grupo de Inversiones Suramericana SA |
9,010 | $ | 88,984 | |||||
|
|
|||||||
673,438 | ||||||||
|
|
|||||||
Egypt — 0.4% |
| |||||||
Commercial International Bank Egypt SAE |
134,115 | 561,546 | ||||||
|
|
|||||||
France — 6.2% |
| |||||||
Kering SA |
10,585 | 4,953,933 | ||||||
LVMH Moet Hennessy Louis Vuitton SE |
9,916 | 2,913,775 | ||||||
|
|
|||||||
7,867,708 | ||||||||
|
|
|||||||
Hong Kong — 4.6% |
| |||||||
AIA Group Ltd. |
447,400 | 3,680,428 | ||||||
Hong Kong Exchanges & Clearing Ltd. |
76,236 | 2,187,739 | ||||||
|
|
|||||||
5,868,167 | ||||||||
|
|
|||||||
India — 11.9% |
| |||||||
Apollo Hospitals Enterprise Ltd. |
25,593 | 460,516 | ||||||
Biocon Ltd. |
94,547 | 850,175 | ||||||
Cholamandalam Investment & Finance Co. Ltd. |
25,312 | 456,412 | ||||||
Housing Development Finance Corp. Ltd. |
174,766 | 4,920,353 | ||||||
Kotak Mahindra Bank Ltd. |
237,473 | 4,253,558 | ||||||
Oberoi Realty Ltd. |
15,775 | 100,342 | ||||||
Odisha Cement Ltd. (a) (e) |
9,774 | 153,998 | ||||||
Tata Consultancy Services Ltd. |
53,483 | 1,452,403 | ||||||
UltraTech Cement Ltd. |
13,159 | 750,648 | ||||||
Zee Entertainment Enterprises Ltd. |
250,928 | 1,706,938 | ||||||
|
|
|||||||
15,105,343 | ||||||||
|
|
|||||||
Indonesia — 1.1% |
| |||||||
Bank Central Asia Tbk PT |
410,600 | 742,265 | ||||||
Indocement Tunggal Prakarsa Tbk PT |
458,500 | 588,129 | ||||||
|
|
|||||||
1,330,394 | ||||||||
|
|
|||||||
Italy — 1.1% |
| |||||||
Moncler SpA |
1,853 | 61,919 | ||||||
PRADA SpA |
397,900 | 1,300,358 | ||||||
|
|
|||||||
1,362,277 | ||||||||
|
|
|||||||
Malaysia — 0.0% |
| |||||||
Genting Bhd |
15,300 | 22,598 | ||||||
|
|
|||||||
Mexico — 5.9% |
| |||||||
Alsea SAB de CV |
125,422 | 327,026 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand |
455,337 | 564,429 | ||||||
Fomento Economico Mexicano SAB de CV |
236,467 | 2,033,315 | ||||||
Fomento Economico Mexicano SAB de CV Sponsored ADR |
11,310 | 973,225 |
The accompanying notes are an integral part of the financial statements.
88
MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Grupo Aeroportuario del Sureste SAB de CV Class B |
44,166 | $ | 666,184 | |||||
Grupo Financiero Inbursa SAB de CV Class O |
756,788 | 1,092,527 | ||||||
Grupo Mexico SAB de CV Series B |
600,176 | 1,239,032 | ||||||
Wal-Mart de Mexico SAB de CV |
196,185 | 498,954 | ||||||
|
|
|||||||
7,394,692 | ||||||||
|
|
|||||||
Netherlands — 1.3% |
| |||||||
Steinhoff International Holdings NV (a) |
423,383 | 50,294 | ||||||
Yandex NV Class A (a) |
56,419 | 1,543,060 | ||||||
|
|
|||||||
1,593,354 | ||||||||
|
|
|||||||
Philippines — 3.9% |
| |||||||
Ayala Corp. |
27,500 | 470,625 | ||||||
Ayala Land, Inc. |
1,140,100 | 882,283 | ||||||
BDO Unibank, Inc. |
58,700 | 146,331 | ||||||
Jollibee Foods Corp. |
156,890 | 870,497 | ||||||
SM Investments Corp. |
97,445 | 1,699,937 | ||||||
SM Prime Holdings, Inc. |
1,205,900 | 820,871 | ||||||
|
|
|||||||
4,890,544 | ||||||||
|
|
|||||||
Republic of Korea — 5.9% |
| |||||||
Amorepacific Corp. |
5,186 | 968,223 | ||||||
AMOREPACIFIC Group |
4,617 | 299,585 | ||||||
Kakao Corp. (a) |
3,790 | 348,225 | ||||||
LG Household & Health Care Ltd. |
2,068 | 2,041,805 | ||||||
NAVER Corp. |
11,387 | 1,240,702 | ||||||
Samsung Biologics Co. Ltd. (a) (c) |
3,682 | 1,281,318 | ||||||
Samsung Electronics Co. Ltd. |
37,799 | 1,307,871 | ||||||
|
|
|||||||
7,487,729 | ||||||||
|
|
|||||||
Russia — 6.4% |
| |||||||
LUKOIL PJSC Sponsored ADR (b) |
3,230 | 230,428 | ||||||
LUKOIL PJSC Sponsored ADR |
13,446 | 959,846 | ||||||
Novatek PJSC Sponsored GDR Registered (d) |
31,664 | 5,407,104 | ||||||
Polyus PJSC GDR (c) (e) |
8,900 | 347,990 | ||||||
Sberbank of Russia PJSC |
426,599 | 1,134,536 | ||||||
|
|
|||||||
8,079,904 | ||||||||
|
|
|||||||
South Africa — 2.6% |
| |||||||
FirstRand Ltd. |
499,892 | 2,277,576 | ||||||
Shoprite Holdings Ltd. |
76,531 | 1,006,007 | ||||||
|
|
|||||||
3,283,583 | ||||||||
|
|
|||||||
Taiwan — 5.4% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. |
934,000 | 6,780,165 | ||||||
|
|
|||||||
Thailand — 0.5% |
| |||||||
Siam Commercial Bank PCL |
158,300 | 649,049 | ||||||
|
|
|||||||
Turkey — 1.6% |
| |||||||
Akbank T.A.S. |
435,978 | 563,639 |
Number of Shares |
Value | |||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS |
140,145 | $ | 545,358 | |||||
BIM Birlesik Magazalar AS |
24,202 | 397,919 | ||||||
Turkiye Garanti Bankasi AS |
314,571 | 466,129 | ||||||
|
|
|||||||
1,973,045 | ||||||||
|
|
|||||||
United Arab Emirates — 1.5% |
| |||||||
DP World Ltd. |
80,142 | 1,370,272 | ||||||
Emaar Properties PJSC |
461,797 | 519,490 | ||||||
|
|
|||||||
1,889,762 | ||||||||
|
|
|||||||
United Kingdom — 3.7% |
| |||||||
Glencore PLC |
1,271,791 | 4,690,824 | ||||||
|
|
|||||||
United States — 1.4% |
| |||||||
MercadoLibre, Inc. |
3,150 | 922,477 | ||||||
Yum China Holdings, Inc. |
26,550 | 890,222 | ||||||
|
|
|||||||
1,812,699 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $114,675,271) |
118,780,360 | |||||||
|
|
|||||||
PREFERRED STOCK — 1.3% |
| |||||||
Brazil — 1.3% |
| |||||||
Lojas Americanas SA 0.410% |
318,700 | 1,627,138 | ||||||
|
|
|||||||
India — 0.0% |
| |||||||
Zee Entertainment Enterprises Ltd. 6.000% |
503,840 | 55,136 | ||||||
|
|
|||||||
TOTAL PREFERRED STOCK (Cost $1,593,286) |
1,682,274 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $116,268,557) |
120,462,634 | |||||||
|
|
|||||||
MUTUAL FUNDS — 1.3% |
| |||||||
United States — 1.3% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (f) |
1,601,070 | 1,601,070 | ||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $1,601,070) |
1,601,070 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $117,869,627) |
122,063,704 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
89
MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
SHORT-TERM INVESTMENTS — 5.5% |
| |||||||
Repurchase Agreement — 5.5% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/18, 1.250%, due 1/02/19 (g) |
$ | 6,912,729 | $ | 6,912,729 | ||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,912,729) |
6,912,729 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 102.0% (Cost $124,782,356) (h) | 128,976,433 | |||||||
Other Assets/(Liabilities) — (2.0)% | (2,523,970 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 126,452,463 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
PJSC | Public Joint Stock Company |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2018, was $1,561,252 or 1.23% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | 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, 2018, these securities amounted to a value of $3,101,396 or 2.45% of net assets. |
(d) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At December 31, 2018, these securities amounted to a value of $5,976,331 or 4.73% of net assets. |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2018, these securities amounted to a value of $1,353,078 or 1.07% of net assets. |
(f) | Represents investment of security lending collateral. (Note 2). |
(g) | Maturity value of $6,913,209. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 1/15/27, and an aggregate market value, including accrued interest, of $7,052,721. |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Financial |
25.6 | % | ||
Communications |
16.2 | % | ||
Consumer, Cyclical |
16.1 | % | ||
Consumer, Non-cyclical |
13.8 | % | ||
Technology |
7.6 | % | ||
Basic Materials |
6.1 | % | ||
Energy |
5.2 | % | ||
Industrial |
3.2 | % | ||
Diversified |
1.4 | % | ||
Mutual Funds |
1.3 | % | ||
|
|
|||
Total Long-Term Investments |
96.5 | % | ||
Short-Term Investments and Other Assets and Liabilities |
3.5 | % | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
90
THIS PAGE INTENTIONALLY LEFT BLANK
91
MML Series Investment Fund II – Financial Statements
Statements of Assets and Liabilities
MML Asset Momentum Fund |
MML Dynamic Bond Fund |
|||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) |
$ | 20,901,284 | $ | 418,819,597 | ||||
Repurchase agreements, at value (Note 2) (b) |
5,136,732 | 1,834,838 | ||||||
Other short-term investments, at value (Note 2) (c) |
- | 1,314,412 | ||||||
|
|
|
|
|||||
Total investments (d) |
26,038,016 | 421,968,847 | ||||||
|
|
|
|
|||||
Cash |
- | 2,784 | ||||||
Foreign currency, at value (e) |
- | - | ||||||
Receivables from: |
||||||||
Investments sold |
- | 2,318,399 | ||||||
Collateral pledged for futures contracts (Note 2) |
21,277 | - | ||||||
Collateral pledged for reverse repurchase agreements (Note 2) |
- | - | ||||||
Investment adviser (Note 3) |
4,618 | - | ||||||
Fund shares sold |
- | 20,456 | ||||||
Collateral pledged for open swap agreements (Note 2) |
- | - | ||||||
Variation margin on open derivative instruments (Note 2) |
126,334 | - | ||||||
Interest and dividends |
7,523 | 3,149,626 | ||||||
Interest tax reclaim receivable |
- | 365 | ||||||
Foreign taxes withheld |
8,505 | - | ||||||
|
|
|
|
|||||
Total assets |
26,206,273 | 427,460,477 | ||||||
|
|
|
|
|||||
Liabilities: | ||||||||
Payables for: |
||||||||
Investments purchased |
- | - | ||||||
Collateral held for reverse repurchase agreements (Note 2) |
- | - | ||||||
Collateral held for open purchased options (Note 2) |
- | - | ||||||
Collateral held for futures contracts (Note 2) |
- | - | ||||||
Reverse repurchase agreements (Note 2) |
- | - | ||||||
Open forward contracts (Note 2) |
130,449 | - | ||||||
Foreign currency overdraft |
327 | - | ||||||
Fund shares repurchased |
114 | 50 | ||||||
Securities on loan (Note 2) |
1,389,960 | 487,358 | ||||||
Open swap agreements, at value (Note 2) |
- | - | ||||||
Trustees’ fees and expenses (Note 3) |
2,070 | 36,745 | ||||||
Variation margin on open derivative instruments (Note 2) |
- | - | ||||||
Affiliates (Note 3): |
||||||||
Investment advisory fees |
12,980 | 147,711 | ||||||
Administration fees |
3,245 | 55,392 | ||||||
Service fees |
963 | 3,869 | ||||||
Due to custodian |
159,811 | - | ||||||
Commitment and Contingent Liabilities (Note 9) |
- | - | ||||||
Accrued expense and other liabilities |
39,324 | 112,995 | ||||||
|
|
|
|
|||||
Total liabilities |
1,739,243 | 844,120 | ||||||
|
|
|
|
|||||
Net assets |
$ | 24,467,030 | $ | 426,616,357 | ||||
|
|
|
|
|||||
Net assets consist of: | ||||||||
Paid-in capital |
$ | 26,874,653 | $ | 444,245,926 | ||||
Accumulated Gain (Loss) |
(2,407,623 | ) | (17,629,569 | ) | ||||
|
|
|
|
|||||
Net assets |
$ | 24,467,030 | $ | 426,616,357 | ||||
|
|
|
|
|||||
(a) Cost of investments: |
$ | 20,807,329 | $ | 430,660,176 | ||||
(b) Cost of repurchase agreements: |
$ | 5,136,732 | $ | 1,834,838 | ||||
(c) Cost of other short-term investments: |
$ | - | $ | 1,314,492 | ||||
(d) Securities on loan with market value of: |
$ | 1,361,448 | $ | 477,288 | ||||
(e) Cost of foreign currency: |
$ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
92
MML Equity Rotation Fund |
MML High Yield Fund |
MML Inflation- Protected and Income Fund |
MML Short- Duration Bond Fund |
MML Small Cap Equity Fund |
MML Special Situations Fund |
MML Strategic Emerging Markets Fund |
||||||||||||||||||||
$ | 24,944,204 | $ | 119,339,799 | $ | 496,568,822 | $ | 202,437,306 | $ | 101,727,515 | $ | 17,743,374 | $ | 122,063,704 | |||||||||||||
3,778,231 | - | 107,905 | - | 2,125,869 | 4,985,125 | 6,912,729 | ||||||||||||||||||||
- | 1,999,705 | 141,028,528 | 1,899,292 | - | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
28,722,435 | 121,339,504 | 637,705,255 | 204,336,598 | 103,853,384 | 22,728,499 | 128,976,433 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
- | 1,384,410 | 22,382 | 622,064 | - | 90,010 | 4 | ||||||||||||||||||||
- | - | - | - | - | - | 17,124 | ||||||||||||||||||||
- | - | - | - | - | - | 56,382 | ||||||||||||||||||||
2,585 | - | - | - | - | - | - | ||||||||||||||||||||
- | - | 328,087 | - | - | - | - | ||||||||||||||||||||
4,216 | 10,395 | - | 7,163 | - | 4,315 | 32,210 | ||||||||||||||||||||
20,946 | 3,200 | 43,364 | 15,837 | 252,612 | 20,800 | 55,646 | ||||||||||||||||||||
- | - | 540,000 | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
13,772 | 2,178,393 | 1,648,308 | 1,233,246 | 51,740 | 12,225 | 72,444 | ||||||||||||||||||||
- | 608 | - | 2,103 | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | 8,588 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
28,763,954 | 124,916,510 | 640,287,396 | 206,217,011 | 104,157,736 | 22,855,849 | 129,218,831 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
- | 1,147,581 | - | - | 74,687 | - | 404,010 | ||||||||||||||||||||
- | - | 582,725 | - | - | - | - | ||||||||||||||||||||
- | - | 2,720,000 | 2,150,000 | - | - | - | ||||||||||||||||||||
- | - | - | - | - | 75,365 | - | ||||||||||||||||||||
- | - | 269,080,095 | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
4 | 20,514 | 12,836,665 | 311,327 | 70,538 | 1 | 78,659 | ||||||||||||||||||||
- | 3,990,143 | - | - | 2,813,007 | - | 1,601,070 | ||||||||||||||||||||
- | - | 1,147,170 | 156,421 | - | - | - | ||||||||||||||||||||
2,188 | 22,464 | 93,356 | 37,755 | 34,339 | 1,831 | 14,721 | ||||||||||||||||||||
- | - | 179,063 | 96,548 | - | - | - | ||||||||||||||||||||
11,216 | 62,369 | 174,676 | 62,230 | 57,698 | 11,845 | 108,125 | ||||||||||||||||||||
3,739 | 15,592 | - | 26,670 | - | 2,961 | 15,446 | ||||||||||||||||||||
1,066 | 26,555 | 27,588 | 19,574 | 12,782 | 471 | 8,924 | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
35,672 | 106,599 | 140,129 | 93,179 | 60,086 | 35,550 | 535,413 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
53,885 | 5,391,817 | 286,981,467 | 2,953,704 | 3,123,137 | 128,024 | 2,766,368 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 28,710,069 | $ | 119,524,693 | $ | 353,305,929 | $ | 203,263,307 | $ | 101,034,599 | $ | 22,727,825 | $ | 126,452,463 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 27,806,594 | $ | 134,669,097 | $ | 374,362,974 | $ | 211,386,556 | $ | 88,929,684 | $ | 21,658,354 | $ | 127,286,363 | |||||||||||||
903,475 | (15,144,404 | ) | (21,057,045 | ) | (8,123,249 | ) | 12,104,915 | 1,069,471 | (833,900 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 28,710,069 | $ | 119,524,693 | $ | 353,305,929 | $ | 203,263,307 | $ | 101,034,599 | $ | 22,727,825 | $ | 126,452,463 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 24,611,809 | $ | 130,731,406 | $ | 503,351,483 | $ | 204,531,038 | $ | 100,323,155 | $ | 16,361,102 | $ | 117,869,627 | |||||||||||||
$ | 3,778,231 | $ | - | $ | 107,905 | $ | - | $ | 2,125,869 | $ | 4,985,125 | $ | 6,912,729 | |||||||||||||
$ | - | $ | 1,999,850 | $ | 141,026,996 | $ | 1,899,384 | $ | - | $ | - | $ | - | |||||||||||||
$ | - | $ | 3,905,647 | $ | - | $ | - | $ | 2,726,837 | $ | - | $ | 1,561,252 | |||||||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 17,134 |
93
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Assets and Liabilities
MML Asset Momentum Fund |
MML Dynamic Bond Fund |
|||||||
Initial Class shares: | ||||||||
Net assets |
$ | - | $ | - | ||||
|
|
|
|
|||||
Shares outstanding (a) |
- | - | ||||||
|
|
|
|
|||||
Net asset value, offering price and redemption price per share |
$ | - | $ | - | ||||
|
|
|
|
|||||
Class II shares: | ||||||||
Net assets |
$ | 23,086,870 | $ | 420,344,282 | ||||
|
|
|
|
|||||
Shares outstanding (a) |
2,474,970 | 43,726,216 | ||||||
|
|
|
|
|||||
Net asset value, offering price and redemption price per share |
$ | 9.33 | $ | 9.61 | ||||
|
|
|
|
|||||
Service Class shares: | ||||||||
Net assets |
$ | - | $ | - | ||||
|
|
|
|
|||||
Shares outstanding (a) |
- | - | ||||||
|
|
|
|
|||||
Net asset value, offering price and redemption price per share |
$ | - | $ | - | ||||
|
|
|
|
|||||
Service Class I shares: | ||||||||
Net assets |
$ | 1,380,160 | $ | 6,272,075 | ||||
|
|
|
|
|||||
Shares outstanding (a) |
148,773 | 653,792 | ||||||
|
|
|
|
|||||
Net asset value, offering price and redemption price per share |
$ | 9.28 | $ | 9.59 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
94
MML Equity Rotation Fund |
MML High Yield Fund |
MML Inflation- Protected and Income Fund |
MML Short- Duration Bond Fund |
MML Small Cap Equity Fund |
MML Special Situations Fund |
MML Strategic Emerging Markets Fund |
||||||||||||||||||||
$ | - | $ | - | $ | 311,926,608 | $ | - | $ | 82,609,331 | $ | - | $ | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
- | - | 32,101,413 | - | 10,114,649 | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | - | $ | - | $ | 9.72 | $ | - | $ | 8.17 | $ | - | $ | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 27,112,456 | $ | 79,542,054 | $ | - | $ | 172,577,114 | $ | - | $ | 21,975,721 | $ | 112,363,302 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
2,489,690 | 8,770,262 | - | 17,996,620 | - | 2,091,402 | 11,098,677 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 10.89 | $ | 9.07 | $ | - | $ | 9.59 | $ | - | $ | 10.51 | $ | 10.12 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | - | $ | - | $ | 41,379,321 | $ | - | $ | 18,425,268 | $ | - | $ | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
- | - | 4,276,779 | - | 2,300,065 | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | - | $ | - | $ | 9.68 | $ | - | $ | 8.01 | $ | - | $ | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 1,597,613 | $ | 39,982,639 | $ | - | $ | 30,686,193 | $ | - | $ | 752,104 | $ | 14,089,161 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
147,225 | 4,424,800 | - | 3,203,555 | - | 71,812 | 1,391,318 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 10.85 | $ | 9.04 | $ | - | $ | 9.58 | $ | - | $ | 10.47 | $ | 10.13 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
95
MML Series Investment Fund II – Financial Statements (Continued)
For the Year Ended December 31, 2018
MML Asset Momentum Fund |
MML Dynamic Bond Fund |
|||||||
Investment income (Note 2): |
| |||||||
Dividends (a) |
$ | 305,042 | $ | 791,754 | ||||
Interest (b) |
97,319 | 17,683,037 | ||||||
Securities lending net income |
1,122 | 1,048 | ||||||
|
|
|
|
|||||
Total investment income |
403,483 | 18,475,839 | ||||||
|
|
|
|
|||||
Expenses (Note 3): |
| |||||||
Investment advisory fees |
175,169 | 1,798,222 | ||||||
Custody fees |
6,995 | 39,913 | ||||||
Interest expense |
- | - | ||||||
Audit fees |
31,570 | 54,563 | ||||||
Legal fees |
408 | 6,132 | ||||||
Proxy fees |
1,292 | 1,292 | ||||||
Shareholder reporting fees |
9,369 | 48,272 | ||||||
Trustees’ fees |
1,717 | 26,079 | ||||||
|
|
|
|
|||||
226,520 | 1,974,473 | |||||||
Administration fees: |
||||||||
Class II |
41,438 | 666,304 | ||||||
Service Class I |
2,354 | 8,030 | ||||||
Service fees: |
||||||||
Service Class |
- | - | ||||||
Service Class I |
3,923 | 13,383 | ||||||
|
|
|
|
|||||
Total expenses |
274,235 | 2,662,190 | ||||||
Expenses waived (Note 3): |
||||||||
Class II fees reimbursed by adviser |
(34,772 | ) | - | |||||
Service Class I fees reimbursed by adviser |
(1,983 | ) | - | |||||
Class II advisory fees waived |
- | - | ||||||
Service Class I advisory fees waived |
- | - | ||||||
|
|
|
|
|||||
Net expenses: |
237,480 | 2,662,190 | ||||||
|
|
|
|
|||||
Net investment income (loss) |
166,003 | 15,813,649 | ||||||
|
|
|
|
|||||
Realized and unrealized gain (loss): |
| |||||||
Net realized gain (loss) on: |
||||||||
Investment transactions |
813,200 | (5,234,890 | ) | |||||
Futures contracts |
257,108 | - | ||||||
Swap agreements |
- | - | ||||||
Foreign currency transactions |
(532 | ) | - | |||||
Forward contracts |
64,597 | - | ||||||
|
|
|
|
|||||
Net realized gain (loss) |
1,134,373 | (5,234,890 | ) | |||||
|
|
|
|
|||||
Net change in unrealized appreciation (depreciation) on: |
||||||||
Investment transactions |
(4,318,160 | ) | (11,038,461 | ) | ||||
Futures contracts |
(1,650,947 | ) | - | |||||
Swap agreements |
- | - | ||||||
Translation of assets and liabilities in foreign currencies |
(856 | ) | - | |||||
Forward contracts |
(249,694 | ) | - | |||||
|
|
|
|
|||||
Net change in unrealized appreciation (depreciation) |
(6,219,657 | ) | (11,038,461 | ) | ||||
|
|
|
|
|||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) |
(5,085,284 | ) | (16,273,351 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
$ | (4,919,281 | ) | $ | (459,702 | ) | ||
|
|
|
|
|||||
(a) Net of foreign withholding tax of: |
$ | 4,526 | $ | - | ||||
(b) Net of foreign withholding tax of: |
$ | - | $ | 1,548 | ||||
* Net of net increase (decrease) in accrued foreign capital gains tax of: |
$ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
96
MML Equity Rotation Fund |
MML High Yield Fund |
MML Inflation- Protected and Income Fund |
MML Short- Duration Bond Fund |
MML Small Cap Equity Fund |
MML Special Situations Fund |
MML Strategic Emerging Markets Fund |
||||||||||||||||||||
$ | 467,172 | $ | - | $ | - | $ | - | $ | 1,560,351 | $ | 322,043 | $ | 2,062,814 | |||||||||||||
12,274 | 9,317,830 | 20,398,247 | 7,356,839 | 19,818 | 16,288 | 49,463 | ||||||||||||||||||||
- | 8,515 | - | - | 71,010 | - | 39,399 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
479,446 | 9,326,345 | 20,398,247 | 7,356,839 | 1,651,179 | 338,331 | 2,151,676 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
142,989 | 795,019 | 2,221,772 | 802,943 | 773,515 | 150,805 | 1,285,196 | ||||||||||||||||||||
4,589 | 59,262 | 79,351 | 38,094 | 19,170 | 4,581 | 359,201 | ||||||||||||||||||||
- | - | 5,984,205 | 47 | - | - | - | ||||||||||||||||||||
31,571 | 37,759 | 39,363 | 38,376 | 36,985 | 31,567 | 65,368 | ||||||||||||||||||||
443 | 1,821 | 5,637 | 7,016 | 1,661 | 351 | 3,608 | ||||||||||||||||||||
1,293 | 1,293 | 1,293 | 1,293 | 1,293 | 1,293 | 1,293 | ||||||||||||||||||||
8,965 | 21,902 | 43,622 | 31,166 | 17,493 | 8,755 | 20,496 | ||||||||||||||||||||
1,856 | 7,719 | 23,634 | 13,425 | 7,113 | 1,465 | 7,123 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
191,706 | 924,775 | 8,398,877 | 932,360 | 857,230 | 198,817 | 1,742,285 | ||||||||||||||||||||
45,264 | 137,637 | - | 298,900 | - | 36,679 | 161,301 | ||||||||||||||||||||
2,399 | 61,118 | - | 45,218 | - | 1,022 | 22,298 | ||||||||||||||||||||
- | - | 111,838 | - | 49,039 | - | - | ||||||||||||||||||||
3,998 | 101,864 | - | 75,363 | - | 1,703 | 37,164 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
243,367 | 1,225,394 | 8,510,715 | 1,351,841 | 906,269 | 238,221 | 1,963,048 | ||||||||||||||||||||
(31,155 | ) | - | - | (12,606 | ) | - | (34,468 | ) | (197,588 | ) | ||||||||||||||||
(1,674 | ) | - | - | (2,058 | ) | - | (977 | ) | (26,940 | ) | ||||||||||||||||
- | (91,733 | ) | - | - | - | - | (43,014 | ) | ||||||||||||||||||
- | (40,770 | ) | - | - | - | - | (5,946 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
210,538 | 1,092,891 | 8,510,715 | 1,337,177 | 906,269 | 202,776 | 1,689,560 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
268,908 | 8,233,454 | 11,887,532 | 6,019,662 | 744,910 | 135,555 | 462,116 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
2,923,119 | (1,643,044 | ) | (3,723,704 | ) | (665,142 | ) | 9,417,033 | 2,190,854 | 3,123,441 | |||||||||||||||||
(44,377 | ) | - | 124,972 | 804,396 | - | (169,816 | ) | - | ||||||||||||||||||
- | - | 530,512 | 79,854 | - | - | - | ||||||||||||||||||||
1 | - | - | - | (2,362 | ) | - | (70,909 | ) | ||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
2,878,743 | (1,643,044 | ) | (3,068,220 | ) | 219,108 | 9,414,671 | 2,021,038 | 3,052,532 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
(5,948,845 | ) | (10,924,124 | ) | (13,693,086 | ) | (1,982,597 | ) | (21,256,999 | ) | (3,325,522 | ) | (20,262,811 | )* | |||||||||||||
- | - | (75,517 | ) | (927,946 | ) | - | - | - | ||||||||||||||||||
- | - | (770,508 | ) | (14,492 | ) | - | - | - | ||||||||||||||||||
- | - | - | - | - | - | (801 | ) | |||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
(5,948,845 | ) | (10,924,124 | ) | (14,539,111 | ) | (2,925,035 | ) | (21,256,999 | ) | (3,325,522 | ) | (20,263,612 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
(3,070,102 | ) | (12,567,168 | ) | (17,607,331 | ) | (2,705,927 | ) | (11,842,328 | ) | (1,304,484 | ) | (17,211,080 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | (2,801,194 | ) | $ | (4,333,714 | ) | $ | (5,719,799 | ) | $ | 3,313,735 | $ | (11,097,418 | ) | $ | (1,168,929 | ) | $ | (16,748,964 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 1,396 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 258,168 | |||||||||||||
$ | - | $ | - | $ | 9 | $ | 55 | $ | - | $ | - | $ | - | |||||||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (101,840 | ) |
97
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Changes in Net Assets
MML Asset Momentum Fund | ||||||||
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
|||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) |
$ | 166,003 | $ | 109,441 | ||||
Net realized gain (loss) |
1,134,373 | 2,641,364 | ||||||
Net change in unrealized appreciation (depreciation) |
(6,219,657 | ) | 4,645,665 | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
(4,919,281 | ) | 7,396,470 | |||||
|
|
|
|
|||||
Distributions to shareholders (Note 2): | ||||||||
Class II |
(2,557,803 | ) | (2,729,754 | )* | ||||
Service Class I |
(151,157 | ) | (144,546 | )* | ||||
|
|
|
|
|||||
Total distributions |
(2,708,960 | ) | (2,874,300 | ) | ||||
|
|
|
|
|||||
Net fund share transactions (Note 5): | ||||||||
Class II |
2,557,803 | 2,729,754 | ||||||
Service Class I |
291,123 | 378,001 | ||||||
|
|
|
|
|||||
Increase (decrease) in net assets from fund share transactions |
2,848,926 | 3,107,755 | ||||||
|
|
|
|
|||||
Total increase (decrease) in net assets |
(4,779,315 | ) | 7,629,925 | |||||
Net assets* | ||||||||
Beginning of year |
29,246,345 | 21,616,420 | ||||||
|
|
|
|
|||||
End of year |
$ | 24,467,030 | $ | 29,246,345 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
98
MML Dynamic Bond Fund | MML Equity Rotation Fund | |||||||||||||
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
|||||||||||
$ | 15,813,649 | $ | 13,207,885 | $ | 268,908 | $ | 211,064 | |||||||
(5,234,890 | ) | (65,571 | ) | 2,878,743 | 4,309,221 | |||||||||
(11,038,461 | ) | 5,649,537 | (5,948,845 | ) | 2,588,946 | |||||||||
|
|
|
|
|
|
|
|
|||||||
(459,702 | ) | 18,791,851 | (2,801,194 | ) | 7,109,231 | |||||||||
|
|
|
|
|
|
|
|
|||||||
(14,819,194 | ) | (16,309,191 | )* | (4,188,659 | ) | (1,587,623 | )* | |||||||
(177,628 | ) | (132,594 | )* | (231,195 | ) | (73,519 | )* | |||||||
|
|
|
|
|
|
|
|
|||||||
(14,996,822 | ) | (16,441,785 | ) | (4,419,854 | ) | (1,661,142 | ) | |||||||
|
|
|
|
|
|
|
|
|||||||
(11,521,018 | ) | 23,178,616 | 4,188,659 | 1,587,623 | ||||||||||
2,036,291 | 1,497,883 | 562,287 | 834,850 | |||||||||||
|
|
|
|
|
|
|
|
|||||||
(9,484,727 | ) | 24,676,499 | 4,750,946 | 2,422,473 | ||||||||||
|
|
|
|
|
|
|
|
|||||||
(24,941,251 | ) | 27,026,565 | (2,470,102 | ) | 7,870,562 | |||||||||
451,557,608 | 424,531,043 | 31,180,171 | 23,309,609 | |||||||||||
|
|
|
|
|
|
|
|
|||||||
$ | 426,616,357 | $ | 451,557,608 | $ | 28,710,069 | $ | 31,180,171 | |||||||
|
|
|
|
|
|
|
|
99
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Changes in Net Assets
MML High Yield Fund | ||||||||
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
|||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) |
$ | 8,233,454 | $ | 8,742,451 | ||||
Net realized gain (loss) |
(1,643,044 | ) | 3,040,160 | |||||
Net change in unrealized appreciation (depreciation) |
(10,924,124 | ) | (1,659,266 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
(4,333,714 | ) | 10,123,345 | |||||
|
|
|
|
|||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class |
- | - | ||||||
Class II |
(5,680,654 | ) | (6,309,725 | )* | ||||
Service Class |
- | - | ||||||
Service Class I |
(2,513,438 | ) | (2,363,997 | )* | ||||
|
|
|
|
|||||
Total distributions |
(8,194,092 | ) | (8,673,722 | ) | ||||
|
|
|
|
|||||
Tax return of capital: |
| |||||||
Initial Class |
- | - | ||||||
Class II |
(6,656 | ) | (423,400 | ) | ||||
Service Class |
- | - | ||||||
Service Class I |
(2,945 | ) | (158,631 | ) | ||||
|
|
|
|
|||||
Total tax return of capital |
(9,601 | ) | (582,031 | ) | ||||
|
|
|
|
|||||
Net fund share transactions (Note 5): | ||||||||
Initial Class |
- | - | ||||||
Class II |
(7,539,088 | ) | (372,155 | ) | ||||
Service Class |
- | - | ||||||
Service Class I |
5,034,958 | 7,944,985 | ||||||
|
|
|
|
|||||
Increase (decrease) in net assets from fund share transactions |
(2,504,130 | ) | 7,572,830 | |||||
|
|
|
|
|||||
Total increase (decrease) in net assets |
(15,041,537 | ) | 8,440,422 | |||||
Net assets* | ||||||||
Beginning of year |
134,566,230 | 126,125,808 | ||||||
|
|
|
|
|||||
End of year |
$ | 119,524,693 | $ | 134,566,230 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
100
MML Inflation-Protected and Income Fund | MML Short-Duration Bond Fund | |||||||||||||
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
|||||||||||
$ | 11,887,532 | $ | 9,831,505 | $ | 6,019,662 | $ | 4,876,569 | |||||||
(3,068,220 | ) | 678,129 | 219,108 | 248,421 | ||||||||||
(14,539,111 | ) | 2,851,949 | (2,925,035 | ) | 822,273 | |||||||||
|
|
|
|
|
|
|
|
|||||||
(5,719,799 | ) | 13,361,583 | 3,313,735 | 5,947,263 | ||||||||||
|
|
|
|
|
|
|
|
|||||||
(11,103,254 | ) | (10,186,007 | )* | - | - | |||||||||
- | - | (5,711,370 | ) | (5,513,771 | )* | |||||||||
(1,280,315 | ) | (1,173,425 | )* | - | - | |||||||||
- | - | (824,955 | ) | (759,787 | )* | |||||||||
|
|
|
|
|
|
|
|
|||||||
(12,383,569 | ) | (11,359,432 | ) | (6,536,325 | ) | (6,273,558 | ) | |||||||
|
|
|
|
|
|
|
|
|||||||
- | (2,405,566 | ) | - | - | ||||||||||
- | - | - | (62,704 | ) | ||||||||||
- | (277,120 | ) | - | - | ||||||||||
- | - | - | (8,640 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||
- | (2,682,686 | ) | - | (71,344 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||
(49,944,538 | ) | 3,444,088 | - | - | ||||||||||
- | - | (38,248,832 | ) | 10,647,155 | ||||||||||
(2,734,289 | ) | (834,974 | ) | - | - | |||||||||
- | - | 181,713 | (776,783 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||
(52,678,827 | ) | 2,609,114 | (38,067,119 | ) | 9,870,372 | |||||||||
|
|
|
|
|
|
|
|
|||||||
(70,782,195 | ) | 1,928,579 | (41,289,709 | ) | 9,472,733 | |||||||||
424,088,124 | 422,159,545 | 244,553,016 | 235,080,283 | |||||||||||
|
|
|
|
|
|
|
|
|||||||
$ | 353,305,929 | $ | 424,088,124 | $ | 203,263,307 | $ | 244,553,016 | |||||||
|
|
|
|
|
|
|
|
101
MML Series Investment Fund II – Financial Statements (Continued)
Statements of Changes in Net Assets
MML Small Cap Equity Fund | ||||||||
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
|||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) |
$ | 744,910 | $ | 697,612 | ||||
Net realized gain (loss) |
9,414,671 | 14,830,900 | ||||||
Net change in unrealized appreciation (depreciation) |
(21,256,999 | ) | (153,349 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
(11,097,418 | ) | 15,375,163 | |||||
|
|
|
|
|||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class |
(12,792,106 | ) | (4,581,957 | )* | ||||
Class II |
- | - | ||||||
Service Class |
(2,569,206 | ) | (706,144 | )* | ||||
Service Class I |
- | - | ||||||
|
|
|
|
|||||
Total distributions |
(15,361,312 | ) | (5,288,101 | ) | ||||
|
|
|
|
|||||
Net fund share transactions (Note 5): | ||||||||
Initial Class |
2,243,475 | (4,513,036 | ) | |||||
Class II |
- | - | ||||||
Service Class |
5,572,732 | 3,077,402 | ||||||
Service Class I |
- | - | ||||||
|
|
|
|
|||||
Increase (decrease) in net assets from fund share transactions |
7,816,207 | (1,435,634 | ) | |||||
|
|
|
|
|||||
Total increase (decrease) in net assets |
(18,642,523 | ) | 8,651,428 | |||||
Net assets* | ||||||||
Beginning of year |
119,677,122 | 111,025,694 | ||||||
|
|
|
|
|||||
End of year |
$ | 101,034,599 | $ | 119,677,122 | ||||
|
|
|
|
* | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information. |
The accompanying notes are an integral part of the financial statements.
102
MML Special Situations Fund | MML Strategic Emerging Markets Fund | |||||||||||||
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
|||||||||||
$ | 135,555 | $ | 26,192 | $ | 462,116 | $ | 213,954 | |||||||
2,021,038 | 1,093,015 | 3,052,532 | 6,505,472 | |||||||||||
(3,325,522 | ) | 2,617,462 | (20,263,612 | ) | 24,400,825 | |||||||||
|
|
|
|
|
|
|
|
|||||||
(1,168,929 | ) | 3,736,669 | (16,748,964 | ) | 31,120,251 | |||||||||
|
|
|
|
|
|
|
|
|||||||
- | - | - | - | |||||||||||
(930,068 | ) | (34,572 | )* | (170,692 | ) | (81,649 | )* | |||||||
- | - | - | - | |||||||||||
(28,951 | ) | - | - | - | ||||||||||
|
|
|
|
|
|
|
|
|||||||
(959,019 | ) | (34,572 | ) | (170,692 | ) | (81,649 | ) | |||||||
|
|
|
|
|
|
|
|
|||||||
- | - | - | - | |||||||||||
930,068 | 34,572 | 31,922,391 | (18,421,567 | ) | ||||||||||
- | - | - | - | |||||||||||
231,795 | 157,510 | 1,317,632 | 1,312,964 | |||||||||||
|
|
|
|
|
|
|
|
|||||||
1,161,863 | 192,082 | 33,240,023 | (17,108,603 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||
(966,085 | ) | 3,894,179 | 16,320,367 | 13,929,999 | ||||||||||
23,693,910 | 19,799,731 | 110,132,096 | 96,202,097 | |||||||||||
|
|
|
|
|
|
|
|
|||||||
$ | 22,727,825 | $ | 23,693,910 | $ | 126,452,463 | $ | 110,132,096 | |||||||
|
|
|
|
|
|
|
|
103
MML Series Investment Fund II – Financial Statements (Continued)
For the Year Ended December 31, 2018
MML Inflation- Protected and Income Fund |
||||
Cash flows from operating activities: | ||||
Net increase (decrease) in net assets resulting from operations |
$ | (5,719,799 | ) | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: |
||||
Investments purchased |
(285,415,777 | ) | ||
Investments sold |
346,710,321 | |||
(Increase) Decrease to the principal amount of inflation-indexed bonds |
(8,799,665 | ) | ||
(Purchase) Sale of short-term investments, net |
57,282,318 | |||
Amortization (Accretion) of discount and premium, net |
400,994 | |||
(Increase) Decrease in receivable from interest and dividends |
(255,175 | ) | ||
(Increase) Decrease in receivable from open swap agreements, at value |
317,357 | |||
Increase (Decrease) in payable for Trustees’ fees and expenses |
5,792 | |||
Increase (Decrease) in payable for investment advisory fees |
(22,190 | ) | ||
Increase (Decrease) in payable for service fees |
(2,172 | ) | ||
Increase (Decrease) in payable for open swap agreements, at value |
593,186 | |||
Increase (Decrease) in collateral held for purchased options |
1,060,000 | |||
Increase (Decrease) in payable for variation margin on open derivative instruments |
164,351 | |||
Increase (Decrease) in payable for accrued expenses and other liabilities |
76,647 | |||
Net change in unrealized (appreciation) depreciation on investments |
13,693,086 | |||
Net realized (gain) loss from investments |
3,723,704 | |||
|
|
|||
Net cash from (used in) operating activities |
123,812,978 | |||
|
|
|||
Cash flows from (used in) financing activities: | ||||
Proceeds from shares sold |
40,814,617 | |||
Payment on shares redeemed |
(93,226,662 | ) | ||
Net Increase (Decrease) in reverse repurchase agreements |
(67,925,141 | ) | ||
Increase (Decrease) in collateral held for reverse repurchase agreements |
(2,585,323 | ) | ||
|
|
|||
Net cash from (used in) financing activities |
(122,922,509 | ) | ||
|
|
|||
Net increase (decrease) in cash and restricted cash |
890,469 | |||
Cash and restricted cash at beginning of period |
- | |||
|
|
|||
Cash and restricted cash at end of period |
$ | 890,469 | ||
|
|
|||
Non cash financing activities not included herein consist of: |
||||
Reinvestment of distributions |
$ | 12,383,569 | ||
Cash paid out for interest on reverse repurchase agreements |
$ | 6,073,266 |
The following table provides a reconciliation of cash and restricted cash reported within the Statement of Assets and Liabilities that sum to the total of such amounts shown on the Statement of Cash Flows.
December 31, 2017 | December 31, 2018 | |||||||
Cash |
$ | - | $ | 22,382 | ||||
Collateral pledged for open swap agreements |
- | 540,000 | ||||||
Collateral pledged for reverse repurchase agreements |
- | 328,087 | ||||||
|
|
|
|
|||||
Total cash and restricted cash as shown in the Statement of Cash Flows |
$ | - | $ | 890,469 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
104
MML Series Investment Fund II – Financial Statements
Financial Highlights (For a share outstanding throughout each period)
MML Asset Momentum Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||||||||
Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.44 | $ | 0.07 | $ | (2.05 | ) | $ | (1.98 | ) | $ | (0.02 | ) | $ | (1.11 | ) | $ | - | $ | (1.13 | ) | $ | 9.33 | (16.69% | ) | $ | 23,087 | 0.93% | 0.80% | 0.58% | ||||||||||||||||||||||||||
12/31/17 | 10.32 | 0.05 | 3.40 | 3.45 | (0.18 | ) | (1.15 | ) | - | (1.33 | ) | 12.44 | 33.92% | 27,728 | 0.93% | 0.80% | 0.45% | |||||||||||||||||||||||||||||||||||||||
12/31/16 |
9.43 | 0.02 | 0.94 | 0.96 | (0.07 | ) | - | - | (0.07 | ) | 10.32 | 10.20% | 20,688 | 0.97% | 0.80% | 0.25% | ||||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.00 | d | (0.56 | ) | (0.56 | ) | (0.00 | )d | - | (0.01 | ) | (0.01 | ) | 9.43 | (5.62% | )b | 18,773 | 1.25% | a | 0.80% | a | 0.01% | a | ||||||||||||||||||||||||||||||||
Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 12.41 | $ | 0.04 | $ | (2.05 | ) | $ | (2.01 | ) | $ | (0.01 | ) | $ | (1.11 | ) | $ | - | $ | (1.12 | ) | $ | 9.28 | (16.93% | ) | $ | 1,380 | 1.18% | 1.05% | 0.35% | ||||||||||||||||||||||||||
12/31/17 | 10.29 | 0.02 | 3.41 | 3.43 | (0.16 | ) | (1.15 | ) | - | (1.31 | ) | 12.41 | 33.77% | 1,519 | 1.18% | 1.05% | 0.21% | |||||||||||||||||||||||||||||||||||||||
12/31/16 |
9.42 | 0.01 | 0.92 | 0.93 | (0.06 | ) | - | - | (0.06 | ) | 10.29 | 9.85% | 929 | 1.22% | 1.05% | 0.13% | ||||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | (0.02 | ) | (0.56 | ) | (0.58 | ) | - | - | - | - | 9.42 | (5.80% | )b | 232 | 1.50% | a | 1.05% | a | (0.25% | )a |
Year ended December 31 | Period
ended December 31, 2015b |
|||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||
Portfolio turnover rate |
115 | % | 19 | % | 82 | % | 141 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
105
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Dynamic Bond Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||||||||
Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 9.95 | $ | 0.34 | $ | (0.35 | ) | $ | (0.01 | ) | $ | (0.33 | ) | $ | - | $ | (0.33 | ) | $ | 9.61 | (0.10% | ) | $ | 420,344 | 0.59% | 0.59% | l | 3.52% | ||||||||||||||||||||||||
12/31/17 | 9.89 | 0.30 | 0.14 | 0.44 | (0.34 | ) | (0.04 | ) | (0.38 | ) | 9.95 | 4.45% | 447,146 | 0.59% | 0.59% | l | 3.00% | |||||||||||||||||||||||||||||||||||
12/31/16 |
9.71 | 0.33 | 0.15 | 0.48 | (0.30 | ) | - | (0.30 | ) | 9.89 | 4.94% | 421,624 | 0.59% | 0.59% | l | 3.27% | ||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.17 | (0.30 | ) | (0.13 | ) | (0.16 | ) | - | (0.16 | ) | 9.71 | (1.34% | )b | 400,385 | 0.61% | a | 0.60% | a | 2.78% | a | |||||||||||||||||||||||||||||||
Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 9.93 | $ | 0.32 | $ | (0.35 | ) | $ | (0.03 | ) | $ | (0.31 | ) | $ | - | $ | (0.31 | ) | $ | 9.59 | (0.33% | ) | $ | 6,272 | 0.84% | 0.84% | l | 3.30% | ||||||||||||||||||||||||
12/31/17 | 9.88 | 0.28 | 0.12 | 0.40 | (0.31 | ) | (0.04 | ) | (0.35 | ) | 9.93 | 4.11% | 4,412 | 0.84% | 0.84% | l | 2.77% | |||||||||||||||||||||||||||||||||||
12/31/16 |
9.71 | 0.31 | 0.14 | 0.45 | (0.28 | ) | - | (0.28 | ) | 9.88 | 4.67% | 2,907 | 0.84% | 0.84% | l | 3.14% | ||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.15 | (0.29 | ) | (0.14 | ) | (0.15 | ) | - | (0.15 | ) | 9.71 | (1.45% | )b | 382 | 0.86% | a | 0.85% | a | 2.39% | a |
Year ended December 31 | Period ended December 31, 2015b |
|||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||
Portfolio turnover rate |
68 | % | 100 | % | 79 | % | 106 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
l | Expenses incurred during the period fell under the expense cap. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
106
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Equity Rotation Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 13.89 | $ | 0.12 | $ | (1.23 | ) | $ | (1.11 | ) | $ | (0.12 | ) | $ | (1.77 | ) | $ | - | $ | (1.89 | ) | $ | 10.89 | (8.86% | ) | $ | 27,112 | 0.75% | 0.65% | 0.86% | ||||||||||||||||||||||||||
12/31/17 | 11.28 | 0.10 | 3.30 | 3.40 | (0.10 | ) | (0.69 | ) | - | (0.79 | ) | 13.89 | 30.09% | 29,745 | 0.76% | 0.65% | 0.79% | |||||||||||||||||||||||||||||||||||||||
12/31/16 |
9.71 | 0.13 | 1.57 | 1.70 | (0.13 | ) | - | - | (0.13 | ) | 11.28 | 17.48% | 22,878 | 0.76% | 0.65% | 1.28% | ||||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.07 | (0.29 | ) | (0.22 | ) | (0.06 | ) | - | (0.01 | ) | (0.07 | ) | 9.71 | (2.18% | )b | 19,462 | 0.96% | a | 0.65% | a | 1.06% | a | |||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 13.85 | $ | 0.08 | $ | (1.22 | ) | $ | (1.14 | ) | $ | (0.09 | ) | $ | (1.77 | ) | $ | - | $ | (1.86 | ) | $ | 10.85 | (9.10% | ) | $ | 1,598 | 1.00% | 0.90% | 0.61% | ||||||||||||||||||||||||||
12/31/17 | 11.27 | 0.07 | 3.28 | 3.35 | (0.08 | ) | (0.69 | ) | - | (0.77 | ) | 13.85 | 29.68% | 1,435 | 1.01% | 0.90% | 0.57% | |||||||||||||||||||||||||||||||||||||||
12/31/16 |
9.71 | 0.09 | 1.58 | 1.67 | (0.11 | ) | - | - | (0.11 | ) | 11.27 | 17.22% | 431 | 1.01% | 0.90% | 0.92% | ||||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.05 | (0.28 | ) | (0.23 | ) | (0.06 | ) | - | (0.00 | )d | (0.06 | ) | 9.71 | (2.32% | )b | 127 | 1.21% | a | 0.90% | a | 0.80% | a |
Year ended December 31 | Period ended December 31, 2015b |
|||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||
Portfolio turnover rate |
102 | % | 63 | % | 90 | % | 39 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
107
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML High Yield Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio
of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||||||||
Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.01 | $ | 0.62 | $ | (0.94 | ) | $ | (0.32 | ) | $ | (0.62 | ) | $ | - | $ | (0.00 | )d | $ | (0.62 | ) | $ | 9.07 | (3.40% | ) | $ | 79,542 | 0.85% | 0.75% | 6.29% | ||||||||||||||||||||||||||
12/31/17 | 9.93 | 0.69 | 0.11 | 0.80 | (0.67 | ) | - | (0.05 | ) | (0.72 | ) | 10.01 | 8.22% | 95,599 | 0.84% | 0.74% | 6.71% | |||||||||||||||||||||||||||||||||||||||
12/31/16 |
9.17 | 0.71 | 0.76 | 1.47 | (0.71 | ) | - | - | (0.71 | ) | 9.93 | 16.48% | 95,180 | 0.84% | 0.74% | 7.42% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 9.98 | 0.65 | (0.74 | ) | (0.09 | ) | (0.66 | ) | (0.06 | ) | (0.00 | )d | (0.72 | ) | 9.17 | (1.13% | ) | 113,880 | 0.83% | 0.71% | 6.56% | |||||||||||||||||||||||||||||||||||
12/31/14 | 11.03 | 0.72 | (0.57 | ) | 0.15 | (0.74 | ) | (0.46 | ) | - | (1.20 | ) | 9.98 | 1.05% | 116,277 | 0.83% | 0.69% | 6.62% | ||||||||||||||||||||||||||||||||||||||
Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 9.97 | $ | 0.59 | $ | (0.92 | ) | $ | (0.33 | ) | $ | (0.60 | ) | $ | - | $ | (0.00 | )d | $ | (0.60 | ) | $ | 9.04 | (3.54% | ) | $ | 39,983 | 1.10% | 1.00% | 6.04% | ||||||||||||||||||||||||||
12/31/17 | 9.90 | 0.66 | 0.11 | 0.77 | (0.66 | ) | - | (0.04 | ) | (0.70 | ) | 9.97 | 7.88% | 38,967 | 1.09% | 0.99% | 6.45% | |||||||||||||||||||||||||||||||||||||||
12/31/16 |
9.14 | 0.69 | 0.75 | 1.44 | (0.68 | ) | - | - | (0.68 | ) | 9.90 | 16.25% | 30,946 | 1.09% | 0.99% | 7.19% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 9.95 | 0.62 | (0.73 | ) | (0.11 | ) | (0.64 | ) | (0.06 | ) | (0.00 | )d | (0.70 | ) | 9.14 | (1.39% | ) | 26,416 | 1.08% | 0.97% | 6.31% | |||||||||||||||||||||||||||||||||||
12/31/14 | 11.01 | 0.69 | (0.58 | ) | 0.11 | (0.71 | ) | (0.46 | ) | - | (1.17 | ) | 9.95 | 0.71% | 25,255 | 1.08% | 0.94% | 6.38% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate |
39 | % | 63 | % | 59 | % | 70 | % | 79 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
108
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Inflation-Protected and Income Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets (including Interest Expense)p |
Ratio of expenses to average daily net assets (excluding Interest Expense) |
Net investment income (loss) to average daily net assets (including Interest Expense)p |
|||||||||||||||||||||||||||||||||||||||||||
Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.16 | $ | 0.30 | $ | (0.43 | ) | $ | (0.13 | ) | $ | (0.31 | ) | $ | - | $ | - | $ | (0.31 | ) | $ | 9.72 | (1.29% | ) | $ | 311,927 | 2.08% | 0.60% | 2.97% | |||||||||||||||||||||||||||
12/31/17 | 10.18 | 0.24 | 0.08 | 0.32 | (0.28 | ) | - | (0.06 | ) | (0.34 | ) | 10.16 | 3.21% | 377,984 | 1.50% | 0.59% | 2.33% | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.92 | 0.21 | 0.30 | 0.51 | (0.25 | ) | - | - | (0.25 | ) | 10.18 | 5.10% | 375,135 | 1.13% | 0.60% | 2.00% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 10.18 | 0.06 | (0.20 | ) | (0.14 | ) | (0.12 | ) | - | - | (0.12 | ) | 9.92 | (1.41% | ) | 380,221 | 0.84% | 0.59% | 0.58% | |||||||||||||||||||||||||||||||||||||
12/31/14 | 10.35 | 0.19 | 0.16 | 0.35 | (0.29 | ) | (0.23 | ) | - | (0.52 | ) | 10.18 | 3.45% | 412,861 | 0.73% | 0.60% | 1.85% | |||||||||||||||||||||||||||||||||||||||
Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.12 | $ | 0.27 | $ | (0.42 | ) | $ | (0.15 | ) | $ | (0.29 | ) | $ | - | $ | - | $ | (0.29 | ) | $ | 9.68 | (1.54% | ) | $ | 41,379 | 2.33% | 0.85% | 2.72% | |||||||||||||||||||||||||||
12/31/17 | 10.14 | 0.21 | 0.09 | 0.30 | (0.26 | ) | - | (0.06 | ) | (0.32 | ) | 10.12 | 2.96% | 46,104 | 1.75% | 0.84% | 2.08% | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.87 | 0.18 | 0.31 | 0.49 | (0.22 | ) | - | - | (0.22 | ) | 10.14 | 4.90% | 47,025 | 1.38% | 0.85% | 1.77% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 10.14 | 0.03 | (0.20 | ) | (0.17 | ) | (0.10 | ) | - | - | (0.10 | ) | 9.87 | (1.65% | ) | 47,818 | 1.09% | 0.84% | 0.33% | |||||||||||||||||||||||||||||||||||||
12/31/14 | 10.32 | 0.18 | 0.14 | 0.32 | (0.27 | ) | (0.23 | ) | - | (0.50 | ) | 10.14 | 3.16% | 52,008 | 0.98% | 0.85% | 1.75% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate |
51 | % | 34 | % | 41 | % | 50 | % | 67 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
p | Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses in the Statements of Operations. Income earned on investing proceeds from reverse repurchase agreements is included in interest income in the Statements of Operations. |
The accompanying notes are an integral part of the financial statements.
109
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Short-Duration Bond Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||||||||
Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 9.73 | $ | 0.26 | $ | (0.11 | ) | $ | 0.15 | $ | (0.29 | ) | $ | - | $ | - | $ | (0.29 | ) | $ | 9.59 | 1.53% | $ | 172,577 | 0.56% | 0.55% | 2.66% | |||||||||||||||||||||||||||||
12/31/17 | 9.75 | 0.20 | 0.05 | 0.25 | (0.27 | ) | - | |
(0.00 |
)d |
(0.27 | ) | 9.73 | 2.55% | 213,602 | 0.55% | 0.55% | k | 2.08% | |||||||||||||||||||||||||||||||||||||
12/31/16 |
9.70 | 0.18 | 0.09 | 0.27 | (0.22 | ) | - | - | (0.22 | ) | 9.75 | 2.80% | 203,294 | 0.56% | 0.55% | 1.84% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 9.84 | 0.17 | (0.08 | ) | 0.09 | (0.23 | ) | - | - | (0.23 | ) | 9.70 | 0.93% | 155,210 | 0.55% | 0.55% | k | 1.73% | ||||||||||||||||||||||||||||||||||||||
12/31/14 | 9.94 | 0.15 | (0.01 | ) | 0.14 | (0.24 | ) | (0.00 | )d | - | (0.24 | ) | 9.84 | 1.46% | 166,438 | 0.55% | 0.55% | k | 1.50% | |||||||||||||||||||||||||||||||||||||
Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 9.72 | $ | 0.23 | $ | (0.11 | ) | $ | 0.12 | $ | (0.26 | ) | $ | - | $ | - | $ | (0.26 | ) | $ | 9.58 | 1.29% | $ | 30,686 | 0.81% | 0.80% | 2.42% | |||||||||||||||||||||||||||||
12/31/17 | 9.74 | 0.18 | 0.04 | 0.22 | (0.24 | ) | - | (0.00 | )d | (0.24 | ) | 9.72 | 2.29% | 30,951 | 0.80% | 0.80% | k | 1.83% | ||||||||||||||||||||||||||||||||||||||
12/31/16 |
9.69 | 0.16 | 0.09 | 0.25 | (0.20 | ) | - | - | (0.20 | ) | 9.74 | 2.55% | 31,787 | 0.81% | 0.80% | 1.60% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 9.83 | 0.15 | (0.08 | ) | 0.07 | (0.21 | ) | - | - | (0.21 | ) | 9.69 | 0.68% | 24,101 | 0.80% | 0.80% | k | 1.48% | ||||||||||||||||||||||||||||||||||||||
12/31/14 | 9.94 | 0.12 | (0.01 | ) | 0.11 | (0.22 | ) | (0.00 | )d | - | (0.22 | ) | 9.83 | 1.11% | 24,288 | 0.80% | 0.80% | k | 1.26% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate |
54 | % | 51 | % | 96 | % | 51 | % | 86 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
k | Amount waived had no impact on the ratio of expenses to average daily net assets. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
110
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Small Cap Equity Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.30 | $ | 0.07 | $ | (0.82 | ) | $ | (0.75 | ) | $ | (0.05 | ) | $ | (1.33 | ) | $ | (1.38 | ) | $ | 8.17 | (10.19 | %) | $ | 82,609 | 0.71 | % | 0.66 | % | |||||||||||||||||||
12/31/17 | 9.45 | 0.06 | 1.27 | 1.33 | (0.09 | ) | (0.39 | ) | (0.48 | ) | 10.30 | 14.37 | % | 102,033 | 0.71 | % | 0.64 | % | ||||||||||||||||||||||||||||||
12/31/16 |
8.27 | 0.10 | 1.37 | 1.47 | (0.09 | ) | (0.20 | ) | (0.29 | ) | 9.45 | 18.21 | % | 97,747 | 0.72 | % | 1.21 | % | ||||||||||||||||||||||||||||||
12/31/15 | 10.64 | 0.09 | (0.73 | ) | (0.64 | ) | (0.09 | ) | (1.64 | ) | (1.73 | ) | 8.27 | (5.63 | %) | 89,557 | 0.71 | % | 0.89 | % | ||||||||||||||||||||||||||||
12/31/14 | 10.97 | 0.13 | 1.11 | 1.24 | (0.11 | ) | (1.46 | ) | (1.57 | ) | 10.64 | 12.16 | % | 104,745 | 0.70 | % | 1.19 | % | ||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 10.13 | $ | 0.04 | $ | (0.80 | ) | $ | (0.76 | ) | $ | (0.03 | ) | $ | (1.33 | ) | $ | (1.36 | ) | $ | 8.01 | (10.41 | %) | $ | 18,425 | 0.96 | % | 0.41 | % | |||||||||||||||||||
12/31/17 | 9.31 | 0.04 | 1.24 | 1.28 | (0.07 | ) | (0.39 | ) | (0.46 | ) | 10.13 | 14.08 | % | 17,644 | 0.96 | % | 0.40 | % | ||||||||||||||||||||||||||||||
12/31/16 |
8.15 | 0.08 | 1.35 | 1.43 | (0.07 | ) | (0.20 | ) | (0.27 | ) | 9.31 | 17.92 | % | 13,279 | 0.97 | % | 0.96 | % | ||||||||||||||||||||||||||||||
12/31/15 | 10.52 | 0.06 | (0.72 | ) | (0.66 | ) | (0.07 | ) | (1.64 | ) | (1.71 | ) | 8.15 | (5.87 | %) | 11,155 | 0.96 | % | 0.67 | % | ||||||||||||||||||||||||||||
12/31/14 | 10.87 | 0.10 | 1.10 | 1.20 | (0.09 | ) | (1.46 | ) | (1.55 | ) | 10.52 | 11.88 | % | 9,916 | 0.95 | % | 0.94 | % |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate |
50 | % | 47 | % | 63 | % | 40 | % | 65 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
111
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Special Situations Fund
Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Tax return of capital |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||||||||
Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 11.52 | $ | 0.07 | $ | (0.62 | ) | $ | (0.55 | ) | $ | (0.06 | ) | $ | (0.40 | ) | $ | - | $ | (0.46 | ) | $ | 10.51 | (4.83% | ) | $ | 21,976 | 0.94% | 0.80% | 0.55% | ||||||||||||||||||||||||||
12/31/17 | 9.71 | 0.01 | 1.82 | 1.83 | (0.02 | ) | - | - | (0.02 | ) | 11.52 | 18.82% | 23,093 | 0.94% | 0.80% | 0.13% | ||||||||||||||||||||||||||||||||||||||||
12/31/16 |
8.43 | 0.04 | 1.30 | 1.34 | (0.04 | ) | - | (0.02 | ) | (0.06 | ) | 9.71 | 15.84% | 19,441 | 0.93% | 0.80% | 0.43% | |||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | (0.00 | )d | (1.57 | ) | (1.57 | ) | - | - | (0.00 | )d | (0.00 | )d | 8.43 | (15.67% | )b | 16,776 | 1.13% | a | 0.80% | a | (0.07% | )a | |||||||||||||||||||||||||||||||||
Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 11.49 | $ | 0.03 | $ | (0.61 | ) | $ | (0.58 | ) | $ | (0.04 | ) | $ | (0.40 | ) | $ | - | $ | (0.44 | ) | $ | 10.47 | (5.13% | ) | $ | 752 | 1.19% | 1.05% | 0.29% | ||||||||||||||||||||||||||
12/31/17 | 9.69 | (0.01 | ) | 1.81 | 1.80 | - | - | - | - | 11.49 | 18.58% | 601 | 1.19% | 1.05% | (0.13% | ) | ||||||||||||||||||||||||||||||||||||||||
12/31/16 |
8.42 | 0.02 | 1.29 | 1.31 | (0.03 | ) | - | (0.01 | ) | (0.04 | ) | 9.69 | 15.54% | 359 | 1.18% | 1.05% | 0.18% | |||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | (0.02 | ) | (1.56 | ) | (1.58 | ) | - | - | - | - | 8.42 | (15.80% | )b | 183 | 1.38% | a | 1.05% | a | (0.30% | )a |
Year ended December 31 | Period ended December 31, 2015b |
|||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||
Portfolio turnover rate |
33 | % | 48 | % | 74 | % | 87 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
112
MML Series Investment Fund II – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Strategic Emerging Markets Fund
Income (loss) from investment operations |
Less distributions to shareholders |
Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
Total distributions |
Net asset value, end of the period |
Total returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 11.57 | $ | 0.05 | $ | (1.48 | ) | $ | (1.43 | ) | $ | (0.02 | ) | $ | (0.02 | ) | $ | 10.12 | (12.40% | ) | $ | 112,363 | 1.57% | 1.35% | 0.41% | |||||||||||||||||||||||
12/31/17 | 8.64 | 0.02 | 2.92 | 2.94 | (0.01 | ) | (0.01 | ) | 11.57 | 34.02% | 95,374 | 1.50% | 1.37% | 0.23% | ||||||||||||||||||||||||||||||||||
12/31/16 |
8.15 | 0.02 | 0.51 | 0.53 | (0.04 | ) | (0.04 | ) | 8.64 | 6.49% | 86,289 | 1.50% | 1.40% | 0.29% | ||||||||||||||||||||||||||||||||||
12/31/15 | 9.63 | 0.03 | (1.41 | ) | (1.38 | ) | (0.10 | ) | (0.10 | ) | 8.15 | (14.23% | ) | 84,356 | 1.60% | 1.40% | 0.34% | |||||||||||||||||||||||||||||||
12/31/14 | 10.21 | 0.04 | (0.59 | ) | (0.55 | ) | (0.03 | ) | (0.03 | ) | 9.63 | (5.41% | ) | 85,833 | 1.70% | 1.40% | 0.42% | |||||||||||||||||||||||||||||||
Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||
12/31/18 | $ | 11.59 | $ | 0.02 | $ | (1.48 | ) | $ | (1.46 | ) | $ | - | $ | - | $ | 10.13 | (12.60% | ) | $ | 14,089 | 1.82% | 1.60% | 0.15% | |||||||||||||||||||||||||
12/31/17 | 8.66 | (0.00 | )d | 2.93 | 2.93 | - | - | 11.59 | 33.83% | 14,758 | 1.75% | 1.62% | (0.04% | ) | ||||||||||||||||||||||||||||||||||
12/31/16 |
8.17 | 0.00 | d | 0.51 | 0.51 | (0.02 | ) | (0.02 | ) | 8.66 | 6.24% | 9,913 | 1.75% | 1.65% | 0.03% | |||||||||||||||||||||||||||||||||
12/31/15 | 9.65 | 0.01 | (1.41 | ) | (1.40 | ) | (0.08 | ) | (0.08 | ) | 8.17 | (14.46% | ) | 8,409 | 1.85% | 1.65% | 0.09% | |||||||||||||||||||||||||||||||
12/31/14 | 10.23 | 0.01 | (0.59 | ) | (0.58 | ) | (0.00 | )d | (0.00 | )d | 9.65 | (5.63% | ) | 9,120 | 1.95% | 1.65% | 0.14% |
Year ended December 31 | ||||||||||||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Portfolio turnover rate |
38 | % | 36 | % | 32 | % | 39 | % | 44 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
113
1. | The Funds |
MML Series Investment Fund II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated February 8, 2005, which was amended and restated as of February 28, 2005 and December 15, 2011, as it may be further amended from time to time. The following are nine series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Asset Momentum Fund (“Asset Momentum Fund”)
MML Dynamic Bond Fund (“Dynamic Bond Fund”)
MML Equity Rotation Fund (“Equity Rotation Fund”)
MML High Yield Fund (“High Yield Fund”)
MML Inflation-Protected and Income Fund (“Inflation-Protected and Income Fund”)
MML Short-Duration Bond Fund (“Short-Duration Bond Fund”)
MML Small Cap Equity Fund (“Small Cap Equity Fund”)
MML Special Situations Fund (“Special Situations Fund”)
MML Strategic Emerging Markets Fund (“Strategic Emerging Markets Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, C.M. Life Insurance Company, and the MML Allocation Funds, which are “funds of funds” series of MML Series Investment Fund, another open-end management investment company sponsored by MassMutual, are the record owners of all of the outstanding shares of the Funds.
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services — Investment Companies.
New Disclosure Requirements
Pursuant to amendments to certain disclosure requirements in Regulation S-X adopted by the Securities and Exchange Commission, the presentation of certain disclosures within the Statements of Assets and Liabilities and the Statements of Changes in Net Assets have been conformed to meet these new requirements. There is no longer a requirement to present the components of distributable earnings on the Statements of Assets and Liabilities. Adjustments to the Statements of Changes in Net Assets include updates to prior year distributions to shareholders, distributions in excess of net investment income, and undistributed net investment income.
114
Notes to Financial Statements (Continued)
The following is a summary of the previously disclosed amounts, as reported at December 31 2017:
Asset Momentum Fund |
Dynamic Bond Fund |
Equity Rotation Fund |
High Yield Fund |
Inflation- Protected and Income Fund |
||||||||||||||||
Distributions to shareholders |
||||||||||||||||||||
From net investment income: |
||||||||||||||||||||
Initial Class |
$ | - | $ | - | $ | - | $ | - | $ | (10,186,007 | ) | |||||||||
Class II |
(372,224 | ) | (14,681,150 | ) | (194,875 | ) | (6,309,725 | ) | - | |||||||||||
Service Class |
- | - | - | - | (1,173,425 | ) | ||||||||||||||
Service Class I |
(17,150 | ) | (120,184 | ) | (7,436 | ) | (2,363,997 | ) | - | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total distributions from net investment income |
(389,374 | ) | (14,801,334 | ) | (202,311 | ) | (8,673,722 | ) | (11,359,432 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
From net realized gains: |
||||||||||||||||||||
Initial Class |
- | - | - | - | - | |||||||||||||||
Class II |
(2,357,530 | ) | (1,628,041 | ) | (1,392,748 | ) | - | - | ||||||||||||
Service Class |
- | - | - | - | - | |||||||||||||||
Service Class I |
(127,396 | ) | (12,410 | ) | (66,083 | ) | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total distributions from net realized gains |
(2,484,926 | ) | (1,640,451 | ) | (1,458,831 | ) | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Accumulated undistributed (distributions in excess of) net investment income at end of year |
$ | (71,250 | ) | $ | 164,570 | $ | 8,036 | $ | (19,309 | ) | $ | 323,767 | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Short- Duration Bond Fund |
Small Cap Equity Fund |
Special Situations Fund |
Strategic Emerging Markets Fund |
|||||||||||||||||
Distributions to shareholders |
||||||||||||||||||||
From net investment income: |
||||||||||||||||||||
Initial Class |
$ | - | $ | (831,020 | ) | $ | - | $ | - | |||||||||||
Class II |
(5,513,771 | ) | - | (34,572 | ) | (81,649 | ) | |||||||||||||
Service Class |
- | (104,656 | ) | - | - | |||||||||||||||
Service Class I |
(759,787 | ) | - | - | - | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions from net investment income |
(6,273,558 | ) | (935,676 | ) | (34,572 | ) | (81,649 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
From net realized gains: |
||||||||||||||||||||
Initial Class |
- | (3,750,937 | ) | - | - | |||||||||||||||
Class II |
- | - | - | - | ||||||||||||||||
Service Class |
- | (601,488 | ) | - | - | |||||||||||||||
Service Class I |
- | - | - | - | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions from net realized gains |
- | (4,352,425 | ) | - | - | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Accumulated undistributed (distributions in excess of) net investment income at end of year |
$ | 61,372 | $ | 999,566 | $ | (1,142 | ) | $ | (216,374 | ) | ||||||||||
|
|
|
|
|
|
|
|
115
Notes to Financial Statements (Continued)
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee1 in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
1 The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general.
116
Notes to Financial Statements (Continued)
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Funds’ subadvisers utilize one or a combination of, but not limited to, the following inputs:
Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.
Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.
Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.
Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are
117
Notes to Financial Statements (Continued)
developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. Government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The Equity Rotation Fund, Small Cap Equity Fund and Special Situations Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of December 31, 2018. For each Fund noted in the preceding sentence, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
118
Notes to Financial Statements (Continued)
The following is the aggregate value by input level, as of December 31, 2018, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset Momentum Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock |
$ | 2,961,184 | $ | 2,002,401 | * | $ | - | $ | 4,963,585 | |||||||
U.S. Treasury Obligations |
- | 2,976,309 | - | 2,976,309 | ||||||||||||
Mutual Funds |
12,961,390 | - | - | 12,961,390 | ||||||||||||
Short-Term Investments |
- | 5,136,732 | - | 5,136,732 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 15,922,574 | $ | 10,115,442 | $ | - | $ | 26,038,016 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts |
$ | (1,311,887 | ) | $ | - | $ | - | $ | (1,311,887 | ) | ||||||
Forward Contracts |
- | (130,449 | ) | - | (130,449 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (1,311,887 | ) | $ | (130,449 | ) | $ | - | $ | (1,442,336 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Dynamic Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt |
$ | - | $ | 105,432,434 | $ | - | $ | 105,432,434 | ||||||||
Municipal Obligations |
- | 419,454 | - | 419,454 | ||||||||||||
Non-U.S. Government Agency Obligations |
- | 110,215,364 | 1,115,889 | ** | 111,331,253 | |||||||||||
Sovereign Debt Obligations |
- | 5,399,731 | - | 5,399,731 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
- | 66,072,100 | - | 66,072,100 | ||||||||||||
U.S. Treasury Obligations |
- | 114,477,086 | - | 114,477,086 | ||||||||||||
Mutual Funds |
15,687,539 | - | - | 15,687,539 | ||||||||||||
Short-Term Investments |
- | 3,149,250 | - | 3,149,250 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 15,687,539 | $ | 405,165,419 | $ | 1,115,889 | $ | 421,968,847 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
High Yield Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock |
$ | - | $ | 583,344 | $ | - | $ | 583,344 | ||||||||
Preferred Stock |
114,453 | - | - | 114,453 | ||||||||||||
Bank Loans |
- | 4,901,361 | - | 4,901,361 | ||||||||||||
Corporate Debt |
- | 109,716,990 | 11,082 | ** | 109,728,072 | |||||||||||
Warrants |
- | - | 22,426 | ** | 22,426 | |||||||||||
Mutual Funds |
3,990,143 | - | - | 3,990,143 | ||||||||||||
Short-Term Investments |
- | 1,999,705 | - | 1,999,705 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 4,104,596 | $ | 117,201,400 | $ | 33,508 | $ | 121,339,504 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt |
$ | - | $ | 8,800,106 | $ | - | $ | 8,800,106 | ||||||||
Municipal Obligations |
- | 96,129 | - | 96,129 | ||||||||||||
Non-U.S. Government Agency Obligations |
- | 180,859,969 | - | 180,859,969 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
- | 2,435,077 | - | 2,435,077 | ||||||||||||
U.S. Treasury Obligations |
- | 301,651,331 | - | 301,651,331 | ||||||||||||
Purchased Options |
- | 2,726,210 | - | 2,726,210 | ||||||||||||
Short-Term Investments |
- | 141,136,433 | - | 141,136,433 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | - | $ | 637,705,255 | $ | - | $ | 637,705,255 | ||||||||
|
|
|
|
|
|
|
|
119
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Inflation-Protected and Income Fund (Continued) | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts |
$ | 9,721 | $ | - | $ | - | $ | 9,721 | ||||||||
Swap Agreements |
- | 139,327 | - | 139,327 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 9,721 | $ | 139,327 | $ | - | $ | 149,048 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts |
$ | (80,570 | ) | $ | - | $ | - | $ | (80,570 | ) | ||||||
Swap Agreements |
- | (1,147,170 | ) | - | (1,147,170 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (80,570 | ) | $ | (1,147,170 | ) | $ | - | $ | (1,227,740 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Short-Duration Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt |
$ | - | $ | 91,974,051 | $ | - | $ | 91,974,051 | ||||||||
Municipal Obligations |
- | 40,588 | - | 40,588 | ||||||||||||
Non-U.S. Government Agency Obligations |
- | 102,686,412 | - | 102,686,412 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
- | 2,157,146 | - | 2,157,146 | ||||||||||||
U.S. Treasury Obligations |
- | 3,477,129 | - | 3,477,129 | ||||||||||||
Purchased Options |
- | 2,101,980 | - | 2,101,980 | ||||||||||||
Short-Term Investments |
- | 1,899,292 | - | 1,899,292 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | - | $ | 204,336,598 | $ | - | $ | 204,336,598 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts |
$ | 752,762 | $ | - | $ | - | $ | 752,762 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts |
$ | (1,469,838 | ) | $ | - | $ | - | $ | (1,469,838 | ) | ||||||
Swap Agreements |
- | (156,421 | ) | - | (156,421 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (1,469,838 | ) | $ | (156,421 | ) | $ | - | $ | (1,626,259 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Strategic Emerging Markets Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* |
||||||||||||||||
Bermuda |
$ | 1,702,425 | $ | 1,800,756 | $ | - | $ | 3,503,181 | ||||||||
Brazil |
2,072,397 | 3,788,503 | - | 5,860,900 | ||||||||||||
Cayman Islands |
12,517,687 | 7,611,915 | - | 20,129,602 | ||||||||||||
Chile |
- | 1,198,275 | - | 1,198,275 | ||||||||||||
China |
172,709 | 4,598,872 | - | 4,771,581 | ||||||||||||
Colombia |
584,454 | 88,984 | - | 673,438 | ||||||||||||
Egypt |
- | 561,546 | - | 561,546 | ||||||||||||
France |
- | 7,867,708 | - | 7,867,708 | ||||||||||||
Hong Kong |
- | 5,868,167 | - | 5,868,167 | ||||||||||||
India |
- | 15,105,343 | - | 15,105,343 | ||||||||||||
Indonesia |
- | 1,330,394 | - | 1,330,394 | ||||||||||||
Italy |
- | 1,362,277 | - | 1,362,277 | ||||||||||||
Malaysia |
- | 22,598 | - | 22,598 | ||||||||||||
Mexico |
7,394,692 | - | - | 7,394,692 | ||||||||||||
Netherlands |
1,543,060 | 50,294 | - | 1,593,354 | ||||||||||||
Philippines |
- | 4,890,544 | - | 4,890,544 | ||||||||||||
Republic of Korea |
- | 7,487,729 | - | 7,487,729 | ||||||||||||
Russia |
- | 8,079,904 | - | 8,079,904 | ||||||||||||
South Africa |
- | 3,283,583 | - | 3,283,583 |
120
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Strategic Emerging Markets Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Taiwan |
$ | - | $ | 6,780,165 | $ | - | $ | 6,780,165 | ||||||||
Thailand |
649,049 | - | - | 649,049 | ||||||||||||
Turkey |
- | 1,973,045 | - | 1,973,045 | ||||||||||||
United Arab Emirates |
- | 1,889,762 | - | 1,889,762 | ||||||||||||
United Kingdom |
- | 4,690,824 | - | 4,690,824 | ||||||||||||
United States |
1,812,699 | - | - | 1,812,699 | ||||||||||||
Preferred Stock* |
||||||||||||||||
Brazil |
- | 1,627,138 | - | 1,627,138 | ||||||||||||
India |
55,136 | - | - | 55,136 | ||||||||||||
Mutual Funds |
1,601,070 | - | - | 1,601,070 | ||||||||||||
Short-Term Investments |
- | 6,912,729 | - | 6,912,729 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 30,105,378 | $ | 98,871,055 | $ | - | $ | 128,976,433 | ||||||||
|
|
|
|
|
|
|
|
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets, as applicable. |
** | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended December 31, 2018 is not presented. |
The following table shows Fund(s) with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of December 31, 2018.
|
Asset |
Dynamic |
Equity |
High |
Inflation- |
Short- |
Small |
Special |
Strategic | |||||||||
Statement of Assets and Liabilities location: |
||||||||||||||||||
Receivable for: |
||||||||||||||||||
Collateral pledged for futures contracts |
X | X | ||||||||||||||||
Collateral pledged for reverse repurchase agreements |
X | |||||||||||||||||
Collateral pledged for open swap agreements |
X | |||||||||||||||||
Payables for: |
||||||||||||||||||
Collateral held for reverse repurchase agreements |
X | |||||||||||||||||
Collateral held for open purchased options |
X | X | ||||||||||||||||
Collateral held for futures contracts |
X | |||||||||||||||||
Reverse repurchase agreements |
X | |||||||||||||||||
Securities on loan |
X | X | X | X | X | |||||||||||||
Due to custodian |
X |
The Funds, with the exception of the Dynamic Bond Fund, High Yield Fund, Inflation-Protected and Income Fund, Short-Duration Bond Fund and Strategic Emerging Markets Fund, had no transfers between Levels of the fair value hierarchy during the year ended December 31, 2018. The Dynamic Bond Fund, High Yield Fund, Inflation-Protected and Income Fund, Short-Duration Bond Fund and Strategic Emerging Markets Fund had transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the year ended December 31, 2018; however, none of the transfers individually or collectively had a material impact on the Funds. The Funds recognize transfers between the Levels as of the beginning of the year.
121
Notes to Financial Statements (Continued)
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Losses from derivatives can be substantially greater than their original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the year ended December 31, 2018, the following table shows how the Fund used these types of derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).
Type of Derivative and Objective for Use |
Asset |
Equity |
Inflation- |
Short- |
Special Fund | |||||
Foreign Currency Exchange Transaction* | ||||||||||
Hedging/Risk Management |
M | |||||||||
Directional Exposures to Currencies |
A | |||||||||
Intention to Create Investment Leverage in Portfolio |
M | |||||||||
Future Contracts** |
||||||||||
Hedging/Risk Management |
A | A | A | A | A | |||||
Duration/Credit Quality Management |
M | A | A | A | A | |||||
Substitution for Direct Investment |
A | A | A | A | A | |||||
Intention to Create Investment Leverage in Portfolio |
M | M | M | M | M | |||||
Interest Rate Swaps*** |
||||||||||
Hedging/Risk Management |
A | A | ||||||||
Duration Management |
A | A | ||||||||
Asset/Liability Management |
M | A | ||||||||
Substitution for Direct Investment |
M | A | ||||||||
Intention to Create Investment Leverage in Portfolio |
M | M | ||||||||
Credit Default Swaps (Protection Seller) |
||||||||||
Hedging/Risk Management |
A | A | ||||||||
Duration/Credit Quality Management |
A | A | ||||||||
Income |
A | A | ||||||||
Substitution for Direct Investment |
A | A | ||||||||
Intention to Create Investment Leverage in Portfolio |
M | M | ||||||||
Options (Purchased) |
||||||||||
Hedging/Risk Management |
A | A | ||||||||
Duration/Credit Quality Management |
A | A | ||||||||
Substitution for Direct Investment |
A | A | ||||||||
Directional Investment |
A | A | ||||||||
Intention to Create Investment Leverage in Portfolio |
M | M |
* | Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable. |
** | Includes any options purchased or written on futures contracts, if applicable. |
*** | Includes any caps, floors, and collars, and related purchased or written options, if applicable. |
122
Notes to Financial Statements (Continued)
At December 31, 2018, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Credit Risk |
Equity Risk |
Foreign Exchange Risk |
Interest Rate Risk |
Total | ||||||||||||||||
Asset Momentum Fund | ||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ |
$ | - | $ | - | $ | (130,449 | ) | $ | - | $ | (130,449 | ) | ||||||||
Futures Contracts^^ |
- | (1,311,887 | ) | - | - | (1,311,887 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | - | $ | (1,311,887 | ) | $ | (130,449 | ) | $ | - | $ | (1,442,336 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts |
$ | - | $ | - | $ | 64,597 | $ | - | $ | 64,597 | ||||||||||
Futures Contracts |
- | 257,108 | - | - | 257,108 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Realized Gain (Loss) |
$ | - | $ | 257,108 | $ | 64,597 | $ | - | $ | 321,705 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Forward Contracts |
$ | - | $ | - | $ | (249,694 | ) | $ | - | $ | (249,694 | ) | ||||||||
Futures Contracts |
- | (1,650,947 | ) | - | - | (1,650,947 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Change in Appreciation (Depreciation) |
$ | - | $ | (1,650,947 | ) | $ | (249,694 | ) | $ | - | $ | (1,900,641 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Equity Rotation Fund |
| |||||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts |
$ | - | $ | (44,377 | ) | $ | - | $ | - | $ | (44,377 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Inflation-Protected and Income Fund |
| |||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* |
$ | - | $ | - | $ | - | $ | 2,726,210 | $ | 2,726,210 | ||||||||||
Futures Contracts^^ |
- | - | - | 9,721 | 9,721 | |||||||||||||||
Swap Agreements^^,^^^ |
- | - | - | 139,327 | 139,327 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | - | $ | - | $ | - | $ | 2,875,258 | $ | 2,875,258 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ |
$ | - | $ | - | $ | - | $ | (80,570 | ) | $ | (80,570 | ) | ||||||||
Swap Agreements^ |
(380,572 | ) | - | - | (766,598 | ) | (1,147,170 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | (380,572 | ) | $ | - | $ | - | $ | (847,168 | ) | $ | (1,227,740 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts |
$ | - | $ | - | $ | - | $ | 124,972 | $ | 124,972 | ||||||||||
Swap Agreements |
(73,779 | ) | - | - | 604,291 | 530,512 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Realized Gain (Loss) |
$ | (73,779 | ) | $ | - | $ | - | $ | 729,263 | $ | 655,484 | |||||||||
|
|
|
|
|
|
|
|
|
|
123
Notes to Financial Statements (Continued)
Credit Risk |
Equity Risk |
Foreign Exchange Risk |
Interest Rate Risk |
Total | ||||||||||||||||
Inflation-Protected and Income Fund (Continued) | ||||||||||||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options |
$ | - | $ | - | $ | - | $ | 192,562 | $ | 192,562 | ||||||||||
Futures Contracts |
- | - | - | (75,517 | ) | (75,517 | ) | |||||||||||||
Swap Agreements |
133,716 | - | - | (904,224 | ) | (770,508 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Change in Appreciation (Depreciation) |
$ | 133,716 | $ | - | $ | - | $ | (787,179 | ) | $ | (653,463 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Short-Duration Bond Fund |
| |||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* |
$ | - | $ | - | $ | - | $ | 2,101,980 | $ | 2,101,980 | ||||||||||
Futures Contracts^^ |
- | - | - | 752,762 | 752,762 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | - | $ | - | $ | - | $ | 2,854,742 | $ | 2,854,742 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ |
$ | - | $ | - | $ | - | $ | (1,469,838 | ) | $ | (1,469,838 | ) | ||||||||
Swap Agreements^ |
(156,421 | ) | - | - | - | (156,421 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | (156,421 | ) | $ | - | $ | - | $ | (1,469,838 | ) | $ | (1,626,259 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts |
$ | - | $ | - | $ | - | $ | 804,396 | $ | 804,396 | ||||||||||
Swap Agreements |
29,504 | - | - | 50,350 | 79,854 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Realized Gain (Loss) |
$ | 29,504 | $ | - | $ | - | $ | 854,746 | $ | 884,250 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options |
$ | - | $ | - | $ | - | $ | 134,392 | $ | 134,392 | ||||||||||
Futures Contracts |
- | - | - | (927,946 | ) | (927,946 | ) | |||||||||||||
Swap Agreements |
(14,492 | ) | - | - | - | (14,492 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Change in Appreciation (Depreciation) |
$ | (14,492 | ) | $ | - | $ | - | $ | (793,554 | ) | $ | (808,046 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Special Situations Fund |
| |||||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts |
$ | - | $ | (169,816 | ) | $ | - | $ | - | $ | (169,816 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
* | Statements of Assets and Liabilities location: Investments, at value. |
^ | Statements of Assets and Liabilities location: Payables for: open forward contracts or open swap agreements, at value, as applicable. |
^^ | Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” in each applicable Fund’s Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
^^^ | Represents centrally cleared swaps which are not subject to a master netting agreement. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: forward contracts, futures contracts or swap agreements, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, forward contracts, futures contracts or swap agreements, as applicable. |
124
Notes to Financial Statements (Continued)
For the year ended December 31, 2018, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:
Number of Contracts, Notional Amounts, or Shares/Units† |
||||||||||||||||
Futures Contracts |
Forward Contracts |
Swap Agreements |
Purchased Swaptions |
|||||||||||||
Asset Momentum Fund |
156 | $ | 4,850,245 | $ | - | $ | - | |||||||||
Equity Rotation Fund |
6 | - | - | - | ||||||||||||
Inflation-Protected and Income Fund |
111 | - | 72,240,833 | 53,020,000 | ||||||||||||
Short-Duration Bond Fund |
1,311 | - | 1,120,000 | 41,140,000 | ||||||||||||
Special Situations Fund |
9 | - | - | - |
† | Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements and purchased swaptions, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended December 31, 2018. |
The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund(s) as of December 31, 2018.
Asset Valuation Inputs
Counterparty |
Derivative Assets Subject to an MNA by Counterparty† |
Financial Instruments Available for Offset |
Collateral Received*** |
Net Amount* | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Barclays Bank PLC |
$ | 1,776,943 | $ | - | $ | (1,770,000 | ) | $ | 6,943 | |||||||
Credit Suisse International |
949,267 | - | (949,267 | ) | - | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 2,726,210 | $ | - | $ | (2,719,267 | ) | $ | 6,943 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Duration Bond Fund | ||||||||||||||||
Barclays Bank PLC |
$ | 1,002,545 | $ | - | $ | (1,002,545 | ) | $ | - | |||||||
Credit Suisse International |
1,099,435 | - | (1,099,435 | ) | - | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 2,101,980 | $ | - | $ | (2,101,980 | ) | $ | - | ||||||||
|
|
|
|
|
|
|
|
The following table presents derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund(s) as of December 31, 2018.
Liability Valuation Inputs
Counterparty |
Derivative Liabilities Subject to an MNA by Counterparty† |
Financial Instruments Available for Offset |
Collateral Pledged*** |
Net Amount** | ||||||||||||
Asset Momentum Fund | ||||||||||||||||
Barclays Bank PLC |
$ | (7,762 | ) | $ | - | $ | - | $ | (7,762 | ) | ||||||
HSBC Bank USA |
(122,687 | ) | - | - | (122,687 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (130,449 | ) | $ | - | $ | - | $ | (130,449 | ) | |||||||
|
|
|
|
|
|
|
|
|||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Bank of America N.A. |
$ | (672,539 | ) | $ | - | $ | 540,000 | $ | (132,539 | ) | ||||||
Goldman Sachs International |
(269,303 | ) | - | 269,303 | - | |||||||||||
JP Morgan Chase Bank N.A. |
(205,328 | ) | - | - | (205,328 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (1,147,170 | ) | $ | - | $ | 809,303 | $ | (337,867 | ) | |||||||
|
|
|
|
|
|
|
|
125
Notes to Financial Statements (Continued)
Liability Valuation Inputs
Counterparty |
Derivative Liabilities Subject to an MNA by Counterparty† |
Financial Instruments Available for Offset |
Collateral Pledged*** |
Net Amount** | ||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Goldman Sachs International |
$ | (156,421 | ) | $ | - | $ | - | $ | (156,421 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents the net amount receivable from the counterparty in the event of default. |
** | Represents the net amount payable to the counterparty in the event of default. |
*** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
† | The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements. |
Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.
Further details regarding the derivatives and other investments held by the Fund(s) during the year ended December 31, 2018, are discussed below.
Foreign Currency Exchange Transactions
A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.
A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.
Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.
Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.
A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
126
Notes to Financial Statements (Continued)
Futures Contracts
A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.
Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Swap Agreements
Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would
127
Notes to Financial Statements (Continued)
trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
128
Notes to Financial Statements (Continued)
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
A Fund’s current exposure to a counterparty is the fair value of the transaction.
Options, Rights, and Warrants
A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.
Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.
Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.
Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the
129
Notes to Financial Statements (Continued)
underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.
Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.
Inflation-Linked Securities
Inflation-linked securities are typically fixed income securities whose principal values are periodically adjusted according to a measure of inflation. If the index measuring inflation falls, the principal value of an inflation-linked security will be adjusted downward, and consequently the interest payable on the security (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original principal of the security upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-linked securities. For securities that do not provide a similar guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal.
Alternatively, the interest rates payable on certain inflation-linked securities may be adjusted according to a measure of inflation. As a result, the principal values of such securities do not adjust according to the rate of inflation, although the interest payable on such securities may decline during times of falling inflation.
The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities may cause a potential cash flow mismatch to investors, because an increase in the principal amount of an inflation-linked security will be treated as interest income currently subject to tax at ordinary income rates even though investors will not receive repayment of principal until maturity. If a Fund invests in such securities, it will be required to distribute such interest income in order to qualify for treatment as a regulated investment company and eliminate the Fund-level tax, without a corresponding receipt of cash, and therefore may be required to dispose of portfolio securities at a time when it may not be advantageous to do so in order to make such distributions.
130
Notes to Financial Statements (Continued)
Bank Loans
A Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.
Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.
At December 31, 2018, the Funds had no unfunded loan commitments.
Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.
Reverse Repurchase Agreements
Each Fund may enter into reverse repurchase agreements with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date at a fixed price (typically equal to the original sale price plus interest). During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the purchase price received by it from the counterparty.
Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements generally create investment leverage and involve the risk that the market value of the security that a Fund is obligated to repurchase under the agreement may decline below the repurchase price. For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for a security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.
131
Notes to Financial Statements (Continued)
Reverse repurchase transactions are entered into by a Fund under a Master Repurchase Agreement (“MRA”), which permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and creates one single net payment due to or from the Fund. With reverse repurchase transactions, typically a Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
In the event the buyer of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.
The following table is a summary of the Fund(s) open reverse repurchase transactions which are subject to an MRA on a net basis at December 31, 2018:
Counterparty |
Reverse Repurchase Agreements |
Fair Value of Non-Cash Collateral* |
Cash Collateral Pledged* |
Net Amount | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
BNP Paribas S.A. |
$ | (59,763,375 | ) | $ | 59,763,375 | $ | - | $ | - | |||||||
CIBC |
(9,566,989 | ) | 9,566,989 | - | - | |||||||||||
Daiwa Securities |
(50,001,250 | ) | 50,001,250 | - | - | |||||||||||
Goldman Sachs & Co. |
(33,243,316 | ) | 33,243,316 | - | - | |||||||||||
HSBC Bank USA |
(83,118,125 | ) | 83,118,125 | - | - | |||||||||||
Morgan Stanley & Co. LLC |
(32,763,750 | ) | 32,763,750 | - | - | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (268,456,805 | ) | $ | 268,456,805 | $ | - | $ | - | ||||||||
|
|
|
|
|
|
|
|
* | Collateral with a value of $273,785,704 has been pledged in connection with open reverse repurchase transactions. Excess collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
At December 31, 2018, the average balance outstanding for open reverse repurchase agreements for the Inflation-Protected and Income Fund was $292,569,175. The maximum balance outstanding for the Inflation-Protected and Income Fund was $349,736,919 during the year ended December 31, 2018. The weighted average maturity was 48 days, at a weighted average interest rate of 2.045%.
Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase transactions.
The type of underlying collateral and the remaining maturity of open reverse repurchase transactions in relation to the reverse repurchase agreements on the Statements of Assets and Liabilities is as follows:
Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days |
Total | ||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||
U.S. Treasury Obligations |
$ | - | $ | 61,420,625 | $ | 207,036,180 | $ | - | $ | 268,456,805 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | - | $ | 61,420,625 | $ | 207,036,180 | $ | - | $ | 268,456,805 | ||||||||||
|
|
|
|
|
|
|
|
|
|
132
Notes to Financial Statements (Continued)
When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Securities Lending
Each Fund may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“Agent”). The Lending Agreement authorizes the Agent to lend portfolio securities held by a Fund to approved borrowers (each, a “Borrower”).
Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash (U.S. currency) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At December 31, 2018, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.
Subject to the terms of the Lending Agreement and the agreement between the Agent and the applicable Borrower (“Borrowing Agreement”), security loans can be terminated by the Agent, the Fund, or the Borrower and the related securities must be returned within the earlier of the customary settlement period for such securities or the period of time specified in the Borrowing Agreement. For all Funds, all securities on loan are classified as common stock in the Fund’s Portfolio of Investments at December 31, 2018.
The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending
133
Notes to Financial Statements (Continued)
its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. For the year ended December 31, 2018, the Fund(s) earned securities lending net income as follows:
Securities Lending Gross Income |
Securities Lending Fees and Expenses |
Securities Lending Net Income |
||||||||||
Asset Momentum Fund |
$ | 1,320 | $ | 198 | $ | 1,122 | ||||||
Dynamic Bond Fund |
1,227 | 179 | 1,048 | |||||||||
High Yield Fund |
9,981 | 1,466 | 8,515 | |||||||||
Small Cap Equity Fund |
83,311 | 12,301 | 71,010 | |||||||||
Strategic Emerging Markets Fund |
46,237 | 6,838 | 39,399 |
Accounting for Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and realized capital gain distributions are recorded on the ex-dividend date. Non-cash dividends received in the form of stock are recorded as dividend income at market value. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets.
Foreign Securities
The Strategic Emerging Markets Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to
134
Notes to Financial Statements (Continued)
securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income are declared and paid quarterly for the Dynamic Bond Fund, High Yield Fund, Inflation-Protected and Income Fund, and Short-Duration Bond Fund and annually for the Asset Momentum Fund, Equity Rotation Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets Fund and at other times as may be required to satisfy tax or regulatory requirements. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
3. Advisory Fees and Other Transactions
Investment Advisory Fees and Investment Subadvisers
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
Fund |
Investment Advisory Fee | |
Asset Momentum Fund |
0.60% on the first $500 million; and | |
0.55% on any excess over $500 million | ||
Dynamic Bond Fund |
0.40% on the first $1 billion; and | |
0.35% on any excess over $1 billion | ||
Equity Rotation Fund |
0.45% on the first $500 million; and | |
0.40% on any excess over $500 million | ||
High Yield Fund |
0.60% on the first $300 million; and | |
0.575% on any excess over $300 million | ||
Inflation-Protected and Income Fund |
0.60% on the first $100 million; | |
0.55% on the next $200 million; | ||
0.50% on the next $200 million; and | ||
0.45% on any excess over $500 million | ||
Short-Duration Bond Fund |
0.35% on the first $300 million; and | |
0.30% on any excess over $300 million |
135
Notes to Financial Statements (Continued)
Fund |
Investment Advisory Fee | |
Small Cap Equity Fund |
0.65% on the first $100 million; | |
0.60% on the next $100 million; | ||
0.55% on the next $300 million; and | ||
0.50% on any excess over $500 million | ||
Special Situations Fund |
0.60% on the first $500 million; and | |
0.55% on any excess over $500 million | ||
Strategic Emerging Markets Fund |
1.05% on the first $500 million; and | |
1.00% on any excess over $500 million |
MML Advisers has entered into investment subadvisory agreements with Barings LLC (“Barings”), a wholly-owned subsidiary of MM Asset Management Holding LLC, itself a wholly-owned subsidiary of MassMutual Holding LLC, a controlled subsidiary of MassMutual, on behalf of certain Funds. These agreements provide that Barings manage the investment and reinvestment of assets of these Funds. Barings receives a subadvisory fee from MML Advisers based upon each Fund’s average daily net assets, at the following annual rates:
Asset Momentum Fund |
0.475% | |
Equity Rotation Fund |
0.30% | |
High Yield Fund |
0.20% | |
Inflation-Protected and Income Fund |
0.08% | |
Short-Duration Bond Fund |
0.08% | |
Special Situations Fund |
0.45% |
MML Advisers has entered into investment subadvisory agreements with OppenheimerFunds, Inc. (“OFI”), a wholly-owned subsidiary of Oppenheimer Acquisition Corp., itself an indirect majority-owned subsidiary of MassMutual Holding LLC, on behalf of the Small Cap Equity Fund and the Strategic Emerging Markets Fund. These agreements provide that OFI manage the investment and reinvestment of the assets of the Funds. OFI receives a subadvisory fee from MML Advisers, based upon each Fund’s average daily net assets, at the following annual rates:
Small Cap Equity Fund |
0.25% | |
Strategic Emerging Markets Fund |
0.70% |
MML Advisers has entered into an investment subadvisory agreement with the unaffiliated investment subadviser, DoubleLine Capital, LP (“DoubleLine”), pursuant to which DoubleLine serves as the subadviser to the Dynamic Bond Fund. This agreement provides that DoubleLine manage the investment and reinvestment of the assets of the Fund. DoubleLine receives a subadvisory fee from MassMutual based upon the average daily net assets of the Fund.
The Funds’ subadvisory fees are paid monthly by MML Advisers out of the advisory fees previously disclosed above.
Administration Fees
For the Asset Momentum Fund, Dynamic Bond Fund, Equity Rotation Fund, High Yield Fund, Short-Duration Bond Fund, Special Situations Fund, and Strategic Emerging Markets Fund, under a separate Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide administrative and shareholder services and bear some of the Fund specific administrative expenses. In return for these services, MML Advisers
136
Notes to Financial Statements (Continued)
receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:
Class II |
Service Class I | |||
Asset Momentum Fund |
0.15% | 0.15% | ||
Dynamic Bond Fund |
0.15% | 0.15% | ||
Equity Rotation Fund |
0.15% | 0.15% | ||
High Yield Fund |
0.15% | 0.15% | ||
Short-Duration Bond Fund |
0.15% | 0.15% | ||
Special Situations Fund |
0.15% | 0.15% | ||
Strategic Emerging Markets Fund |
0.15% | 0.15% |
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares and Service Class I shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares and Service Class I shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares or Service Class I shares, as applicable, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class and Service Class I shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Expense Caps and Waivers
MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) based upon the average daily net assets of the applicable class of shares of the Fund, as follows:
Class II | Service Class I | |||||||
Asset Momentum Fund* |
0.80% | 1.05% | ||||||
Dynamic Bond Fund* |
0.60% | 0.85% | ||||||
Equity Rotation Fund* |
0.65% | 0.90% | ||||||
Short-Duration Bond Fund* |
0.55% | 0.80% | ||||||
Special Situations Fund* |
0.80% | 1.05% | ||||||
Strategic Emerging Markets Fund* |
1.35% | 1.60% |
# | Acquired Fund Fees and Expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
* | Expense caps in effect through April 30, 2019. |
MML Advisers has agreed to waive 0.10% of the advisory fee of the High Yield Fund through April 30, 2019.
MML Advisers has agreed to voluntarily waive 0.04% of the advisory fee of the Strategic Emerging Markets Fund. MML Advisers may amend or discontinue this waiver at any time without advance notice.
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and
137
Notes to Financial Statements (Continued)
shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
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, 2018, were as follows:
Purchases | Sales | |||||||||||||||
Long-Term U.S. Government Securities |
Other Long-Term Securities |
Long-Term U.S. Government Securities |
Other Long-Term Securities |
|||||||||||||
Asset Momentum Fund |
$ | - | $ | 28,008,015 | $ | - | $ | 30,465,188 | ||||||||
Dynamic Bond Fund |
188,093,675 | 111,258,108 | 177,353,658 | 117,324,864 | ||||||||||||
Equity Rotation Fund |
- | 30,803,002 | - | 32,542,734 | ||||||||||||
High Yield Fund |
- | 49,576,114 | - | 51,692,300 | ||||||||||||
Inflation-Protected and Income Fund |
128,483,519 | 154,482,256 | 203,803,809 | 140,956,195 | ||||||||||||
Short-Duration Bond Fund |
10,988,927 | 113,581,207 | 13,555,263 | 101,299,959 | ||||||||||||
Small Cap Equity Fund |
- | 58,851,878 | - | 65,081,500 | ||||||||||||
Special Situations Fund |
- | 7,636,860 | - | 12,743,858 | ||||||||||||
Strategic Emerging Markets Fund |
- | 75,122,770 | - | 44,641,218 |
The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule 17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.
Purchases | Sales | |||||||
Small Cap Equity Fund |
$ | 797,767 | $ | 60,929 | ||||
Strategic Emerging Markets Fund |
$ | - | $ | 94,343 |
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Asset Momentum Fund Class II | ||||||||||||||||
Sold |
- | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends |
246,853 | 2,557,803 | 222,641 | 2,729,754 | ||||||||||||
Redeemed |
- | - | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
246,853 | $ | 2,557,803 | 222,641 | $ | 2,729,754 | ||||||||||
|
|
|
|
|
|
|
|
138
Notes to Financial Statements (Continued)
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Asset Momentum Fund Service Class I | ||||||||||||||||
Sold |
25,716 | $ | 309,067 | 47,139 | $ | 540,352 | ||||||||||
Issued as reinvestment of dividends |
14,727 | 151,157 | 11,829 | 144,546 | ||||||||||||
Redeemed |
(14,056 | ) | (169,101 | ) | (26,810 | ) | (306,897 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
26,387 | $ | 291,123 | 32,158 | $ | 378,001 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Dynamic Bond Fund Class II | ||||||||||||||||
Sold |
1,466,284 | $ | 14,480,002 | 687,953 | $ | 6,869,531 | ||||||||||
Issued as reinvestment of dividends |
1,532,895 | 14,819,194 | 1,639,034 | 16,309,191 | ||||||||||||
Redeemed |
(4,213,885 | ) | (40,820,214 | ) | (10 | ) | (106 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(1,214,706 | ) | $ | (11,521,018 | ) | 2,326,977 | $ | 23,178,616 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Dynamic Bond Fund Service Class I | ||||||||||||||||
Sold |
281,696 | $ | 2,740,006 | 180,547 | $ | 1,803,315 | ||||||||||
Issued as reinvestment of dividends |
18,425 | 177,628 | 13,347 | 132,594 | ||||||||||||
Redeemed |
(90,546 | ) | (881,343 | ) | (43,886 | ) | (438,026 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
209,575 | $ | 2,036,291 | 150,008 | $ | 1,497,883 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Equity Rotation Fund Class II | ||||||||||||||||
Sold |
- | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends |
347,932 | 4,188,659 | 114,382 | 1,587,623 | ||||||||||||
Redeemed |
- | - | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
347,932 | $ | 4,188,659 | 114,382 | $ | 1,587,623 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Equity Rotation Fund Service Class I | ||||||||||||||||
Sold |
35,629 | $ | 484,337 | 67,346 | $ | 852,925 | ||||||||||
Issued as reinvestment of dividends |
19,355 | 231,195 | 5,312 | 73,519 | ||||||||||||
Redeemed |
(11,388 | ) | (153,245 | ) | (7,287 | ) | (91,594 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
43,596 | $ | 562,287 | 65,371 | $ | 834,850 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
High Yield Fund Class II | ||||||||||||||||
Sold |
431 | $ | 4,247 | 72,493 | $ | 736,500 | ||||||||||
Issued as reinvestment of dividends |
591,969 | 5,687,310 | 666,037 | 6,733,125 | ||||||||||||
Redeemed |
(1,375,346 | ) | (13,230,645 | ) | (766,585 | ) | (7,841,780 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(782,946 | ) | $ | (7,539,088 | ) | (28,055 | ) | $ | (372,155 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
High Yield Fund Service Class I | ||||||||||||||||
Sold |
915,670 | $ | 8,967,463 | 1,123,560 | $ | 11,449,809 | ||||||||||
Issued as reinvestment of dividends |
263,189 | 2,516,383 | 250,466 | 2,522,628 | ||||||||||||
Redeemed |
(661,278 | ) | (6,448,888 | ) | (591,403 | ) | (6,027,452 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
517,581 | $ | 5,034,958 | 782,623 | $ | 7,944,985 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Inflation-Protected and Income Fund Initial Class | ||||||||||||||||
Sold |
3,487,180 | $ | 34,922,361 | 4,320,401 | $ | 44,155,126 | ||||||||||
Issued as reinvestment of dividends |
1,122,241 | 11,103,254 | 1,242,674 | 12,591,573 | ||||||||||||
Redeemed |
(9,718,069 | ) | (95,970,153 | ) | (5,205,339 | ) | (53,302,611 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(5,108,648 | ) | $ | (49,944,538 | ) | 357,736 | $ | 3,444,088 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Inflation-Protected and Income Fund Service Class | ||||||||||||||||
Sold |
596,678 | $ | 5,917,708 | 566,179 | $ | 5,768,415 | ||||||||||
Issued as reinvestment of dividends |
129,905 | 1,280,315 | 143,782 | 1,450,545 | ||||||||||||
Redeemed |
(1,007,377 | ) | (9,932,312 | ) | (790,642 | ) | (8,053,934 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(280,794 | ) | $ | (2,734,289 | ) | (80,681 | ) | $ | (834,974 | ) | ||||||
|
|
|
|
|
|
|
|
139
Notes to Financial Statements (Continued)
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short-Duration Bond Fund Class II | ||||||||||||||||
Sold |
1,481,517 | $ | 14,402,901 | 4,891,268 | $ | 47,856,521 | ||||||||||
Issued as reinvestment of dividends |
592,658 | 5,711,370 | 570,980 | 5,576,475 | ||||||||||||
Redeemed |
(6,028,871 | ) | (58,363,103 | ) | (4,364,667 | ) | (42,785,841 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
(3,954,696 | ) | $ | (38,248,832 | ) | 1,097,581 | $ | 10,647,155 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Duration Bond Fund Service Class I | ||||||||||||||||
Sold |
1,226,437 | $ | 11,855,406 | 1,194,751 | $ | 11,699,414 | ||||||||||
Issued as reinvestment of dividends |
85,713 | 824,955 | 78,763 | 768,427 | ||||||||||||
Redeemed |
(1,292,508 | ) | (12,498,648 | ) | (1,353,260 | ) | (13,244,624 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
19,642 | $ | 181,713 | (79,746 | ) | $ | (776,783 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Small Cap Equity Fund Initial Class | ||||||||||||||||
Sold |
405,551 | $ | 4,090,986 | 748,535 | $ | 7,413,356 | ||||||||||
Issued as reinvestment of dividends |
1,219,087 | 12,792,106 | 488,738 | 4,581,957 | ||||||||||||
Redeemed |
(1,420,496 | ) | (14,639,617 | ) | (1,666,648 | ) | (16,508,349 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
204,142 | $ | 2,243,475 | (429,375 | ) | $ | (4,513,036 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Small Cap Equity Fund Service Class | ||||||||||||||||
Sold |
551,091 | $ | 5,383,342 | 498,369 | $ | 4,891,993 | ||||||||||
Issued as reinvestment of dividends |
249,416 | 2,569,206 | 76,502 | 706,144 | ||||||||||||
Redeemed |
(242,579 | ) | (2,379,816 | ) | (258,722 | ) | (2,520,735 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
557,928 | $ | 5,572,732 | 316,149 | $ | 3,077,402 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Special Situations Fund Class II | ||||||||||||||||
Sold |
- | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends |
86,549 | 930,068 | 2,999 | 34,572 | ||||||||||||
Redeemed |
- | - | - | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
86,549 | $ | 930,068 | 2,999 | $ | 34,572 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Special Situations Fund Service Class I | ||||||||||||||||
Sold |
26,412 | $ | 320,267 | 17,958 | $ | 185,012 | ||||||||||
Issued as reinvestment of dividends |
2,702 | 28,951 | - | - | ||||||||||||
Redeemed |
(9,618 | ) | (117,423 | ) | (2,646 | ) | (27,502 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
19,496 | $ | 231,795 | 15,312 | $ | 157,510 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Strategic Emerging Markets Fund Class II | ||||||||||||||||
Sold |
4,375,527 | $ | 49,023,980 | 428,946 | $ | 4,394,256 | ||||||||||
Issued as reinvestment of dividends |
15,159 | 170,692 | 7,498 | 81,649 | ||||||||||||
Redeemed |
(1,533,517 | ) | (17,272,281 | ) | (2,184,104 | ) | (22,897,472 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
2,857,169 | $ | 31,922,391 | (1,747,660 | ) | $ | (18,421,567 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Strategic Emerging Markets Fund Service Class I | ||||||||||||||||
Sold |
414,288 | $ | 4,680,720 | 340,961 | $ | 3,526,710 | ||||||||||
Issued as reinvestment of dividends |
- | - | - | - | ||||||||||||
Redeemed |
(296,650 | ) | (3,363,088 | ) | (211,553 | ) | (2,213,746 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
117,638 | $ | 1,317,632 | 129,408 | $ | 1,312,964 | ||||||||||
|
|
|
|
|
|
|
|
140
Notes to Financial Statements (Continued)
6. Federal Income Tax Information
At December 31, 2018, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost |
Tax Basis Unrealized Appreciation |
Tax Basis Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
Asset Momentum Fund |
$ | 24,511,757 | $ | 796,992 | $ | (703,037 | ) | $ | 93,955 | |||||||
Dynamic Bond Fund |
433,890,791 | 4,101,673 | (16,023,617 | ) | (11,921,944 | ) | ||||||||||
Equity Rotation Fund |
28,390,040 | 1,933,374 | (1,600,979 | ) | 332,395 | |||||||||||
High Yield Fund |
132,437,975 | 1,547,224 | (12,645,695 | ) | (11,098,471 | ) | ||||||||||
Inflation-Protected and Income Fund |
647,626,452 | 5,987,244 | (16,257,475 | ) | (10,270,231 | ) | ||||||||||
Short-Duration Bond Fund |
206,524,970 | 1,746,324 | (4,760,922 | ) | (3,014,598 | ) | ||||||||||
Small Cap Equity Fund |
101,835,803 | 14,313,940 | (12,296,359 | ) | 2,017,581 | |||||||||||
Special Situations Fund |
21,466,894 | 3,166,941 | (1,905,336 | ) | 1,261,605 | |||||||||||
Strategic Emerging Markets Fund |
125,766,305 | 12,566,210 | (9,356,193 | ) | 3,210,017 |
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.
At December 31, 2018, for federal income tax purposes, there were no unused capital losses.
At December 31, 2018, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term Capital Loss Carryforward |
Long term Capital Loss Carryforward |
|||||||
Dynamic Bond Fund |
$ | 4,355,770 | $ | 2,250,509 | ||||
High Yield Fund |
273,225 | 3,751,173 | ||||||
Inflation-Protected and Income Fund |
1,879,589 | 8,619,300 | ||||||
Short-Duration Bond Fund |
145,230 | 5,050,975 | ||||||
Strategic Emerging Markets Fund |
3,860,933 | 366,071 |
Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.
The following Fund(s) elected to defer to the fiscal year beginning January 1, 2019, post-October capital losses:
Post-October Loss |
Post October Currency Loss |
|||||||
Asset Momentum Fund |
$ | 2,488,740 | $ | - | ||||
Special Situations Fund |
190,711 | - |
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
The following Fund(s) elected to defer to the fiscal year beginning January 1, 2019, late year ordinary losses:
Amount | ||||
Asset Momentum Fund |
$ | 414 |
141
Notes to Financial Statements (Continued)
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2018, was as follows:
Ordinary Income |
Long Term Capital Gain |
Return of Capital |
||||||||||
Asset Momentum Fund |
$ | 347,841 | $ | 2,361,119 | $ | - | ||||||
Dynamic Bond Fund |
14,996,822 | - | - | |||||||||
Equity Rotation Fund |
278,900 | 4,140,954 | - | |||||||||
High Yield Fund |
8,194,092 | - | 9,601 | |||||||||
Inflation-Protected and Income Fund |
12,383,569 | - | - | |||||||||
Short-Duration Bond Fund |
6,536,325 | - | - | |||||||||
Small Cap Equity Fund |
3,814,954 | 11,546,358 | - | |||||||||
Special Situations Fund |
132,626 | 826,393 | - | |||||||||
Strategic Emerging Markets Fund |
170,692 | - | - |
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2017, was as follows:
Ordinary Income |
Long Term Capital Gain |
Return of Capital |
||||||||||
Asset Momentum Fund |
$ | 926,326 | $ | 1,947,974 | $ | - | ||||||
Dynamic Bond Fund |
15,868,305 | 573,480 | - | |||||||||
Equity Rotation Fund |
202,311 | 1,458,831 | - | |||||||||
High Yield Fund |
8,673,722 | - | 582,031 | |||||||||
Inflation-Protected and Income Fund |
11,359,432 | - | 2,682,686 | |||||||||
Short-Duration Bond Fund |
6,273,558 | - | 71,344 | |||||||||
Small Cap Equity Fund |
935,676 | 4,352,425 | - | |||||||||
Special Situations Fund |
34,572 | - | - | |||||||||
Strategic Emerging Markets Fund |
81,649 | - | - |
The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2018:
Amount | ||||
Strategic Emerging Markets Fund |
$ | 177,382 |
Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2018, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, swap agreements, premium amortization accruals, passive foreign investment companies, non-taxable dividends basis adjustments, partnership basis adjustments, the deferral of wash sale losses, and deferred Trustee compensation.
At December 31, 2018, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income |
Undistributed Long Term Capital Gain (Capital Loss Carryover) |
Other Temporary Differences |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Asset Momentum Fund |
$ | - | $ | - | $ | (2,491,020 | ) | $ | 83,397 | |||||||
Dynamic Bond Fund |
932,273 | (6,606,279 | ) | (33,619 | ) | (11,921,944 | ) |
142
Notes to Financial Statements (Continued)
Undistributed Ordinary Income |
Undistributed Long Term Capital Gain (Capital Loss Carryover) |
Other Temporary Differences |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Equity Rotation Fund |
$ | - | $ | 573,047 |
$
|
(1,967 |
) |
$ | 332,395 | |||||||
High Yield Fund |
- | (4,024,398 | ) | (21,535 | ) | (11,098,471 | ) | |||||||||
Inflation-Protected and Income Fund |
429,910 | (10,498,889 | ) | (90,563 | ) | (10,897,503 | ) | |||||||||
Short-Duration Bond Fund |
123,742 | (5,196,205 | ) | (36,188 | ) | (3,014,598 | ) | |||||||||
Small Cap Equity Fund |
1,617,822 | 8,503,002 | (33,490 | ) | 2,017,581 | |||||||||||
Special Situations Fund |
231 | - | (192,365 | ) | 1,261,605 | |||||||||||
Strategic Emerging Markets Fund |
321,803 | (4,227,004 | ) | (13,882 | ) | 3,085,183 |
During the year ended December 31, 2018, the following amounts were reclassified due to permanent differences between book and tax accounting:
Paid-in Capital |
Accumulated Net Realized Gain (Loss) on Investments |
Undistributed Net Investment Income (Loss) |
||||||||||
Asset Momentum Fund |
$ | 12 | $ | (64,062 | ) | $ | 64,050 | |||||
Dynamic Bond Fund |
226 | 82,517 | (82,743 | ) | ||||||||
Equity Rotation Fund |
11 | (4,675 | ) | 4,664 | ||||||||
High Yield Fund |
(9,432 | ) | 41,419 | (31,987 | ) | |||||||
Inflation-Protected and Income Fund |
734 | (787,007 | ) | 786,273 | ||||||||
Short-Duration Bond Fund |
283 | (650,708 | ) | 650,425 | ||||||||
Small Cap Equity Fund |
(1,510 | ) | 25,105 | (23,595 | ) | |||||||
Special Situations Fund |
603 | 2,609 | (3,212 | ) | ||||||||
Strategic Emerging Markets Fund |
104 | (159,336 | ) | 159,232 |
The Funds did not have any unrecognized tax benefits at December 31, 2018, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended December 31, 2018, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
7. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
8. | New Accounting Pronouncements |
In October 2016, the Securities and Exchange Commission (“SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments, for all reporting periods ending after August 1, 2017. The Funds have adopted the Rule’s Regulation S-X amendments and the Funds’ financial statements are in compliance with those amendments. In
143
Notes to Financial Statements (Continued)
December 2017, the SEC issued a temporary final rule (“Temporary Rule”) that provides for a nine-month delay of N-PORT filing with the SEC. Under the Temporary Rule, those funds subject to the original June 1, 2018 compliance date will still be required to gather and maintain all of the data required by Form N-PORT as of the original reporting date and such information will be subject to examination by the SEC staff.
In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.
In August 2018, FASB issued Accounting Standards Update 2018-13 — Fair Value Measurement (Topic 820) Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The amendments modify fair value measurement disclosures and are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.
9. | Legal Proceedings |
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds. On April 5, 2012, the adversary proceeding was transferred to the Southern District of New York for consolidated pretrial proceedings. The action is now being prosecuted by the litigation trustee (“Trustee”) for the Tribune Litigation Trust.
The potential amount sought to be recovered from the Small Cap Equity Fund is approximately $93,500, plus interest and the Official Committee’s court costs.
The Fund cannot predict the outcome of this proceeding. Accordingly, the Fund has not accrued any amounts related to this proceeding. If the proceeding were to be decided in a manner adverse to the Fund, or if the Fund was to enter into a settlement agreement with the Trustee, the payment of such judgment or settlement could potentially have a material adverse effect on the Fund’s net asset value depending on the net assets of the Fund at the time of such judgment or settlement.
144
To the Board of Trustees of MML Series Investment Fund II and Shareholders of MML Asset Momentum Fund, MML Dynamic Bond Fund, MML Equity Rotation Fund, MML High Yield Fund, MML Inflation-Protected and Income Fund, MML Short-Duration Bond Fund, MML Small Cap Equity Fund, MML Special Situations Fund, and MML Strategic Emerging Markets Fund (collectively, the “Funds,” certain of the funds constituting MML Series Investment Fund II):
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Funds as of December 31, 2018, the related statements of operations of the Funds for the year then ended, the statement of cash flows for MML Inflation-Protected and Income Fund for the year then ended, the statements of changes in net assets of the Funds for each of the two years in the period then ended, and the financial highlights of the Funds for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, and the results of their operations for the year then ended, the cash flows of MML Inflation-Protected and Income Fund for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the period listed in the table below, in conformity with accounting principles generally accepted in the United States of America.
Individual Funds | Financial Highlights | |
MML High Yield Fund, MML Inflation-Protected and Income Fund, MML Short-Duration Bond Fund, MML Small Cap Equity Fund, and MML Strategic Emerging Markets Fund | For the years ended December 31, 2018, 2017, 2016, 2015, and 2014 | |
MML Asset Momentum Fund, MML Dynamic Bond Fund, MML Equity Rotation Fund, and MML Special Situations Fund | For the years ended December 31, 2018, 2017, 2016, and the period from May 15, 2015 (commencement of operations) through December 31, 2015 |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2018, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Boston, Massachusetts
We have served as the auditor of one or more MassMutual investment companies since 1995.
145
The following table lists the Trust’s Trustees and Officers; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MML Series Investment Fund II, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.
Disinterested Trustees
Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | |||||
Allan W. Blair Age: 70 |
Trustee | Since 2012 |
Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company). | 111 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
Nabil N. El-Hage Age: 60 |
Trustee
Chairman |
Since 2005
2006-2012 |
Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC). | 111 | Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company). | |||||
Maria D. Furman Age: 64 |
Trustee | Since 2005 |
Retired. | 111 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
R. Alan Hunter, Jr. Age: 72 |
Chairperson
Trustee |
Since 2016
Since 2012 |
Retired. | 111 | Director (2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MassMutual Select Funds (open-end investment company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
146
Trustees and Officers (Unaudited) (Continued)
Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | |||||
C. Ann Merrifield Age: 67 |
Trustee | Since 2005 |
Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company). | 111 | Director (2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson (2017-2018) and Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
Susan B. Sweeney Age: 66 |
Trustee | Since 2012 |
Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company. | 113^ | Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
Interested Trustees
Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | |||||
Teresa Hassara^^ Age: 56 |
Trustee | Since 2017 |
Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF. | 111 | Director (since 2017), MML Advisers; Trustee (since 2017), MassMutual Select Funds (open-end investment company); Trustee (since 2017), MML Series Investment Fund (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company). | |||||
Robert E. Joyal^^^ Age: 73 |
Trustee | Since 2012 |
Retired. | 113^ | Director (since 2018), Jeffries Financial Group Inc. (holding company); Director (2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technology, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
147
Trustees and Officers (Unaudited) (Continued)
Principal Officers who are Not Trustees
Name, Address*, and Age |
Position(s) |
Term of Office# and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer | ||||
Joseph Fallon Age: 43 |
Vice President
Assistant Vice President |
Since 2017
2015- |
Investment Director (since 2014), MML Advisers; Head of Investment Consulting (since 2018), Head of Investment Consulting & Strategy (2017-2018), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Select Funds (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Andrew M. Goldberg Age: 52 |
Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer
Assistant Clerk |
Since 2008
2005- |
Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Renee Hitchcock Age: 48 |
Chief Financial Officer and Treasurer
Assistant Treasurer |
Since 2016
2007- |
Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Jill Nareau Robert Age: 46 |
Vice President and Assistant Secretary
Assistant Secretary (formerly known as “Assistant Clerk”) |
Since 2017
2008- |
Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MassMutual Select Funds (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MML Series Investment Fund (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Douglas Steele Age: 43 |
Vice President | Since 2016 |
Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company). | 111 |
148
Trustees and Officers (Unaudited) (Continued)
Name, Address*, and Age |
Position(s) |
Term of Office# and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer | ||||
Philip S. Wellman Age: 54 |
Vice President and Chief Compliance Officer | Since 2007 |
Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds and RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Eric H. Wietsma Age: 52 |
Vice President | Since 2006 |
Vice President (since 2018), Director (since 2013), and President (2013-2018), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (2010-2018), MassMutual; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); Vice President (since 2006), MML Series Investment Fund (open-end investment company); President (since 2008), Vice President (2006-2008), MassMutual Premier Funds (open-end investment company). | 111 | ||||
Tina Wilson Age: 48 |
Vice President | Since 2016 |
President (since 2018), Head of Investments (since 2016), and Vice President (2016-2018), MML Advisers; Head of Investment Solutions Innovation, Product Management (since 2018), Senior Vice President (2014-2018), Vice President (2009-2014), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); President (since 2017), Vice President (2016-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company). | 111 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, CT 06082-1981. |
** | 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 or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate. |
The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees. |
^ | Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers. |
^^ | Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual. |
^^^ | Mr. Joyal is an Interested Person through his position as a director of Leucadia National Corporation, which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion. |
# | The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees. |
149
For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2018, qualified for the dividends received deduction, as follows:
Dividends Received Deductions |
||||
Asset Momentum Fund |
7.93% | |||
Equity Rotation Fund |
100.00% | |||
Small Cap Equity Fund |
17.66% | |||
Special Situations Fund |
100.00% | |||
Strategic Emerging Markets Fund |
1.57% |
For the year ended December 31, 2018, the following Fund(s) earned the following foreign sources of income:
Amount | ||||
Strategic Emerging Markets Fund |
$ | 1,986,173 |
150
A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
151
Other Information (Unaudited) (Continued)
Fund Expenses December 31, 2018
Expense Examples:
The following information is in regards to expenses for the six months ended December 31, 2018:
As a shareholder of the Funds, you incur ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2018.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Value |
Annualized Expense Ratio |
Ending Value (Based on Actual Returns and Expenses) |
Operating Expenses Incurred* |
Ending Value (Based on Hypothetical Returns and Expenses) |
Operating Expenses Incurred* |
|||||||||||||||||||
Asset Momentum Fund | ||||||||||||||||||||||||
Class II |
$ | 1,000 | 0.80 | % | $ | 843.90 | $ | 3.74 | $ | 1,021.30 | $ | 4.10 | ||||||||||||
Service Class I |
1,000 | 1.05 | % | 842.90 | 4.90 | 1,020.00 | 5.38 | |||||||||||||||||
Dynamic Bond Fund | ||||||||||||||||||||||||
Class II |
1,000 | 0.59 | % | 1,007.20 | 3.00 | 1,022.40 | 3.02 | |||||||||||||||||
Service Class I |
1,000 | 0.84 | % | 1,005.40 | 4.27 | 1,021.10 | 4.30 | |||||||||||||||||
Equity Rotation Fund | ||||||||||||||||||||||||
Class II |
1,000 | 0.65 | % | 911.40 | 3.15 | 1,022.00 | 3.33 | |||||||||||||||||
Service Class I |
1,000 | 0.90 | % | 909.70 | 4.36 | 1,020.80 | 4.61 | |||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||
Class II |
1,000 | 0.76 | % | 965.00 | 3.78 | 1,021.50 | 3.89 | |||||||||||||||||
Service Class I |
1,000 | 1.01 | % | 964.10 | 5.03 | 1,020.20 | 5.17 | |||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||||||
Initial Class |
1,000 | 0.60 | % | 986.60 | 3.02 | 1,022.30 | 3.08 | |||||||||||||||||
Service Class |
1,000 | 0.85 | % | 985.60 | 4.28 | 1,021.00 | 4.35 |
152
Other Information (Unaudited) (Continued)
Beginning Value |
Annualized Expense Ratio |
Ending Value (Based on Actual Returns and Expenses) |
Operating Expenses Incurred* |
Ending Value (Based on Hypothetical Returns and Expenses) |
Operating Expenses Incurred* |
|||||||||||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||||||
Class II |
$ | 1,000 | 0.55 | % | $ | 1,010.20 | $ | 2.80 | $ | 1,022.60 | $ | 2.82 | ||||||||||||
Service Class I |
1,000 | 0.80 | % | 1,008.30 | 4.07 | 1,021.30 | 4.10 | |||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||||||
Initial Class |
1,000 | 0.72 | % | 831.10 | 3.34 | 1,021.70 | 3.69 | |||||||||||||||||
Service Class |
1,000 | 0.97 | % | 830.00 | 4.50 | 1,020.40 | 4.97 | |||||||||||||||||
Special Situations Fund | ||||||||||||||||||||||||
Class II |
1,000 | 0.80 | % | 897.20 | 3.85 | 1,021.30 | 4.10 | |||||||||||||||||
Service Class I |
1,000 | 1.05 | % | 895.70 | 5.04 | 1,020.00 | 5.38 | |||||||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||||||||||
Class II |
1,000 | 1.35 | % | 888.30 | 6.46 | 1,018.50 | 6.91 | |||||||||||||||||
Service Class I |
1,000 | 1.60 | % | 887.80 | 7.65 | 1,017.20 | 8.18 |
* | Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2018, multiplied by the average account value over the period, multiplied by 185 days in the period, divided by 365 days in the year, unless stated otherwise. The annualized expense ratio does not reflect expenses deducted under the variable life insurance or variable annuity contract through which the Funds are invested in. Inclusion of these expenses would increase the annualized expense ratios shown. |
153
Underwriter:
MML Distributors, LLC 100 Bright Meadow Blvd. |
© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC |
RS-45235-01 |
Item 2. Code of Ethics.
As of December 31, 2018, 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, 2018, there were no reportable 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 13(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that Susan B. Sweeney and Nabil N. El-Hage, both members of the Audit Committee, are audit committee financial experts as defined by the Securities and Exchange Commission (the “SEC”). Ms. Sweeney and Mr. El-Hage are both “independent” as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
References below to Deloitte & Touche LLP include its affiliates where applicable.
(a) | AUDIT FEES: The aggregate fees billed to the Registrant for professional services rendered by its independent auditors, Deloitte & Touche LLP, for the audit of the Registrant’s annual financial statements for the fiscal years ended 2018 and 2017 were $207,072 and $405,855, respectively. |
(b) | AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2018 and 2017. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2018 and 2017. |
(c) | TAX FEES: The aggregate fees billed to 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 the fiscal years ended 2018 and 2017 were $90,918 and $82,164, respectively. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2018 and 2017. |
(d) | ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2018 and 2017. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2018 and 2017. |
(e) | (1) AUDIT COMMITTEE PRE-APPOVAL 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 the fiscal years ended 2018 and 2017 were pre-approved by the committee. |
(2) Not applicable. |
(f) | Not applicable. |
(g) | The aggregate non-audit fees billed by Deloitte & Touche LLP for services rendered to the Registrant, the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant, for the fiscal years ended 2018 and 2017 were $8,455,558 and $12,495,135, respectively. |
(h) | The audit committee considers whether the provision of non-audit services by Deloitte & Touche LLP to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining Deloitte & Touche LLP’s independence. |
* | Refers to fees that were required to be approved by the audit committee for services that relate directly to the operations and financial reporting of the Registrant. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Investments.
Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this filing.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable to this filing.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this Form N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to this filing.
Item 13. Exhibits.
(a)(1) Code of Ethics (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 1940 Act (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT.
(a)(3) Not applicable to this filing.
(a)(4) Not applicable to this filing.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the 1940 Act (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-
14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) |
MML Series Investment Fund II |
By (Signature and Title) |
/s/ Tina Wilson | |
Tina Wilson, President and Principal Executive Officer |
Date |
2/22/2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) |
/s/ Tina Wilson | |
Tina Wilson, President and Principal Executive Officer |
Date |
2/22/2019 |
By (Signature and Title) |
/s/ Renee Hitchcock | |
Renee Hitchcock, Treasurer and Principal Financial Officer |
Date |
2/22/2019 |
This ‘N-CSR’ Filing | Date | Other Filings | ||
---|---|---|---|---|
12/15/19 | ||||
4/30/19 | ||||
Filed on / Effective on: | 2/26/19 | |||
2/22/19 | ||||
1/1/19 | ||||
For Period End: | 12/31/18 | N-MFP2 | ||
12/15/18 | ||||
6/1/18 | ||||
12/31/17 | 24F-2NT, N-CSR, N-CSR/A, N-MFP2, NSAR-B | |||
8/1/17 | ||||
12/31/16 | 24F-2NT, N-CSR, N-MFP2, NSAR-B | |||
12/31/15 | 24F-2NT, N-CSR, N-MFP, NSAR-B | |||
5/15/15 | 485BPOS | |||
12/31/14 | 24F-2NT, N-CSR, N-MFP, NSAR-B | |||
4/5/12 | ||||
12/20/11 | ||||
12/15/11 | 497, DEF 14A, PRE 14A | |||
6/2/11 | ||||
12/22/10 | ||||
12/7/10 | N-MFP | |||
2/28/05 | ||||
2/8/05 | ||||
List all Filings |