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As Of Filer Filing For·On·As Docs:Size Issuer Agent 11/27/18 MML Series Investment Fund II N-Q 9/30/18 2:4.6M 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-Q Mml Series Investment Fund Ii HTML 2.74M 2: EX-99.CERT Certification Pursuant to Section 302 HTML 13K
MML Series Investment Fund II |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number |
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: |
9/30/2018 |
Item 1. Schedule of Investments.
MML Asset Momentum Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Number of Shares |
Value | |||||||
EQUITIES — 61.9% | ||||||||
COMMON STOCK — 61.9% | ||||||||
Communications — 9.6% | ||||||||
Internet — 9.1% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) |
1,700 | $ | 280,092 | |||||
Booking Holdings, Inc. (a) |
200 | 396,800 | ||||||
Facebook, Inc. Class A (a) |
11,600 | 1,907,736 | ||||||
Rightmove PLC |
35,000 | 214,859 | ||||||
|
|
|||||||
2,799,487 | ||||||||
|
|
|||||||
Telecommunications — 0.5% | ||||||||
NTT DOCOMO, Inc. |
5,600 | 150,588 | ||||||
|
|
|||||||
2,950,075 | ||||||||
|
|
|||||||
Consumer, Cyclical — 7.6% | ||||||||
Distribution & Wholesale — 2.8% | ||||||||
Pool Corp. |
5,100 | 851,088 | ||||||
|
|
|||||||
Home Builders — 4.8% | ||||||||
NVR, Inc. (a) |
600 | 1,482,480 | ||||||
|
|
|||||||
2,333,568 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 6.4% | ||||||||
Biotechnology — 1.3% | ||||||||
CSL Ltd. |
2,800 | 404,861 | ||||||
|
|
|||||||
Commercial Services — 1.9% | ||||||||
PayPal Holdings, Inc. (a) |
6,800 | 597,312 | ||||||
|
|
|||||||
Health Care – Products — 0.8% | ||||||||
Advanced Medical Solutions Group PLC |
54,425 | 234,447 | ||||||
|
|
|||||||
Health Care – Services — 1.4% | ||||||||
Fresenius SE & Co. KGaA |
5,900 | 433,204 | ||||||
|
|
|||||||
Household Products & Wares — 1.0% | ||||||||
Henkel AG & Co. KGaA |
2,000 | 212,411 | ||||||
Portmeirion Group PLC |
5,600 | 86,513 | ||||||
|
|
|||||||
298,924 | ||||||||
|
|
|||||||
1,968,748 | ||||||||
|
|
|||||||
Financial — 16.4% | ||||||||
Banks — 11.1% | ||||||||
Associated Banc-Corp. |
11,500 | 299,000 | ||||||
Bank of America Corp. |
9,400 | 276,924 | ||||||
BOK Financial Corp. |
3,100 | 301,568 | ||||||
Comerica, Inc. |
3,000 | 270,600 | ||||||
Fifth Third Bancorp |
9,000 | 251,280 | ||||||
JP Morgan Chase & Co. |
2,600 | 293,384 | ||||||
KeyCorp |
13,800 | 274,482 | ||||||
Regions Financial Corp. |
15,200 | 278,920 | ||||||
SVB Financial Group (a) |
1,100 | 341,913 | ||||||
Synovus Financial Corp. |
5,800 | 265,582 |
Number of Shares |
Value | |||||||
Western Alliance Bancorp (a) |
4,900 | $ | 278,761 | |||||
Zions Bancorp |
5,300 | 265,795 | ||||||
|
|
|||||||
3,398,209 | ||||||||
|
|
|||||||
Diversified Financial Services — 4.9% |
| |||||||
Mastercard, Inc. Class A |
5,300 | 1,179,833 | ||||||
Visa, Inc. Class A |
2,200 | 330,198 | ||||||
|
|
|||||||
1,510,031 | ||||||||
|
|
|||||||
Private Equity — 0.4% | ||||||||
Onex Corp. |
1,700 | 116,255 | ||||||
|
|
|||||||
5,024,495 | ||||||||
|
|
|||||||
Industrial — 15.1% | ||||||||
Aerospace & Defense — 11.4% | ||||||||
Lockheed Martin Corp. |
5,400 | 1,868,184 | ||||||
Raytheon Co. |
7,900 | 1,632,614 | ||||||
|
|
|||||||
3,500,798 | ||||||||
|
|
|||||||
Building Materials — 0.3% | ||||||||
Breedon Group PLC (a) |
88,437 | 84,263 | ||||||
|
|
|||||||
Electronics — 1.1% | ||||||||
Halma PLC |
17,600 | 331,222 | ||||||
|
|
|||||||
Hand & Machine Tools — 0.5% | ||||||||
Schindler Holding AG |
700 | 174,288 | ||||||
|
|
|||||||
Machinery – Diversified — 1.8% | ||||||||
Keyence Corp. |
400 | 232,057 | ||||||
Roper Technologies, Inc. |
1,100 | 325,831 | ||||||
|
|
|||||||
557,888 | ||||||||
|
|
|||||||
4,648,459 | ||||||||
|
|
|||||||
Technology — 6.8% | ||||||||
Computers — 2.6% | ||||||||
Fortinet, Inc. (a) |
8,800 | 811,976 | ||||||
|
|
|||||||
Software — 4.2% | ||||||||
Adobe Systems, Inc. (a) |
2,400 | 647,880 | ||||||
Constellation Software, Inc. |
300 | 220,618 | ||||||
EMIS Group PLC |
11,800 | 155,322 | ||||||
Nexus AG |
3,400 | 105,413 | ||||||
Open Text Corp. |
4,200 | 159,819 | ||||||
|
|
|||||||
1,289,052 | ||||||||
|
|
|||||||
2,101,028 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $17,201,784) |
19,026,373 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $17,201,784) |
19,026,373 | |||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
1
MML Asset Momentum Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
BONDS & NOTES — 9.7% |
| |||||||
U.S. TREASURY OBLIGATIONS — 9.7% |
| |||||||
U.S. Treasury Bonds & Notes — 9.7% |
| |||||||
U.S. Treasury Note |
$ | 3,000,000 | $ | 2,967,457 | ||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,991,914) |
2,967,457 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $2,991,914) |
2,967,457 | |||||||
|
|
|||||||
Number of Shares |
||||||||
MUTUAL FUNDS — 15.4% |
| |||||||
Diversified Financial Services — 15.4% |
| |||||||
iShares MSCI Brazil Capped Index Fund |
36,000 | 1,214,280 | ||||||
iShares MSCI India ETF |
6,600 | 214,302 | ||||||
Vanguard Total Stock Market ETF |
22,200 | 3,322,230 | ||||||
|
|
|||||||
4,750,812 | ||||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $4,602,219) |
4,750,812 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $24,795,917) |
26,744,642 | |||||||
|
|
Principal Amount |
Value | |||||||
SHORT-TERM INVESTMENTS — 12.8% |
| |||||||
Repurchase Agreement — 12.8% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/28/18, 1.100%, due 10/01/18 (c) |
$ | 3,937,700 | $ | 3,937,700 | ||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,937,700) |
3,937,700 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 99.8% (Cost $28,733,617) (d) |
30,682,342 | |||||||
Other Assets/(Liabilities) — 0.2% | 75,041 | |||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 30,757,383 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
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) | Maturity value of $3,938,061. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 8/15/42, and an aggregate market value, including accrued interest, of $4,018,257. |
(d) | See Note 3 for aggregate cost for federal tax purposes. |
Forward contracts at September 30, 2018:
|
|
Counterparty |
Settlement |
In Exchange |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Contracts to Buy | ||||||||||||||||||
GBP | 1,016,335 | HSBC Bank USA | 6/21/19 | $ | 1,400,000 | $ | (57,707 | ) | ||||||||||
THB | 42,808,350 | HSBC Bank USA | 11/13/18 | 1,300,000 | 25,390 | |||||||||||||
|
|
|
|
|||||||||||||||
$ | 2,700,000 | $ | (32,317 | ) | ||||||||||||||
|
|
|
|
|||||||||||||||
Cross Currency Forwards | ||||||||||||||||||
MYR | 6,000,000 | Barclays Bank PLC | 2/22/19 | JPY | 159,300,000 | $ | 28,568 | |||||||||||
GBP | 995,000 | HSBC Bank USA | 4/05/19 | AUD | 1,846,464 | (28,538 | ) | |||||||||||
|
|
|||||||||||||||||
$ | 30 | |||||||||||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
2
MML Asset Momentum Fund – Portfolio of Investments (Continued)
Futures contracts at September 30, 2018:
Expiration Date |
Number of Contracts |
Notional Amount |
Value/Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Long | ||||||||||||||||
NASDAQ 100 E-Mini Index |
12/21/18 | 12 | $ | 1,791,832 | $ | 45,428 | ||||||||||
S&P 500 E-Mini Index |
12/21/18 | 111 | 16,074,556 | 125,894 | ||||||||||||
|
|
|||||||||||||||
$ | 171,322 | |||||||||||||||
|
|
Currency Legend
AUD | Australian Dollar |
GBP | British Pound |
MYR | Malaysian Ringgit |
THB | Thai Baht |
JPY | Japanese Yen |
The accompanying notes are an integral part of the portfolio of investments.
3
MML Blend Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Number of Shares |
Value | |||||||
EQUITIES — 69.2% | ||||||||
COMMON STOCK — 69.1% | ||||||||
Basic Materials — 1.8% | ||||||||
Chemicals — 1.4% | ||||||||
Air Products & Chemicals, Inc. |
7,795 | $ | 1,302,155 | |||||
Albemarle Corp. |
5,110 | 509,876 | ||||||
CF Industries Holdings, Inc. |
16,190 | 881,384 | ||||||
DowDuPont, Inc. |
32,520 | 2,091,361 | ||||||
Eastman Chemical Co. |
6,070 | 581,020 | ||||||
LyondellBasell Industries NV Class A |
17,640 | 1,808,276 | ||||||
The Mosaic Co. |
61,400 | 1,994,272 | ||||||
PPG Industries, Inc. |
8 | 873 | ||||||
Praxair, Inc. |
6,736 | 1,082,677 | ||||||
The Sherwin-Williams Co. |
3 | 1,366 | ||||||
|
|
|||||||
10,253,260 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.0% |
|
|||||||
International Paper Co. |
3,587 | 176,301 | ||||||
|
|
|||||||
Iron & Steel — 0.1% | ||||||||
Nucor Corp. |
12,056 | 764,953 | ||||||
|
|
|||||||
Mining — 0.3% | ||||||||
Freeport-McMoRan, Inc. |
70,864 | 986,427 | ||||||
Newmont Mining Corp. |
23,670 | 714,834 | ||||||
|
|
|||||||
1,701,261 | ||||||||
|
|
|||||||
12,895,775 | ||||||||
|
|
|||||||
Communications — 10.3% | ||||||||
Advertising — 0.1% | ||||||||
The Interpublic Group of Cos., Inc. |
6,922 | 158,306 | ||||||
Omnicom Group, Inc. |
3,747 | 254,871 | ||||||
|
|
|||||||
413,177 | ||||||||
|
|
|||||||
Internet — 6.6% | ||||||||
Alphabet, Inc. Class A (a) |
6,800 | 8,208,144 | ||||||
Alphabet, Inc. Class C (a) |
7,811 | 9,322,194 | ||||||
Amazon.com, Inc. (a) |
7,880 | 15,783,640 | ||||||
Booking Holdings, Inc. (a) |
891 | 1,767,744 | ||||||
eBay, Inc. (a) |
20,777 | 686,057 | ||||||
Expedia Group, Inc. |
5,157 | 672,885 | ||||||
F5 Networks, Inc. (a) |
10,360 | 2,065,991 | ||||||
Facebook, Inc. Class A (a) |
34,550 | 5,682,093 | ||||||
Netflix, Inc. (a) |
8,613 | 3,222,382 | ||||||
Symantec Corp. |
55 | 1,170 | ||||||
TripAdvisor, Inc. (a) |
37 | 1,890 | ||||||
VeriSign, Inc. (a) |
2,991 | 478,919 | ||||||
|
|
|||||||
47,893,109 | ||||||||
|
|
|||||||
Media — 1.2% | ||||||||
CBS Corp. Class B |
57 | 3,275 | ||||||
Charter Communications, Inc. Class A (a) |
3,201 | 1,043,142 |
Number of Shares |
Value | |||||||
Comcast Corp. Class A |
107,324 | $ | 3,800,343 | |||||
Discovery, Inc. Class A (a) |
600 | 19,200 | ||||||
Discovery, Inc. Class C (a) |
15,443 | 456,804 | ||||||
DISH Network Corp. Class A (a) |
52,600 | 1,880,976 | ||||||
News Corp. Class A |
7,566 | 99,795 | ||||||
Twenty-First Century Fox, Inc. Class A |
19,567 | 906,539 | ||||||
Twenty-First Century Fox, Inc. Class B |
8,100 | 371,142 | ||||||
Viacom, Inc. Class B |
12,810 | 432,465 | ||||||
The Walt Disney Co. |
2 | 234 | ||||||
|
|
|||||||
9,013,915 | ||||||||
|
|
|||||||
Telecommunications — 2.4% | ||||||||
AT&T, Inc. |
144,626 | 4,856,541 | ||||||
CenturyLink, Inc. |
28 | 594 | ||||||
Cisco Systems, Inc. |
160,642 | 7,815,233 | ||||||
Juniper Networks, Inc. |
25,489 | 763,905 | ||||||
Motorola Solutions, Inc. |
3,137 | 408,249 | ||||||
Verizon Communications, Inc. |
62,655 | 3,345,151 | ||||||
|
|
|||||||
17,189,673 | ||||||||
|
|
|||||||
74,509,874 | ||||||||
|
|
|||||||
Consumer, Cyclical — 5.9% | ||||||||
Airlines — 0.7% | ||||||||
Alaska Air Group, Inc. |
300 | 20,658 | ||||||
American Airlines Group, Inc. |
28,200 | 1,165,506 | ||||||
Delta Air Lines, Inc. |
23,200 | 1,341,656 | ||||||
Southwest Airlines Co. |
10,383 | 648,418 | ||||||
United Continental Holdings, Inc. (a) |
22,100 | 1,968,226 | ||||||
|
|
|||||||
5,144,464 | ||||||||
|
|
|||||||
Apparel — 0.6% | ||||||||
Hanesbrands, Inc. |
6,900 | 127,167 | ||||||
Michael Kors Holdings Ltd. (a) |
18,900 | 1,295,784 | ||||||
NIKE, Inc. Class B |
12,184 | 1,032,228 | ||||||
PVH Corp. |
1,620 | 233,928 | ||||||
Ralph Lauren Corp. |
13,350 | 1,836,293 | ||||||
VF Corp. |
2,200 | 205,590 | ||||||
|
|
|||||||
4,730,990 | ||||||||
|
|
|||||||
Auto Manufacturers — 0.5% | ||||||||
Ford Motor Co. |
128,513 | 1,188,746 | ||||||
General Motors Co. |
45,200 | 1,521,884 | ||||||
PACCAR, Inc. |
14,022 | 956,160 | ||||||
|
|
|||||||
3,666,790 | ||||||||
|
|
|||||||
Auto Parts & Equipment — 0.3% | ||||||||
Aptiv PLC |
9,300 | 780,270 | ||||||
BorgWarner, Inc. |
33,300 | 1,424,574 | ||||||
The Goodyear Tire & Rubber Co. |
4,351 | 101,770 | ||||||
|
|
|||||||
2,306,614 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
4
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Distribution & Wholesale — 0.1% |
| |||||||
Fastenal Co. |
82 | $ | 4,758 | |||||
W.W. Grainger, Inc. |
1,072 | 383,143 | ||||||
|
|
|||||||
387,901 | ||||||||
|
|
|||||||
Home Builders — 0.2% | ||||||||
D.R. Horton, Inc. |
4,747 | 200,229 | ||||||
PulteGroup, Inc. |
57,173 | 1,416,175 | ||||||
|
|
|||||||
1,616,404 | ||||||||
|
|
|||||||
Home Furnishing — 0.0% | ||||||||
Leggett & Platt, Inc. |
86 | 3,766 | ||||||
Whirlpool Corp. |
1,243 | 147,606 | ||||||
|
|
|||||||
151,372 | ||||||||
|
|
|||||||
Leisure Time — 0.1% | ||||||||
Harley-Davidson, Inc. |
10,002 | 453,091 | ||||||
|
|
|||||||
Lodging — 0.4% | ||||||||
Hilton Worldwide Holdings, Inc. |
12,700 | 1,025,906 | ||||||
Marriott International, Inc. Class A |
921 | 121,600 | ||||||
MGM Resorts International |
40,600 | 1,133,146 | ||||||
Wynn Resorts Ltd. |
3,038 | 386,008 | ||||||
|
|
|||||||
2,666,660 | ||||||||
|
|
|||||||
Retail — 3.0% | ||||||||
AutoZone, Inc. (a) |
494 | 383,196 | ||||||
Best Buy Co., Inc. |
22,992 | 1,824,645 | ||||||
Costco Wholesale Corp. |
7,370 | 1,731,066 | ||||||
Darden Restaurants, Inc. |
2,654 | 295,098 | ||||||
Dollar Tree, Inc. (a) |
48 | 3,914 | ||||||
Foot Locker, Inc. |
42,300 | 2,156,454 | ||||||
The Gap, Inc. |
10,990 | 317,062 | ||||||
Genuine Parts Co. |
34 | 3,380 | ||||||
The Home Depot, Inc. |
7,617 | 1,577,862 | ||||||
Kohl’s Corp. |
26,030 | 1,940,537 | ||||||
L Brands, Inc. |
2,200 | 66,660 | ||||||
Lowe’s Cos., Inc. |
95 | 10,908 | ||||||
Macy’s, Inc. |
54,951 | 1,908,448 | ||||||
McDonald’s Corp. |
2,040 | 341,272 | ||||||
Nordstrom, Inc. |
2,308 | 138,041 | ||||||
O’Reilly Automotive, Inc. (a) |
3,663 | 1,272,233 | ||||||
Ross Stores, Inc. |
2,644 | 262,020 | ||||||
Starbucks Corp. |
54 | 3,069 | ||||||
Tapestry, Inc. |
6,220 | 312,679 | ||||||
Target Corp. |
17,286 | 1,524,798 | ||||||
Tiffany & Co. |
802 | 103,434 | ||||||
The TJX Cos., Inc. |
3,106 | 347,934 | ||||||
Walgreens Boots Alliance, Inc. |
16,557 | 1,207,005 | ||||||
Walmart, Inc. |
40,322 | 3,786,639 | ||||||
Yum! Brands, Inc. |
35 | 3,182 | ||||||
|
|
|||||||
21,521,536 | ||||||||
|
|
|||||||
Toys, Games & Hobbies — 0.0% |
| |||||||
Hasbro, Inc. |
461 | 48,460 |
Number of Shares |
Value | |||||||
Mattel, Inc. |
90 | $ | 1,413 | |||||
|
|
|||||||
49,873 | ||||||||
|
|
|||||||
42,695,695 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 14.0% |
| |||||||
Agriculture — 0.6% | ||||||||
Altria Group, Inc. |
10,559 | 636,813 | ||||||
Archer-Daniels-Midland Co. |
92 | 4,625 | ||||||
Philip Morris International, Inc. |
42,486 | 3,464,309 | ||||||
|
|
|||||||
4,105,747 | ||||||||
|
|
|||||||
Beverages — 0.9% | ||||||||
Brown-Forman Corp. Class B |
15 | 758 | ||||||
The Coca-Cola Co. |
31,830 | 1,470,228 | ||||||
Constellation Brands, Inc. Class A |
542 | 116,866 | ||||||
Molson Coors Brewing Co. Class B |
29,600 | 1,820,400 | ||||||
PepsiCo, Inc. |
24,860 | 2,779,348 | ||||||
|
|
|||||||
6,187,600 | ||||||||
|
|
|||||||
Biotechnology — 1.8% | ||||||||
Amgen, Inc. |
23,331 | 4,836,283 | ||||||
Biogen, Inc. (a) |
7,472 | 2,639,933 | ||||||
Celgene Corp. (a) |
16,176 | 1,447,590 | ||||||
Gilead Sciences, Inc. |
54,610 | 4,216,438 | ||||||
|
|
|||||||
13,140,244 | ||||||||
|
|
|||||||
Commercial Services — 1.4% | ||||||||
Automatic Data Processing, Inc. |
10,699 | 1,611,911 | ||||||
Cintas Corp. |
1,878 | 371,487 | ||||||
Ecolab, Inc. |
2 | 314 | ||||||
Equifax, Inc. |
132 | 17,235 | ||||||
H&R Block, Inc. |
69,363 | 1,786,097 | ||||||
Moody’s Corp. |
3,330 | 556,776 | ||||||
PayPal Holdings, Inc. (a) |
77 | 6,764 | ||||||
Quanta Services, Inc. (a) |
28,813 | 961,778 | ||||||
Robert Half International, Inc. |
17,426 | 1,226,442 | ||||||
S&P Global, Inc. |
1,018 | 198,907 | ||||||
Total System Services, Inc. |
8,207 | 810,359 | ||||||
United Rentals, Inc. (a) |
7,110 | 1,163,196 | ||||||
The Western Union Co. |
71,888 | 1,370,185 | ||||||
|
|
|||||||
10,081,451 | ||||||||
|
|
|||||||
Cosmetics & Personal Care — 0.8% |
| |||||||
Colgate-Palmolive Co. |
5,906 | 395,407 | ||||||
The Estee Lauder Cos., Inc. Class A |
7,910 | 1,149,481 | ||||||
The Procter & Gamble Co. |
53,729 | 4,471,865 | ||||||
|
|
|||||||
6,016,753 | ||||||||
|
|
|||||||
Foods — 0.5% | ||||||||
Campbell Soup Co. |
1,624 | 59,487 | ||||||
Conagra Brands, Inc. |
7,774 | 264,083 | ||||||
General Mills, Inc. |
1,962 | 84,209 | ||||||
The Hershey Co. |
1,647 | 167,994 | ||||||
Hormel Foods Corp. |
15,732 | 619,841 | ||||||
The J.M. Smucker Co. |
845 | 86,705 |
The accompanying notes are an integral part of the portfolio of investments.
5
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Kellogg Co. |
8,428 | $ | 590,129 | |||||
The Kraft Heinz Co. |
4,958 | 273,235 | ||||||
The Kroger Co. |
34,958 | 1,017,627 | ||||||
McCormick & Co., Inc. |
161 | 21,212 | ||||||
Mondelez International, Inc. Class A |
75 | 3,222 | ||||||
Sysco Corp. |
5,334 | 390,715 | ||||||
Tyson Foods, Inc. Class A |
4,301 | 256,039 | ||||||
|
|
|||||||
3,834,498 | ||||||||
|
|
|||||||
Health Care – Products — 1.1% |
| |||||||
Abbott Laboratories |
19,601 | 1,437,929 | ||||||
Baxter International, Inc. |
9,361 | 721,639 | ||||||
Becton, Dickinson & Co. |
242 | 63,162 | ||||||
Boston Scientific Corp. (a) |
300 | 11,550 | ||||||
The Cooper Cos., Inc. |
1,240 | 343,666 | ||||||
Danaher Corp. |
11,256 | 1,223,077 | ||||||
DENTSPLY SIRONA, Inc. |
56 | 2,113 | ||||||
Edwards Lifesciences Corp. (a) |
30 | 5,223 | ||||||
Hologic, Inc. (a) |
1,400 | 57,372 | ||||||
Intuitive Surgical, Inc. (a) |
288 | 165,312 | ||||||
Medtronic PLC |
28,000 | 2,754,360 | ||||||
Stryker Corp. |
170 | 30,206 | ||||||
Thermo Fisher Scientific, Inc. |
3,971 | 969,242 | ||||||
Varian Medical Systems, Inc. (a) |
7 | 784 | ||||||
Zimmer Biomet Holdings, Inc. |
2,455 | 322,759 | ||||||
|
|
|||||||
8,108,394 | ||||||||
|
|
|||||||
Health Care – Services — 1.8% | ||||||||
Aetna, Inc. |
6,227 | 1,263,147 | ||||||
Anthem, Inc. |
5,796 | 1,588,394 | ||||||
Centene Corp. (a) |
3,010 | 435,788 | ||||||
Cigna Corp. |
6,512 | 1,356,124 | ||||||
DaVita, Inc. (a) |
3,030 | 217,039 | ||||||
HCA Healthcare, Inc. |
2,600 | 361,712 | ||||||
Humana, Inc. |
4,344 | 1,470,531 | ||||||
IQVIA Holdings, Inc. (a) |
7,040 | 913,369 | ||||||
Laboratory Corp. of America Holdings (a) |
2 | 347 | ||||||
Quest Diagnostics, Inc. |
3,309 | 357,074 | ||||||
UnitedHealth Group, Inc. |
19,694 | 5,239,392 | ||||||
Universal Health Services, Inc. Class B |
50 | 6,392 | ||||||
|
|
|||||||
13,209,309 | ||||||||
|
|
|||||||
Household Products & Wares — 0.2% |
| |||||||
Avery Dennison Corp. |
1,915 | 207,490 | ||||||
The Clorox Co. |
723 | 108,746 | ||||||
Kimberly-Clark Corp. |
7,345 | 834,686 | ||||||
|
|
|||||||
1,150,922 | ||||||||
|
|
|||||||
Pharmaceuticals — 4.9% | ||||||||
AbbVie, Inc. |
49,322 | 4,664,875 | ||||||
Allergan PLC |
5,580 | 1,062,878 | ||||||
AmerisourceBergen Corp. |
1,507 | 138,976 |
Number of Shares |
Value | |||||||
Bristol-Myers Squibb Co. |
20,767 | $ | 1,289,215 | |||||
Cardinal Health, Inc. |
15,778 | 852,012 | ||||||
CVS Health Corp. |
21,694 | 1,707,752 | ||||||
Eli Lilly & Co. |
16,614 | 1,782,848 | ||||||
Express Scripts Holding Co. (a) |
23,301 | 2,213,828 | ||||||
Johnson & Johnson |
57,122 | 7,892,547 | ||||||
McKesson Corp. |
7,525 | 998,191 | ||||||
Merck & Co., Inc. |
51,583 | 3,659,298 | ||||||
Mylan NV (a) |
12,047 | 440,920 | ||||||
Perrigo Co. PLC |
2,200 | 155,760 | ||||||
Pfizer, Inc. |
166,041 | 7,317,427 | ||||||
Zoetis, Inc. |
11,400 | 1,043,784 | ||||||
|
|
|||||||
35,220,311 | ||||||||
|
|
|||||||
101,055,229 | ||||||||
|
|
|||||||
Energy — 3.6% | ||||||||
Oil & Gas — 3.3% | ||||||||
Anadarko Petroleum Corp. |
19,748 | 1,331,213 | ||||||
Andeavor |
2,517 | 386,359 | ||||||
Apache Corp. |
21 | 1,001 | ||||||
Cabot Oil & Gas Corp. |
48 | 1,081 | ||||||
Chevron Corp. |
31,788 | 3,887,037 | ||||||
ConocoPhillips |
42,939 | 3,323,479 | ||||||
Devon Energy Corp. |
147 | 5,871 | ||||||
EOG Resources, Inc. |
6,478 | 826,398 | ||||||
EQT Corp. |
97 | 4,290 | ||||||
Exxon Mobil Corp. |
35,497 | 3,017,955 | ||||||
Helmerich & Payne, Inc. |
60 | 4,126 | ||||||
Hess Corp. |
32 | 2,291 | ||||||
HollyFrontier Corp. |
11,700 | 817,830 | ||||||
Marathon Oil Corp. |
106,627 | 2,482,276 | ||||||
Marathon Petroleum Corp. |
23,806 | 1,903,766 | ||||||
Newfield Exploration Co. (a) |
36,100 | 1,040,763 | ||||||
Noble Energy, Inc. |
56 | 1,747 | ||||||
Occidental Petroleum Corp. |
13,315 | 1,094,093 | ||||||
Phillips 66 |
12,369 | 1,394,234 | ||||||
Pioneer Natural Resources Co. |
5,431 | 946,026 | ||||||
Valero Energy Corp. |
10,440 | 1,187,550 | ||||||
|
|
|||||||
23,659,386 | ||||||||
|
|
|||||||
Oil & Gas Services — 0.3% | ||||||||
Baker Hughes a GE Co. |
31 | 1,049 | ||||||
Halliburton Co. |
17,867 | 724,149 | ||||||
National Oilwell Varco, Inc. |
22,794 | 981,965 | ||||||
Schlumberger Ltd. |
4,531 | 276,029 | ||||||
TechnipFMC PLC |
8,340 | 260,625 | ||||||
|
|
|||||||
2,243,817 | ||||||||
|
|
|||||||
Pipelines — 0.0% | ||||||||
Kinder Morgan, Inc. |
38 | 674 | ||||||
The Williams Cos., Inc. |
48 | 1,305 | ||||||
|
|
|||||||
1,979 | ||||||||
|
|
|||||||
25,905,182 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
6
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Financial — 12.9% | ||||||||
Banks — 5.9% | ||||||||
Bank of America Corp. |
190,198 | $ | 5,603,233 | |||||
The Bank of New York Mellon Corp. |
29,707 | 1,514,760 | ||||||
BB&T Corp. |
3,166 | 153,678 | ||||||
Capital One Financial Corp. |
17,052 | 1,618,747 | ||||||
Citigroup, Inc. |
81,551 | 5,850,469 | ||||||
Citizens Financial Group, Inc. |
26,500 | 1,022,105 | ||||||
Comerica, Inc. |
16,821 | 1,517,254 | ||||||
Fifth Third Bancorp |
42,921 | 1,198,354 | ||||||
The Goldman Sachs Group, Inc. |
12,980 | 2,910,635 | ||||||
Huntington Bancshares, Inc. |
6,800 | 101,456 | ||||||
JP Morgan Chase & Co. |
68,562 | 7,736,536 | ||||||
KeyCorp |
32,764 | 651,676 | ||||||
M&T Bank Corp. |
6,045 | 994,644 | ||||||
Morgan Stanley |
44,697 | 2,081,539 | ||||||
Northern Trust Corp. |
13,759 | 1,405,207 | ||||||
The PNC Financial Services Group, Inc. |
12,918 | 1,759,303 | ||||||
Regions Financial Corp. |
79,715 | 1,462,770 | ||||||
State Street Corp. |
6,576 | 550,937 | ||||||
SunTrust Banks, Inc. |
23,700 | 1,582,923 | ||||||
SVB Financial Group (a) |
3,870 | 1,202,912 | ||||||
US Bancorp |
7,602 | 401,462 | ||||||
Wells Fargo & Co. |
17,416 | 915,385 | ||||||
Zions Bancorp |
4,241 | 212,686 | ||||||
|
|
|||||||
42,448,671 | ||||||||
|
|
|||||||
Diversified Financial Services — 2.9% |
| |||||||
Alliance Data Systems Corp. |
8,190 | 1,934,150 | ||||||
American Express Co. |
2,519 | 268,248 | ||||||
Ameriprise Financial, Inc. |
11,356 | 1,676,827 | ||||||
BlackRock, Inc. |
3,180 | 1,498,829 | ||||||
The Charles Schwab Corp. |
21,112 | 1,037,655 | ||||||
Discover Financial Services |
1,783 | 136,310 | ||||||
E*TRADE Financial Corp. (a) |
12,761 | 668,549 | ||||||
Franklin Resources, Inc. |
6,387 | 194,229 | ||||||
Intercontinental Exchange, Inc. |
15 | 1,123 | ||||||
Invesco Ltd. |
2,112 | 48,323 | ||||||
Jefferies Financial Group, Inc. |
37 | 813 | ||||||
Mastercard, Inc. Class A |
22,760 | 5,066,604 | ||||||
Nasdaq, Inc. |
45 | 3,861 | ||||||
Raymond James Financial, Inc. |
4,900 | 451,045 | ||||||
Synchrony Financial |
20,100 | 624,708 | ||||||
T. Rowe Price Group, Inc. |
15,606 | 1,703,863 | ||||||
Visa, Inc. Class A |
38,072 | 5,714,226 | ||||||
|
|
|||||||
21,029,363 | ||||||||
|
|
|||||||
Insurance — 3.0% | ||||||||
Aflac, Inc. |
28,944 | 1,362,394 | ||||||
The Allstate Corp. |
12,035 | 1,187,854 | ||||||
American International Group, Inc. |
46 | 2,449 | ||||||
Aon PLC |
3,445 | 529,772 |
Number of Shares |
Value | |||||||
Assurant, Inc. |
5,216 | $ | 563,067 | |||||
Berkshire Hathaway, Inc. Class B (a) |
38,426 | 8,227,391 | ||||||
Brighthouse Financial, Inc. (a) |
26 | 1,150 | ||||||
Chubb Ltd. |
7,568 | 1,011,388 | ||||||
Cincinnati Financial Corp. |
4,419 | 339,423 | ||||||
Everest Re Group Ltd. |
3,000 | 685,410 | ||||||
The Hartford Financial Services Group, Inc. |
5,952 | 297,362 | ||||||
Lincoln National Corp. |
10,351 | 700,349 | ||||||
Loews Corp. |
20,783 | 1,043,930 | ||||||
Marsh & McLennan Cos., Inc. |
5,813 | 480,851 | ||||||
MetLife, Inc. |
32,190 | 1,503,917 | ||||||
Principal Financial Group, Inc. |
8,129 | 476,278 | ||||||
The Progressive Corp. |
18,114 | 1,286,819 | ||||||
Prudential Financial, Inc. |
15,737 | 1,594,473 | ||||||
Torchmark Corp. |
3,282 | 284,517 | ||||||
The Travelers Cos., Inc. |
2,287 | 296,647 | ||||||
Unum Group |
2,731 | 106,700 | ||||||
|
|
|||||||
21,982,141 | ||||||||
|
|
|||||||
Real Estate — 0.1% | ||||||||
CBRE Group, Inc. Class A (a) |
24,287 | 1,071,057 | ||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 0.9% |
| |||||||
American Tower Corp. |
119 | 17,291 | ||||||
Apartment Investment & Management Co. Class A |
85 | 3,751 | ||||||
AvalonBay Communities, Inc. |
2,081 | 376,973 | ||||||
Boston Properties, Inc. |
3 | 369 | ||||||
Digital Realty Trust, Inc. |
280 | 31,494 | ||||||
Duke Realty Corp. |
9,000 | 255,330 | ||||||
Equinix, Inc. |
120 | 51,947 | ||||||
Equity Residential |
56 | 3,710 | ||||||
Essex Property Trust, Inc. |
1,500 | 370,065 | ||||||
Extra Space Storage, Inc. |
7,000 | 606,480 | ||||||
HCP, Inc. |
35 | 921 | ||||||
Host Hotels & Resorts, Inc. |
27,837 | 587,361 | ||||||
Iron Mountain, Inc. |
48 | 1,657 | ||||||
Kimco Realty Corp. |
2,767 | 46,320 | ||||||
Mid-America Apartment Communities, Inc. |
60 | 6,011 | ||||||
Prologis, Inc. |
12,838 | 870,288 | ||||||
Public Storage |
203 | 40,931 | ||||||
Simon Property Group, Inc. |
645 | 114,004 | ||||||
SL Green Realty Corp. |
18,490 | 1,803,330 | ||||||
Ventas, Inc. |
1,025 | 55,739 | ||||||
Vornado Realty Trust |
1,373 | 100,229 | ||||||
Welltower, Inc. |
2,100 | 135,072 | ||||||
Weyerhaeuser Co. |
20,626 | 665,601 | ||||||
|
|
|||||||
6,144,874 | ||||||||
|
|
|||||||
Savings & Loans — 0.1% | ||||||||
People’s United Financial, Inc. |
25,351 | 434,009 | ||||||
|
|
|||||||
93,110,115 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
7
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Industrial — 5.7% | ||||||||
Aerospace & Defense — 1.5% |
| |||||||
Arconic, Inc. |
8 | $ | 176 | |||||
The Boeing Co. |
18,292 | 6,802,795 | ||||||
General Dynamics Corp. |
602 | 123,241 | ||||||
Harris Corp. |
770 | 130,292 | ||||||
L3 Technologies, Inc. |
970 | 206,241 | ||||||
Lockheed Martin Corp. |
1,530 | 529,319 | ||||||
Northrop Grumman Corp. |
348 | 110,445 | ||||||
Raytheon Co. |
4,829 | 997,961 | ||||||
Rockwell Collins, Inc. |
8 | 1,124 | ||||||
United Technologies Corp. |
14,540 | 2,032,837 | ||||||
|
|
|||||||
10,934,431 | ||||||||
|
|
|||||||
Building Materials — 0.1% | ||||||||
Johnson Controls International PLC |
19,765 | 691,775 | ||||||
Masco Corp. |
25 | 915 | ||||||
Vulcan Materials Co. |
5 | 556 | ||||||
|
|
|||||||
693,246 | ||||||||
|
|
|||||||
Electrical Components & Equipment — 0.1% |
| |||||||
AMETEK, Inc. |
7,700 | 609,224 | ||||||
Emerson Electric Co. |
4,869 | 372,868 | ||||||
|
|
|||||||
982,092 | ||||||||
|
|
|||||||
Electronics — 1.0% | ||||||||
Agilent Technologies, Inc. |
15,163 | 1,069,598 | ||||||
Allegion PLC |
1,633 | 147,901 | ||||||
Amphenol Corp. Class A |
4,264 | 400,901 | ||||||
Corning, Inc. |
40,967 | 1,446,135 | ||||||
FLIR Systems, Inc. |
2,852 | 175,313 | ||||||
Fortive Corp. |
5,878 | 494,928 | ||||||
Garmin Ltd. |
2,100 | 147,105 | ||||||
Honeywell International, Inc. |
14,922 | 2,483,021 | ||||||
PerkinElmer, Inc. |
2,720 | 264,574 | ||||||
Waters Corp. (a) |
1,540 | 299,807 | ||||||
|
|
|||||||
6,929,283 | ||||||||
|
|
|||||||
Engineering & Construction — 0.3% |
| |||||||
Fluor Corp. |
16,809 | 976,603 | ||||||
Jacobs Engineering Group, Inc. |
17,420 | 1,332,630 | ||||||
|
|
|||||||
2,309,233 | ||||||||
|
|
|||||||
Environmental Controls — 0.1% |
| |||||||
Pentair PLC |
18,023 | 781,297 | ||||||
Republic Services, Inc. |
337 | 24,487 | ||||||
Stericycle, Inc. (a) |
97 | 5,692 | ||||||
Waste Management, Inc. |
1,973 | 178,280 | ||||||
|
|
|||||||
989,756 | ||||||||
|
|
|||||||
Hand & Machine Tools — 0.2% |
| |||||||
Snap-on, Inc. |
7,971 | 1,463,476 | ||||||
Stanley Black & Decker, Inc. |
9 | 1,318 | ||||||
|
|
|||||||
1,464,794 | ||||||||
|
|
Number of Shares |
Value | |||||||
Machinery – Construction & Mining — 0.2% |
| |||||||
Caterpillar, Inc. |
11,225 | $ | 1,711,700 | |||||
|
|
|||||||
Machinery – Diversified — 0.2% | ||||||||
Cummins, Inc. |
3,325 | 485,683 | ||||||
Dover Corp. |
5,173 | 457,966 | ||||||
Flowserve Corp. |
70 | 3,828 | ||||||
Rockwell Automation, Inc. |
493 | 92,447 | ||||||
Roper Technologies, Inc. |
663 | 196,387 | ||||||
Xylem, Inc. |
3,355 | 267,964 | ||||||
|
|
|||||||
1,504,275 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 0.4% |
| |||||||
3M Co. |
2 | 421 | ||||||
Eaton Corp. PLC |
13,566 | 1,176,579 | ||||||
General Electric Co. |
86 | 971 | ||||||
Illinois Tool Works, Inc. |
285 | 40,219 | ||||||
Ingersoll-Rand PLC |
9,600 | 982,080 | ||||||
Parker-Hannifin Corp. |
2,848 | 523,833 | ||||||
Textron, Inc. |
4,672 | 333,908 | ||||||
|
|
|||||||
3,058,011 | ||||||||
|
|
|||||||
Packaging & Containers — 0.3% | ||||||||
Ball Corp. |
4 | 176 | ||||||
Packaging Corp. of America |
750 | 82,268 | ||||||
Sealed Air Corp. |
53 | 2,128 | ||||||
WestRock Co. |
36,267 | 1,938,108 | ||||||
|
|
|||||||
2,022,680 | ||||||||
|
|
|||||||
Shipbuilding — 0.3% | ||||||||
Huntington Ingalls Industries, Inc. |
6,930 | 1,774,634 | ||||||
|
|
|||||||
Transportation — 1.0% | ||||||||
C.H. Robinson Worldwide, Inc. |
120 | 11,750 | ||||||
CSX Corp. |
29,907 | 2,214,613 | ||||||
Expeditors International of Washington, Inc. |
126 | 9,265 | ||||||
Norfolk Southern Corp. |
7,813 | 1,410,247 | ||||||
Union Pacific Corp. |
16,712 | 2,721,215 | ||||||
United Parcel Service, Inc. Class B |
4,880 | 569,740 | ||||||
|
|
|||||||
6,936,830 | ||||||||
|
|
|||||||
41,310,965 | ||||||||
|
|
|||||||
Technology — 13.3% | ||||||||
Computers — 5.4% | ||||||||
Accenture PLC Class A |
4,240 | 721,648 | ||||||
Apple, Inc. |
116,347 | 26,264,172 | ||||||
Cognizant Technology Solutions Corp. Class A |
10,256 | 791,250 | ||||||
DXC Technology Co. |
16,979 | 1,587,876 | ||||||
Hewlett Packard Enterprise Co. |
67,274 | 1,097,239 | ||||||
HP, Inc. |
71,974 | 1,854,770 | ||||||
International Business Machines Corp. |
15,040 | 2,274,199 | ||||||
NetApp, Inc. |
22,098 | 1,897,997 |
The accompanying notes are an integral part of the portfolio of investments.
8
MML Blend Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Seagate Technology PLC |
32,100 | $ | 1,519,935 | |||||
Western Digital Corp. |
7,147 | 418,385 | ||||||
|
|
|||||||
38,427,471 | ||||||||
|
|
|||||||
Office & Business Equipment — 0.0% |
| |||||||
Xerox Corp. |
836 | 22,555 | ||||||
|
|
|||||||
Semiconductors — 2.5% | ||||||||
Analog Devices, Inc. |
1,072 | 99,117 | ||||||
Applied Materials, Inc. |
1,939 | 74,942 | ||||||
Broadcom, Inc. |
7,049 | 1,739,200 | ||||||
Intel Corp. |
164,423 | 7,775,564 | ||||||
KLA-Tencor Corp. |
10,279 | 1,045,477 | ||||||
Lam Research Corp. |
1,193 | 180,978 | ||||||
Microchip Technology, Inc. |
21 | 1,657 | ||||||
Micron Technology, Inc. (a) |
29,817 | 1,348,623 | ||||||
NVIDIA Corp. |
556 | 156,247 | ||||||
QUALCOMM, Inc. |
35,100 | 2,528,253 | ||||||
Skyworks Solutions, Inc. |
6,010 | 545,167 | ||||||
Texas Instruments, Inc. |
22,274 | 2,389,778 | ||||||
Xilinx, Inc. |
3,756 | 301,119 | ||||||
|
|
|||||||
18,186,122 | ||||||||
|
|
|||||||
Software — 5.4% | ||||||||
Activision Blizzard, Inc. |
200 | 16,638 | ||||||
Adobe Systems, Inc. (a) |
12,600 | 3,401,370 | ||||||
Akamai Technologies, Inc. (a) |
20,026 | 1,464,902 | ||||||
ANSYS, Inc. (a) |
2,350 | 438,698 | ||||||
Autodesk, Inc. (a) |
37 | 5,776 | ||||||
Broadridge Financial Solutions, Inc. |
6,090 | 803,575 | ||||||
CA, Inc. |
15,073 | 665,473 | ||||||
Cadence Design Systems, Inc. (a) |
3,600 | 163,152 | ||||||
Citrix Systems, Inc. (a) |
17,837 | 1,982,761 | ||||||
Electronic Arts, Inc. (a) |
867 | 104,465 | ||||||
Fidelity National Information Services, Inc. |
5,500 | 599,885 | ||||||
Fiserv, Inc. (a) |
3,352 | 276,138 | ||||||
Intuit, Inc. |
5,540 | 1,259,796 | ||||||
Microsoft Corp. |
199,845 | 22,856,273 | ||||||
Oracle Corp. |
53,857 | 2,776,867 | ||||||
Paychex, Inc. |
64 | 4,713 | ||||||
Red Hat, Inc. (a) |
1 | 136 | ||||||
salesforce.com, Inc. (a) |
13,554 | 2,155,493 | ||||||
Synopsys, Inc. (a) |
600 | 59,166 | ||||||
|
|
|||||||
39,035,277 | ||||||||
|
|
|||||||
95,671,425 | ||||||||
|
|
|||||||
Utilities — 1.6% | ||||||||
Electric — 1.6% | ||||||||
AES Corp. |
55,887 | 782,418 | ||||||
Ameren Corp. |
660 | 41,725 | ||||||
American Electric Power Co., Inc. |
8,385 | 594,329 | ||||||
CenterPoint Energy, Inc. |
23,731 | 656,162 | ||||||
CMS Energy Corp. |
7,903 | 387,247 |
Number of Shares |
Value | |||||||
Consolidated Edison, Inc. |
2,182 | $ | 166,247 | |||||
Dominion Energy, Inc. |
1,716 | 120,600 | ||||||
DTE Energy Co. |
3,020 | 329,573 | ||||||
Duke Energy Corp. |
15,190 | 1,215,504 | ||||||
Edison International |
426 | 28,832 | ||||||
Entergy Corp. |
5,198 | 421,714 | ||||||
Eversource Energy |
812 | 49,889 | ||||||
Exelon Corp. |
22,140 | 966,632 | ||||||
FirstEnergy Corp. |
580 | 21,559 | ||||||
NextEra Energy, Inc. |
3,040 | 509,504 | ||||||
NRG Energy, Inc. |
1,200 | 44,880 | ||||||
PG&E Corp. |
47,316 | 2,177,009 | ||||||
Pinnacle West Capital Corp. |
1,396 | 110,535 | ||||||
PPL Corp. |
11,618 | 339,943 | ||||||
Public Service Enterprise Group, Inc. |
1,424 | 75,173 | ||||||
SCANA Corp. |
2,947 | 114,609 | ||||||
Sempra Energy |
2,231 | 253,776 | ||||||
The Southern Co. |
26,922 | 1,173,799 | ||||||
WEC Energy Group, Inc. |
4,542 | 303,224 | ||||||
Xcel Energy, Inc. |
5,472 | 258,333 | ||||||
|
|
|||||||
11,143,216 | ||||||||
|
|
|||||||
Gas — 0.0% | ||||||||
NiSource, Inc. |
713 | 17,768 | ||||||
|
|
|||||||
11,160,984 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $334,512,260) |
498,315,244 | |||||||
|
|
|||||||
PREFERRED STOCK — 0.1% |
| |||||||
Financial — 0.1% |
| |||||||
Insurance — 0.1% |
| |||||||
The Allstate Corp., The 3 mo. USD LIBOR + 3.165% |
20,000 | 500,000 | ||||||
|
|
|||||||
TOTAL PREFERRED STOCK (Cost $500,000) |
500,000 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $335,012,260) |
498,815,244 | |||||||
|
|
|||||||
Principal Amount |
||||||||
BONDS & NOTES — 30.2% |
| |||||||
CORPORATE DEBT — 11.2% |
| |||||||
Advertising — 0.0% |
| |||||||
WPP Finance 2010 |
$ | 204,000 | 208,637 | |||||
|
|
|||||||
Aerospace & Defense — 0.0% |
| |||||||
United Technologies Corp. |
80,000 | 94,374 | ||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
9
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Agriculture — 0.1% |
| |||||||
Bunge Ltd. Finance Corp. |
||||||||
3.250% 8/15/26 |
$ | 292,000 | $ | 264,227 | ||||
4.350% 3/15/24 |
350,000 | 346,516 | ||||||
Reynolds American, Inc. |
195,000 | 212,058 | ||||||
|
|
|||||||
822,801 | ||||||||
|
|
|||||||
Airlines — 0.3% |
| |||||||
American Airlines Group, Inc. |
1,379,000 | 1,397,961 | ||||||
American Airlines Pass-Through Trust, Series 2014-1,
Class B, |
31,388 | 31,187 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1,
Class A, |
293,733 | 292,632 | ||||||
United Airlines Pass-Through Trust, Series 2018-1,
Class B, |
95,000 | 94,813 | ||||||
WestJet Airlines Ltd. |
117,000 | 115,096 | ||||||
|
|
|||||||
1,931,689 | ||||||||
|
|
|||||||
Auto Manufacturers — 0.3% |
| |||||||
Ford Motor Co. |
80,000 | 71,253 | ||||||
Ford Motor Credit Co. LLC |
||||||||
3.810% 1/09/24 |
200,000 | 190,676 | ||||||
4.140% 2/15/23 |
465,000 | 457,403 | ||||||
4.375% 8/06/23 |
200,000 | 197,731 | ||||||
General Motors Co. |
||||||||
4.200% 10/01/27 |
215,000 | 202,808 | ||||||
5.150% 4/01/38 |
130,000 | 120,910 | ||||||
General Motors Financial Co., Inc. |
||||||||
3.500% 11/07/24 |
515,000 | 485,508 | ||||||
4.150% 6/19/23 |
235,000 | 234,060 | ||||||
|
|
|||||||
1,960,349 | ||||||||
|
|
|||||||
Auto Parts & Equipment — 0.0% |
| |||||||
Lear Corp. |
85,000 | 87,390 | ||||||
|
|
|||||||
Banks — 1.6% |
| |||||||
Associated Banc-Corp. |
494,000 | 491,489 | ||||||
Banco Santander SA |
||||||||
3.125% 2/23/23 |
400,000 | 379,625 | ||||||
4.250% 4/11/27 |
200,000 | 188,892 | ||||||
Bank of America Corp. |
||||||||
4.183% 11/25/27 |
405,000 | 395,293 | ||||||
3 mo. USD LIBOR + 1.814% 4.244% VRN 4/24/38 |
200,000 | 195,248 | ||||||
6.110% 1/29/37 |
220,000 | 253,011 |
Principal Amount |
Value | |||||||
7.750% 5/14/38 |
$ | 95,000 | $ | 128,228 | ||||
Bank of Montreal |
245,000 | 228,913 | ||||||
The Bank of Nova Scotia |
||||||||
4.500% 12/16/25 |
200,000 | 200,097 | ||||||
4.650% VRN 12/31/99 (c) (d) |
415,000 | 389,322 | ||||||
Barclays Bank PLC |
190,000 | 216,453 | ||||||
Barclays PLC |
||||||||
3.695% FRN 5/16/24 (c) |
345,000 | 343,195 | ||||||
4.337% 1/10/28 |
260,000 | 246,047 | ||||||
BPCE SA |
420,000 | 382,752 | ||||||
CIT Group, Inc. |
360,000 | 360,882 | ||||||
Citigroup, Inc. |
||||||||
3.875% 3/26/25 |
562,000 | 546,490 | ||||||
8.125% 7/15/39 |
90,000 | 129,912 | ||||||
Credit Suisse AG |
350,000 | 373,660 | ||||||
Credit Suisse Group AG |
500,000 | 486,291 | ||||||
Deutsche Bank AG |
310,000 | 302,933 | ||||||
Discover Bank |
495,000 | 489,911 | ||||||
First Republic Bank |
685,000 | 636,167 | ||||||
Fulton Financial Corp. |
230,000 | 225,045 | ||||||
The Goldman Sachs Group, Inc. |
||||||||
3.814% VRN 4/23/29 (c) |
260,000 | 248,017 | ||||||
5.950% 1/15/27 |
212,000 | 231,830 | ||||||
6.250% 2/01/41 |
60,000 | 72,116 | ||||||
6.750% 10/01/37 |
200,000 | 240,591 | ||||||
HSBC Holdings PLC |
||||||||
4.250% 3/14/24 |
200,000 | 198,938 | ||||||
4.583% VRN 6/19/29 (c) |
255,000 | 255,004 | ||||||
ING Groep NV |
410,000 | 410,306 | ||||||
JP Morgan Chase & Co. |
||||||||
3.375% 5/01/23 |
140,000 | 137,424 | ||||||
3.625% 12/01/27 |
205,000 | 193,338 | ||||||
5.600% 7/15/41 |
195,000 | 225,085 | ||||||
Morgan Stanley |
600,000 | 595,371 | ||||||
SVB Financial Group |
400,000 | 386,761 | ||||||
Turkiye Garanti Bankasi AS |
445,000 | 434,427 | ||||||
Valley National Bancorp |
245,000 | 252,223 |
The accompanying notes are an integral part of the portfolio of investments.
10
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Wells Fargo & Co. |
||||||||
5.375% 11/02/43 |
$ | 159,000 | $ | 170,819 | ||||
5.606% 1/15/44 |
110,000 | 121,509 | ||||||
|
|
|||||||
11,763,615 | ||||||||
|
|
|||||||
Beverages — 0.2% |
| |||||||
Anheuser-Busch InBev Finance, Inc. |
825,000 | 834,340 | ||||||
Molson Coors Brewing Co. |
||||||||
4.200% 7/15/46 |
285,000 | 252,523 | ||||||
5.000% 5/01/42 |
60,000 | 59,491 | ||||||
|
|
|||||||
1,146,354 | ||||||||
|
|
|||||||
Biotechnology — 0.1% |
| |||||||
Amgen, Inc. |
90,000 | 95,383 | ||||||
Celgene Corp. |
||||||||
3.450% 11/15/27 |
660,000 | 616,134 | ||||||
4.350% 11/15/47 |
200,000 | 179,038 | ||||||
|
|
|||||||
890,555 | ||||||||
|
|
|||||||
Building Materials — 0.2% |
| |||||||
CRH America Finance, Inc. |
520,000 | 503,835 | ||||||
Standard Industries, Inc. |
||||||||
5.000% 2/15/27 (b) |
771,000 | 725,704 | ||||||
5.375% 11/15/24 (b) |
246,000 | 245,692 | ||||||
5.500% 2/15/23 (b) |
178,000 | 180,003 | ||||||
|
|
|||||||
1,655,234 | ||||||||
|
|
|||||||
Chemicals — 0.3% |
| |||||||
Incitec Pivot Finance LLC |
185,000 | 189,753 | ||||||
LYB International Finance BV |
175,000 | 178,614 | ||||||
The Mosaic Co. |
292,000 | 282,486 | ||||||
RPM International, Inc. |
110,000 | 104,531 | ||||||
The Sherwin-Williams Co. |
105,000 | 100,988 | ||||||
Syngenta Finance NV |
||||||||
3.698% 4/24/20 (b) |
310,000 | 309,297 | ||||||
4.441% 4/24/23 (b) |
400,000 | 397,561 | ||||||
Yara International ASA |
570,000 | 573,839 | ||||||
|
|
|||||||
2,137,069 | ||||||||
|
|
|||||||
Commercial Services — 0.2% |
| |||||||
The ADT Security Corp. |
1,122,000 | 1,176,989 | ||||||
ERAC USA Finance LLC |
78,000 | 93,395 | ||||||
|
|
|||||||
1,270,384 | ||||||||
|
|
Principal Amount |
Value | |||||||
Computers — 0.1% |
| |||||||
Dell International LLC/EMC Corp. |
$ | 76,000 | $ | 81,231 | ||||
Leidos Holdings, Inc. |
835,000 | 844,603 | ||||||
|
|
|||||||
925,834 | ||||||||
|
|
|||||||
Diversified Financial Services — 0.8% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
||||||||
3.300% 1/23/23 |
395,000 | 380,568 | ||||||
3.875% 1/23/28 |
980,000 | 909,751 | ||||||
4.500% 5/15/21 |
290,000 | 294,501 | ||||||
Affiliated Managers Group, Inc. |
590,000 | 563,979 | ||||||
Aircastle Ltd. |
||||||||
4.400% 9/25/23 |
190,000 | 190,025 | ||||||
5.000% 4/01/23 |
275,000 | 282,436 | ||||||
Ally Financial, Inc. |
485,000 | 484,806 | ||||||
Antares Holdings LP |
495,000 | 496,948 | ||||||
Ares Finance Co. LLC |
355,000 | 335,693 | ||||||
Discover Financial Services |
485,000 | 463,607 | ||||||
GE Capital International Funding Co. Unlimited Co. |
200,000 | 188,231 | ||||||
Genpact Luxembourg Sarl |
360,000 | 351,523 | ||||||
High Street Funding Trust I |
500,000 | 487,650 | ||||||
Lazard Group LLC |
||||||||
3.625% 3/01/27 |
184,000 | 171,594 | ||||||
4.500% 9/19/28 |
175,000 | 172,124 | ||||||
Legg Mason, Inc. |
175,000 | 177,020 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. |
170,000 | 168,912 | ||||||
|
|
|||||||
6,119,368 | ||||||||
|
|
|||||||
Electric — 0.5% |
| |||||||
The Cleveland Electric Illuminating Co. |
155,000 | 146,195 | ||||||
CMS Energy Corp. |
115,000 | 116,330 | ||||||
Duke Energy Corp. |
195,000 | 171,357 | ||||||
EDP Finance BV |
420,000 | 400,948 |
The accompanying notes are an integral part of the portfolio of investments.
11
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Entergy Louisiana LLC |
$ | 165,000 | $ | 166,047 | ||||
IPALCO Enterprises, Inc. |
||||||||
3.450% 7/15/20 |
615,000 | 612,085 | ||||||
3.700% 9/01/24 |
170,000 | 164,890 | ||||||
Israel Electric Corp. Ltd. |
||||||||
4.250% 8/14/28 (b) |
425,000 | 403,223 | ||||||
7.250% 1/15/19 (b) |
200,000 | 201,874 | ||||||
Nevada Power Co., Series N, |
135,000 | 170,647 | ||||||
Oncor Electric Delivery Co. |
40,000 | 56,211 | ||||||
Pacific Gas & Electric Co. |
120,000 | 133,859 | ||||||
Pennsylvania Electric Co. |
295,000 | 294,253 | ||||||
Progress Energy, Inc. |
25,000 | 31,178 | ||||||
Puget Energy, Inc. |
350,000 | 337,660 | ||||||
Xcel Energy, Inc. |
240,000 | 304,173 | ||||||
|
|
|||||||
3,710,930 | ||||||||
|
|
|||||||
Electronics — 0.1% |
| |||||||
Arrow Electronics, Inc. |
||||||||
3.250% 9/08/24 |
155,000 | 146,501 | ||||||
3.875% 1/12/28 |
145,000 | 135,063 | ||||||
4.500% 3/01/23 |
80,000 | 80,889 | ||||||
Ingram Micro, Inc. |
203,000 | 199,980 | ||||||
|
|
|||||||
562,433 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.0% |
| |||||||
Fibria Overseas Finance Ltd. |
250,000 | 231,656 | ||||||
|
|
|||||||
Gas — 0.1% |
| |||||||
NiSource, Inc. |
175,000 | 193,136 | ||||||
Spire, Inc. |
290,000 | 288,496 | ||||||
|
|
|||||||
481,632 | ||||||||
|
|
|||||||
Health Care – Products — 0.1% |
| |||||||
Becton Dickinson & Co. |
||||||||
3.700% 6/06/27 |
295,000 | 282,090 | ||||||
4.685% 12/15/44 |
225,000 | 221,851 | ||||||
Zimmer Biomet Holdings, Inc. |
265,000 | 248,747 | ||||||
|
|
|||||||
752,688 | ||||||||
|
|
|||||||
Health Care – Services — 0.1% |
| |||||||
Advocate Health & Hospitals Corp. |
165,000 | 166,442 |
Principal Amount |
Value | |||||||
Humana, Inc. |
||||||||
3.950% 3/15/27 |
$ | 250,000 | $ | 245,725 | ||||
4.800% 3/15/47 |
125,000 | 127,491 | ||||||
|
|
|||||||
539,658 | ||||||||
|
|
|||||||
Home Builders — 0.1% |
| |||||||
Lennar Corp. |
||||||||
4.500% 11/15/19 |
516,000 | 519,870 | ||||||
4.750% 5/30/25 |
200,000 | 195,000 | ||||||
|
|
|||||||
714,870 | ||||||||
|
|
|||||||
Household Products & Wares — 0.0% |
| |||||||
Church & Dwight Co., Inc. |
85,000 | 78,704 | ||||||
|
|
|||||||
Insurance — 0.9% |
| |||||||
The Allstate Corp. 3 mo. USD LIBOR + 2.938% |
790,000 | 813,700 | ||||||
American International Group, Inc. |
||||||||
4.200% 4/01/28 |
260,000 | 257,264 | ||||||
4.500% 7/16/44 |
200,000 | 188,757 | ||||||
4.750% 4/01/48 |
75,000 | 73,730 | ||||||
5.750% VRN 4/01/48 (c) |
425,000 | 412,781 | ||||||
AmTrust Financial Services, Inc. |
495,000 | 479,807 | ||||||
Arch Capital Group US, Inc. |
170,000 | 180,138 | ||||||
The Athene Holding Ltd. |
830,000 | 775,468 | ||||||
AXIS Specialty Finance PLC |
415,000 | 392,555 | ||||||
CNA Financial Corp. |
185,000 | 171,295 | ||||||
CNO Financial Group, Inc. |
465,000 | 475,463 | ||||||
Enstar Group Ltd. |
140,000 | 140,614 | ||||||
The Progressive Corp. |
200,000 | 199,500 | ||||||
Prudential Financial, Inc. |
480,000 | 478,358 | ||||||
Trinity Acquisition PLC |
70,000 | 69,647 | ||||||
USF&G Capital I |
150,000 | 206,492 | ||||||
Voya Financial, Inc. |
180,000 | 160,200 | ||||||
Willis North America, Inc. |
||||||||
4.500% 9/15/28 |
480,000 | 479,864 | ||||||
7.000% 9/29/19 |
97,000 | 100,317 | ||||||
XLIT Ltd. |
||||||||
4.450% 3/31/25 |
633,000 | 627,103 | ||||||
5.500% 3/31/45 |
100,000 | 105,241 | ||||||
|
|
|||||||
6,788,294 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
12
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Internet — 0.1% |
| |||||||
Amazon.com, Inc. |
$ | 300,000 | $ | 295,521 | ||||
Tencent Holdings Ltd. |
225,000 | 212,965 | ||||||
|
|
|||||||
508,486 | ||||||||
|
|
|||||||
Investment Companies — 0.3% |
| |||||||
Ares Capital Corp. |
||||||||
3.500% 2/10/23 |
510,000 | 487,341 | ||||||
3.875% 1/15/20 |
525,000 | 527,079 | ||||||
BlackRock TCP Capital Corp. |
470,000 | 446,260 | ||||||
FS Investment Corp. |
505,000 | 506,888 | ||||||
|
|
|||||||
1,967,568 | ||||||||
|
|
|||||||
Iron & Steel — 0.2% |
| |||||||
ArcelorMittal |
||||||||
5.125% 6/01/20 |
320,000 | 327,718 | ||||||
5.250% STEP 8/05/20 |
618,000 | 636,214 | ||||||
Vale Overseas Ltd. |
||||||||
5.875% 6/10/21 |
475,000 | 499,852 | ||||||
6.875% 11/21/36 |
230,000 | 267,076 | ||||||
|
|
|||||||
1,730,860 | ||||||||
|
|
|||||||
Lodging — 0.1% |
| |||||||
MGM Resorts International |
416,000 | 440,960 | ||||||
|
|
|||||||
Machinery – Diversified — 0.1% |
| |||||||
CNH Industrial Capital LLC |
700,000 | 698,042 | ||||||
|
|
|||||||
Media — 0.2% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
200,000 | 189,500 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||
3.579% 7/23/20 |
270,000 | 270,152 | ||||||
6.484% 10/23/45 |
225,000 | 241,871 | ||||||
Comcast Corp. |
220,000 | 178,003 | ||||||
Discovery Communications LLC |
||||||||
3.950% 3/20/28 |
250,000 | 237,488 | ||||||
5.000% 9/20/37 |
160,000 | 156,013 | ||||||
Grupo Televisa SAB |
175,000 | 197,426 | ||||||
Time Warner Cable, Inc. |
||||||||
6.750% 6/15/39 |
110,000 | 119,966 | ||||||
8.250% 4/01/19 |
45,000 | 46,150 | ||||||
8.750% 2/14/19 |
65,000 | 66,343 |
Principal Amount |
Value | |||||||
Warner Media LLC |
$ | 25,000 | $ | 27,033 | ||||
|
|
|||||||
1,729,945 | ||||||||
|
|
|||||||
Mining — 0.2% |
| |||||||
Glencore Finance Canada Ltd. |
149,000 | 146,990 | ||||||
Glencore Funding LLC |
||||||||
3.875% 10/27/27 (b) |
160,000 | 148,324 | ||||||
4.625% 4/29/24 (b) |
600,000 | 603,678 | ||||||
Kinross Gold Corp. |
||||||||
4.500% 7/15/27 |
166,000 | 148,371 | ||||||
5.125% 9/01/21 |
600,000 | 616,500 | ||||||
|
|
|||||||
1,663,863 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 0.1% |
| |||||||
General Electric Co. |
520,000 | 463,802 | ||||||
|
|
|||||||
Office Equipment/Supplies — 0.1% |
| |||||||
Pitney Bowes, Inc. |
||||||||
3.875% STEP 9/15/20 |
135,000 | 133,144 | ||||||
3.875% STEP 10/01/21 |
485,000 | 462,568 | ||||||
|
|
|||||||
595,712 | ||||||||
|
|
|||||||
Oil & Gas — 0.7% |
| |||||||
Anadarko Petroleum Corp. |
||||||||
6.450% 9/15/36 |
250,000 | 285,270 | ||||||
6.600% 3/15/46 |
107,000 | 125,831 | ||||||
Andeavor |
85,000 | 79,228 | ||||||
Antero Resources Corp. |
539,000 | 545,899 | ||||||
Cenovus Energy, Inc. |
||||||||
3.000% 8/15/22 |
200,000 | 191,588 | ||||||
4.250% 4/15/27 |
300,000 | 289,995 | ||||||
6.750% 11/15/39 |
100,000 | 112,773 | ||||||
Continental Resources, Inc. |
260,000 | 258,057 | ||||||
Diamondback Energy, Inc. |
428,000 | 428,535 | ||||||
Encana Corp. |
80,000 | 93,763 | ||||||
EQT Corp. |
840,000 | 787,090 | ||||||
Helmerich & Payne International Drilling Co. |
190,000 | 194,301 | ||||||
Marathon Petroleum Corp. |
||||||||
4.750% 9/15/44 |
100,000 | 96,673 | ||||||
6.500% 3/01/41 |
170,000 | 198,929 | ||||||
Nabors Industries, Inc. |
215,000 | 211,196 |
The accompanying notes are an integral part of the portfolio of investments.
13
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Newfield Exploration Co. |
$ | 200,000 | $ | 209,250 | ||||
Patterson-UTI Energy, Inc. |
160,000 | 148,032 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. |
175,000 | 182,000 | ||||||
Petroleos Mexicanos |
||||||||
3.500% 1/30/23 |
100,000 | 94,800 | ||||||
4.625% 9/21/23 |
100,000 | 99,100 | ||||||
5.350% 2/12/28 (b) |
190,000 | 179,075 | ||||||
5.500% 1/21/21 |
285,000 | 294,094 | ||||||
6.375% 1/23/45 |
80,000 | 74,080 | ||||||
6.500% 3/13/27 |
60,000 | 61,290 | ||||||
6.625% 6/15/38 |
37,000 | 35,520 | ||||||
|
|
|||||||
5,276,369 | ||||||||
|
|
|||||||
Oil & Gas Services — 0.0% |
| |||||||
National Oilwell Varco, Inc. |
366,000 | 317,488 | ||||||
|
|
|||||||
Packaging & Containers — 0.1% |
| |||||||
Amcor Finance USA, Inc. |
715,000 | 676,521 | ||||||
|
|
|||||||
Pharmaceuticals — 0.5% |
| |||||||
AbbVie, Inc. |
165,000 | 158,529 | ||||||
Allergan Funding SCS |
||||||||
4.550% 3/15/35 |
100,000 | 97,271 | ||||||
4.750% 3/15/45 |
190,000 | 184,726 | ||||||
Bayer US Finance II LLC |
340,000 | 302,471 | ||||||
CVS Health Corp. |
||||||||
4.300% 3/25/28 |
173,000 | 171,643 | ||||||
5.050% 3/25/48 |
240,000 | 245,483 | ||||||
6.125% 9/15/39 |
175,000 | 198,604 | ||||||
CVS Pass-Through Trust |
266,175 | 285,241 | ||||||
Express Scripts Holding Co. |
||||||||
4.500% 2/25/26 |
180,000 | 181,612 | ||||||
4.800% 7/15/46 |
195,000 | 190,318 | ||||||
McKesson Corp. |
||||||||
4.883% 3/15/44 |
60,000 | 59,862 | ||||||
6.000% 3/01/41 |
125,000 | 137,703 | ||||||
Mylan, Inc. |
118,000 | 112,530 | ||||||
Teva Pharmaceutical Finance IV LLC |
200,000 | 194,081 | ||||||
Teva Pharmaceutical Finance Netherlands III BV |
||||||||
1.700% 7/19/19 |
51,000 | 50,171 | ||||||
2.200% 7/21/21 |
670,000 | 629,599 | ||||||
4.100% 10/01/46 |
75,000 | 54,679 | ||||||
|
|
|||||||
3,254,523 | ||||||||
|
|
Principal Amount |
Value | |||||||
Pipelines — 0.9% |
| |||||||
Andeavor Logistics LP |
$ | 300,000 | $ | 301,350 | ||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. |
97,000 | 99,668 | ||||||
Energy Transfer Equity LP |
||||||||
5.875% 1/15/24 |
200,000 | 210,500 | ||||||
7.500% 10/15/20 |
175,000 | 187,250 | ||||||
Energy Transfer Partners LP |
||||||||
4.200% 4/15/27 |
165,000 | 159,374 | ||||||
6.125% 12/15/45 |
75,000 | 79,999 | ||||||
6.250% VRN 12/31/99 (c) (d) |
385,000 | 370,562 | ||||||
6.500% 2/01/42 |
100,000 | 109,824 | ||||||
EnLink Midstream Partners LP |
||||||||
4.150% 6/01/25 |
350,000 | 331,875 | ||||||
4.850% 7/15/26 |
149,000 | 144,458 | ||||||
Enterprise Products Operating LLC |
195,000 | 180,601 | ||||||
EQT Midstream Partners LP |
495,000 | 502,318 | ||||||
Kinder Morgan Energy Partners LP |
||||||||
5.300% 9/15/20 |
475,000 | 491,791 | ||||||
6.375% 3/01/41 |
65,000 | 74,104 | ||||||
6.500% 2/01/37 |
120,000 | 134,601 | ||||||
6.550% 9/15/40 |
90,000 | 103,060 | ||||||
6.950% 1/15/38 |
10,000 | 12,122 | ||||||
MPLX LP |
||||||||
4.500% 4/15/38 |
195,000 | 183,787 | ||||||
5.200% 3/01/47 |
35,000 | 35,070 | ||||||
5.500% 2/15/23 |
136,000 | 138,761 | ||||||
Phillips 66 Partners LP |
||||||||
3.750% 3/01/28 |
135,000 | 128,525 | ||||||
4.680% 2/15/45 |
28,000 | 26,535 | ||||||
Plains All American Pipeline LP |
385,000 | 374,894 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. |
||||||||
3.650% 6/01/22 |
191,000 | 188,664 | ||||||
4.500% 12/15/26 |
210,000 | 209,786 | ||||||
4.700% 6/15/44 |
100,000 | 90,067 | ||||||
Sabine Pass Liquefaction LLC |
240,000 | 232,817 | ||||||
Sunoco Logistics Partners Operations LP |
||||||||
4.000% 10/01/27 |
230,000 | 218,368 | ||||||
5.300% 4/01/44 |
75,000 | 71,892 | ||||||
Western Gas Partners LP |
||||||||
4.000% 7/01/22 |
781,000 | 777,590 | ||||||
4.500% 3/01/28 |
105,000 | 100,721 | ||||||
|
|
|||||||
6,270,934 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
14
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Private Equity — 0.1% |
| |||||||
Hercules Capital, Inc. |
$ | 470,000 | $ | 452,310 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
225,000 | 230,625 | ||||||
|
|
|||||||
682,935 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 0.4% |
| |||||||
American Tower Corp. |
140,000 | 140,162 | ||||||
American Tower Trust #1 |
310,000 | 304,055 | ||||||
Crown Castle International Corp. |
120,000 | 116,268 | ||||||
Healthcare Trust of America Holdings LP |
375,000 | 349,786 | ||||||
Host Hotels & Resorts LP |
245,000 | 239,280 | ||||||
Kimco Realty Corp. |
160,000 | 151,811 | ||||||
Mid-America Apartments LP |
155,000 | 147,681 | ||||||
National Retail Properties, Inc. |
155,000 | 153,831 | ||||||
SBA Tower Trust |
||||||||
2.877% 7/10/46 (b) |
200,000 | 196,645 | ||||||
3.156% 10/10/45 (b) |
210,000 | 208,425 | ||||||
3.168% 4/09/47 (b) |
260,000 | 254,945 | ||||||
UDR, Inc. |
220,000 | 208,055 | ||||||
Weingarten Realty Investors |
85,000 | 78,083 | ||||||
|
|
|||||||
2,549,027 | ||||||||
|
|
|||||||
Retail — 0.2% |
| |||||||
Dollar Tree, Inc. |
320,000 | 310,809 | ||||||
El Puerto de Liverpool SAB de CV |
445,000 | 426,648 | ||||||
The Home Depot, Inc. |
150,000 | 186,742 | ||||||
QVC, Inc. |
||||||||
4.375% 3/15/23 |
150,000 | 148,159 | ||||||
5.125% 7/02/22 |
280,000 | 283,655 | ||||||
|
|
|||||||
1,356,013 | ||||||||
|
|
|||||||
Semiconductors — 0.1% |
| |||||||
Marvell Technology Group Ltd. |
275,000 | 273,651 | ||||||
Microchip Technology, Inc. |
165,000 | 164,034 | ||||||
|
|
|||||||
437,685 | ||||||||
|
|
Principal Amount |
Value | |||||||
Software — 0.1% |
| |||||||
Microsoft Corp. |
$ | 330,000 | $ | 353,386 | ||||
|
|
|||||||
Telecommunications — 0.4% |
| |||||||
AT&T, Inc. |
||||||||
3.400% 5/15/25 |
200,000 | 190,414 | ||||||
4.750% 5/15/46 |
460,000 | 420,273 | ||||||
5.250% 3/01/37 |
95,000 | 94,682 | ||||||
CenturyLink, Inc. |
140,000 | 142,625 | ||||||
Cisco Systems, Inc. |
55,000 | 65,585 | ||||||
Crown Castle Towers LLC |
250,000 | 252,292 | ||||||
Ericsson LM |
500,000 | 496,836 | ||||||
Hughes Satellite Systems Corp. |
175,000 | 178,500 | ||||||
Sprint Communications, Inc. |
410,000 | 465,350 | ||||||
Telefonica Emisiones SAU |
180,000 | 169,110 | ||||||
Verizon Communications, Inc. |
||||||||
4.862% 8/21/46 |
222,000 | 221,448 | ||||||
6.550% 9/15/43 |
149,000 | 181,243 | ||||||
|
|
|||||||
2,878,358 | ||||||||
|
|
|||||||
Transportation — 0.0% |
| |||||||
Autoridad del Canal de Panama |
210,000 | 216,825 | ||||||
Pacific National Finance Pty Ltd. |
105,000 | 106,179 | ||||||
|
|
|||||||
323,004 | ||||||||
|
|
|||||||
Trucking & Leasing — 0.2% |
| |||||||
DAE Funding LLC |
173,000 | 171,054 | ||||||
Park Aerospace Holdings Ltd. |
||||||||
4.500% 3/15/23 (b) |
250,000 | 244,062 | ||||||
5.250% 8/15/22 (b) |
1,005,000 | 1,013,794 | ||||||
|
|
|||||||
1,428,910 | ||||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $81,738,737) |
80,478,909 | |||||||
|
|
|||||||
MUNICIPAL OBLIGATIONS — 0.2% |
| |||||||
JobsOhio Beverage System |
325,000 | 343,746 | ||||||
Orange County Local Transportation Authority BAB |
230,000 | 302,646 | ||||||
Panhandle-Plains Student Finance Corp., Series
2001-A2, |
300,000 | 297,822 |
The accompanying notes are an integral part of the portfolio of investments.
15
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
State of California BAB |
||||||||
7.550% 4/01/39 |
$ | 425,000 | $ | 620,321 | ||||
7.600% 11/01/40 |
105,000 | 156,055 | ||||||
|
|
|||||||
1,720,590 | ||||||||
|
|
|||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $1,691,142) |
1,720,590 | |||||||
|
|
|||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 9.2% |
| |||||||
Automobile ABS — 0.5% |
| |||||||
First Investors Auto Owner Trust, |
450,000 | 443,581 | ||||||
Hertz Vehicle Financing II LP |
||||||||
Series 2018-1A, Class A, |
1,240,000 | 1,205,951 | ||||||
Series 2018-1A, Class B, |
650,000 | 631,525 | ||||||
Oscar US Funding Trust II, |
336,980 | 336,105 | ||||||
Oscar US Funding Trust IV, |
10,766 | 10,790 | ||||||
Oscar US Funding Trust V, |
690,000 | 683,635 | ||||||
Oscar US Funding Trust VI, |
150,000 | 149,262 | ||||||
|
|
|||||||
3,460,849 | ||||||||
|
|
|||||||
Commercial MBS — 0.7% |
| |||||||
Aventura Mall Trust, |
710,000 | 702,377 | ||||||
BANK, Series 2018-BN14, Class C, |
210,000 | 211,947 | ||||||
BBCMS Mortgage Trust |
||||||||
Series 2018-CHRS, Class B, |
350,000 | 349,208 | ||||||
Series 2018-CHRS, Class C, |
280,000 | 274,800 | ||||||
Series 2018-CHRS, Class D, |
210,000 | 202,268 | ||||||
BHMS Mortgage Trust, |
850,000 | 851,303 | ||||||
Commercial Mortgage Pass-Through Certificates |
||||||||
Series 2012-CR4, Class B, |
195,000 | 192,099 |
Principal Amount |
Value | |||||||
Series 2014-UBS2, Class A5, |
$ | 319,000 | $ | 324,263 | ||||
Series 2015-CR23, Class C, |
140,000 | 137,451 | ||||||
DBCCRE Mortgage Trust, |
165,000 | 169,197 | ||||||
DBUBS Mortgage Trust, Series 2011-LC1A,
Class B, |
110,000 | 115,316 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7,
Class AM, |
123,042 | 124,332 | ||||||
GS Mortgage Securities Corp. II, Series 2012-GC6,
Class AS |
100,000 | 104,269 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., |
74,498 | 74,537 | ||||||
Morgan Stanley Capital I Trust |
||||||||
Series 2018-H3, Class B, |
120,000 | 122,049 | ||||||
Series 2011-C2, Class B, |
250,000 | 258,454 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4,
Class AJ, |
11,538 | 11,591 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2,
Class AFX, |
179,102 | 177,832 | ||||||
VNO Mortgage Trust, |
240,000 | 242,151 | ||||||
Wells Fargo Commercial Mortgage Trust |
||||||||
Series 2010-C1, Class A1, |
14,017 | 14,062 | ||||||
Series 2018-C45, Class AS, |
240,000 | 243,274 | ||||||
Series 2018-C45, Class B, |
60,000 | 61,251 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B |
190,000 | 193,395 | ||||||
|
|
|||||||
5,157,426 | ||||||||
|
|
|||||||
Home Equity ABS — 0.0% |
| |||||||
Mastr Asset-Backed Securities Trust, |
34,880 | 35,146 | ||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
16
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Other ABS — 3.8% |
| |||||||
321 Henderson Receivables LLC |
||||||||
Series 2005-1A, Class A1, 1 mo. USD LIBOR + .230% |
$ | 63,199 | $ | 60,195 | ||||
Series 2015-1A, Class A, |
48,260 | 46,118 | ||||||
Aames Mortgage Investment Trust |
||||||||
Series 2005-1, Class M4, 1 mo. USD LIBOR + 1.125% |
10,191 | 10,181 | ||||||
Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725% |
63,129 | 62,671 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD
LIBOR + 1.480% |
410,000 | 412,119 | ||||||
Alterna Funding II LLC, |
31,753 | 31,724 | ||||||
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD
LIBOR + 1.460% |
250,000 | 250,047 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 |
311,200 | 312,214 | ||||||
Assurant CLO III Ltd., |
310,000 | 309,371 | ||||||
Avery Point III CLO Ltd., |
147,480 | 147,495 | ||||||
Bain Capital Credit CLO, |
400,000 | 400,414 | ||||||
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, |
260,000 | 259,580 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE |
104,631 | 104,631 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A,
Class A |
141,604 | 138,328 | ||||||
CAL Funding III Ltd., |
290,000 | 289,967 |
Principal Amount |
Value | |||||||
Capital Automotive REIT |
||||||||
Series 2014-1A, Class A, |
$ | 160,000 | $ | 153,962 | ||||
Series 2017-1A, Class A2, |
138,017 | 136,281 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A,
Class A1R, 3 mo. USD LIBOR + 1.220% |
750,000 | 751,096 | ||||||
Castlelake Aircraft Structured Trust, Series 2018-1,
Class A |
314,272 | 313,382 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A,
Class A |
15,373 | 15,335 | ||||||
CIFC Funding V Ltd., |
340,000 | 340,104 | ||||||
Clear Creek CLO Ltd., |
480,000 | 480,800 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5,
Class 3A, 1 mo. USD LIBOR + .460% |
12,845 | 12,828 | ||||||
Cronos Containers Program I Ltd., Series 2014-2A,
Class A |
172,222 | 169,253 | ||||||
Diamond Resorts Owner Trust |
||||||||
Series 2014-1, Class A, |
31,122 | 31,106 | ||||||
Series 2016-1, Class A, |
275,225 | 268,545 | ||||||
Series 2018-1, Class A, |
322,311 | 320,688 | ||||||
Domino’s Pizza Master Issuer LLC |
||||||||
Series 2018-1A, Class A2I, |
309,225 | 307,366 | ||||||
Series 2017-1A, Class A23, |
108,900 | 107,277 | ||||||
Series 2015-1A, Class A2II, |
527,850 | 531,110 | ||||||
Drug Royalty Corp., Inc., |
6,923 | 6,916 | ||||||
Eaton Vance CLO Ltd., |
700,000 | 700,000 |
The accompanying notes are an integral part of the portfolio of investments.
17
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Element Rail Leasing II LLC |
||||||||
Series 2015-1A, Class A1, |
$ | 53,585 | $ | 52,714 | ||||
Series 2016-1A, Class A1, |
159,182 | 159,857 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, |
83,126 | 80,969 | ||||||
Fairway Outdoor Funding LLC, |
369,940 | 369,702 | ||||||
First Franklin Mortgage Loan Trust, Series 2004-FFH4, Class M6, 1 mo. USD LIBOR +
1.725% |
420,000 | 435,148 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A,
Class AR, |
500,000 | 497,919 | ||||||
Global SC Finance II SRL, |
145,833 | 142,793 | ||||||
Goodgreen Trust |
||||||||
Series 2016-1A, Class A, |
358,181 | 345,094 | ||||||
Series 2017-2A, Class A, |
429,984 | 413,921 | ||||||
Series 2017-1A, Class A, |
167,504 | 166,028 | ||||||
Series 2018-1A, Class A, |
305,850 | 304,461 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD
LIBOR + .645% |
16,728 | 16,699 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A |
231,862 | 236,499 | ||||||
Hero Funding Trust |
||||||||
Series 2016-3A, Class A1, |
199,568 | 192,603 | ||||||
Series 2017-3A, Class A1, |
233,441 | 224,062 | ||||||
Series 2016-4A, Class A1, |
207,182 | 203,307 | ||||||
Series 2018-1A, Class A2, |
444,033 | 453,663 | ||||||
Highbridge Loan Management Ltd. |
||||||||
Series 13A-18, Class C, |
350,000 | 350,000 | ||||||
Series 12A-18, Class B, |
250,000 | 248,199 |
Principal Amount |
Value | |||||||
Hilton Grand Vacations Trust |
||||||||
Series 2013-A, Class A, |
$ | 30,409 | $ | 30,232 | ||||
Series 2018-AA, Class C, |
190,000 | 189,935 | ||||||
J.G. Wentworth XXXV LLC, Series 2015-2A,
Class A |
90,369 | 89,249 | ||||||
KDAC Aircraft Finance Ltd., Series 2017-1A,
Class A |
397,019 | 391,814 | ||||||
Lendmark Funding Trust |
||||||||
Series 2017-1A, Class A, |
200,000 | 198,853 | ||||||
Series 2018-1A, Class A, |
280,000 | 279,706 | ||||||
Madison Park Funding Ltd., |
550,000 | 550,000 | ||||||
Madison Park Funding XXVIII Ltd., Series 2018-28A,
Class B, |
430,000 | 429,977 | ||||||
Marble Point CLO XI Ltd., Series 2017-2A,
Class A, |
1,000,000 | 999,613 | ||||||
Mariner Finance Issuance Trust, Series 2017-BA,
Class A |
750,000 | 737,995 | ||||||
Marlette Funding Trust, Series 2017-2A,
Class B |
140,000 | 139,713 | ||||||
Mosaic Solar Loans LLC |
||||||||
Series 2017-2A, Class A, |
141,877 | 139,655 | ||||||
Series 2017-1A, Class A, |
66,110 | 66,580 | ||||||
MP CLO III Ltd., Series 2013-1A, Class AR, |
300,000 | 300,152 | ||||||
NP SPE II LLC, Series 2017-1A, Class A2 |
380,000 | 377,065 | ||||||
NRZ Advance Receivables Trust |
||||||||
Series 2016-T3, Class AT3, |
1,650,000 | 1,604,527 | ||||||
Series 2016-T4, Class AT4, |
450,000 | 445,770 | ||||||
Orange Lake Timeshare Trust |
||||||||
Series 2014-AA, Class A, |
28,174 | 27,599 | ||||||
Series 2016-A, Class B, |
133,265 | 129,891 |
The accompanying notes are an integral part of the portfolio of investments.
18
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Oxford Finance Funding Trust, Series 2016-1A,
Class A |
$ | 211,706 | $ | 210,307 | ||||
Race Point VIII CLO Ltd., Series 2013-8A,
Class AR, 3 mo. USD LIBOR + 1.340% |
250,000 | 251,163 | ||||||
Sierra Timeshare Receivables Funding LLC |
||||||||
Series 2015-3A, Class B, |
24,061 | 23,823 | ||||||
Series 2018-2A, Class C, |
263,965 | 262,629 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2,
Class A |
270,796 | 270,112 | ||||||
Spirit Master Funding LLC, Series 2014-4A,
Class A1 |
159,450 | 159,221 | ||||||
SpringCastle America Funding LLC, Series 2016-AA,
Class A |
149,878 | 149,220 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2,
Class AT2 |
670,000 | 665,858 | ||||||
Steele Creek CLO Ltd., Series 2018-2A,
Class C, |
290,000 | 289,979 | ||||||
Structured Receivables Finance LLC, Series 2010-B,
Class A |
79,082 | 76,561 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A,
Class A |
345,814 | 325,715 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR,
3 mo. USD LIBOR + 1.180% |
430,000 | 430,140 | ||||||
Taco Bell Funding LLC, Series 2016-1A,
Class A2I |
384,150 | 384,553 | ||||||
TAL Advantage VI LLC, Series 2017-1A,
Class A |
352,850 | 356,044 | ||||||
TCI-Symphony CLO Ltd.,
Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480% |
340,000 | 340,980 | ||||||
Textainer Marine Containers V Ltd., Series 2017-2A,
Class A |
225,097 | 219,225 |
Principal Amount |
Value | |||||||
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3
mo. USD LIBOR + 1.370% |
$ | 490,000 | $ | 490,168 | ||||
Trinity Rail Leasing L.P., Series 2018-1A,
Class A2 |
410,000 | 413,325 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A,
Class A2 |
140,000 | 137,959 | ||||||
Triton Container Finance VI LLC |
||||||||
Series 2017-1A, Class A, |
149,259 | 145,239 | ||||||
Series 2018-2A, Class A, |
458,250 | 457,331 | ||||||
VSE VOI Mortgage LLC, Series 2016-A,
Class A |
212,534 | 206,786 | ||||||
WAVE Trust, Series 2017-1A, Class A |
655,130 | 645,716 | ||||||
Welk Resorts LLC |
||||||||
Series 2015-AA, Class A, |
90,253 | 88,197 | ||||||
Series 2017-AA, Class B, |
230,164 | 223,780 | ||||||
Wendy’s Funding LLC |
||||||||
Series 2015-1A, Class A2II, |
300,700 | 300,108 | ||||||
Series 2015-1A, Class A23, |
412,250 | 413,549 | ||||||
|
|
|||||||
27,440,756 | ||||||||
|
|
|||||||
Student Loans ABS — 3.8% |
| |||||||
Academic Loan Funding Trust, Series 2012-1A,
Class A2, 1 mo. USD LIBOR + 1.100% |
453,162 | 456,544 | ||||||
AccessLex Institute |
||||||||
Series 2004-A, Class A3, |
400,000 | 394,587 | ||||||
Series 2003-A, Class A3, 3 mo. Treasury + 1.200% |
84,043 | 82,194 | ||||||
CIT Education Loan Trust, Series 2005-1, Class B,
3 mo. USD LIBOR + .210% |
453,662 | 428,594 | ||||||
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS FRN1/25/47 |
130,000 | 102,237 |
The accompanying notes are an integral part of the portfolio of investments.
19
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
DRB Prime Student Loan Trust |
||||||||
Series 2016-R, Class A2, |
$ | 458,441 | $ | 457,396 | ||||
Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900% |
28,501 | 29,325 | ||||||
Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900% |
458,441 | 465,443 | ||||||
Earnest Student Loan Program LLC |
||||||||
Series 2016-D, Class A2, |
186,216 | 182,496 | ||||||
Series 2016-B, Class A2, |
138,378 | 136,973 | ||||||
Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850% |
209,820 | 214,753 | ||||||
ECMC Group Student Loan Trust |
||||||||
Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200% |
347,019 | 351,704 | ||||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350% 3.566% FRN 7/26/66 (b) |
490,413 | 499,955 | ||||||
EdLinc Student Loan Funding, Series 2017-A, Class A (Acquired 12/22/17, Cost $595,828), 3.350% FRN 12/01/47 (b) (c) (f) (g) |
518,374 | 512,600 | ||||||
EdLinc Student Loan Funding Trust, Series 2012-1,
Class B, 1 mo. USD LIBOR + 4.240% |
270,000 | 320,142 | ||||||
Goal Capital Funding Trust, Series 2006-1,
Class B, 3 mo. USD LIBOR + .450% |
146,733 | 138,031 | ||||||
Goal Structured Solutions Trust, Series 2016-B,
Class A2,, Update Replacements.xls: PRIME - 1.250% |
500,000 | 503,779 | ||||||
KnowledgeWorks Foundation, Series 2010-1,
Class A, 3 mo. USD LIBOR + .950% |
148,773 | 149,203 | ||||||
Laurel Road Prime Student Loan Trust |
||||||||
Series 2017-B, Class BFX, |
158,775 | 153,767 | ||||||
Series 2018-B, Class BFX, |
140,000 | 139,187 | ||||||
Navient Private Education Loan Trust, Series 2018-BA,
Class A2B, |
150,000 | 150,443 |
Principal Amount |
Value | |||||||
Navient Private Education Refi Loan Trust, Series 2018-CA,
Class B |
$ | 250,000 | $ | 249,861 | ||||
Navient Student Loan Trust |
||||||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + .700% |
433,818 | 436,081 | ||||||
Series 2018-1A, Class A3, |
710,000 | 713,219 | ||||||
Series 2018-2A, Class A3, |
550,000 | 550,736 | ||||||
Series 2017-5A, Class A, |
441,393 | 445,618 | ||||||
Series 2018-3A, Class A3, |
750,000 | 757,048 | ||||||
Series 2018-4A, Class B, |
750,000 | 749,984 | ||||||
Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250% |
407,787 | 418,108 | ||||||
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% |
1,100,000 | 1,140,903 | ||||||
Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500% |
220,000 | 216,720 | ||||||
Series 2014-8, Class B, 1 mo. USD LIBOR + 1.500% |
155,000 | 157,327 | ||||||
Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500% |
150,000 | 152,181 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A,
Class A1B |
137,812 | 132,464 | ||||||
Nelnet Student Loan Trust |
||||||||
Series 2005-2, Class A5, 3 mo. USD LIBOR + .100% |
272,955 | 271,008 | ||||||
Series 2005-4, Class A4R2, |
200,000 | 195,134 | ||||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% |
106,563 | 97,781 | ||||||
Series 2013-5A, Class A, 1 mo. USD LIBOR + .630% |
163,207 | 163,258 | ||||||
Series 2018-3A, Class A3, |
600,000 | 600,024 | ||||||
Series 2018-1A, Class A2, |
650,000 | 653,342 |
The accompanying notes are an integral part of the portfolio of investments.
20
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500% |
$ | 150,000 | $ | 140,496 | ||||
North Carolina State Education Assistance Authority,
Series 2011-2, Class A3, 3 mo. |
250,000 | 251,080 | ||||||
PHEAA Student Loan Trust, Series 2016-2A,
Class A, 1 mo. USD LIBOR + .950% |
424,949 | 430,463 | ||||||
SLM Student Loan Trust |
||||||||
Series 2005-5, Class A4, 3 mo. USD LIBOR + .140% |
320,677 | 319,881 | ||||||
Series 2007-1, Class A6, 3 mo. USD LIBOR + .140% |
150,000 | 144,960 | ||||||
Series 2005-3, Class B, 3 mo. |
171,009 | 156,677 | ||||||
Series 2006-10, Class A6, 3 mo. USD LIBOR + .150% |
1,740,000 | 1,674,753 | ||||||
Series 2006-2, Class A6, ABS, 3 mo. USD LIBOR + .170% |
547,414 | 534,769 | ||||||
Series 2006-5, Class B, 3 mo. |
377,354 | 357,765 | ||||||
Series 2005-6, Class B,, 3 mo. |
407,915 | 381,496 | ||||||
Series 2005-9, Class A7A, 3 mo. EURIBOR + .600% |
610,000 | 611,375 | ||||||
Series 2003-14, Class A7, 3 mo. USD LIBOR + .600% |
2,950,000 | 2,950,425 | ||||||
Series 2005-5, Class A5, 3 mo. USD LIBOR + .750% |
300,000 | 298,921 | ||||||
Series 2002-7, Class A11, |
160,000 | 160,000 | ||||||
Series 2002-7, Class A10, |
129,000 | 129,000 | ||||||
Series 2003-5, Class A9, |
350,000 | 350,000 |
Principal Amount |
Value | |||||||
Series 2003-5, Class A7, 28 day ARS + 2.500% |
$ | 50,000 | $ | 50,000 | ||||
Series 2002-7, Class B, 28 day ARS |
550,000 | 542,129 | ||||||
SMB Private Education Loan Trust |
||||||||
Series 2016-B, Class A2A, |
212,160 | 204,463 | ||||||
Series 2015-B, Class A2B, 1 mo. USD LIBOR + 1.200% |
145,322 | 147,080 | ||||||
Series 2017-A, Class B, |
300,000 | 275,338 | ||||||
Series 2017-B, Class B, |
150,000 | 143,550 | ||||||
Series 2018-C, Class B, |
300,000 | 293,335 | ||||||
SoFi Professional Loan Program LLC |
||||||||
Series 2015-A, Class RC, (Acquired 4/19/17, Cost $281,375), |
100 | 106,875 | ||||||
Series 2017-D, Class R1 (Acquired 7/19/17, Cost $565,900), |
1,000,000 | 630,000 | ||||||
Series 2018-A, Class R1 (Acquired 1/22/18, Cost $718,200), |
1,000,000 | 718,200 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200% 3.416% FRN 6/25/33 (b) |
160,843 | 163,346 | ||||||
Series 2017-A, Class B, |
180,000 | 172,708 | ||||||
Series 2017-D, Class BFX, |
500,000 | 482,144 | ||||||
Sofi Professional Loan Program Trust, Series 2018-D,
Class R1 (Acquired 9/20/18, Cost $333,786) |
968,900 | 333,786 | ||||||
South Carolina Student Loan Corp. |
||||||||
Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000% |
290,000 | 291,792 | ||||||
Series 2010-1, Class A3, 3 mo. USD LIBOR + 1.050% |
170,000 | 173,415 | ||||||
|
|
|||||||
27,590,372 | ||||||||
|
|
|||||||
WL Collateral CMO — 0.4% |
| |||||||
Countrywide Home Loans, Inc. |
||||||||
Series 2004-2, Class 1A1, |
19,777 | 19,879 | ||||||
Series 2003-42, Class 1A1, |
4,251 | 3,873 |
The accompanying notes are an integral part of the portfolio of investments.
21
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Deephaven Residential Mortgage Trust, Series 2018-1A,
Class A3, |
$ | 151,085 | $ | 148,612 | ||||
GSR Mortgage Loan Trust,
Series 2004-9, Class 2A1, |
6,016 | 5,976 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4,
Class 1A, |
43,487 | 42,626 | ||||||
JP Morgan Mortgage Trust, |
481,021 | 461,718 | ||||||
Merrill Lynch Mortgage Investors, Inc. |
||||||||
Series 2004-A1, Class IA, |
3,852 | 3,728 | ||||||
Series 2003-A4, Class IA, |
2,944 | 2,949 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR,
Class 1A, |
229 | 246 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A
(Acquired 2/21/18, Cost $200,000), |
200,000 | 202,314 | ||||||
PSMC Trust, Series 2018-2, Class A1, |
638,330 | 620,625 | ||||||
Sequoia Mortgage Trust |
||||||||
Series 2018-CH2, Class A3, |
576,694 | 575,835 | ||||||
Series 2018-CH4, Class A2, |
420,000 | 420,797 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series
2004-2, Class 2A, |
23,320 | 23,439 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400% |
66,624 | 69,163 | ||||||
|
|
|||||||
2,601,780 | ||||||||
|
|
|||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $66,415,435) |
66,286,329 | |||||||
|
|
|||||||
SOVEREIGN DEBT OBLIGATIONS — 0.2% |
| |||||||
Colombia Government International Bond |
620,000 | 702,150 |
Principal Amount |
Value | |||||||
Mexico Government International Bond |
||||||||
4.750% 3/08/44 |
$ | 724,000 | $ | 691,782 | ||||
6.750% 9/27/34 |
160,000 | 191,200 | ||||||
|
|
|||||||
1,585,132 | ||||||||
|
|
|||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,559,023) |
1,585,132 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 8.0% |
| |||||||
Collateralized Mortgage Obligations — 0.2% |
| |||||||
Federal Home Loan Mortgage Corp. |
||||||||
Series 4303, Class AP, |
352,116 | 347,501 | ||||||
Series 2617, Class Z, |
195,937 | 210,284 | ||||||
Series 2693, Class Z, |
354,881 | 379,366 | ||||||
Series 3423, Class PB, |
69,746 | 75,272 | ||||||
Federal National Mortgage Association |
||||||||
Series 2014-7, Class VA, |
192,175 | 194,084 | ||||||
Series 2007-32, Class Z, |
111,272 | 119,995 | ||||||
Series 2010-60, Class HJ, |
75,128 | 79,301 | ||||||
Federal National Mortgage Association REMIC |
92,159 | 97,244 | ||||||
|
|
|||||||
1,503,047 | ||||||||
|
|
|||||||
Pass-Through Securities — 7.8% |
| |||||||
Federal Home Loan Mortgage Corp. |
||||||||
Pool #U90432 3.500% 11/01/42 |
89,377 | 88,546 | ||||||
Pool #Q41916 3.500% 7/01/46 |
255,857 | 253,559 | ||||||
Pool #Q42045 3.500% 7/01/46 |
102,375 | 101,455 | ||||||
Pool #Q44275 3.500% 11/01/46 |
212,135 | 210,163 | ||||||
Pool #Q44277 3.500% 11/01/46 |
96,615 | 95,535 | ||||||
Pool #Q52216 3.500% 11/01/47 |
626,500 | 617,152 | ||||||
Pool #V83655 3.500% 12/01/47 |
1,827,960 | 1,800,683 | ||||||
Pool #V83763 3.500% 12/01/47 |
2,219,432 | 2,186,314 | ||||||
Pool #V83886 3.500% 1/01/48 |
927,714 | 913,871 | ||||||
Pool #V83764 4.000% 12/01/47 |
1,900,178 | 1,922,297 | ||||||
Pool #V83796 4.000% 12/01/47 |
2,763,078 | 2,793,946 | ||||||
Pool #Q52834 4.000% 12/01/47 |
241,577 | 244,275 | ||||||
Pool #V83962 4.000% 2/01/48 |
434,318 | 438,899 | ||||||
Pool #Q57232 4.000% 7/01/48 |
397,453 | 401,537 | ||||||
Pool #C03537 4.500% 8/01/40 |
208,374 | 217,392 |
The accompanying notes are an integral part of the portfolio of investments.
22
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Pool #G06057 4.500% 10/01/40 |
$ | 153,344 | $ | 159,789 | ||||
Pool #G60485 4.500% 10/01/41 |
175,062 | 182,420 | ||||||
Pool #G60172 4.500% 9/01/43 |
184,915 | 192,918 | ||||||
Pool #Q48208 4.500% 5/01/47 |
114,740 | 118,595 | ||||||
Pool #Q48869 4.500% 6/01/47 |
821,938 | 849,551 | ||||||
Pool #C55867 7.500% 2/01/30 |
41,388 | 45,558 | ||||||
Pool #C01079 7.500% 10/01/30 |
6,123 | 6,928 | ||||||
Pool #C01135 7.500% 2/01/31 |
19,596 | 22,116 | ||||||
Pool #C00470 8.000% 8/01/26 |
13,557 | 15,085 | ||||||
Pool #G00924 8.000% 3/01/28 |
13,225 | 14,727 | ||||||
Federal Home Loan Mortgage Corp. TBA |
||||||||
Pool # 3376 3.500% 2/29/48 (e) |
1,550,000 | 1,525,539 | ||||||
Federal National Mortgage Association |
||||||||
Pool #MA2806 3.000% 11/01/46 |
4,756,967 | 4,557,026 | ||||||
Pool #BM3564 3.000% 7/01/47 |
1,304,560 | 1,249,728 | ||||||
Pool #AS1304 3.500% 12/01/28 |
246,058 | 248,029 | ||||||
Pool #AV1897 3.500% 12/01/28 |
39,531 | 39,847 | ||||||
Pool #AV2325 3.500% 12/01/28 |
124,749 | 125,748 | ||||||
Pool #BF0196 3.500% 2/01/41 |
291,430 | 289,393 | ||||||
Pool #MA1356 3.500% 2/01/43 |
1,642,342 | 1,626,753 | ||||||
Pool #BM3994 3.500% 1/01/44 |
281,666 | 278,992 | ||||||
Pool #CA1073 3.500% 1/01/48 |
3,478,921 | 3,426,330 | ||||||
Pool #MA3287 3.500% 2/01/48 |
1,062,374 | 1,037,682 | ||||||
Pool #888586 1 year CMT + 2.198% |
66,236 | 68,698 | ||||||
Pool #BH9008 4.000% 8/01/47 |
49,126 | 49,669 | ||||||
Pool #CA0181 4.000% 8/01/47 |
2,206,050 | 2,230,437 | ||||||
Pool #BH9011 4.000% 9/01/47 |
42,286 | 42,754 | ||||||
Pool #CA0620 4.000% 10/01/47 |
2,121,695 | 2,145,149 | ||||||
Pool #BJ0686 4.000% 4/01/48 |
807,986 | 816,223 | ||||||
Pool #CA1951 4.000% 7/01/48 |
741,144 | 748,700 | ||||||
Pool #CA2039 4.000% 7/01/48 |
916,456 | 926,587 | ||||||
Pool #BF0105 4.000% 6/01/56 |
233,778 | 236,727 | ||||||
Pool #725692 1 year CMT + 2.138% |
41,425 | 43,430 | ||||||
Pool #AH6787 4.500% 3/01/41 |
160,610 | 167,493 | ||||||
Pool #CA1952 4.500% 6/01/48 |
544,242 | 561,951 | ||||||
Pool #BK7877 4.500% 7/01/48 |
324,131 | 334,677 | ||||||
Pool #AD6437 5.000% 6/01/40 |
84,083 | 89,433 | ||||||
Pool #AD6996 5.000% 7/01/40 |
569,055 | 603,309 | ||||||
Pool #AL8173 5.000% 2/01/44 |
216,344 | 229,299 | ||||||
Pool #564594 7.000% 1/01/31 |
9,914 | 11,027 | ||||||
Pool #572844 7.000% 4/01/31 |
22,492 | 25,292 | ||||||
Pool #253795 7.000% 5/01/31 |
50,160 | 56,155 | ||||||
Pool #499386 7.500% 9/01/29 |
1,173 | 1,320 | ||||||
Pool #521006 7.500% 12/01/29 |
447 | 505 | ||||||
Pool #522769 7.500% 12/01/29 |
62 | 71 | ||||||
Pool #252981 7.500% 1/01/30 |
7,063 | 7,951 | ||||||
Pool #531196 7.500% 2/01/30 |
883 | 991 |
Principal Amount |
Value | |||||||
Pool #524317 7.500% 3/01/30 |
$ | 1,025 | $ | 1,161 | ||||
Pool #530299 7.500% 3/01/30 |
242 | 266 | ||||||
Pool #530520 7.500% 3/01/30 |
10,716 | 11,990 | ||||||
Pool #253183 7.500% 4/01/30 |
2,834 | 3,186 | ||||||
Pool #253265 7.500% 5/01/30 |
1,485 | 1,652 | ||||||
Pool #526380 8.000% 5/01/30 |
3,366 | 3,857 | ||||||
Pool #536949 8.000% 5/01/30 |
1,408 | 1,620 | ||||||
Pool #535351 8.000% 6/01/30 |
2,562 | 2,924 | ||||||
Pool #253481 8.000% 10/01/30 |
2,015 | 2,302 | ||||||
Pool #190317 8.000% 8/01/31 |
790 | 900 | ||||||
Pool #596656 8.000% 8/01/31 |
480 | 494 | ||||||
Pool #602008 8.000% 8/01/31 |
2,402 | 2,732 | ||||||
Federal National Mortgage Association TBA |
||||||||
Pool #9768 3.000% 4/29/47 (e) |
1,090,000 | 1,042,909 | ||||||
Pool #17115 3.500% |
900,000 | 885,656 | ||||||
Pool #18388 4.000% |
2,275,000 | 2,297,039 | ||||||
Pool #21133 4.500% |
1,800,000 | 1,856,813 | ||||||
Government National Mortgage Association |
||||||||
Pool #783896 3.500% 5/15/44 |
762,669 | 762,043 | ||||||
Pool #BF1053 3.500% 12/15/47 |
293,748 | 291,946 | ||||||
Pool #BF1120 3.500% |
345,721 | 343,601 | ||||||
Pool #AV1854 3.500% 1/15/48 |
321,101 | 319,132 | ||||||
Pool #BF1214 3.500% 2/15/48 |
296,742 | 294,922 | ||||||
Pool #BF1245 3.500% 2/15/48 |
296,693 | 294,873 | ||||||
Pool #337539 7.000% 7/15/23 |
414 | 440 | ||||||
Pool #363066 7.000% 8/15/23 |
3,503 | 3,729 | ||||||
Pool #354674 7.000 |
3,235 | 3,441 | ||||||
Pool #362651 7.000% 10/15/23 |
2,654 | 2,721 | ||||||
Pool #352021 7.000% 11/15/23 |
1,915 | 2,034 | ||||||
Government National Mortgage Association II |
||||||||
Pool #82462, 1 year CMT + 1.500% |
67,250 | 69,643 | ||||||
Pool #82488 1 year CMT + 1.500% 3.375% FRN 3/20/40 |
84,658 | 87,640 | ||||||
Pool #784314 3.500% 5/20/43 |
153,991 | 153,756 | ||||||
Pool #784026 3.500% 12/20/44 |
208,356 | 207,779 | ||||||
Pool #BC4641 3.500% 9/20/47 |
441,642 | 438,761 | ||||||
Pool #MA4778 3.500% 10/20/47 |
70,663 | 70,334 | ||||||
Pool #BC4885 3.500% 11/20/47 |
653,874 | 650,732 | ||||||
Pool #BE4328 3.500% 12/20/47 |
314,298 | 312,690 | ||||||
Pool #BD6940 3.500% 12/20/47 |
413,152 | 410,456 | ||||||
Pool #BD3899 3.500% 1/20/48 |
850,051 | 845,701 | ||||||
Pool #BE6487 3.500% 1/20/48 |
197,565 | 196,276 | ||||||
Pool #BD6461 3.500% 1/20/48 |
375,305 | 372,857 | ||||||
Pool #BF1119 3.500% 1/20/48 |
558,477 | 554,834 | ||||||
Pool #BF1269 3.500% 2/20/48 |
296,751 | 294,815 | ||||||
Pool #AC2985 4.000% 10/20/47 |
113,842 | 115,995 | ||||||
Pool #BF1270 4.000% 2/20/48 |
291,067 | 296,320 |
The accompanying notes are an integral part of the portfolio of investments.
23
MML Blend Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Government National Mortgage Association II TBA |
||||||||
Pool #1635 3.500% 11/29/47 (e) |
$ | 1,900,000 | $ | 1,888,719 | ||||
Pool #1367 4.000% 3/29/48 (e) |
2,825,000 | 2,872,231 | ||||||
|
|
|||||||
55,970,148 | ||||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $58,870,703) |
57,473,195 | |||||||
|
|
|||||||
U.S. TREASURY OBLIGATIONS — 1.4% |
| |||||||
U.S. Treasury Bonds & Notes — 1.4% |
| |||||||
U.S. Treasury Bond |
||||||||
2.500% 5/15/46 |
4,180,000 | 3,644,960 | ||||||
3.500% 2/15/39 (i) |
390,000 | 410,780 | ||||||
U.S. Treasury Note |
||||||||
1.625% 10/31/23 |
4,600,000 | 4,312,895 | ||||||
1.750% 5/15/23 |
1,530,000 | 1,451,241 | ||||||
|
|
|||||||
9,819,876 | ||||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,952,038) |
9,819,876 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $220,227,078) |
217,364,031 | |||||||
|
|
|||||||
TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $1,663,830) |
1,668,218 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $556,903,168) |
717,847,493 | |||||||
|
|
|||||||
SHORT-TERM INVESTMENTS — 2.2% |
| |||||||
Commercial Paper — 2.1% |
| |||||||
DENTSPLY International, Inc. |
2,000,000 | 1,998,240 | ||||||
Entergy Corp. |
1,500,000 | 1,499,690 | ||||||
Enterprise Products Operating LLC |
1,800,000 | 1,798,666 | ||||||
FMC Tech, Inc. |
2,000,000 | 1,997,418 | ||||||
Marriott International, Inc. |
1,000,000 | 999,190 | ||||||
National Grid USA |
1,800,000 | 1,799,403 | ||||||
Northrop Grumman Corp. |
||||||||
2.397% 10/17/18 |
400,000 | 399,488 | ||||||
2.404% 10/03/18 |
1,000,000 | 999,673 |
Principal Amount |
Value | |||||||
Spectra Energy Partners |
$ | 2,000,000 | $ | 1,996,601 | ||||
Westar Energy, Inc. |
2,000,000 | 1,999,067 | ||||||
|
|
|||||||
15,487,436 | ||||||||
|
|
|||||||
Repurchase Agreement — 0.1% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/28/18, 1.100%, due 10/01/18 (j) |
714,995 | 714,995 | ||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,205,607) |
16,202,431 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 101.8% (Cost $573,108,775) (k) |
734,049,924 | |||||||
Other Assets/(Liabilities) — (1.8)% | (12,888,801 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 721,161,123 | ||||||
|
|
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 |
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 September 30, 2018, these securities amounted to a value of $85,002,233 or 11.79% of net assets. |
(c) | 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 September 30, 2018. |
(d) | Security is perpetual and has no stated maturity date. |
(e) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
The accompanying notes are an integral part of the portfolio of investments.
24
MML Blend Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
(f) | Investment was valued using significant unobservable inputs. |
(g) | Restricted security. Certain securities are restricted as to resale. At September 30, 2018, these securities amounted to a value of $2,503,775 or 0.35% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(h) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2018, these securities amounted to a value of $333,786 or 0.05% of net assets. |
(i) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
(j) | Maturity value of $715,061. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 8/15/42, and an aggregate market value, including accrued interest, of $731,016. |
(k) | See Note 3 for aggregate cost for federal tax purposes. |
(#) | Purchased Swaptions contracts at September 30, 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 | $ | 181,851 | $ | (83,109 | ) | |||||||||||||||||||
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 | 229,650 | (57,870 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
552,480 | 411,501 | (140,979 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
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 | $ | 627,197 | $ | 87,773 | ||||||||||||||||||||
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 | 629,520 | 57,594 | |||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
1,111,350 | 1,256,717 | 145,367 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 1,663,830 | $ | 1,668,218 | $ | 4,388 | |||||||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the portfolio of investments.
25
MML Blend Fund – Portfolio of Investments (Continued)
Futures contracts at September 30, 2018:
Expiration Date |
Number of Contracts |
Notional Amount |
Value/Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Long |
| |||||||||||||||
U.S. Treasury Ultra Bond |
12/19/18 | 71 | $ | 11,340,079 | $ | (386,110 | ) | |||||||||
U.S. Treasury Note 2 Year |
12/31/18 | 112 | 23,666,051 | (63,801 | ) | |||||||||||
U.S. Treasury Note 5 Year |
12/31/18 | 114 | 12,914,064 | (91,736 | ) | |||||||||||
|
|
|||||||||||||||
$ | (541,647 | ) | ||||||||||||||
|
|
|||||||||||||||
Short |
| |||||||||||||||
U.S. Treasury Long Bond |
12/19/18 | 29 | $ | (4,163,156 | ) | $ | 88,656 | |||||||||
U.S. Treasury Ultra 10 Year |
12/19/18 | 14 | (1,768,252 | ) | 4,252 | |||||||||||
|
|
|||||||||||||||
$ | 92,908 | |||||||||||||||
|
|
Swap agreements at September 30, 2018:
Counterparty |
Currency |
Notional Amount |
Expiration |
Payment |
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.BBB-.6† (Rating: BBB-) |
$ | (59,274 | ) | $ | 308 | $ | (58,966 | ) | ||||||||||||||
Goldman Sachs International |
USD | 430,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6† (Rating: BBB-) |
(13,472 | ) | (37,238 | ) | (50,710 | ) | ||||||||||||||||
Goldman Sachs International |
USD | 160,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6† (Rating: BBB-) |
(6,050 | ) | (12,819 | ) | (18,869 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (78,796 | ) | $ | (49,749 | ) | $ | (128,545 | ) | ||||||||||||||||||||
|
|
|
|
|
|
† | 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 portfolio of investments.
26
MML Dynamic Bond Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Number of Shares |
Value | |||||||
EQUITIES — 0.0% |
| |||||||
COMMON STOCK — 0.0% |
| |||||||
Energy — 0.0% |
| |||||||
Oil & Gas — 0.0% |
| |||||||
SandRidge Energy, Inc. (a) |
648 | $ | 7,044 | |||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $18,804) |
7,044 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $18,804) |
7,044 | |||||||
|
|
|||||||
Principal Amount |
||||||||
BONDS & NOTES — 92.6% |
| |||||||
CORPORATE DEBT — 25.1% |
| |||||||
Advertising — 0.1% |
| |||||||
The Interpublic Group of Cos., Inc. |
$ | 545,000 | 541,776 | |||||
|
|
|||||||
Aerospace & Defense — 0.2% |
| |||||||
Lockheed Martin Corp. |
505,000 | 538,354 | ||||||
TransDigm, Inc. |
325,000 | 328,250 | ||||||
|
|
|||||||
866,604 | ||||||||
|
|
|||||||
Agriculture — 0.1% |
| |||||||
BAT Capital Corp. |
180,000 | 181,424 | ||||||
Reynolds American, Inc. |
385,000 | 387,377 | ||||||
|
|
|||||||
568,801 | ||||||||
|
|
|||||||
Airlines — 0.2% |
| |||||||
Delta Air Lines, Inc. |
570,000 | 559,868 | ||||||
Guanay Finance Ltd. |
366,890 | 367,807 | ||||||
Latam Finance Ltd. |
200,000 | 194,250 | ||||||
|
|
|||||||
1,121,925 | ||||||||
|
|
|||||||
Auto Manufacturers — 0.6% |
| |||||||
Daimler Finance North America LLC |
1,135,000 | 1,139,480 | ||||||
Ford Motor Co. |
485,000 | 538,706 | ||||||
General Motors Co. 3 mo. USD LIBOR + .800% |
210,000 | 210,705 |
Principal Amount |
Value | |||||||
General Motors Financial Co., Inc. |
||||||||
3.327% FRN 1/05/23 (b) |
$ | 505,000 | $ | 505,896 | ||||
3.950% 4/13/24 |
115,000 | 111,843 | ||||||
|
|
|||||||
2,506,630 | ||||||||
|
|
|||||||
Banks — 4.0% |
| |||||||
Banco Bilbao Vizcaya Argentaria Colombia SA |
300,000 | 299,550 | ||||||
Banco de Credito e Inversiones |
200,000 | 200,500 | ||||||
Banco de Reservas de la Republica Dominicana |
200,000 | 203,002 | ||||||
Banco do Brasil SA 10 year CMT + 4.398% |
600,000 | 457,500 | ||||||
Banco Internacional del Peru SAA |
500,000 | 520,500 | ||||||
Banco Macro SA 5 year USD Swap + 5.463% |
350,000 | 292,253 | ||||||
Banco Mercantil del Norte SA |
||||||||
5 year CMT + 4.447% |
200,000 | 187,862 | ||||||
10 year CMT + 5.353% |
200,000 | 202,002 | ||||||
Banco Santander Chile |
150,000 | 149,706 | ||||||
Banco Santander Mexico SA |
250,000 | 253,750 | ||||||
Banco Santander SA |
600,000 | 601,991 | ||||||
Bancolombia SA |
200,000 | 192,260 | ||||||
Banistmo SA |
200,000 | 190,750 | ||||||
Bank of Montreal |
450,000 | 420,453 | ||||||
Barclays PLC |
425,000 | 422,776 | ||||||
BBVA Bancomer SA |
600,000 | 545,250 | ||||||
BDO Unibank, Inc. |
||||||||
2.625% 10/24/21 (d) |
300,000 | 287,351 | ||||||
2.950% 3/06/23 (d) |
300,000 | 282,455 | ||||||
BNP Paribas SA |
595,000 | 563,261 | ||||||
Capital One Financial Corp. |
140,000 | 139,380 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 1.100% |
845,000 | 851,720 |
The accompanying notes are an integral part of the portfolio of investments.
27
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Credit Agricole SA |
$ | 535,000 | $ | 525,030 | ||||
Credit Suisse Group AG |
680,000 | 683,842 | ||||||
DBS Group Holdings Ltd. 5 year USD Swap + 2.390% |
600,000 | 579,000 | ||||||
Global Bank Corp. |
700,000 | 704,200 | ||||||
The Goldman Sachs Group, Inc. |
||||||||
3.122% FRN 10/31/22 (b) |
370,000 | 371,784 | ||||||
3.484% FRN 5/15/26 (b) |
360,000 | 360,220 | ||||||
HSBC Holdings PLC |
835,000 | 835,083 | ||||||
Industrial Senior Trust |
100,000 | 98,000 | ||||||
Itau Unibanco Holding SA |
350,000 | 328,230 | ||||||
Lloyds Banking Group PLC |
600,000 | 549,599 | ||||||
Macquarie Group Ltd. |
||||||||
3.189% VRN 11/28/23 (b) (c) |
330,000 | 316,739 | ||||||
4.150% VRN 3/27/24 (b) (c) |
280,000 | 278,822 | ||||||
Malayan Banking Bhd 5 year USD Swap + 2.542% |
600,000 | 591,654 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
565,000 | 566,690 | ||||||
Morgan Stanley 3 mo. USD LIBOR + 1.340% |
585,000 | 555,042 | ||||||
Oversea-Chinese Banking Corp. Ltd. 5 year USD Swap + 2.203% |
200,000 | 200,492 | ||||||
Royal Bank of Scotland Group PLC 3 mo. USD LIBOR + 1.480% |
285,000 | 276,159 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
885,000 | 885,875 | ||||||
Union Bank of the Philippines |
400,000 | 383,043 | ||||||
United Overseas Bank Ltd. |
||||||||
5 year USD Swap + 2.236% |
200,000 | 196,838 | ||||||
3.875% VRN 12/31/99 (b) (d) (e) |
500,000 | 469,137 | ||||||
Westpac Banking Corp. |
850,000 | 852,522 | ||||||
|
|
|||||||
17,872,273 | ||||||||
|
|
|||||||
Beverages — 0.3% |
| |||||||
Anheuser-Busch InBev Finance, Inc. |
250,000 | 252,830 | ||||||
Anheuser-Busch InBev Worldwide, Inc. |
290,000 | 280,919 |
Principal Amount |
Value | |||||||
Embotelladora Andina SA |
$ | 600,000 | $ | 627,173 | ||||
|
|
|||||||
1,160,922 | ||||||||
|
|
|||||||
Biotechnology — 0.1% |
| |||||||
Celgene Corp. |
595,000 | 532,638 | ||||||
|
|
|||||||
Building Materials — 0.2% |
| |||||||
Builders FirstSource, Inc. |
320,000 | 307,600 | ||||||
Owens Corning |
295,000 | 244,301 | ||||||
Votorantim Cimentos SA |
200,000 | 198,002 | ||||||
|
|
|||||||
749,903 | ||||||||
|
|
|||||||
Chemicals — 0.4% |
| |||||||
Braskem Finance Ltd. |
200,000 | 213,000 | ||||||
Grupo Idesa SA de CV |
400,000 | 350,000 | ||||||
Hexion, Inc. |
||||||||
6.625% 4/15/20 |
80,000 | 75,200 | ||||||
10.375% 2/01/22 (c) |
245,000 | 238,262 | ||||||
The Mosaic Co. |
600,000 | 580,450 | ||||||
UPL Corp. Ltd. |
200,000 | 193,196 | ||||||
|
|
|||||||
1,650,108 | ||||||||
|
|
|||||||
Coal — 0.1% |
| |||||||
Peabody Energy Corp. |
315,000 | 320,512 | ||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. |
315,000 | 324,450 | ||||||
|
|
|||||||
644,962 | ||||||||
|
|
|||||||
Commercial Services — 0.3% |
| |||||||
Adani Ports & Special Economic Zone Ltd. |
375,000 | 367,275 | ||||||
ENA Norte Trust |
136,895 | 137,408 | ||||||
Garda World Security Corp. |
305,000 | 296,994 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. |
223,000 | 238,498 | ||||||
The ServiceMaster Co. LLC |
65,000 | 64,025 | ||||||
Verscend Escrow Corp. |
260,000 | 268,450 | ||||||
|
|
|||||||
1,372,650 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
28
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Diversified Financial Services — 1.8% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
$ | 600,000 | $ | 565,402 | ||||
Air Lease Corp. |
585,000 | 586,082 | ||||||
Ally Financial, Inc. |
||||||||
4.125% 3/30/20 |
555,000 | 557,081 | ||||||
4.250% 4/15/21 |
30,000 | 30,150 | ||||||
American Express Co. |
1,115,000 | 1,068,856 | ||||||
ASP AMC Merger Sub, Inc. |
175,000 | 133,000 | ||||||
Banco BTG Pactual SA 5 year CMT + 6.978% |
200,000 | 201,002 | ||||||
BOC Aviation Ltd. |
565,000 | 564,309 | ||||||
Credito Real SAB de CV SOFOM ER |
200,000 | 198,252 | ||||||
Discover Financial Services |
720,000 | 688,242 | ||||||
Interoceanica IV Finance Ltd. |
999,209 | 846,830 | ||||||
Nationstar Mortgage Holdings, Inc. |
145,000 | 151,859 | ||||||
NFP Corp. |
320,000 | 320,000 | ||||||
SPARC EM SPC Panama Metro Line 2 SP |
||||||||
0.010% 12/05/22 (c) |
700,000 | 641,305 | ||||||
0.010% 12/05/22 (d) |
600,000 | 549,690 | ||||||
Springleaf Finance Corp. |
100,000 | 99,500 | ||||||
SURA Asset Management SA |
200,000 | 200,100 | ||||||
Synchrony Financial |
||||||||
3.000% 8/15/19 |
530,000 | 528,920 | ||||||
3.950% 12/01/27 |
25,000 | 22,647 | ||||||
Unifin Financiera SAB de CV SOFOM ENR |
400,000 | 374,004 | ||||||
|
|
|||||||
8,327,231 | ||||||||
|
|
|||||||
Electric — 2.8% |
| |||||||
AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It |
500,000 | 516,255 | ||||||
American Electric Power Co., Inc. |
313,000 | 305,974 | ||||||
Cometa Energia SA de CV |
400,000 | 392,900 |
Principal Amount |
Value | |||||||
DTE Energy Co. |
$ | 500,000 | $ | 488,716 | ||||
Duke Energy Corp. |
||||||||
3.750% 9/01/46 |
215,000 | 188,932 | ||||||
3.950% 8/15/47 |
240,000 | 216,317 | ||||||
Duke Energy Florida LLC |
1,000,000 | 957,061 | ||||||
Duke Energy Progress, Inc. |
470,000 | 458,907 | ||||||
Edison International |
575,000 | 569,071 | ||||||
Empresa Electrica Angamos SA |
191,300 | 189,292 | ||||||
Empresa Electrica Guacolda SA |
200,000 | 185,814 | ||||||
Enel Finance International NV |
565,000 | 558,110 | ||||||
Energuate Trust |
200,000 | 189,500 | ||||||
Engie Energia Chile SA |
100,000 | 103,666 | ||||||
Eversource Energy |
1,000,000 | 978,750 | ||||||
Exelon Corp. |
750,000 | 717,662 | ||||||
Fortis, Inc. |
580,000 | 554,081 | ||||||
Inkia Energy Ltd. |
400,000 | 380,004 | ||||||
Israel Electric Corp. Ltd. |
200,000 | 203,000 | ||||||
Mexico Generadora de Energia S. de R.L. |
175,942 | 175,282 | ||||||
NextEra Energy Capital Holdings, Inc. |
280,000 | 269,393 | ||||||
NextEra Energy Operating Partners LP |
340,000 | 325,550 | ||||||
Pampa Energia SA |
600,000 | 530,760 | ||||||
PSEG Power LLC |
430,000 | 428,402 | ||||||
Sierra Pacific Power Co. |
1,000,000 | 922,326 | ||||||
Southern California Edison Co. |
290,000 | 277,212 | ||||||
The Southern Co. |
65,000 | 64,510 | ||||||
Vistra Operations Co. LLC |
325,000 | 328,656 | ||||||
Xcel Energy, Inc. |
1,000,000 | 966,538 | ||||||
|
|
|||||||
12,442,641 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
29
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Electronics — 0.2% |
| |||||||
Arrow Electronics, Inc. |
$ | 290,000 | $ | 270,127 | ||||
Corning, Inc. |
595,000 | 521,121 | ||||||
|
|
|||||||
791,248 | ||||||||
|
|
|||||||
Engineering & Construction — 0.4% |
| |||||||
Aeropuerto Internacional de Tocumen SA |
776,615 | 797,980 | ||||||
Mexico City Airport Trust |
500,000 | 470,000 | ||||||
Sydney Airport Finance Co. Pty Ltd. |
||||||||
3.375% 4/30/25 (c) |
300,000 | 285,567 | ||||||
3.625% 4/28/26 (c) |
300,000 | 286,674 | ||||||
|
|
|||||||
1,840,221 | ||||||||
|
|
|||||||
Entertainment — 0.3% |
| |||||||
Caesars Resort Collection LLC/CRC Finco, Inc. |
335,000 | 319,087 | ||||||
Delta Merger Sub, Inc. |
80,000 | 81,000 | ||||||
Eldorado Resorts, Inc. |
235,000 | 237,937 | ||||||
GLP Capital LP/GLP Financing II, Inc. |
||||||||
5.300% 1/15/29 |
215,000 | 215,624 | ||||||
5.750% 6/01/28 |
325,000 | 334,344 | ||||||
|
|
|||||||
1,187,992 | ||||||||
|
|
|||||||
Environmental Controls — 0.1% |
| |||||||
Tervita Escrow Corp. |
310,000 | 319,687 | ||||||
|
|
|||||||
Foods — 1.0% |
| |||||||
Cosan Overseas Ltd. |
500,000 | 496,250 | ||||||
ESAL GmbH |
400,000 | 396,500 | ||||||
JBS Investments GmbH |
200,000 | 203,502 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. |
260,000 | 258,375 | ||||||
The Kroger Co. |
565,000 | 560,246 | ||||||
MARB BondCo PLC |
||||||||
6.875% 1/19/25 (d) |
200,000 | 186,000 | ||||||
7.000% 3/15/24 (d) |
200,000 | 189,002 | ||||||
Marfrig Holdings Europe BV |
200,000 | 200,700 | ||||||
Minerva Luxembourg SA |
||||||||
5.875% 1/19/28 (d) |
400,000 | 355,000 | ||||||
6.500% 9/20/26 (d) |
400,000 | 374,500 | ||||||
Pilgrim’s Pride Corp. |
330,000 | 317,625 |
Principal Amount |
Value | |||||||
Post Holdings, Inc. |
$ | 320,000 | $ | 317,600 | ||||
Smithfield Foods, Inc. |
595,000 | 559,575 | ||||||
|
|
|||||||
4,414,875 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.2% |
| |||||||
Celulosa Arauco y Constitucion SA |
200,000 | 204,500 | ||||||
Georgia-Pacific LLC |
565,000 | 559,465 | ||||||
|
|
|||||||
763,965 | ||||||||
|
|
|||||||
Health Care – Products — 0.5% |
| |||||||
Avantor, Inc. |
325,000 | 335,562 | ||||||
Becton Dickinson and Co. |
860,000 | 836,130 | ||||||
Universal Hospital Services, Inc. |
330,000 | 330,413 | ||||||
Zimmer Biomet Holdings, Inc. |
570,000 | 564,460 | ||||||
|
|
|||||||
2,066,565 | ||||||||
|
|
|||||||
Health Care – Services — 0.3% |
| |||||||
Centene Corp. |
||||||||
4.750% 1/15/25 |
330,000 | 329,175 | ||||||
5.375% 6/01/26 (c) |
35,000 | 35,835 | ||||||
Halfmoon Parent, Inc. |
560,000 | 560,026 | ||||||
HCA, Inc. |
320,000 | 323,200 | ||||||
WellCare Health Plans, Inc. |
200,000 | 203,500 | ||||||
|
|
|||||||
1,451,736 | ||||||||
|
|
|||||||
Home Furnishing — 0.1% |
| |||||||
Tempur Sealy International, Inc. |
335,000 | 321,181 | ||||||
|
|
|||||||
Household Products & Wares — 0.1% |
| |||||||
Kronos Acquisition Holdings, Inc. |
330,000 | 311,025 | ||||||
|
|
|||||||
Insurance — 0.7% |
| |||||||
Alliant Holdings Intermediate LLC/Alliant Holdings
Co-Issuer |
315,000 | 326,025 | ||||||
Athene Global Funding |
600,000 | 581,667 | ||||||
AXA Equitable Holdings, Inc. |
585,000 | 580,726 | ||||||
Brighthouse Financial, Inc. |
575,000 | 510,451 | ||||||
Liberty Mutual Group, Inc. |
690,000 | 834,138 |
The accompanying notes are an integral part of the portfolio of investments.
30
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Willis North America, Inc. |
$ | 565,000 | $ | 564,840 | ||||
|
|
|||||||
3,397,847 | ||||||||
|
|
|||||||
Internet — 0.2% |
| |||||||
Alibaba Group Holding Ltd. |
200,000 | 192,562 | ||||||
Expedia, Inc. Co. |
595,000 | 548,415 | ||||||
Match Group, Inc. |
325,000 | 323,408 | ||||||
|
|
|||||||
1,064,385 | ||||||||
|
|
|||||||
Investment Companies — 0.1% |
| |||||||
Temasek Financial I Ltd. |
500,000 | 479,520 | ||||||
|
|
|||||||
Leisure Time — 0.1% |
| |||||||
Royal Caribbean Cruises Ltd. |
295,000 | 273,586 | ||||||
Viking Cruises Ltd. |
330,000 | 322,014 | ||||||
|
|
|||||||
595,600 | ||||||||
|
|
|||||||
Lodging — 0.2% |
| |||||||
Gohl Capital Ltd. |
600,000 | 571,630 | ||||||
Hilton Domestic Operating Co., Inc. |
565,000 | 562,175 | ||||||
|
|
|||||||
1,133,805 | ||||||||
|
|
|||||||
Machinery – Construction & Mining — 0.1% |
| |||||||
BlueLine Rental Finance Corp./BlueLine Rental LLC |
300,000 | 315,375 | ||||||
|
|
|||||||
Media — 0.4% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
||||||||
5.000% 2/01/28 (c) |
175,000 | 164,483 | ||||||
5.750% 2/15/26 (c) |
160,000 | 160,400 | ||||||
Cengage Learning, Inc. |
265,000 | 228,231 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
575,000 | 583,871 | ||||||
CSC Holdings LLC |
170,000 | 166,175 | ||||||
VTR Finance BV |
||||||||
6.875% 1/15/24 (d) |
200,000 | 203,500 | ||||||
6.875% 1/15/24 (c) |
200,000 | 203,500 | ||||||
|
|
|||||||
1,710,160 | ||||||||
|
|
|||||||
Mining — 0.4% |
| |||||||
Anglo American Capital PLC |
585,000 | 561,439 |
Principal Amount |
Value | |||||||
Fresnillo PLC |
$ | 500,000 | $ | 515,000 | ||||
Nexa Resources SA |
200,000 | 194,300 | ||||||
Vedanta Resources PLC |
400,000 | 371,628 | ||||||
|
|
|||||||
1,642,367 | ||||||||
|
|
|||||||
Oil & Gas — 2.1% |
| |||||||
Andeavor |
530,000 | 554,449 | ||||||
Apache Corp. |
280,000 | 274,616 | ||||||
Bharat Petroleum Corp. Ltd. |
200,000 | 200,834 | ||||||
BPRL International Singapore Pte Ltd. |
500,000 | 470,029 | ||||||
Canacol Energy Ltd. |
||||||||
7.250% 5/03/25 (d) |
400,000 | 387,004 | ||||||
7.250% 5/03/25 (c) |
200,000 | 193,502 | ||||||
CNOOC Finance 2015 USA LLC |
570,000 | 565,257 | ||||||
Delek & Avner Tamar Bond Ltd. |
||||||||
5.082% 12/30/23 (c) |
100,000 | 100,426 | ||||||
5.412% 12/30/25 (c) |
100,000 | 100,334 | ||||||
Ecopetrol SA |
200,000 | 207,260 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. |
160,000 | 163,800 | ||||||
EQT Corp. |
610,000 | 571,577 | ||||||
Extraction Oil & Gas, Inc. |
130,000 | 115,050 | ||||||
Geopark Ltd. |
200,000 | 201,000 | ||||||
Gran Tierra Energy International Holdings Ltd. |
400,000 | 391,720 | ||||||
Gulfport Energy Corp. |
335,000 | 328,300 | ||||||
Indian Oil Corp. Ltd. |
600,000 | 628,346 | ||||||
Indigo Natural Resources LLC |
190,000 | 183,825 | ||||||
Nabors Industries, Inc. |
200,000 | 191,733 | ||||||
ONGC Videsh Vankorneft Pte Ltd. |
850,000 | 783,414 | ||||||
Petrobras Global Finance BV |
||||||||
5.750% 2/01/29 |
500,000 | 446,425 | ||||||
7.250% 3/17/44 |
100,000 | 94,950 | ||||||
Petronas Capital Ltd. |
800,000 | 781,522 |
The accompanying notes are an integral part of the portfolio of investments.
31
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
QEP Resources, Inc. |
$ | 165,000 | $ | 157,781 | ||||
Sinopec Group Overseas Development Ltd. |
500,000 | 446,330 | ||||||
Sunoco LP/Sunoco Finance Corp. |
165,000 | 159,390 | ||||||
Transocean Guardian Ltd. |
85,000 | 85,744 | ||||||
YPF Sociedad Anonima |
||||||||
6.950% 7/21/27 (d) |
350,000 | 306,145 | ||||||
8.500% 7/28/25 (d) |
300,000 | 292,503 | ||||||
|
|
|||||||
9,383,266 | ||||||||
|
|
|||||||
Oil & Gas Services — 0.0% |
| |||||||
USA Compression Partners LP/USA Compression Finance Corp. |
160,000 | 165,200 | ||||||
|
|
|||||||
Packaging & Containers — 0.3% |
| |||||||
Crown Americas LLC/Crown Americas Capital Corp. VI |
325,000 | 310,375 | ||||||
Flex Acquisition Co., Inc. |
325,000 | 310,375 | ||||||
Packaging Corp. of America |
290,000 | 272,554 | ||||||
WestRock Co. |
580,000 | 569,986 | ||||||
|
|
|||||||
1,463,290 | ||||||||
|
|
|||||||
Pharmaceuticals — 0.7% |
| |||||||
AbbVie, Inc. |
580,000 | 557,254 | ||||||
AstraZeneca PLC |
600,000 | 576,693 | ||||||
CVS Health Corp. |
575,000 | 588,135 | ||||||
Shire Acquisitions Investments Ireland DAC |
580,000 | 552,355 | ||||||
Teva Pharmaceutical Finance Netherlands III BV |
780,000 | 694,545 | ||||||
|
|
|||||||
2,968,982 | ||||||||
|
|
|||||||
Pipelines — 1.0% |
| |||||||
Cheniere Energy Partners LP |
325,000 | 325,400 | ||||||
Enable Midstream Partners LP |
590,000 | 566,227 | ||||||
Energy Transfer Partners LP |
||||||||
4.200% 4/15/27 |
80,000 | 77,272 | ||||||
4.750% 1/15/26 |
470,000 | 474,859 |
Principal Amount |
Value | |||||||
EQT Midstream Partners LP |
$ | 720,000 | $ | 730,644 | ||||
Fermaca Enterprises S de RL de CV |
228,837 | 233,416 | ||||||
Kinder Morgan Energy Partners LP |
570,000 | 690,942 | ||||||
Sabine Pass Liquefaction LLC |
660,000 | 677,945 | ||||||
Sunoco Logistics Partners Operations LP |
750,000 | 711,505 | ||||||
|
|
|||||||
4,488,210 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 1.2% |
| |||||||
Alexandria Real Estate Equities, Inc. |
420,000 | 420,999 | ||||||
American Tower Corp. |
||||||||
3.600% 1/15/28 |
600,000 | 560,636 | ||||||
4.400% 2/15/26 |
950,000 | 951,098 | ||||||
Boston Properties LP |
520,000 | 528,813 | ||||||
Crown Castle International Corp. |
||||||||
3.650% 9/01/27 |
575,000 | 540,235 | ||||||
3.700% 6/15/26 |
700,000 | 668,987 | ||||||
4.000% 3/01/27 |
225,000 | 218,003 | ||||||
Digital Realty Trust LP |
250,000 | 237,500 | ||||||
ESH Hospitality, Inc. |
330,000 | 319,275 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. |
340,000 | 337,875 | ||||||
Welltower, Inc. |
560,000 | 559,614 | ||||||
|
|
|||||||
5,343,035 | ||||||||
|
|
|||||||
Retail — 0.4% |
| |||||||
1011778 BC ULC/New Red Finance, Inc. |
335,000 | 320,766 | ||||||
Beacon Roofing Supply, Inc. |
340,000 | 313,225 | ||||||
Dollar Tree, Inc. |
555,000 | 544,384 | ||||||
McDonald’s Corp. |
235,000 | 230,761 | ||||||
PetSmart, Inc. |
||||||||
5.875% 6/01/25 (c) |
115,000 | 94,264 | ||||||
7.125% 3/15/23 (c) |
200,000 | 143,750 | ||||||
|
|
|||||||
1,647,150 | ||||||||
|
|
|||||||
Semiconductors — 0.2% |
| |||||||
Marvell Technology Group Ltd. |
560,000 | 557,254 |
The accompanying notes are an integral part of the portfolio of investments.
32
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Microchip Technology, Inc. |
$ | 565,000 | $ | 561,490 | ||||
|
|
|||||||
1,118,744 | ||||||||
|
|
|||||||
Software — 0.4% |
| |||||||
CDK Global, Inc. |
160,000 | 164,861 | ||||||
Fidelity National Information Services, Inc. |
415,000 | 417,310 | ||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho |
290,000 | 321,175 | ||||||
Informatica LLC |
315,000 | 322,428 | ||||||
Oracle Corp. |
285,000 | 276,278 | ||||||
Riverbed Technology, Inc. |
85,000 | 80,112 | ||||||
Solera LLC/ Solera Finance, Inc. |
70,000 | 76,475 | ||||||
Sophia LP/Sophia Finance, Inc. |
310,000 | 323,175 | ||||||
|
|
|||||||
1,981,814 | ||||||||
|
|
|||||||
Telecommunications — 1.5% |
| |||||||
AT&T, Inc. |
750,000 | 747,487 | ||||||
Axiata SPV2 Bhd |
500,000 | 497,458 | ||||||
Bharti Airtel International Netherlands BV |
400,000 | 394,813 | ||||||
Bharti Airtel Ltd. |
500,000 | 462,650 | ||||||
C&W Senior Financing DAC |
800,000 | 798,000 | ||||||
Colombia Telecomunicacio SA |
200,000 | 205,000 | ||||||
CommScope Technologies Finance LLC |
320,000 | 329,600 | ||||||
Comunicaciones Celulares SA Via Comcel Trust |
200,000 | 204,500 | ||||||
Digicel Group Ltd. |
500,000 | 327,425 | ||||||
Level 3 Financing, Inc. |
330,000 | 329,749 | ||||||
Millicom International Cellular SA |
200,000 | 184,000 | ||||||
Orange SA |
564,000 | 564,152 | ||||||
Sprint Capital Corp. |
80,000 | 80,400 |
Principal Amount |
Value | |||||||
Sprint Corp. |
$ | 165,000 | $ | 171,188 | ||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC |
565,000 | 564,746 | ||||||
Telesat Canada/Telesat LLC |
285,000 | 304,950 | ||||||
Verizon Communications, Inc. |
565,000 | 550,979 | ||||||
|
|
|||||||
6,717,097 | ||||||||
|
|
|||||||
Toys, Games & Hobbies — 0.1% |
| |||||||
Hasbro, Inc. |
610,000 | 566,337 | ||||||
|
|
|||||||
Transportation — 0.5% |
| |||||||
Burlington Northern Santa Fe LLC |
505,000 | 525,493 | ||||||
CSX Corp. |
600,000 | 542,539 | ||||||
Empresa de Transporte de Pasajeros Metro SA |
750,000 | 755,633 | ||||||
FedEx Corp. |
545,000 | 545,723 | ||||||
|
|
|||||||
2,369,388 | ||||||||
|
|
|||||||
Trucking & Leasing — 0.1% |
| |||||||
Avolon Holdings Funding Ltd. |
325,000 | 328,503 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. |
275,000 | 269,908 | ||||||
|
|
|||||||
598,411 | ||||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $115,551,882) |
112,977,542 | |||||||
|
|
|||||||
MUNICIPAL OBLIGATIONS — 0.1% |
| |||||||
Missouri Highway & Transportation Commission |
135,000 | 144,719 | ||||||
State of California BAB |
190,000 | 277,320 | ||||||
|
|
|||||||
422,039 | ||||||||
|
|
|||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $428,519) |
422,039 | |||||||
|
|
|||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 25.8% |
| |||||||
Automobile ABS — 0.1% |
| |||||||
GLS Auto Receivables Trust, Series 2018-2A,
Class B |
500,000 | 498,362 | ||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
33
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Commercial MBS — 7.7% |
| |||||||
BBCMS Mortgage Trust, Series 2017-C1,
Class XA, |
$ | 4,561,642 | $ | 432,811 | ||||
BHMS, Series 2018-ATLS, Class C, |
552,000 | 552,813 | ||||||
BX Trust |
||||||||
Series 2017-SLCT, Class D, 1 mo. LIBOR + 2.050% |
191,749 | 192,054 | ||||||
Series 2017-SLCT, Class E, 1 mo. LIBOR + 3.150% |
315,144 | 316,527 | ||||||
CD Mortgage Trust, Series 2017-CD4,
Class XA, |
5,786,721 | 468,710 | ||||||
CFCRE Commercial Mortgage Trust, Series 2016-C3,
Class XA, |
5,743,491 | 352,577 | ||||||
CHT Mortgage Trust |
||||||||
Series 2017-CSMO, Class E, |
378,000 | 380,127 | ||||||
Series 2017-CSMO, Class F, |
754,000 | 759,172 | ||||||
Citigroup Commercial Mortgage Trust |
||||||||
Series 2015-GC35, Class XA, |
5,277,984 | 215,857 | ||||||
Series 2016-P4, Class XA, |
3,725,985 | 413,614 | ||||||
Series 2016-GC36, Class D, |
519,000 | 416,007 | ||||||
Series 2016-P4, Class A4, |
547,000 | 515,375 | ||||||
Series 2016-P6, Class A5, |
435,000 | 432,768 | ||||||
Series 2015-GC31, Class C, |
700,000 | 675,101 | ||||||
Series 2015-GC35, Class C, |
413,000 | 408,045 | ||||||
CLNS Trust |
||||||||
Series 2017-IKPR, Class D, 1 mo. LIBOR + 2.050% |
190,000 | 190,716 | ||||||
Series 2017-IKPR, Class E, 1 mo. LIBOR + 3.500% |
190,000 | 191,069 | ||||||
Series 2017-IKPR, Class F, 1 mo. LIBOR + 4.500% |
190,000 | 191,426 | ||||||
COMM Mortgage Trust |
||||||||
Series 2016-DC2, Class XA, |
976,804 | 56,145 |
Principal Amount |
Value | |||||||
Series 2016-GCT, Class E, |
$ | 210,000 | $ | 201,581 | ||||
Series 2015-CR22, Class D, |
650,000 | 556,344 | ||||||
Series 2012-CR4, Class D, |
738,000 | 384,367 | ||||||
Series 2015-LC23, Class C, |
470,000 | 474,010 | ||||||
Commercial Mortgage Trust, Series 2016-CR28,
Class C, |
517,000 | 514,477 | ||||||
Credit Suisse Mortgage Trust, Series 2008-C1,
Class AM, |
120,908 | 120,734 | ||||||
CSAIL Commercial Mortgage Trust |
||||||||
Series 2015-C1, Class XA, |
9,106,848 | 385,556 | ||||||
Series 2017-C8, Class XA, |
6,677,687 | 472,731 | ||||||
Series 2015-C4, Class C, |
427,000 | 424,132 | ||||||
CSMC Trust |
||||||||
Series 2017-LSTK, Class C, |
257,000 | 252,891 | ||||||
Series 2017-LSTK, Class D, |
306,000 | 299,352 | ||||||
Series 2017-CHOP, Class D, 1 mo. LIBOR + 1.900% |
285,000 | 285,715 | ||||||
Series 2017-CHOP, Class E, 1 mo. LIBOR + 3.300% |
285,000 | 286,777 | ||||||
DBGS Mortgage Trust |
||||||||
Series 2018-5BP, Class D, |
550,000 | 547,952 | ||||||
Series 2018-5BP, Class F, |
550,000 | 550,183 | ||||||
Great Wolf Trust |
||||||||
Series 2017-WOLF, Class D, |
286,000 | 286,897 | ||||||
Series 2017-WOLF, Class E, |
443,000 | 445,216 | ||||||
Series 2017-WOLF, Class F, |
236,000 | 237,182 | ||||||
GS Mortgage Securities Corp. II, Series 2013-GC10, Class XA, |
5,002,507 | 270,829 | ||||||
GS Mortgage Securities Corp. Trust, Series 2018-3PCK, Class A, |
551,000 | 551,023 | ||||||
GS Mortgage Securities Trust |
||||||||
Series 2015-GS1, Class XA, |
8,078,321 | 380,609 |
The accompanying notes are an integral part of the portfolio of investments.
34
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2014-GC20, Class XA, |
$ | 5,648,921 | $ | 228,959 | ||||
Series 2017-GS7, Class XA, |
6,699,136 | 506,049 | ||||||
Series 2014-GC26, Class D, |
1,450,000 | 1,251,153 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. |
||||||||
Series 2018-LAQ, Class C, |
551,000 | 553,423 | ||||||
Series 2018-LAQ, Class D, |
551,000 | 554,798 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
||||||||
Series 2015-JP1, Class XA, |
5,328,891 | 243,577 | ||||||
Series 2016-JP2, Class XA, |
3,192,094 | 351,529 | ||||||
Series 2017-MAUI, Class C, 1 mo. LIBOR + 1.250% |
145,000 | 145,366 | ||||||
Series 2016-JP2, Class B, |
174,000 | 166,443 | ||||||
Series 2016-JP2, Class C, |
134,000 | 128,345 | ||||||
Series 2017-MAUI, Class D, 1 mo. LIBOR + 1.950% |
136,000 | 136,768 | ||||||
Series 2017-MAUI, Class E, 1 mo. LIBOR + 2.950% |
121,000 | 122,212 | ||||||
Series 2007-LDPX, Class AM, |
68,960 | 68,494 | ||||||
Series 2017-MAUI, Class F, 1 mo. LIBOR + 3.750% |
170,000 | 171,804 | ||||||
JPMBB Commercial Mortgage Securities Trust |
||||||||
Series 2015-C30, Class XA, |
10,676,221 | 301,125 | ||||||
Series 2015-C29, Class XA, |
11,557,224 | 353,190 | ||||||
Series 2014-C25, Class XA, |
5,068,188 | 202,458 | ||||||
Series 2015-C28, Class XA, |
8,670,754 | 381,559 | ||||||
Series 2015-C27, Class D, |
704,000 | 640,634 | ||||||
Series 2015-C29, Class C, |
325,000 | 316,148 | ||||||
Series 2015-C33, Class C, |
527,000 | 531,003 |
Principal Amount |
Value | |||||||
Series 2015-C32, Class C, |
$ | 100,000 | $ | 99,761 | ||||
Series 2016-C1, Class C, |
466,000 | 475,062 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
||||||||
Series 2015-C26, Class D, |
368,000 | 314,984 | ||||||
Series 2015-C27, Class D, |
504,000 | 427,942 | ||||||
Series 2016-C32, Class A4, |
454,000 | 451,427 | ||||||
Series 2014-C19, Class C, |
650,000 | 621,564 | ||||||
Series 2015-C23, Class C, |
650,000 | 632,159 | ||||||
Series 2015-C27, Class C, |
351,000 | 343,991 | ||||||
Series 2016-C29, Class C, |
475,000 | 485,989 | ||||||
Morgan Stanley Capital I Trust |
||||||||
Series 2015-UBS8, Class XA, |
6,443,133 | 338,188 | ||||||
Series 2016-UB11, Class XA, |
1,565,100 | 137,734 | ||||||
MSCG Trust, Series 2016-SNR, Class C |
458,150 | 454,981 | ||||||
Natixis Commercial Mortgage Securities Trust |
||||||||
Series 2018-FL1, Class A, |
368,000 | 367,356 | ||||||
Series 2018-FL1, Class C, |
368,000 | 367,312 | ||||||
PFP Ltd. |
||||||||
Series 2017-3, Class A, 1 mo. LIBOR + 1.050% |
66,193 | 66,228 | ||||||
Series 2017-3, Class AS, 1 mo. LIBOR + 1.300% |
164,000 | 164,107 | ||||||
Series 2017-3, Class B, 1 mo. LIBOR + 1.750% |
94,000 | 94,060 | ||||||
Series 2017-3, Class C, 1 mo. LIBOR + 2.500% |
99,000 | 99,051 | ||||||
RAIT Trust |
||||||||
Series 2017-FL7, Class A, 1 mo. LIBOR + .950% |
370,546 | 370,666 | ||||||
Series 2017-FL7, Class AS, 1 mo. LIBOR + 1.300% |
141,000 | 141,031 |
The accompanying notes are an integral part of the portfolio of investments.
35
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
SG Commercial Mortgage Securities Trust, Series 2016-C5,
Class XA, |
$ | 3,920,025 | $ | 413,690 | ||||
UBS Commercial Mortgage Trust |
||||||||
Series 2018-C9, Class XA, |
5,141,621 | 354,951 | ||||||
Series 2017-C6, Class C, |
580,000 | 570,766 | ||||||
Wachovia Bank Commercial Mortgage Trust Series, Series
2007-C30, Class AJ, |
139,033 | 140,062 | ||||||
Wells Fargo Commercial Mortgage Trust |
||||||||
Series 2015-NXS2, Class XA, |
12,654,039 | 423,710 | ||||||
Series 2015-P2, Class XA, |
5,440,146 | 271,203 | ||||||
Series 2015-C31, Class XA, |
6,629,080 | 385,189 | ||||||
Series 2016-NXS6, Class XA, |
2,371,244 | 205,872 | ||||||
Series 2015-P2, Class A4, |
392,000 | 394,076 | ||||||
Series 2014-LC16, Class D, |
560,000 | 463,861 | ||||||
Series 2015-LC22, Class C, |
390,000 | 387,701 | ||||||
Series 2015-NXS4, Class C, |
421,000 | 425,438 | ||||||
Series 2015-C31, Class C, |
468,000 | 464,445 | ||||||
Series 2018-C46, Class C, |
270,000 | 271,280 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-C21,
Class XA, |
12,219,314 | 540,310 | ||||||
|
|
|||||||
34,610,656 | ||||||||
|
|
|||||||
Home Equity ABS — 0.7% |
| |||||||
GSAA Home Equity Trust, Series 2007-10,
Class A2A |
4,490,787 | 3,276,143 | ||||||
|
|
|||||||
Other ABS — 9.0% |
| |||||||
AASET US Ltd., Series 2018-1A, Class A |
935,242 | 926,414 | ||||||
ALM VII R Ltd., Series 2013-7RA, Class CR, 3 mo. USD
LIBOR + |
1,000,000 | 1,008,104 |
Principal Amount |
Value | |||||||
ALM XIX LLC |
||||||||
Series 2016-19A, Class B, 3 mo. USD LIBOR + 3.000% |
$ | 500,000 | $ | 501,740 | ||||
Series 2016-19A, Class C, 3 mo. USD LIBOR + 4.350% |
500,000 | 501,997 | ||||||
Anchorage Capital CLO Ltd., Series 2014-5RA,
Class A, |
1,000,000 | 1,000,169 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series
2016-1A, Class B, |
895,833 | 922,365 | ||||||
BlueMountain CLO Ltd. |
||||||||
Series 2015-3A, Class CR, |
1,000,000 | 988,944 | ||||||
Series 2013-1A, Class CR, 3 mo. USD LIBOR + 4.150% |
1,000,000 | 1,007,098 | ||||||
CAL Funding III Ltd., Series 2018-1A,
Class A |
470,833 | 466,805 | ||||||
Castle Aircraft SecuritizationTrust, Series 2015-1A,
Class A, |
882,612 | 886,728 | ||||||
CLI Funding V LLC, Series 2014-2A, Class A |
410,734 | 402,430 | ||||||
Dryden 40 Senior Loan Fund, Series 2015-40A,
Class DR, |
500,000 | 499,939 | ||||||
Gilbert Park Clo Ltd., Series 2017-1A,
Class D, |
500,000 | 496,595 | ||||||
Gilbert Park CLO Ltd., Series 2017-1A,
Class E, |
1,000,000 | 1,010,008 | ||||||
Global SC Finance II SRL, Series 2014-1A,
Class A1 |
414,167 | 405,533 | ||||||
Global SC Finance IV Ltd., Series 2018-1A,
Class A |
576,660 | 577,902 | ||||||
Grippen Park CLO Ltd., Series 2017-1A, Class D, 3 mo.
USD LIBOR + 3.300% |
1,000,000 | 1,001,640 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A |
231,862 | 236,499 | ||||||
Hero Funding Trust, Series 2016-4A, Class A2 |
345,304 | 347,645 |
The accompanying notes are an integral part of the portfolio of investments.
36
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Highbridge Loan Management Ltd., Series 13A-18,
Class D, |
$ | 500,000 | $ | 500,000 | ||||
Invitation Homes Trust |
||||||||
Series 2018-SFR1, Class C, |
1,145,000 | 1,144,993 | ||||||
Series 2018-SFR1, Class D, |
750,000 | 749,141 | ||||||
LCM XVIII LP, Series 19A, Class D, 3 mo. USD LIBOR + 3.450% |
1,000,000 | 1,000,182 | ||||||
Madison Park Funding XV Ltd., Series 2014-15A,
Class DR, 3 mo. USD LIBOR + 5.440% |
1,000,000 | 1,000,725 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class A2C, 1 mo. USD LIBOR +
..150% |
2,673,556 | 2,543,098 | ||||||
Mosaic Solar Loans LLC |
||||||||
Series 2018-2GS, Class A, |
955,556 | 952,947 | ||||||
Series 2017-1A, Class A, |
600,997 | 605,276 | ||||||
Octagon Investment Partners Ltd. |
||||||||
Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.500% |
1,000,000 | 1,002,477 | ||||||
Series 2017-1A, Class D, 3 mo. USD LIBOR + 6.200% |
500,000 | 503,291 | ||||||
Octagon Investment Partners XIV Ltd., Series 2012-1A,
Class CR, 3 mo. USD LIBOR + 4.000% |
1,000,000 | 1,014,431 | ||||||
Octagon Investment Partners XXII Ltd., Series 2014-1A,
Class ERR, |
1,000,000 | 980,542 | ||||||
Oak Hill Credit Partners Ltd., Series 2018-1A,
Class D, |
500,000 | 500,000 | ||||||
OneMain Financial Issuance Trust |
||||||||
Series 2015-2A, Class A, |
2,088 | 2,088 | ||||||
Series 2015-1A, Class A, |
1,083,458 | 1,084,722 | ||||||
Springleaf Funding Trust, Series 2015-AA,
Class A |
1,267,397 | 1,266,456 | ||||||
Sprite Ltd., Series 2017-1, Class A |
470,702 | 470,332 |
Principal Amount |
Value | |||||||
Symphony CLO XVI Ltd., Series 2015-16A,
Class DR, |
$ | 500,000 | $ | 499,692 | ||||
TAL Advantage V LLC |
||||||||
Series 2013-1A, Class A, |
220,833 | 216,295 | ||||||
Series 2014-1A, Class A, |
372,667 | 368,192 | ||||||
TCI-Cent CLO Income Note Issuer Ltd., Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.650% |
500,000 | 502,404 | ||||||
TCI-Cent CLO Ltd., Series
2016-1A, Class C, 3 mo. USD LIBOR + |
1,000,000 | 1,003,086 | ||||||
Thacher Park CLO Ltd., Series 2014-1A, Class D1R,
3 mo. USD LIBOR + 3.400% |
1,000,000 | 1,000,158 | ||||||
THL Credit Wind River CLO Ltd. |
||||||||
Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.750% |
1,000,000 | 1,003,805 | ||||||
Series 2012-1A, Class DR, 3 mo. USD LIBOR + 4.100% |
1,000,000 | 1,003,250 | ||||||
Thunderbolt II Aircraft Lease Ltd., Series 2018-A,
Class A, |
500,000 | 497,025 | ||||||
Towd Point Mortgage Trust, Series 2015-2,
Class 1A13, |
2,775,164 | 2,701,030 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A,
Class A1 |
398,152 | 392,042 | ||||||
Triton Container Finance V LLC, Series 2018-1A,
Class A |
475,000 | 470,286 | ||||||
Vantage Data Centers Issuer LLC, Series 2018-1A,
Class A2 |
745,625 | 746,057 | ||||||
Westcott Park Clo Ltd., Series 2016-1A, Class D, 3 mo.
USD LIBOR + |
500,000 | 503,755 | ||||||
Willis Engine Structured Trust IV, Series 2018-A,
Class A, |
900,000 | 902,030 | ||||||
|
|
|||||||
40,318,363 | ||||||||
|
|
|||||||
Student Loans ABS — 0.3% |
| |||||||
College Ave Student Loans LLC, Series 2018-A,
Class A1, |
494,589 | 494,588 |
The accompanying notes are an integral part of the portfolio of investments.
37
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
SoFi Professional Loan Program LLC |
||||||||
Series 2017-D, Class BFX, |
$ | 350,000 | $ | 337,501 | ||||
Series 2018-B, Class BFX, |
500,000 | 489,562 | ||||||
|
|
|||||||
1,321,651 | ||||||||
|
|
|||||||
WL Collateral CMO — 7.5% |
| |||||||
CIM Trust, Series 2017-6, Class A1, |
2,486,772 | 2,382,227 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-AR5,
Class 1A2A, |
2,271,444 | 2,198,621 | ||||||
CitiMortgage Alternative Loan Trust, Series 2006-A1,
Class 1A5 |
3,074,090 | 2,980,580 | ||||||
Countrywide Alternative Loan Trust |
||||||||
Series 2006-13T1, Class A11, |
2,571,428 | 2,038,408 | ||||||
Series 2006-36T2, Class 2A1, |
4,311,738 | 3,044,211 | ||||||
Countrywide Home Loans Mortgage Pass-Through Trust |
||||||||
Series 2007-HYB2, Class 3A1, |
1,835,930 | 1,657,602 | ||||||
Series 2007-14, Class A6, |
1,922,981 | 1,669,748 | ||||||
HarborView Mortgage Loan Trust, Series 2006-11,
Class A1A, 1 mo. USD LIBOR + .170% |
1,500,224 | 1,337,439 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2007-AR5,
Class 2A1, |
3,098,458 | 2,808,294 | ||||||
Lehman XS Trust, Series 2007-12N, Class 1A3A, 1 mo.
LIBOR + .200% |
3,781,417 | 3,419,568 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR,
Class 2A1, |
705,107 | 635,287 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust,
Series 2006-AR1, Class 2A1, |
3,111,851 | 2,618,550 | ||||||
RBSSP Resecuritization Trust, Series 2009-5,
Class 2A3, |
1,196,325 | 1,002,229 | ||||||
RFMSI Trust, Series 2007-S4, Class A5, 1 mo. USD LIBOR
+ .600% |
518,246 | 484,751 | ||||||
Seasoned Credit Risk Transfer Trust, Series 2018-2,
Class HV, |
2,969,887 | 2,766,427 |
Principal Amount |
Value | |||||||
Structured Adjustable Rate Mortgage Loan Trust, Series
2008-1, Class A2, |
$ | 1,607,760 | $ | 1,528,364 | ||||
Washington Mutual Mortgage Pass-Through Certificates Trust,
Series 2006-4, Class 3A5, |
1,346,553 | 1,122,818 | ||||||
|
|
|||||||
33,695,124 | ||||||||
|
|
|||||||
WL Collateral PAC — 0.5% |
| |||||||
Countrywide Alternative Loan Trust, Series 2006-19CB, Class A15 |
2,369,925 | 2,131,263 | ||||||
|
|
|||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $119,196,255) |
115,851,562 | |||||||
|
|
|||||||
SOVEREIGN DEBT OBLIGATIONS — 1.3% |
| |||||||
Provincia de Buenos Aires 7.875% 6/15/27 (d) |
700,000 | 582,057 | ||||||
Argentine Republic Government International Bond |
||||||||
5.875% 1/11/28 |
200,000 | 158,300 | ||||||
6.625% 7/06/28 |
150,000 | 123,000 | ||||||
6.875% 1/26/27 |
550,000 | 467,500 | ||||||
Chile Government International Bond |
200,000 | 193,996 | ||||||
Fondo MIVIVIENDA SA |
||||||||
3.500% 1/31/23 (d) |
200,000 | 194,000 | ||||||
3.500% 1/31/23 (c) |
150,000 | 145,500 | ||||||
Israel Government International Bond |
400,000 | 377,944 | ||||||
Malaysia Sovereign Sukuk Bhd |
500,000 | 478,250 | ||||||
Mexico Government International Bond |
||||||||
3.750% 1/11/28 |
735,000 | 700,087 | ||||||
4.150% 3/28/27 |
643,000 | 632,712 | ||||||
Panama Government International Bond |
200,000 | 202,702 | ||||||
Perusahaan Penerbit SBSN Indonesia III |
||||||||
4.150% 3/29/27 (c) |
400,000 | 386,000 | ||||||
4.150% 3/29/27 (d) |
200,000 | 193,000 | ||||||
Philippine Government International Bond |
900,000 | 924,545 | ||||||
|
|
|||||||
5,177,536 | ||||||||
|
|
|||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $6,165,568) |
5,759,593 | |||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
38
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 14.0% |
| |||||||
Collateralized Mortgage Obligations — 8.8% |
| |||||||
Federal Home Loan Mortgage Corp. |
||||||||
Series 4093, Class PA, |
$ | 4,853,744 | $ | 4,671,020 | ||||
Series 4481, Class B, |
6,753,335 | 6,549,498 | ||||||
Series 4483, Class CA, |
6,235,303 | 6,042,371 | ||||||
Series 4750, Class PA, |
2,887,651 | 2,810,802 | ||||||
Series 355, Class 300, |
3,492,719 | 3,344,878 | ||||||
Series 358, Class 300, |
3,073,620 | 2,941,202 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates |
||||||||
Series K722, Class X1, |
6,646,635 | 308,607 | ||||||
Series K053, Class A2, |
463,000 | 451,303 | ||||||
Series K050, Class A2, |
350,000 | 349,040 | ||||||
Federal National Mortgage Association |
||||||||
Series 2018-21, Class PO, |
3,861,139 | 2,944,421 | ||||||
Series 2016-M3, Class A2, |
465,000 | 442,070 | ||||||
Series 2015-9, Class HA, |
904,504 | 885,536 | ||||||
Government National Mortgage Association |
||||||||
Series 2015-74, Class LZ, |
3,218,130 | 3,040,530 | ||||||
Series 2015-92, Class CZ, |
5,120,533 | 4,855,799 | ||||||
|
|
|||||||
39,637,077 | ||||||||
|
|
|||||||
Pass-Through Securities — 5.2% |
| |||||||
Federal Home Loan Mortgage Corp. |
||||||||
Pool #G08520 2.500% 1/01/43 |
1,302,874 | 1,209,739 | ||||||
Pool #G08658 3.000% 8/01/45 |
3,729,211 | 3,579,314 | ||||||
Pool #G08632 3.500% 3/01/45 |
2,847,308 | 2,813,719 | ||||||
Federal National Mortgage Association |
||||||||
Pool #AL9238 3.000% 10/01/41 |
4,112,987 | 3,950,395 | ||||||
Pool #MA2248 3.000% 4/01/45 |
2,596,296 | 2,475,000 | ||||||
Pool #AS7661 3.000% 8/01/46 |
1,674,596 | 1,594,268 | ||||||
Pool #MA2711 3.000% 8/01/46 |
5,788,750 | 5,511,071 | ||||||
Pool #AX2501 4.000% 10/01/44 |
2,219,050 | 2,249,822 | ||||||
|
|
|||||||
23,383,328 | ||||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $65,361,356) |
63,020,405 | |||||||
|
|
Principal Amount |
Value | |||||||
U.S. TREASURY OBLIGATIONS — 26.3% |
| |||||||
U.S. Treasury Bonds & Notes — 26.3% |
| |||||||
U.S. Treasury Bond |
||||||||
2.750% 11/15/42 |
$ | 4,735,000 | $ | 4,380,911 | ||||
2.750% 8/15/47 |
2,500,000 | 2,289,414 | ||||||
2.750% 11/15/47 |
3,680,000 | 3,368,925 | ||||||
2.875% 8/15/45 |
4,130,000 | 3,887,814 | ||||||
3.000% 8/15/48 |
1,650,000 | 1,588,254 | ||||||
3.125% 2/15/43 |
3,440,000 | 3,397,914 | ||||||
3.375% 5/15/44 |
3,190,000 | 3,288,142 | ||||||
3.625% 8/15/43 |
5,070,000 | 5,439,318 | ||||||
3.750% 11/15/43 |
3,650,000 | 3,996,123 | ||||||
U.S. Treasury Note |
||||||||
1.125% 1/31/19 |
425,000 | 423,323 | ||||||
1.125% 6/30/21 |
6,070,000 | 5,791,729 | ||||||
1.500% 10/31/19 |
6,760,000 | 6,674,998 | ||||||
1.625% 11/30/20 |
5,775,000 | 5,628,234 | ||||||
1.750% 11/30/19 |
6,450,000 | 6,380,032 | ||||||
1.750% 10/31/20 |
5,320,000 | 5,203,749 | ||||||
1.875% 1/31/22 |
730,000 | 706,121 | ||||||
1.875% 8/31/24 |
6,010,000 | 5,651,325 | ||||||
2.000% 9/30/20 |
5,890,000 | 5,796,036 | ||||||
2.000% 5/31/21 |
5,840,000 | 5,710,060 | ||||||
2.125% 8/31/20 |
5,430,000 | 5,359,792 | ||||||
2.125% 9/30/24 |
6,030,000 | 5,745,930 | ||||||
2.250% 10/31/24 |
6,855,000 | 6,573,624 | ||||||
2.250% 8/15/27 |
6,470,000 | 6,066,889 | ||||||
2.250% 11/15/27 |
6,010,000 | 5,624,984 | ||||||
2.625% 7/31/20 |
5,310,000 | 5,292,825 | ||||||
2.750% 2/15/28 |
4,220,000 | 4,114,566 | ||||||
|
|
|||||||
118,381,032 | ||||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $120,583,620) |
118,381,032 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $427,287,200) |
416,412,173 | |||||||
|
|
|||||||
Number of Shares |
||||||||
MUTUAL FUNDS — 3.5% |
| |||||||
Diversified Financial Services — 3.5% |
| |||||||
DoubleLine Floating Rate Fund |
1,605,088 | 15,890,368 | ||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $16,154,937) |
15,890,368 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $443,460,941) |
432,309,585 | |||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
39
MML Dynamic Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
SHORT-TERM INVESTMENTS — 3.5% |
| |||||||
Repurchase Agreement — 3.1% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/28/18, 1.100%, due 10/01/18 (g) |
$ | 14,106,690 | $ | 14,106,690 | ||||
|
|
|||||||
U.S. Treasury Bill — 0.4% |
| |||||||
U.S. Treasury Bill |
||||||||
0.000% 3/07/19 |
1,460,000 | 1,445,459 | ||||||
0.000% 3/07/19 |
80,000 | 79,203 | ||||||
|
|
|||||||
1,524,662 | ||||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,631,684) |
15,631,352 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 99.6% (Cost $459,092,625) (h) |
447,940,937 | |||||||
Other Assets/(Liabilities) — 0.4% | 2,005,263 | |||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 449,946,200 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed 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 |
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) | Non-income producing security. |
(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 September 30, 2018. |
(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 September 30, 2018, these securities amounted to a value of $87,457,813 or 19.44% 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 September 30, 2018, these securities amounted to a value of $27,874,062 or 6.19% of net assets. |
(e) | Security is perpetual and has no stated maturity date. |
(f) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(g) | Maturity value of $14,107,983. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 8/15/42, and an aggregate market value, including accrued interest, of $14,392,160. |
(h) | See Note 3 for aggregate cost for federal tax purposes. |
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the portfolio of investments.
40
MML Equity Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Number of Shares |
Value | |||||||
EQUITIES — 97.6% |
| |||||||
COMMON STOCK — 97.6% |
| |||||||
Basic Materials — 2.4% |
| |||||||
Chemicals — 1.3% |
| |||||||
Celanese Corp. Series A |
5,300 | $ | 604,200 | |||||
Eastman Chemical Co. |
69,030 | 6,607,551 | ||||||
FMC Corp. |
2,200 | 191,796 | ||||||
Huntsman Corp. |
8,300 | 226,009 | ||||||
LyondellBasell Industries NV Class A |
17,700 | 1,814,427 | ||||||
PPG Industries, Inc. |
9,400 | 1,025,822 | ||||||
Westlake Chemical Corp. |
4,900 | 407,239 | ||||||
|
|
|||||||
10,877,044 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.1% |
| |||||||
International Paper Co. |
15,200 | 747,080 | ||||||
|
|
|||||||
Iron & Steel — 0.1% |
| |||||||
Nucor Corp. |
12,200 | 774,090 | ||||||
Reliance Steel & Aluminum Co. |
2,900 | 247,341 | ||||||
Steel Dynamics, Inc. |
9,100 | 411,229 | ||||||
|
|
|||||||
1,432,660 | ||||||||
|
|
|||||||
Mining — 0.9% |
| |||||||
Alcoa Corp. (a) |
118,230 | 4,776,492 | ||||||
Freeport-McMoRan, Inc. |
173,540 | 2,415,677 | ||||||
Newmont Mining Corp. |
16,300 | 492,260 | ||||||
|
|
|||||||
7,684,429 | ||||||||
|
|
|||||||
20,741,213 | ||||||||
|
|
|||||||
Communications — 7.4% |
| |||||||
Advertising — 0.1% |
| |||||||
The Interpublic Group of Cos., Inc. |
14,700 | 336,189 | ||||||
Omnicom Group, Inc. |
7,000 | 476,140 | ||||||
|
|
|||||||
812,329 | ||||||||
|
|
|||||||
Internet — 0.1% |
| |||||||
CDW Corp. |
5,900 | 524,628 | ||||||
eBay, Inc. (a) |
11,000 | 363,220 | ||||||
|
|
|||||||
887,848 | ||||||||
|
|
|||||||
Media — 2.2% |
| |||||||
CBS Corp. Class B (Non-Voting) |
70,040 | 4,023,798 | ||||||
Comcast Corp. Class A |
50,900 | 1,802,369 | ||||||
Viacom, Inc. Class B |
10,800 | 364,608 | ||||||
The Walt Disney Co. |
108,490 | 12,686,820 | ||||||
|
|
|||||||
18,877,595 | ||||||||
|
|
|||||||
Telecommunications — 5.0% |
| |||||||
ARRIS International PLC (a) |
6,700 | 174,133 | ||||||
AT&T, Inc. |
358,610 | 12,042,124 | ||||||
Cisco Systems, Inc. |
432,160 | 21,024,584 | ||||||
Juniper Networks, Inc. |
10,700 | 320,679 | ||||||
Motorola Solutions, Inc. |
6,300 | 819,882 |
Number of Shares |
Value | |||||||
Verizon Communications, Inc. |
155,900 | $ | 8,323,501 | |||||
|
|
|||||||
42,704,903 | ||||||||
|
|
|||||||
63,282,675 | ||||||||
|
|
|||||||
Consumer, Cyclical — 8.3% |
| |||||||
Airlines — 0.5% |
| |||||||
Alaska Air Group, Inc. |
2,000 | 137,720 | ||||||
Delta Air Lines, Inc. |
27,200 | 1,572,976 | ||||||
JetBlue Airways Corp. (a) |
11,100 | 214,896 | ||||||
Southwest Airlines Co. |
22,700 | 1,417,615 | ||||||
United Continental Holdings, Inc. (a) |
8,500 | 757,010 | ||||||
|
|
|||||||
4,100,217 | ||||||||
|
|
|||||||
Apparel — 0.1% |
| |||||||
Carter’s, Inc. |
1,700 | 167,620 | ||||||
Hanesbrands, Inc. |
1,600 | 29,488 | ||||||
Michael Kors Holdings Ltd. (a) |
4,400 | 301,664 | ||||||
PVH Corp. |
3,100 | 447,640 | ||||||
|
|
|||||||
946,412 | ||||||||
|
|
|||||||
Auto Manufacturers — 1.1% |
| |||||||
General Motors Co. |
251,540 | 8,469,352 | ||||||
PACCAR, Inc. |
13,600 | 927,384 | ||||||
|
|
|||||||
9,396,736 | ||||||||
|
|
|||||||
Auto Parts & Equipment — 0.6% |
| |||||||
Allison Transmission Holdings, Inc. |
5,500 | 286,055 | ||||||
Aptiv PLC |
9,800 | 822,220 | ||||||
BorgWarner, Inc. |
89,930 | 3,847,205 | ||||||
Lear Corp. |
2,700 | 391,500 | ||||||
|
|
|||||||
5,346,980 | ||||||||
|
|
|||||||
Entertainment — 0.0% |
| |||||||
The Madison Square Garden Co. Class A (a) |
900 | 283,788 | ||||||
|
|
|||||||
Home Builders — 0.3% |
| |||||||
D.R. Horton, Inc. |
11,600 | 489,288 | ||||||
Lennar Corp. Class A |
32,600 | 1,522,094 | ||||||
|
|
|||||||
2,011,382 | ||||||||
|
|
|||||||
Home Furnishing — 0.0% |
| |||||||
Leggett & Platt, Inc. |
4,100 | 179,539 | ||||||
|
|
|||||||
Leisure Time — 0.4% |
| |||||||
Brunswick Corp. |
3,600 | 241,272 | ||||||
Carnival Corp. |
20,600 | 1,313,662 | ||||||
Harley-Davidson, Inc. |
700 | 31,710 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) |
8,300 | 476,669 | ||||||
Royal Caribbean Cruises Ltd. |
8,300 | 1,078,502 | ||||||
|
|
|||||||
3,141,815 | ||||||||
|
|
|||||||
Lodging — 0.2% |
| |||||||
Hyatt Hotels Corp. Class A |
1,500 | 119,385 | ||||||
Las Vegas Sands Corp. |
31,560 | 1,872,455 | ||||||
|
|
|||||||
1,991,840 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
41
MML Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Retail — 5.1% |
| |||||||
AutoZone, Inc. (a) |
1,100 | $ | 853,270 | |||||
Best Buy Co., Inc. |
11,200 | 888,832 | ||||||
CarMax, Inc. (a) |
7,100 | 530,157 | ||||||
Dollar General Corp. |
9,300 | 1,016,490 | ||||||
Foot Locker, Inc. |
3,700 | 188,626 | ||||||
The Gap, Inc. |
14,900 | 429,865 | ||||||
Genuine Parts Co. |
4,600 | 457,240 | ||||||
Kohl’s Corp. |
6,100 | 454,755 | ||||||
Lowe’s Cos., Inc. |
56,810 | 6,522,924 | ||||||
Macy’s, Inc. |
9,000 | 312,570 | ||||||
McDonald’s Corp. |
25,070 | 4,193,960 | ||||||
Nordstrom, Inc. |
6,500 | 388,765 | ||||||
Target Corp. |
141,180 | 12,453,488 | ||||||
Walgreens Boots Alliance, Inc. |
15,800 | 1,151,820 | ||||||
Walmart, Inc. |
143,430 | 13,469,512 | ||||||
Williams-Sonoma, Inc. (b) |
900 | 59,148 | ||||||
|
|
|||||||
43,371,422 | ||||||||
|
|
|||||||
70,770,131 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 22.1% |
| |||||||
Agriculture — 1.0% |
| |||||||
Archer-Daniels-Midland Co. |
21,600 | 1,085,832 | ||||||
Bunge Ltd. |
4,400 | 302,324 | ||||||
Philip Morris International, Inc. |
83,580 | 6,815,113 | ||||||
|
|
|||||||
8,203,269 | ||||||||
|
|
|||||||
Beverages — 1.9% |
| |||||||
The Coca-Cola Co. |
216,620 | 10,005,678 | ||||||
Coca-Cola European Partners PLC |
128,890 | 5,860,628 | ||||||
|
|
|||||||
15,866,306 | ||||||||
|
|
|||||||
Biotechnology — 2.2% |
| |||||||
Amgen, Inc. |
35,620 | 7,383,670 | ||||||
Biogen, Inc. (a) |
8,200 | 2,897,142 | ||||||
Gilead Sciences, Inc. |
114,540 | 8,843,633 | ||||||
United Therapeutics Corp. (a) |
500 | 63,940 | ||||||
|
|
|||||||
19,188,385 | ||||||||
|
|
|||||||
Commercial Services — 0.1% |
| |||||||
AMERCO |
800 | 285,320 | ||||||
United Rentals, Inc. (a) |
3,500 | 572,600 | ||||||
The Western Union Co. |
17,700 | 337,362 | ||||||
|
|
|||||||
1,195,282 | ||||||||
|
|
|||||||
Cosmetics & Personal Care — 0.5% |
| |||||||
The Procter & Gamble Co. |
46,270 | 3,851,052 | ||||||
|
|
|||||||
Foods — 0.8% |
| |||||||
Conagra Brands, Inc. |
11,800 | 400,846 | ||||||
General Mills, Inc. |
50,110 | 2,150,721 | ||||||
The J.M. Smucker Co. |
4,600 | 472,006 | ||||||
Kellogg Co. |
10,600 | 742,212 | ||||||
The Kroger Co. |
27,200 | 791,792 | ||||||
Mondelez International, Inc. Class A |
45,300 | 1,946,088 |
Number of Shares |
Value | |||||||
US Foods Holding Corp. (a) |
3,500 | $ | 107,870 | |||||
|
|
|||||||
6,611,535 | ||||||||
|
|
|||||||
Health Care – Products — 3.4% |
| |||||||
Abbott Laboratories |
101,010 | 7,410,094 | ||||||
Boston Scientific Corp. (a) |
148,550 | 5,719,175 | ||||||
Danaher Corp. |
62,278 | 6,767,127 | ||||||
Thermo Fisher Scientific, Inc. |
22,090 | 5,391,727 | ||||||
Zimmer Biomet Holdings, Inc. |
30,440 | 4,001,947 | ||||||
|
|
|||||||
29,290,070 | ||||||||
|
|
|||||||
Health Care – Services — 3.9% |
| |||||||
Aetna, Inc. |
11,800 | 2,393,630 | ||||||
Anthem, Inc. |
23,720 | 6,500,466 | ||||||
Cigna Corp. |
9,200 | 1,915,900 | ||||||
DaVita, Inc. (a) |
7,400 | 530,062 | ||||||
HCA Healthcare, Inc. |
13,500 | 1,878,120 | ||||||
Laboratory Corp. of America Holdings (a) |
4,200 | 729,456 | ||||||
Quest Diagnostics, Inc. |
5,100 | 550,341 | ||||||
UnitedHealth Group, Inc. |
71,520 | 19,027,181 | ||||||
|
|
|||||||
33,525,156 | ||||||||
|
|
|||||||
Household Products & Wares — 0.1% |
| |||||||
Avery Dennison Corp. |
1,000 | 108,350 | ||||||
Kimberly-Clark Corp. |
5,600 | 636,384 | ||||||
|
|
|||||||
744,734 | ||||||||
|
|
|||||||
Pharmaceuticals — 8.2% |
| |||||||
AbbVie, Inc. |
48,700 | 4,606,046 | ||||||
AmerisourceBergen Corp. |
5,900 | 544,098 | ||||||
Bristol-Myers Squibb Co. |
91,420 | 5,675,354 | ||||||
Express Scripts Holding Co. (a) |
21,800 | 2,071,218 | ||||||
Johnson & Johnson |
96,200 | 13,291,954 | ||||||
McKesson Corp. |
7,500 | 994,875 | ||||||
Merck & Co., Inc. |
228,610 | 16,217,593 | ||||||
Mylan NV (a) |
125,370 | 4,588,542 | ||||||
Perrigo Co. PLC |
5,500 | 389,400 | ||||||
Pfizer, Inc. |
489,150 | 21,556,841 | ||||||
|
|
|||||||
69,935,921 | ||||||||
|
|
|||||||
188,411,710 | ||||||||
|
|
|||||||
Energy — 11.4% |
| |||||||
Oil & Gas — 9.7% |
| |||||||
Antero Resources Corp. (a) |
9,700 | 171,787 | ||||||
Apache Corp. |
2,200 | 104,874 | ||||||
Chevron Corp. |
201,922 | 24,691,022 | ||||||
Concho Resources, Inc. (a) |
26,300 | 4,017,325 | ||||||
ConocoPhillips |
174,461 | 13,503,281 | ||||||
Devon Energy Corp. |
15,300 | 611,082 | ||||||
Exxon Mobil Corp. |
129,400 | 11,001,588 | ||||||
Helmerich & Payne, Inc. |
4,400 | 302,588 | ||||||
Hess Corp. |
12,100 | 866,118 | ||||||
HollyFrontier Corp. |
6,400 | 447,360 | ||||||
Marathon Oil Corp. |
32,700 | 761,256 |
The accompanying notes are an integral part of the portfolio of investments.
42
MML Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Marathon Petroleum Corp. |
19,200 | $ | 1,535,424 | |||||
Murphy Oil Corp. |
5,500 | 183,370 | ||||||
Newfield Exploration Co. (a) |
6,200 | 178,746 | ||||||
Noble Energy, Inc. |
7,800 | 243,282 | ||||||
Phillips 66 |
59,659 | 6,724,763 | ||||||
Suncor Energy, Inc. |
404,420 | 15,647,010 | ||||||
Valero Energy Corp. |
16,400 | 1,865,500 | ||||||
|
|
|||||||
82,856,376 | ||||||||
|
|
|||||||
Oil & Gas Services — 1.2% |
| |||||||
Halliburton Co. |
55,757 | 2,259,831 | ||||||
National Oilwell Varco, Inc. |
14,600 | 628,968 | ||||||
Weatherford International PLC (a) (b) |
2,686,490 | 7,280,388 | ||||||
|
|
|||||||
10,169,187 | ||||||||
|
|
|||||||
Pipelines — 0.5% |
| |||||||
Enbridge, Inc. |
118,037 | 3,811,415 | ||||||
|
|
|||||||
96,836,978 | ||||||||
|
|
|||||||
Financial — 26.3% |
| |||||||
Banks — 16.8% |
| |||||||
Bank of America Corp. |
787,460 | 23,198,572 | ||||||
The Bank of New York Mellon Corp. |
39,100 | 1,993,709 | ||||||
BB&T Corp. |
29,900 | 1,451,346 | ||||||
BOK Financial Corp. |
2,700 | 262,656 | ||||||
Capital One Financial Corp. |
17,500 | 1,661,275 | ||||||
CIT Group, Inc. |
81,950 | 4,229,439 | ||||||
Citigroup, Inc. |
276,690 | 19,849,741 | ||||||
Citizens Financial Group, Inc. |
18,700 | 721,259 | ||||||
Comerica, Inc. |
5,600 | 505,120 | ||||||
Commerce Bancshares, Inc. |
4,100 | 270,682 | ||||||
Cullen/Frost Bankers, Inc. |
2,600 | 271,544 | ||||||
East West Bancorp, Inc. |
5,700 | 344,109 | ||||||
Fifth Third Bancorp |
27,100 | 756,632 | ||||||
The Goldman Sachs Group, Inc. |
51,660 | 11,584,238 | ||||||
Huntington Bancshares, Inc. |
41,400 | 617,688 | ||||||
JP Morgan Chase & Co. |
305,220 | 34,441,025 | ||||||
KeyCorp |
373,280 | 7,424,539 | ||||||
M&T Bank Corp. |
5,900 | 970,786 | ||||||
Morgan Stanley |
69,500 | 3,236,615 | ||||||
Northern Trust Corp. |
7,600 | 776,188 | ||||||
The PNC Financial Services Group, Inc. |
18,200 | 2,478,658 | ||||||
Prosperity Bancshares, Inc. |
2,800 | 194,180 | ||||||
Regions Financial Corp. |
43,700 | 801,895 | ||||||
State Street Corp. |
14,100 | 1,181,298 | ||||||
SunTrust Banks, Inc. |
18,000 | 1,202,220 | ||||||
Synovus Financial Corp. |
4,800 | 219,792 | ||||||
Umpqua Holdings Corp. |
6,400 | 133,120 | ||||||
US Bancorp |
63,700 | 3,363,997 | ||||||
Webster Financial Corp. |
3,700 | 218,152 | ||||||
Wells Fargo & Co. |
186,900 | 9,823,464 | ||||||
Western Alliance Bancorp (a) |
3,500 | 199,115 |
Number of Shares |
Value | |||||||
Zions Bancorp |
185,420 | $ | 9,298,813 | |||||
|
|
|||||||
143,681,867 | ||||||||
|
|
|||||||
Diversified Financial Services — 3.1% |
| |||||||
Alliance Data Systems Corp. |
2,200 | 519,552 | ||||||
Ally Financial, Inc. |
16,500 | 436,425 | ||||||
American Express Co. |
33,500 | 3,567,415 | ||||||
Ameriprise Financial, Inc. |
32,480 | 4,795,997 | ||||||
BlackRock, Inc. |
17,170 | 8,092,736 | ||||||
Credit Acceptance Corp. (a) |
600 | 262,842 | ||||||
Discover Financial Services |
14,600 | 1,116,170 | ||||||
E*TRADE Financial Corp. (a) |
9,500 | 497,705 | ||||||
Lazard Ltd. Class A |
5,100 | 245,463 | ||||||
LPL Financial Holdings, Inc. |
1,400 | 90,314 | ||||||
Nasdaq, Inc. |
53,470 | 4,587,726 | ||||||
Raymond James Financial, Inc. |
5,100 | 469,455 | ||||||
Santander Consumer USA Holdings, Inc. |
13,900 | 278,556 | ||||||
Synchrony Financial |
29,200 | 907,536 | ||||||
T. Rowe Price Group, Inc. |
8,800 | 960,784 | ||||||
|
|
|||||||
26,828,676 | ||||||||
|
|
|||||||
Insurance — 4.0% |
| |||||||
Aflac, Inc. |
29,900 | 1,407,393 | ||||||
Alleghany Corp. |
700 | 456,771 | ||||||
The Allstate Corp. |
14,100 | 1,391,670 | ||||||
American Financial Group, Inc. |
6,400 | 710,208 | ||||||
American International Group, Inc. |
45,200 | 2,406,448 | ||||||
Aon PLC |
33,890 | 5,211,604 | ||||||
Athene Holding Ltd. Class A (a) |
2,600 | 134,316 | ||||||
Chubb Ltd. |
17,900 | 2,392,156 | ||||||
Cincinnati Financial Corp. |
6,400 | 491,584 | ||||||
Everest Re Group Ltd. |
1,300 | 297,011 | ||||||
Fidelity National Financial, Inc. |
8,600 | 338,410 | ||||||
The Hartford Financial Services Group, Inc. |
145,690 | 7,278,673 | ||||||
Lincoln National Corp. |
8,400 | 568,344 | ||||||
Loews Corp. |
12,700 | 637,921 | ||||||
Markel Corp. (a) |
600 | 713,094 | ||||||
MetLife, Inc. |
40,600 | 1,896,832 | ||||||
The Progressive Corp. |
6,500 | 461,760 | ||||||
Prudential Financial, Inc. |
16,100 | 1,631,252 | ||||||
Reinsurance Group of America, Inc. |
2,600 | 375,856 | ||||||
RenaissanceRe Holdings Ltd. |
1,200 | 160,296 | ||||||
Torchmark Corp. |
10,600 | 918,914 | ||||||
The Travelers Cos., Inc. |
24,100 | 3,126,011 | ||||||
Voya Financial, Inc. |
7,200 | 357,624 | ||||||
W.R. Berkley Corp. |
4,900 | 391,657 | ||||||
|
|
|||||||
33,755,805 | ||||||||
|
|
|||||||
Real Estate — 0.0% |
| |||||||
CBRE Group, Inc. Class A (a) |
1,900 | 83,790 | ||||||
The Howard Hughes Corp. (a) |
500 | 62,110 | ||||||
Jones Lang LaSalle, Inc. |
1,800 | 259,776 | ||||||
|
|
|||||||
405,676 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
43
MML Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Real Estate Investment Trusts (REITS) — 2.4% |
| |||||||
Crown Castle International Corp. |
44,550 | $ | 4,959,752 | |||||
Digital Realty Trust, Inc. |
28,540 | 3,210,179 | ||||||
Equity Residential |
50,660 | 3,356,732 | ||||||
Prologis, Inc. |
103,650 | 7,026,433 | ||||||
Public Storage |
8,600 | 1,734,018 | ||||||
|
|
|||||||
20,287,114 | ||||||||
|
|
|||||||
224,959,138 | ||||||||
|
|
|||||||
Industrial — 9.2% |
| |||||||
Aerospace & Defense — 1.2% |
| |||||||
General Dynamics Corp. |
4,800 | 982,656 | ||||||
Lockheed Martin Corp. |
13,571 | 4,695,023 | ||||||
Spirit AeroSystems Holdings, Inc. Class A |
4,800 | 440,016 | ||||||
United Technologies Corp. |
29,000 | 4,054,490 | ||||||
|
|
|||||||
10,172,185 | ||||||||
|
|
|||||||
Building Materials — 0.1% |
| |||||||
Johnson Controls International PLC |
14,800 | 518,000 | ||||||
Masco Corp. |
9,200 | 336,720 | ||||||
|
|
|||||||
854,720 | ||||||||
|
|
|||||||
Electrical Components & Equipment — 0.0% |
| |||||||
Hubbell, Inc. |
1,700 | 227,069 | ||||||
|
|
|||||||
Electronics — 1.3% |
| |||||||
Arrow Electronics, Inc. (a) |
3,600 | 265,392 | ||||||
Corning, Inc. |
45,100 | 1,592,030 | ||||||
Garmin Ltd. |
7,300 | 511,365 | ||||||
Gentex Corp. |
10,400 | 223,184 | ||||||
Honeywell International, Inc. |
27,600 | 4,592,640 | ||||||
TE Connectivity Ltd. |
39,460 | 3,469,718 | ||||||
|
|
|||||||
10,654,329 | ||||||||
|
|
|||||||
Engineering & Construction — 0.4% |
| |||||||
Fluor Corp. |
51,720 | 3,004,932 | ||||||
|
|
|||||||
Environmental Controls — 0.6% |
| |||||||
Pentair PLC |
5,700 | 247,095 | ||||||
Stericycle, Inc. (a) |
400 | 23,472 | ||||||
Waste Management, Inc. |
55,070 | 4,976,125 | ||||||
|
|
|||||||
5,246,692 | ||||||||
|
|
|||||||
Hand & Machine Tools — 0.1% |
| |||||||
Snap-on, Inc. |
2,300 | 422,280 | ||||||
|
|
|||||||
Machinery – Construction & Mining — 0.6% |
| |||||||
Caterpillar, Inc. |
33,590 | 5,122,139 | ||||||
|
|
|||||||
Machinery – Diversified — 0.5% |
| |||||||
Deere & Co. |
23,590 | 3,546,285 | ||||||
Dover Corp. |
4,900 | 433,797 | ||||||
|
|
|||||||
3,980,082 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 1.6% |
| |||||||
Carlisle Cos., Inc. |
2,500 | 304,500 | ||||||
Crane Co. |
1,000 | 98,350 |
Number of Shares |
Value | |||||||
Eaton Corp. PLC |
16,900 | $ | 1,465,737 | |||||
General Electric Co. |
211,060 | 2,382,867 | ||||||
Ingersoll-Rand PLC |
9,500 | 971,850 | ||||||
Parker-Hannifin Corp. |
46,133 | 8,485,243 | ||||||
Trinity Industries, Inc. |
5,500 | 201,520 | ||||||
|
|
|||||||
13,910,067 | ||||||||
|
|
|||||||
Packaging & Containers — 0.5% |
| |||||||
Packaging Corp. of America |
3,500 | 383,915 | ||||||
Sonoco Products Co. |
3,900 | 216,450 | ||||||
WestRock Co. |
74,170 | 3,963,645 | ||||||
|
|
|||||||
4,564,010 | ||||||||
|
|
|||||||
Shipbuilding — 0.0% |
| |||||||
Huntington Ingalls Industries, Inc. |
1,400 | 358,512 | ||||||
|
|
|||||||
Transportation — 2.3% |
| |||||||
FedEx Corp. |
21,260 | 5,119,195 | ||||||
Kansas City Southern |
47,140 | 5,340,019 | ||||||
Union Pacific Corp. |
12,260 | 1,996,296 | ||||||
United Parcel Service, Inc. Class B |
26,500 | 3,093,875 | ||||||
XPO Logistics, Inc. (a) |
38,530 | 4,398,970 | ||||||
|
|
|||||||
19,948,355 | ||||||||
|
|
|||||||
78,465,372 | ||||||||
|
|
|||||||
Technology — 7.7% |
| |||||||
Computers — 2.9% |
| |||||||
Apple, Inc. |
58,000 | 13,092,920 | ||||||
DXC Technology Co. |
4,500 | 420,840 | ||||||
Hewlett Packard Enterprise Co. |
46,400 | 756,784 | ||||||
HP, Inc. |
193,680 | 4,991,134 | ||||||
International Business Machines Corp. |
35,700 | 5,398,197 | ||||||
|
|
|||||||
24,659,875 | ||||||||
|
|
|||||||
Office & Business Equipment — 0.3% |
| |||||||
Xerox Corp. |
4,100 | 110,618 | ||||||
Zebra Technologies Corp. Class A (a) |
13,710 | 2,424,339 | ||||||
|
|
|||||||
2,534,957 | ||||||||
|
|
|||||||
Semiconductors — 1.8% |
| |||||||
Intel Corp. |
178,700 | 8,450,723 | ||||||
KLA-Tencor Corp. |
6,200 | 630,602 | ||||||
Lam Research Corp. |
6,300 | 955,710 | ||||||
Marvell Technology Group Ltd. |
108,220 | 2,088,646 | ||||||
Qorvo, Inc. (a) |
5,000 | 384,450 | ||||||
Skyworks Solutions, Inc. |
5,600 | 507,976 | ||||||
Teradyne, Inc. |
7,600 | 281,048 | ||||||
Texas Instruments, Inc. |
21,700 | 2,328,193 | ||||||
|
|
|||||||
15,627,348 | ||||||||
|
|
|||||||
Software — 2.7% |
| |||||||
Fidelity National Information Services, Inc. |
20,750 | 2,263,202 | ||||||
Microsoft Corp. |
67,810 | 7,755,430 | ||||||
Oracle Corp. |
144,800 | 7,465,888 |
The accompanying notes are an integral part of the portfolio of investments.
44
MML Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Synopsys, Inc. (a) |
54,580 | $ | 5,382,134 | |||||
|
|
|||||||
22,866,654 | ||||||||
|
|
|||||||
65,688,834 | ||||||||
|
|
|||||||
Utilities — 2.8% |
| |||||||
Electric — 2.8% |
| |||||||
AES Corp. |
20,500 | 287,000 | ||||||
Ameren Corp. |
9,200 | 581,624 | ||||||
American Electric Power Co., Inc. |
18,200 | 1,290,016 | ||||||
DTE Energy Co. |
7,100 | 774,823 | ||||||
Duke Energy Corp. |
21,500 | 1,720,430 | ||||||
Edison International |
79,080 | 5,352,135 | ||||||
Entergy Corp. |
61,080 | 4,955,420 | ||||||
Eversource Energy |
11,300 | 694,272 | ||||||
NextEra Energy, Inc. |
29,755 | 4,986,938 | ||||||
OGE Energy Corp. |
6,200 | 225,184 | ||||||
Pinnacle West Capital Corp. |
4,600 | 364,228 | ||||||
Public Service Enterprise Group, Inc. |
19,400 | 1,024,126 | ||||||
WEC Energy Group, Inc. |
12,100 | 807,796 | ||||||
Xcel Energy, Inc. |
16,600 | 783,686 | ||||||
|
|
|||||||
23,847,678 | ||||||||
|
|
|||||||
Gas — 0.0% |
| |||||||
UGI Corp. |
5,400 | 299,592 | ||||||
|
|
|||||||
24,147,270 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $669,470,727) |
833,303,321 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $669,470,727) |
833,303,321 | |||||||
|
|
|||||||
MUTUAL FUNDS — 1.3% |
| |||||||
Diversified Financial Services — 1.3% |
| |||||||
iShares Russell 1000 Value ETF |
41,700 | 5,280,054 | ||||||
State Street Navigator Securities Lending Prime Portfolio (c) |
6,134,962 | 6,134,962 | ||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $11,299,485) |
11,415,016 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $680,770,212) |
844,718,337 | |||||||
|
|
Principal Amount |
Value | |||||||
SHORT-TERM INVESTMENTS — 1.8% |
| |||||||
Repurchase Agreement — 1.8% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/28/18, 1.100%, due 10/01/18 (d) |
$ | 15,580,551 | $ | 15,580,551 | ||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,580,551) |
15,580,551 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 100.7% (Cost $696,350,763) (e) |
860,298,888 | |||||||
Other Assets/(Liabilities) — (0.7)% | (6,118,717 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 854,180,171 | ||||||
|
|
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 September 30, 2018, was $5,546,344 or 0.65% 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 $15,581,979. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 8/15/42, and an aggregate market value, including accrued interest, of $15,896,096. |
(e) | See Note 3 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the portfolio of investments.
45
MML Equity Rotation Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Number of Shares |
Value | |||||||
EQUITIES — 95.5% | ||||||||
COMMON STOCK — 95.5% | ||||||||
Basic Materials — 2.7% | ||||||||
Chemicals — 0.6% | ||||||||
Eastman Chemical Co. |
300 | $ | 28,716 | |||||
Huntsman Corp. |
4,700 | 127,981 | ||||||
Praxair, Inc. |
200 | 32,146 | ||||||
|
|
|||||||
188,843 | ||||||||
|
|
|||||||
Iron & Steel — 0.5% | ||||||||
Reliance Steel & Aluminum Co. |
2,100 | 179,109 | ||||||
|
|
|||||||
Mining — 1.6% | ||||||||
Alcoa Corp. (a) |
3,100 | 125,240 | ||||||
Hi-Crush Partners LP (b) |
20,000 | 216,000 | ||||||
Kaiser Aluminum Corp. |
1,600 | 174,496 | ||||||
|
|
|||||||
515,736 | ||||||||
|
|
|||||||
883,688 | ||||||||
|
|
|||||||
Communications — 15.7% | ||||||||
Internet — 11.2% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) |
1,500 | 247,140 | ||||||
Alphabet, Inc. Class A (a) |
990 | 1,195,009 | ||||||
Alphabet, Inc. Class C (a) |
50 | 59,674 | ||||||
Amazon.com, Inc. (a) |
790 | 1,582,370 | ||||||
Okta, Inc. (a) |
2,800 | 197,008 | ||||||
Q2 Holdings, Inc. (a) |
2,000 | 121,100 | ||||||
VeriSign, Inc. (a) |
1,900 | 304,228 | ||||||
|
|
|||||||
3,706,529 | ||||||||
|
|
|||||||
Media — 0.9% | ||||||||
News Corp. Class A |
2,400 | 31,656 | ||||||
Viacom, Inc. Class B |
8,000 | 270,080 | ||||||
|
|
|||||||
301,736 | ||||||||
|
|
|||||||
Telecommunications — 3.6% | ||||||||
Cisco Systems, Inc. |
6,000 | 291,900 | ||||||
Verizon Communications, Inc. |
13,900 | 742,121 | ||||||
Zayo Group Holdings, Inc. (a) |
3,900 | 135,408 | ||||||
|
|
|||||||
1,169,429 | ||||||||
|
|
|||||||
5,177,694 | ||||||||
|
|
|||||||
Consumer, Cyclical — 4.2% | ||||||||
Airlines — 0.6% | ||||||||
Delta Air Lines, Inc. |
3,700 | 213,971 | ||||||
|
|
|||||||
Auto Manufacturers — 0.7% | ||||||||
General Motors Co. |
6,800 | 228,956 | ||||||
|
|
|||||||
Auto Parts & Equipment — 2.0% |
| |||||||
Dana, Inc. |
8,000 | 149,360 | ||||||
Lear Corp. |
1,490 | 216,050 | ||||||
Magna International, Inc. |
5,300 | 278,409 | ||||||
|
|
|||||||
643,819 | ||||||||
|
|
Number of Shares |
Value | |||||||
Distribution & Wholesale — 0.5% |
| |||||||
HD Supply Holdings, Inc. (a) |
3,900 | $ | 166,881 | |||||
|
|
|||||||
Housewares — 0.4% | ||||||||
The Toro Co. |
2,400 | 143,928 | ||||||
|
|
|||||||
1,397,555 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 26.6% |
| |||||||
Agriculture — 0.8% | ||||||||
Archer-Daniels-Midland Co. |
5,100 | 256,377 | ||||||
|
|
|||||||
Biotechnology — 7.8% | ||||||||
Amgen, Inc. |
6,650 | 1,378,478 | ||||||
Biogen, Inc. (a) |
680 | 240,251 | ||||||
Celgene Corp. (a) |
3,940 | 352,591 | ||||||
Gilead Sciences, Inc. |
7,600 | 586,796 | ||||||
|
|
|||||||
2,558,116 | ||||||||
|
|
|||||||
Commercial Services — 4.5% | ||||||||
Quanta Services, Inc. (a) |
5,400 | 180,252 | ||||||
S&P Global, Inc. |
1,550 | 302,854 | ||||||
Square, Inc. Class A (a) |
1,100 | 108,911 | ||||||
The Western Union Co. |
8,500 | 162,010 | ||||||
Worldpay, Inc. Class A (a) |
7,100 | 719,017 | ||||||
|
|
|||||||
1,473,044 | ||||||||
|
|
|||||||
Foods — 1.5% | ||||||||
US Foods Holding Corp. (a) |
16,500 | 508,530 | ||||||
|
|
|||||||
Health Care – Services — 4.1% | ||||||||
Aetna, Inc. |
1,730 | 350,930 | ||||||
HCA Healthcare, Inc. |
6,050 | 841,676 | ||||||
WellCare Health Plans, Inc. (a) |
550 | 176,270 | ||||||
|
|
|||||||
1,368,876 | ||||||||
|
|
|||||||
Pharmaceuticals — 7.9% | ||||||||
Horizon Pharma PLC (a) |
16,700 | 326,986 | ||||||
Johnson & Johnson |
2,610 | 360,624 | ||||||
Merck & Co., Inc. |
4,900 | 347,606 | ||||||
Neurocrine Biosciences, Inc. (a) |
2,520 | 309,834 | ||||||
Pfizer, Inc. |
26,800 | 1,181,076 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR |
4,000 | 86,160 | ||||||
|
|
|||||||
2,612,286 | ||||||||
|
|
|||||||
8,777,229 | ||||||||
|
|
|||||||
Energy — 7.9% | ||||||||
Oil & Gas — 6.3% | ||||||||
Andeavor |
2,900 | 445,150 | ||||||
Apache Corp. |
400 | 19,068 | ||||||
Chevron Corp. |
3,320 | 405,969 | ||||||
Devon Energy Corp. |
16,000 | 639,040 | ||||||
Exxon Mobil Corp. |
300 | 25,506 | ||||||
Marathon Petroleum Corp. |
2,600 | 207,922 | ||||||
Occidental Petroleum Corp. |
2,700 | 221,859 | ||||||
Rowan Cos. PLC Class A (a) |
7,000 | 131,810 | ||||||
|
|
|||||||
2,096,324 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
46
MML Equity Rotation Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Oil & Gas Services — 1.6% | ||||||||
Halliburton Co. |
12,800 | $ | 518,784 | |||||
|
|
|||||||
2,615,108 | ||||||||
|
|
|||||||
Financial — 17.3% | ||||||||
Banks — 7.7% | ||||||||
Bank of America Corp. |
15,800 | 465,468 | ||||||
Comerica, Inc. |
8,400 | 757,680 | ||||||
JP Morgan Chase & Co. |
7,200 | 812,448 | ||||||
Morgan Stanley |
5,600 | 260,792 | ||||||
State Street Corp. |
3,100 | 259,718 | ||||||
|
|
|||||||
2,556,106 | ||||||||
|
|
|||||||
Diversified Financial Services — 6.4% |
| |||||||
Mastercard, Inc. Class A |
6,260 | 1,393,539 | ||||||
Visa, Inc. Class A |
4,860 | 729,437 | ||||||
|
|
|||||||
2,122,976 | ||||||||
|
|
|||||||
Insurance — 3.2% | ||||||||
Aflac, Inc. |
3,600 | 169,452 | ||||||
Berkshire Hathaway, Inc. Class B (a) |
3,800 | 813,618 | ||||||
Torchmark Corp. |
700 | 60,683 | ||||||
|
|
|||||||
1,043,753 | ||||||||
|
|
|||||||
5,722,835 | ||||||||
|
|
|||||||
Industrial — 6.1% | ||||||||
Aerospace & Defense — 2.6% |
| |||||||
Lockheed Martin Corp. |
1,830 | 633,107 | ||||||
Spirit AeroSystems Holdings, Inc. Class A |
2,500 | 229,175 | ||||||
|
|
|||||||
862,282 | ||||||||
|
|
|||||||
Electronics — 0.1% | ||||||||
KEMET Corp. (a) |
2,300 | 42,665 | ||||||
|
|
|||||||
Miscellaneous – Manufacturing — 1.1% |
| |||||||
3M Co. |
400 | 84,284 | ||||||
Eaton Corp. PLC |
3,400 | 294,882 | ||||||
|
|
|||||||
379,166 | ||||||||
|
|
|||||||
Transportation — 1.9% | ||||||||
Landstar System, Inc. |
1,240 | 151,280 | ||||||
Norfolk Southern Corp. |
2,500 | 451,250 | ||||||
Union Pacific Corp. |
200 | 32,566 | ||||||
|
|
|||||||
635,096 | ||||||||
|
|
|||||||
Trucking & Leasing — 0.4% | ||||||||
AerCap Holdings NV (a) |
2,000 | 115,040 | ||||||
|
|
|||||||
2,034,249 | ||||||||
|
|
|||||||
Technology — 15.0% | ||||||||
Computers — 4.3% | ||||||||
Check Point Software Technologies Ltd. (a) |
1,400 | 164,738 | ||||||
Leidos Holdings, Inc. |
2,100 | 145,236 | ||||||
NetApp, Inc. |
10,300 | 884,667 |
Number of Shares |
Value | |||||||
Seagate Technology PLC |
5,100 | $ | 241,485 | |||||
|
|
|||||||
1,436,126 | ||||||||
|
|
|||||||
Office & Business Equipment — 1.3% |
| |||||||
Zebra Technologies Corp. Class A (a) |
2,380 | 420,856 | ||||||
|
|
|||||||
Semiconductors — 3.7% | ||||||||
Applied Materials, Inc. |
10,100 | 390,365 | ||||||
ASML Holding NV |
810 | 152,296 | ||||||
Broadcom, Inc. |
500 | 123,365 | ||||||
Micron Technology, Inc. (a) |
6,800 | 307,564 | ||||||
NXP Semiconductor NV |
590 | 50,445 | ||||||
Skyworks Solutions, Inc. |
2,000 | 181,420 | ||||||
|
|
|||||||
1,205,455 | ||||||||
|
|
|||||||
Software — 5.7% | ||||||||
Fidelity National Information Services, Inc. |
1,000 | 109,070 | ||||||
Intuit, Inc. |
1,360 | 309,264 | ||||||
Microsoft Corp. |
6,680 | 763,992 | ||||||
ServiceNow, Inc. (a) |
1,550 | 303,226 | ||||||
Veeva Systems, Inc. Class A (a) |
2,200 | 239,514 | ||||||
Workday, Inc. Class A (a) |
1,050 | 153,279 | ||||||
|
|
|||||||
1,878,345 | ||||||||
|
|
|||||||
4,940,782 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $26,258,740) |
31,549,140 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $26,258,740) |
31,549,140 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $26,258,740) |
31,549,140 | |||||||
|
|
|||||||
Principal Amount |
||||||||
SHORT-TERM INVESTMENTS — 4.4% |
| |||||||
Repurchase Agreement — 4.4% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/28/18, 1.100%, due 10/01/18 (c) |
$ | 1,435,337 | 1,435,337 | |||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,435,337) |
1,435,337 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 99.9% (Cost $27,694,077) (d) |
32,984,477 | |||||||
Other Assets/(Liabilities) — 0.1% | 41,770 | |||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 33,026,247 | ||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
47
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) | Security is a Master Limited Partnership. |
(c) | Maturity value of $1,435,469. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 8/15/42, and an aggregate market value, including accrued interest, of $1,466,687. |
(d) | See Note 3 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the portfolio of investments.
48
MML High Yield Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Number of Shares |
Value | |||||||
EQUITIES — 1.1% |
| |||||||
COMMON STOCK — 0.6% |
| |||||||
Energy — 0.6% |
| |||||||
Oil & Gas — 0.6% |
| |||||||
Fieldwood Energy LLC (a) |
3,193 | $ | 162,843 | |||||
Fieldwood Energy LLC (a) |
13,011 | 663,561 | ||||||
|
|
|||||||
826,404 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $392,368) |
826,404 | |||||||
|
|
|||||||
PREFERRED STOCK — 0.5% |
| |||||||
Consumer, Non-cyclical — 0.5% |
| |||||||
Agriculture — 0.5% |
| |||||||
Pinnacle Agriculture Holdings LLC (a) |
1,144,535 | 709,612 | ||||||
|
|
|||||||
TOTAL PREFERRED STOCK (Cost $733,962) |
709,612 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $1,126,330) |
1,536,016 | |||||||
|
|
|||||||
Principal Amount |
||||||||
BONDS & NOTES — 96.4% |
| |||||||
BANK LOANS — 3.8% |
| |||||||
Advertising — 0.7% |
| |||||||
Getty Images, Inc., Term Loan B, 1 mo. LIBOR + 3.500% |
$ | 908,463 | 901,241 | |||||
|
|
|||||||
Oil & Gas — 2.2% |
| |||||||
Caelus Energy Alaska O3 LLC, 2nd Lien Term Loan, |
||||||||
1,639,220 | 1,499,886 | |||||||
Fieldwood Energy LLC |
674,554 | 677,421 | ||||||
Exit 2nd Lien Term Loan, 1 mo. LIBOR + 7.250% |
387,384 | 375,115 | ||||||
Gulf Finance LLC, Term Loan B, 3 mo. LIBOR + 5.250% |
||||||||
503,020 | 420,560 | |||||||
|
|
|||||||
2,972,982 | ||||||||
|
|
|||||||
Telecommunications — 0.9% |
| |||||||
CenturyLink, Inc., 2017 Term Loan B, |
||||||||
1,246,859 | 1,237,819 | |||||||
|
|
|||||||
TOTAL BANK LOANS (Cost $4,992,598) |
5,112,042 | |||||||
|
|
Principal Amount |
Value | |||||||
CORPORATE DEBT — 92.6% |
| |||||||
Aerospace & Defense — 2.1% |
| |||||||
TransDigm UK Holdings PLC |
||||||||
$ | 393,000 | $ | 403,316 | |||||
TransDigm, Inc. |
||||||||
1,219,000 | 1,231,190 | |||||||
Triumph Group, Inc. |
| |||||||
4.875% 4/01/21 |
422,000 | 407,230 | ||||||
5.250% 6/01/22 |
305,000 | 287,462 | ||||||
7.750% 8/15/25 |
471,000 | 457,459 | ||||||
|
|
|||||||
2,786,657 | ||||||||
|
|
|||||||
Agriculture — 1.1% |
| |||||||
Pinnacle Operating Corp. |
||||||||
1,667,522 | 1,484,095 | |||||||
|
|
|||||||
Airlines — 2.9% |
| |||||||
Allegiant Travel Co. |
||||||||
1,350,000 | 1,363,500 | |||||||
American Airlines Group, Inc. |
||||||||
1,891,000 | 1,917,001 | |||||||
VistaJet Malta Finance PLC / VistaJet Co. Finance LLC |
||||||||
688,000 | 694,399 | |||||||
|
|
|||||||
3,974,900 | ||||||||
|
|
|||||||
Auto Manufacturers — 1.8% |
| |||||||
Deck Chassis Acquisition, Inc. |
||||||||
2,013,000 | 2,133,780 | |||||||
JB Poindexter & Co., Inc. |
||||||||
293,000 | 303,987 | |||||||
|
|
|||||||
2,437,767 | ||||||||
|
|
|||||||
Building Materials — 1.7% |
| |||||||
Griffon Corp. |
||||||||
174,000 | 172,043 | |||||||
James Hardie International Finance DAC |
||||||||
485,000 | 457,719 | |||||||
PGT Escrow Issuer, Inc. |
||||||||
446,000 | 462,725 | |||||||
Standard Industries, Inc. |
||||||||
1,345,000 | 1,242,376 | |||||||
|
|
|||||||
2,334,863 | ||||||||
|
|
|||||||
Chemicals — 2.9% |
| |||||||
The Chemours Co. |
||||||||
409,000 | 433,740 | |||||||
Consolidated Energy Finance SA |
||||||||
655,000 | 680,381 | |||||||
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA |
||||||||
1,225,000 | 1,252,562 | |||||||
Platform Specialty Products Corp. |
||||||||
5.875% 12/01/25 (b) |
414,000 | 408,523 | ||||||
6.500% 2/01/22 (b) |
423,000 | 430,403 |
The accompanying notes are an integral part of the portfolio of investments.
49
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Starfruit Finco BV/Starfruit US Holdco LLC |
||||||||
$ | 705,000 | $ | 715,575 | |||||
|
|
|||||||
3,921,184 | ||||||||
|
|
|||||||
Coal — 2.2% |
| |||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. |
||||||||
669,000 | 712,485 | |||||||
Peabody Energy Corp. |
||||||||
883,000 | 898,452 | |||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. |
||||||||
1,013,000 | 1,043,390 | |||||||
Warrior Met Coal, Inc. |
||||||||
339,000 | 347,475 | |||||||
|
|
|||||||
3,001,802 | ||||||||
|
|
|||||||
Commercial Services — 4.7% |
| |||||||
Cardtronics, Inc./Cardtronics USA, Inc. |
||||||||
578,000 | 551,990 | |||||||
Financial & Risk US Holdings, Inc. |
||||||||
6.250% 5/15/26 (b) (c) |
243,000 | 243,897 | ||||||
8.250% 11/15/26 (b) (c) |
314,000 | 312,097 | ||||||
The Hertz Corp. |
||||||||
1,500,000 | 1,481,250 | |||||||
Nielsen Finance LLC/Nielsen Finance Co. |
||||||||
625,000 | 609,375 | |||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. |
||||||||
1,830,000 | 1,957,185 | |||||||
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary |
||||||||
680,000 | 625,600 | |||||||
United Rentals North America, Inc. |
||||||||
4.625% 10/15/25 |
249,000 | 241,530 | ||||||
4.875% 1/15/28 |
365,000 | 342,187 | ||||||
|
|
|||||||
6,365,111 | ||||||||
|
|
|||||||
Computers — 1.6% |
| |||||||
Dell, Inc. |
||||||||
501,000 | 492,859 | |||||||
GCI LLC |
||||||||
1,550,000 | 1,602,762 | |||||||
|
|
|||||||
2,095,621 | ||||||||
|
|
|||||||
Diversified Financial Services — 2.6% |
| |||||||
LPL Holdings, Inc. |
||||||||
1,364,000 | 1,331,605 | |||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. |
||||||||
704,000 | 684,640 |
Principal Amount |
Value | |||||||
VFH Parent LLC/Orchestra Co-Issuer,
Inc. |
||||||||
$ | 1,477,000 | $ | 1,525,002 | |||||
|
|
|||||||
3,541,247 | ||||||||
|
|
|||||||
Electric — 0.5% |
| |||||||
NRG Energy, Inc. |
||||||||
702,000 | 737,100 | |||||||
|
|
|||||||
Engineering & Construction — 1.1% |
| |||||||
Zachry Holdings, Inc. |
||||||||
1,510,000 | 1,513,775 | |||||||
|
|
|||||||
Entertainment — 0.4% |
| |||||||
Delta Merger Sub, Inc. |
||||||||
324,000 | 328,050 | |||||||
WMG Acquisition Corp. |
||||||||
262,000 | 262,000 | |||||||
|
|
|||||||
590,050 | ||||||||
|
|
|||||||
Foods — 4.3% |
| |||||||
C&S Group Enterprises LLC |
||||||||
1,030,000 | 1,019,700 | |||||||
JBS USA LUX SA/JBS USA Finance, Inc. |
||||||||
5.875% 7/15/24 (b) |
646,000 | 636,310 | ||||||
6.750% 2/15/28 (b) |
824,000 | 818,850 | ||||||
KeHE Distributors LLC/KeHE Finance Corp. |
||||||||
650,000 | 625,625 | |||||||
Pilgrim’s Pride Corp. |
||||||||
5.750% 3/15/25 (b) |
247,000 | 237,738 | ||||||
5.875% 9/30/27 (b) |
877,000 | 828,765 | ||||||
Post Holdings, Inc. |
| |||||||
5.500% 3/01/25 (b) |
309,000 | 306,682 | ||||||
5.625% 1/15/28 (b) |
468,000 | 450,450 | ||||||
5.750% 3/01/27 (b) |
382,000 | 374,360 | ||||||
Simmons Foods, Inc. |
||||||||
5.750% 11/01/24 (b) |
483,000 | 370,099 | ||||||
7.750% 1/15/24 (b) |
189,000 | 195,615 | ||||||
|
|
|||||||
5,864,194 | ||||||||
|
|
|||||||
Forest Products & Paper — 0.0% |
| |||||||
Appvion Inc. |
||||||||
2,157,000 | - | |||||||
|
|
|||||||
Gas — 0.8% |
| |||||||
LBC Tank Terminals Holding Netherlands BV |
||||||||
1,111,000 | 1,102,668 | |||||||
|
|
|||||||
Hand & Machine Tools — 0.8% |
| |||||||
Apex Tool Group LLC/BC Mountain Finance, Inc. |
||||||||
1,138,000 | 1,106,705 | |||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
50
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Health Care – Products — 4.4% |
| |||||||
Avanos Medical, Inc. |
||||||||
$ | 1,300,000 | $ | 1,327,794 | |||||
Avantor, Inc. |
||||||||
6.000% 10/01/24 (b) |
652,000 | 661,780 | ||||||
9.000% 10/01/25 (b) |
1,397,000 | 1,442,402 | ||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC |
||||||||
5.500% 4/15/25 (b) |
398,000 | 333,325 | ||||||
5.625% 10/15/23 (b) |
202,000 | 178,770 | ||||||
5.750% 8/01/22 (b) |
189,000 | 174,353 | ||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA |
||||||||
1,844,000 | 1,801,588 | |||||||
|
|
|||||||
5,920,012 | ||||||||
|
|
|||||||
Health Care – Services — 2.2% |
| |||||||
Envision Healthcare Corp. |
||||||||
789,000 | 789,000 | |||||||
HCA, Inc. |
||||||||
1,138,000 | 1,184,942 | |||||||
RegionalCare Hospital Partners Holdings, Inc. |
||||||||
176,000 | 184,800 | |||||||
Tenet Healthcare Corp. |
||||||||
4.625% 7/15/24 |
400,000 | 389,000 | ||||||
8.125% 4/01/22 |
340,000 | 358,292 | ||||||
|
|
|||||||
2,906,034 | ||||||||
|
|
|||||||
Home Builders — 0.5% |
| |||||||
Brookfield Residential Properties, Inc. |
||||||||
491,000 | 481,180 | |||||||
William Lyon Homes, Inc. |
||||||||
194,000 | 187,210 | |||||||
|
|
|||||||
668,390 | ||||||||
|
|
|||||||
Insurance — 2.2% |
| |||||||
Acrisure LLC/Acrisure Finance, Inc. |
||||||||
791,000 | 737,568 | |||||||
AssuredPartners, Inc. |
||||||||
514,000 | 508,860 | |||||||
USIS Merger Sub, Inc. |
||||||||
836,000 | 833,910 | |||||||
York Risk Services Holding Corp. |
||||||||
992,000 | 870,480 | |||||||
|
|
|||||||
2,950,818 | ||||||||
|
|
|||||||
Internet — 0.4% |
| |||||||
Netflix, Inc. |
||||||||
595,000 | 592,769 | |||||||
|
|
|||||||
Iron & Steel — 0.9% |
| |||||||
Allegheny Technologies, Inc. |
||||||||
1,192,000 | 1,211,370 | |||||||
|
|
Principal Amount |
Value | |||||||
Leisure Time — 3.1% |
| |||||||
Brunswick Corp. |
||||||||
7.375% 9/01/23 |
$ | 285,000 | $ | 319,060 | ||||
7.125% 8/01/27 |
2,245,000 | 2,554,328 | ||||||
Carlson Travel, Inc. |
||||||||
6.750% 12/15/23 (b) |
496,000 | 497,860 | ||||||
9.500% 12/15/24 (b) |
862,000 | 831,830 | ||||||
|
|
|||||||
4,203,078 | ||||||||
|
|
|||||||
Lodging — 0.4% |
| |||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. |
||||||||
5.250% 5/15/27 (b) |
492,000 | 456,945 | ||||||
5.500% 3/01/25 (b) |
140,000 | 135,275 | ||||||
|
|
|||||||
592,220 | ||||||||
|
|
|||||||
Machinery – Diversified — 0.1% |
| |||||||
Stevens Holding Co., Inc. |
||||||||
166,000 | 168,698 | |||||||
|
|
|||||||
Media — 7.7% |
| |||||||
Altice Financing SA |
||||||||
600,000 | 604,500 | |||||||
Altice Finco SA |
||||||||
615,000 | 621,150 | |||||||
Altice Luxembourg SA |
||||||||
700,000 | 637,980 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
||||||||
5.000% 2/01/28 (b) |
1,086,000 | 1,020,731 | ||||||
5.750% 2/15/26 (b) |
550,000 | 551,375 | ||||||
5.875% 4/01/24 (b) |
1,500,000 | 1,524,375 | ||||||
5.875% 5/01/27 (b) |
822,000 | 814,808 | ||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. |
||||||||
565,000 | 592,544 | |||||||
Clear Channel Worldwide Holdings, Inc. |
||||||||
1,476,000 | 1,479,690 | |||||||
DISH DBS Corp. |
||||||||
1,031,000 | 972,542 | |||||||
Midcontinent Communications/Midcontinent Finance Corp. |
||||||||
864,000 | 904,219 | |||||||
Sirius XM Radio, Inc. |
||||||||
167,000 | 165,748 | |||||||
Ziggo BV |
||||||||
489,000 | 458,804 | |||||||
|
|
|||||||
10,348,466 | ||||||||
|
|
|||||||
Mining — 4.5% |
| |||||||
Compass Minerals International, Inc. |
||||||||
294,000 | 272,318 | |||||||
First Quantum Minerals Ltd. |
||||||||
7.250% 4/01/23 (b) |
659,000 | 629,757 | ||||||
7.500% 4/01/25 (b) |
652,000 | 618,585 |
The accompanying notes are an integral part of the portfolio of investments.
51
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Hecla Mining Co. |
||||||||
$ | 1,271,000 | $ | 1,274,177 | |||||
Kinross Gold Corp. |
||||||||
4.500% 7/15/27 |
640,000 | 572,032 | ||||||
5.950% 3/15/24 |
441,000 | 449,820 | ||||||
6.875% 9/01/41 |
476,000 | 485,520 | ||||||
New Gold, Inc. |
||||||||
998,000 | 870,755 | |||||||
Northwest Acquisitions ULC/Dominion Finco, Inc. |
||||||||
884,000 | 903,890 | |||||||
|
|
|||||||
6,076,854 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 1.0% |
| |||||||
EnPro Industries, Inc. |
||||||||
1,271,000 | 1,294,831 | |||||||
|
|
|||||||
Oil & Gas — 9.3% |
| |||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. |
||||||||
7.625% 1/15/22 |
362,000 | 362,905 | ||||||
7.750% 4/15/23 |
204,000 | 204,000 | ||||||
Chesapeake Energy Corp. |
| |||||||
8.000% 1/15/25 |
898,000 | 926,062 | ||||||
8.000% 6/15/27 |
25,000 | 25,500 | ||||||
Citgo Holding, Inc. |
||||||||
1,677,000 | 1,777,620 | |||||||
Ensco PLC |
||||||||
234,000 | 232,245 | |||||||
EP Energy LLC/Everest Acquisition Finance, Inc. |
||||||||
8.000% 2/15/25 (b) |
1,081,000 | 826,965 | ||||||
9.375% 5/01/24 (b) |
356,000 | 293,700 | ||||||
Jonah Energy LLC/Jonah Energy Finance Corp. |
||||||||
985,000 | 753,525 | |||||||
Jupiter Resources, Inc. |
||||||||
2,310,000 | 1,097,250 | |||||||
Kosmos Energy Ltd. |
||||||||
7.875% 8/01/21 (b) |
1,823,000 | 1,854,902 | ||||||
7.875% 8/01/21 (b) |
800,000 | 814,000 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. |
||||||||
7.000% 11/15/23 |
47,000 | 48,880 | ||||||
7.250% 6/15/25 |
925,000 | 971,250 | ||||||
SM Energy Co. |
||||||||
188,000 | 194,345 | |||||||
Transocean Guardian Ltd. |
||||||||
269,000 | 271,354 | |||||||
Transocean, Inc. |
||||||||
6.800% 3/15/38 |
483,000 | 417,795 | ||||||
9.350% STEP 12/15/41 |
150,000 | 150,938 | ||||||
Tullow Oil PLC |
||||||||
1,364,000 | 1,364,273 | |||||||
|
|
|||||||
12,587,509 | ||||||||
|
|
Principal Amount |
Value | |||||||
Oil & Gas Services — 1.3% |
| |||||||
KCA Deutag UK Finance PLC |
||||||||
$ | 341,000 | $ | 334,180 | |||||
Weatherford International Ltd. |
||||||||
319,000 | 312,620 | |||||||
Welltec A/S |
||||||||
1,000,000 | 1,037,500 | |||||||
|
|
|||||||
1,684,300 | ||||||||
|
|
|||||||
Packaging & Containers — 0.1% |
| |||||||
Crown Americas LLC/Crown Americas Capital Corp. VI |
||||||||
200,000 | 191,000 | |||||||
|
|
|||||||
Pharmaceuticals — 3.5% |
| |||||||
Bausch Health Cos., Inc |
||||||||
1,643,000 | 1,560,850 | |||||||
Bausch Health Cos., Inc. |
||||||||
171,000 | 177,840 | |||||||
Bausch Health Cos., Inc. |
||||||||
5.500% 3/01/23 (b) |
452,000 | 435,050 | ||||||
5.875% 5/15/23 (b) |
193,000 | 188,175 | ||||||
7.000% 3/15/24 (b) |
290,000 | 306,385 | ||||||
9.250% 4/01/26 (b) |
600,000 | 647,250 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. |
||||||||
981,000 | 845,622 | |||||||
Endo Finance LLC/Endo Finco, Inc. |
||||||||
5.375% STEP 1/15/23 (b) |
139,000 | 122,320 | ||||||
7.250% STEP 1/15/22 (b) |
112,000 | 109,200 | ||||||
Teva Pharmaceutical Finance Netherlands III BV |
||||||||
315,000 | 319,865 | |||||||
|
|
|||||||
4,712,557 | ||||||||
|
|
|||||||
Pipelines — 2.1% |
| |||||||
Cheniere Energy Partners LP |
||||||||
725,000 | 730,220 | |||||||
Energy Transfer Equity LP |
||||||||
1,364,000 | 1,355,475 | |||||||
Genesis Energy LP/Genesis Energy Finance Corp. |
||||||||
765,000 | 754,481 | |||||||
|
|
|||||||
2,840,176 | ||||||||
|
|
|||||||
Private Equity — 0.6% |
| |||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
||||||||
761,000 | 763,854 | |||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 1.0% |
| |||||||
MPT Operating Partnership LP/MPT Finance Corp. |
||||||||
539,000 | 519,461 |
The accompanying notes are an integral part of the portfolio of investments.
52
MML High Yield Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
RHP Hotel Properties LP/RHP Finance Corp. |
||||||||
$ | 789,000 | $ | 787,028 | |||||
|
|
|||||||
1,306,489 | ||||||||
|
|
|||||||
Retail — 2.4% |
| |||||||
Ferrellgas LP/Ferrellgas Finance Corp. |
||||||||
500,000 | 436,250 | |||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. |
||||||||
8.625% 6/15/20 |
742,000 | 704,900 | ||||||
8.625% 6/15/20 |
449,000 | 426,550 | ||||||
Golden Nugget, Inc. |
||||||||
242,000 | 253,684 | |||||||
KGA Escrow LLC |
||||||||
426,000 | 441,975 | |||||||
Penske Automotive Group, Inc. |
||||||||
1,000,000 | 972,200 | |||||||
|
|
|||||||
3,235,559 | ||||||||
|
|
|||||||
Software — 3.4% |
| |||||||
RP Crown Parent LLC |
||||||||
191,000 | 198,163 | |||||||
TIBCO Software, Inc. |
||||||||
2,877,000 | 3,071,197 | |||||||
Veritas US, Inc./Veritas Bermuda Ltd. |
||||||||
1,500,000 | 1,372,500 | |||||||
|
|
|||||||
4,641,860 | ||||||||
|
|
|||||||
Telecommunications — 7.2% |
| |||||||
CenturyLink, Inc. |
||||||||
500,000 | 519,375 | |||||||
Citizens Communications Co. |
||||||||
1,250,000 | 1,257,875 | |||||||
Hughes Satellite Systems Corp. |
||||||||
5.250% 8/01/26 |
805,000 | 784,875 | ||||||
6.625% 8/01/26 |
272,000 | 263,160 | ||||||
Intelsat Connect Finance SA |
||||||||
156,000 | 155,220 | |||||||
Intelsat Jackson Holdings SA |
||||||||
7.500% 4/01/21 |
889,000 | 900,112 | ||||||
8.500% 10/15/24 (b) |
703,000 | 710,733 | ||||||
9.750% 7/15/25 (b) |
132,000 | 139,755 | ||||||
Sprint Corp. |
||||||||
7.250% 9/15/21 |
745,000 | 787,838 | ||||||
7.625% 3/01/26 |
422,000 | 446,793 | ||||||
7.875% 9/15/23 |
1,578,000 | 1,702,267 | ||||||
T-Mobile USA, Inc. |
||||||||
4.500% 2/01/26 |
147,000 | 140,292 | ||||||
4.750% 2/01/28 |
226,000 | 212,723 | ||||||
6.000% 4/15/24 |
453,000 | 469,421 | ||||||
6.500% 1/15/26 |
679,000 | 711,388 | ||||||
Telecom Italia SpA |
||||||||
512,000 | 498,560 | |||||||
|
|
|||||||
9,700,387 | ||||||||
|
|
Principal Amount |
Value | |||||||
Toys, Games & Hobbies — 0.1% |
| |||||||
Mattel, Inc. |
$ | 147,000 | $ | 144,060 | ||||
|
|
|||||||
Transportation — 2.5% |
| |||||||
The Kenan Advantage Group, Inc. 7.875% 7/31/23 (b) |
||||||||
3,200,000 | 3,310,000 | |||||||
|
|
|||||||
Trucking & Leasing — 0.2% |
| |||||||
Park Aerospace Holdings Ltd. |
||||||||
249,000 | 251,179 | |||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $128,281,558) |
125,160,209 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $133,274,156) |
130,272,251 | |||||||
|
|
|||||||
Number of Shares |
||||||||
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 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $134,400,486) |
131,830,693 | |||||||
|
|
|||||||
Principal Amount |
||||||||
SHORT-TERM INVESTMENTS — 1.8% |
| |||||||
Commercial Paper — 1.8% |
| |||||||
Enterprise Products Operating LLC |
||||||||
$ | 2,500,000 | 2,499,505 | ||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,500,000) |
2,499,505 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 99.3% (Cost $136,900,486) (f) |
134,330,198 | |||||||
Other Assets/(Liabilities) — 0.7% | 898,143 | |||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 135,228,341 | ||||||
|
|
Abbreviation Legend
STEP | Step Up Bond |
VRN | Variable Rate Note |
The accompanying notes are an integral part of the portfolio of investments.
53
MML High Yield Fund – Portfolio of Investments (Continued)
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 September 30, 2018, these securities amounted to a value of $86,121,721 or 63.69% of net assets. |
(c) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(d) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2018, these securities amounted to a value of $22,426 or 0.02% of net assets. |
(e) | Investment was valued using significant unobservable inputs. |
(f) | See Note 3 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the portfolio of investments.
54
MML Inflation-Protected and Income Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Principal Amount |
Value | |||||||
BONDS & NOTES — 135.4% | ||||||||
CORPORATE DEBT — 2.7% | ||||||||
Auto Manufacturers — 1.0% | ||||||||
Ford Motor Credit Co. LLC |
$ | 2,060,000 | $ | 2,048,571 | ||||
General Motors Financial Co., Inc. |
1,720,000 | 1,728,566 | ||||||
|
|
|||||||
3,777,137 | ||||||||
|
|
|||||||
Computers — 0.7% | ||||||||
Dell International LLC/EMC Corp. |
1,100,000 | 1,102,779 | ||||||
Hewlett Packard Enterprise Co. 3 mo. USD LIBOR + 1.930% |
1,700,000 | 1,700,269 | ||||||
|
|
|||||||
2,803,048 | ||||||||
|
|
|||||||
Health Care – Products — 0.5% | ||||||||
Becton Dickinson & Co. |
2,060,000 | 2,063,053 | ||||||
|
|
|||||||
Pharmaceuticals — 0.5% | ||||||||
Cardinal Health, Inc. 3 mo. USD LIBOR + .770% |
2,060,000 | 2,063,438 | ||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $10,716,457) |
10,706,676 | |||||||
|
|
|||||||
MUNICIPAL OBLIGATIONS — 0.0% |
| |||||||
Louisiana State Public Facilities Authority, Series 2011-A,
Class A2, |
108,589 | 108,714 | ||||||
|
|
|||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $108,589) |
108,714 | |||||||
|
|
|||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 47.1% |
| |||||||
Auto Floor Plan ABS — 0.5% | ||||||||
Ally Master Owner Trust, |
1,200,000 | 1,201,469 | ||||||
NextGear Floorplan Master Owner Trust, Series 2018-1A,
Class A1, |
850,000 | 851,780 | ||||||
|
|
|||||||
2,053,249 | ||||||||
|
|
|||||||
Automobile ABS — 12.9% | ||||||||
American Credit Acceptance Receivables Trust |
||||||||
Series 2017-4, Class A, |
361,344 | 360,867 |
Principal Amount |
Value | |||||||
Series 2017-1, Class B, |
$ | 222,543 | $ | 222,449 | ||||
Series 2018-3, Class A, |
350,000 | 350,000 | ||||||
Series 2018-2, Class A, |
873,294 | 873,506 | ||||||
Series 2017-4, Class C, |
1,450,000 | 1,443,248 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2018-1,
Class A1 |
668,612 | 668,606 | ||||||
ARI Fleet Lease Trust, Series 2018-A,
Class A1 |
736,929 | 736,355 | ||||||
CarFinance Capital Auto Trust,
Series 2015-1A, Class A |
14,279 | 14,274 | ||||||
Chesapeake Funding II LLC |
||||||||
Series 2018-1A, Class A2, |
1,100,000 | 1,103,301 | ||||||
Series 2016-2A, Class A2, 1 mo. USD LIBOR + 1.000% |
854,282 | 857,061 | ||||||
CPS Auto Trust |
||||||||
Series 2017-D, Class A, |
816,818 | 813,111 | ||||||
Series 2018-A, Class A, |
204,555 | 203,840 | ||||||
Series 2017-A, Class B, |
2,000,000 | 1,994,442 | ||||||
Series 2018-C, Class A, |
676,899 | 676,188 | ||||||
Series 2018-C, Class B, |
260,000 | 259,447 | ||||||
Drive Auto Receivables Trust |
||||||||
Series 2018-4, Class A1, |
2,510,000 | 2,509,627 | ||||||
Series 2017-1, Class C, |
650,000 | 648,670 | ||||||
Series 2018-2, Class B, |
350,000 | 349,537 | ||||||
DT Auto Owner Trust |
||||||||
Series 2017-4A, Class A, |
629,476 | 628,398 | ||||||
Series 2017-3A, Class B, |
810,000 | 807,647 | ||||||
Series 2018-1A, Class A, |
894,813 | 893,969 | ||||||
Series 2018 2A ,Class A, |
1,175,576 | 1,174,528 | ||||||
Series 2018-1A, Class B, |
520,000 | 518,565 |
The accompanying notes are an integral part of the portfolio of investments.
55
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Enterprise Fleet Financing LLC, |
$ | 116,706 | $ | 116,582 | ||||
Exeter Automobile Receivables Trust |
||||||||
Series 2018-1A, Class A, |
463,496 | 462,144 | ||||||
Series 2018-1A, Class B, |
450,000 | 446,034 | ||||||
Series 2016-3A, Class B, |
420,000 | 419,435 | ||||||
Series 2018-3A, Class A, |
937,251 | 935,975 | ||||||
Series 2017-1A, Class B, |
700,000 | 698,567 | ||||||
First Investors Auto Owner Trust |
||||||||
Series 2017-3A, Class A1, |
1,131,792 | 1,124,975 | ||||||
Series 2018-1A, Class A1, |
1,061,132 | 1,059,591 | ||||||
Flagship Credit Auto Trust |
||||||||
Series 2015-2, Class A, |
29,696 | 29,687 | ||||||
Series 2017-4, Class A, |
1,439,533 | 1,427,760 | ||||||
Series 2015-3, Class A, |
613,924 | 613,458 | ||||||
Series 2018-1, Class A, |
1,636,404 | 1,628,927 | ||||||
Series 2017-4, Class B, |
2,190,000 | 2,147,844 | ||||||
Series 2016-4, Class C, |
680,000 | 659,710 | ||||||
Series 2016-1, Class A, |
134,441 | 134,447 | ||||||
Series 2017-1, Class B, |
1,320,000 | 1,314,337 | ||||||
Series 2018-2, Class A, |
2,979,448 | 2,975,625 | ||||||
Hertz Fleet Lease Funding LP |
||||||||
Series 2018-1, Class A1, |
2,530,000 | 2,534,973 | ||||||
Series 2016-1, Class A1, 1 mo. USD LIBOR + 1.100% |
659,568 | 661,363 | ||||||
NextGear Floorplan Master Owner Trust, Series 2016-1A,
Class A1, 1 mo. LIBOR + 1.700% |
960,000 | 966,951 | ||||||
OneMain Direct Auto Receivables Trust, Series 2017-2A,
Class A |
940,000 | 933,999 |
Principal Amount |
Value | |||||||
Oscar US Funding Trust II, Series 2015-1A,
Class A4 |
$ | 722,100 | $ | 720,226 | ||||
Oscar US Funding Trust IV, |
23,839 | 23,891 | ||||||
Oscar US Funding Trust IX LLC, Series 2018-2A,
Class A2B, |
1,500,000 | 1,499,528 | ||||||
Oscar US Funding Trust VI |
||||||||
Series 2017-1A, Class A3, |
500,000 | 498,070 | ||||||
Series 2017-1A, Class A4, |
420,000 | 417,934 | ||||||
Oscar US Funding Trust VII LLC, Series 2017-2A,
Class A2A |
618,393 | 615,936 | ||||||
Oscar US Funding Trust VIII LLC, Series 2018-1A,
Class A2A |
513,200 | 512,638 | ||||||
Prestige Auto Receivables Trust, Series 2018-1A,
Class A1 |
780,000 | 780,000 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-2,
Class C |
442,224 | 441,966 | ||||||
Securitized Equipment Receivable |
400,000 | 397,773 | ||||||
4.200% 10/11/24 |
430,000 | 427,390 | ||||||
Tesla Auto Lease Trust |
||||||||
Series 2018-A, Class A, |
647,029 | 645,266 | ||||||
Series 2018-A, Class B, |
265,000 | 263,866 | ||||||
Toyota Auto Receivables Owner Trust, Series 2018-C,
Class A2B, |
1,920,000 | 1,920,567 | ||||||
Westlake Automobile Receivables Trust |
||||||||
Series 2018-2A, Class A1, |
789,374 | 789,403 | ||||||
Series 2018-2A, Class A2A, |
1,440,000 | 1,438,320 | ||||||
|
|
|||||||
50,792,794 | ||||||||
|
|
|||||||
Commercial MBS — 1.5% | ||||||||
BHMS Mortgage Trust, Series 2018-ATLS,
Class B, |
1,700,000 | 1,702,606 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7,
Class AM, |
276,499 | 279,397 |
The accompanying notes are an integral part of the portfolio of investments.
56
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series
2018-LAQ, Class A, |
$ | 1,150,000 | $ | 1,151,429 | ||||
RETL, Series 2018-RVP, Class A, |
940,527 | 944,067 | ||||||
TPG Real Estate Finance Issuer Ltd., Series 2018-FL1,
Class A, |
640,000 | 639,809 | ||||||
VMC Finance LLC, Series 2018-FL1, Class A, |
1,169,231 | 1,168,516 | ||||||
|
|
|||||||
5,885,824 | ||||||||
|
|
|||||||
Credit Card ABS — 0.3% | ||||||||
Citibank Credit Card Issuance Trust, Series 2017-A6,
Class A6, 1 mo. LIBOR + .770% |
1,100,000 | 1,108,208 | ||||||
|
|
|||||||
Home Equity ABS — 0.0% | ||||||||
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo.
USD LIBOR + .735% |
4,251 | 4,268 | ||||||
|
|
|||||||
Other ABS — 13.3% | ||||||||
321 Henderson Receivables I LLC |
||||||||
Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200% |
585,735 | 575,819 | ||||||
Series 2006-2A, Class A1, 1 mo. USD LIBOR + .200% |
1,659,261 | 1,625,318 | ||||||
Series 2006-4A, Class A1, 1 mo. USD LIBOR + .200% |
302,088 | 295,897 | ||||||
321 Henderson Receivables II LLC, Series 2006-3A,
Class A1, 1 mo. USD LIBOR + .200% |
167,434 | 159,508 | ||||||
321 Henderson Receivables LLC, |
690,534 | 649,855 | ||||||
AIMCO CLO, Series 2015-AA, Class AR, |
2,450,000 | 2,440,673 | ||||||
Arbor Realty Commercial Real Estate Notes, Series 2018-FL1,
Class A, |
780,000 | 781,953 | ||||||
Avant Loans Funding Trust |
||||||||
Series 2017-B, Class A, |
159,577 | 159,491 | ||||||
Series 2018-A, Class A, |
1,250,051 | 1,249,783 |
Principal Amount |
Value | |||||||
Avery Point IV CLO Ltd., |
$ | 2,118,882 | $ | 2,119,151 | ||||
BCC Funding XIV LLC |
||||||||
Series 2018-1A, Class A1, |
1,189,556 | 1,189,138 | ||||||
Series 2018-1A, Class A2, |
980,000 | 974,552 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE |
377,356 | 377,356 | ||||||
Cazenovia Creek Funding I LLC, |
156,581 | 156,189 | ||||||
CCG Receivables Trust, Series 2018-2,
Class A2 |
1,120,000 | 1,116,961 | ||||||
CIFC Funding II Ltd., Series 2015-2A,
Class AR, |
2,450,000 | 2,440,367 | ||||||
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates, Series 2005-OPT3,
Class M2, 1 mo. USD LIBOR + .675% |
15,238 | 15,241 | ||||||
Consumer Installment Loan Trust, |
19,170 | 19,168 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5,
Class 3A, 1 mo. USD LIBOR + .460% |
25,380 | 25,346 | ||||||
Diamond Resorts Owner Trust |
||||||||
Series 2015-1, Class A, |
54,609 | 54,603 | ||||||
Series 2015-2, Class B, |
103,441 | 102,838 | ||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A,
Class A1 |
33,333 | 33,258 | ||||||
Drug Royalty II LP, Series 2014-1, Class A1, 3 mo. USD
LIBOR + |
190,736 | 192,275 | ||||||
Elara HGV Timeshare Issuer LLC, |
175,320 | 169,774 | ||||||
Element Rail Leasing II LLC, |
358,160 | 359,678 |
The accompanying notes are an integral part of the portfolio of investments.
57
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Hilton Grand Vacations Trust, |
$ | 109,752 | $ | 107,751 | ||||
Lendmark Funding Trust, |
630,000 | 629,339 | ||||||
Mariner Finance Issuance Trust |
||||||||
Series 2017-BA, Class A, |
1,600,000 | 1,574,390 | ||||||
Series 2017-AA, Class A, |
770,000 | 769,869 | ||||||
Marlette Funding Trust |
||||||||
Series 2017-3A, Class A, |
298,892 | 297,803 | ||||||
Series 2017-2A, Class A, |
270,763 | 270,311 | ||||||
Series 2018-1A, Class A, |
1,379,143 | 1,374,881 | ||||||
Series 2017-1A, Class A, |
470,341 | 470,192 | ||||||
Series 2018-2A, Class A, |
992,458 | 990,717 | ||||||
Series 2018-3A, Class A, |
1,079,230 | 1,079,071 | ||||||
MVW Owner Trust, Series 2017-1A, Class A |
173,298 | 167,552 | ||||||
Neuberger Berman CLO XX Ltd., |
2,450,000 | 2,446,033 | ||||||
New Residential Advance Receivables Trust, Series 2016-T2,
Class AT2 |
1,900,000 | 1,883,761 | ||||||
OCP CLO Ltd., Series 2015-10A, Class A1R, |
2,450,000 | 2,441,699 | ||||||
Orange Lake Timeshare Trust, |
363,917 | 353,488 | ||||||
Oxford Finance Funding Trust |
||||||||
Series 2014-1A, Class A, |
56,618 | 56,642 | ||||||
Series 2016-1A, Class A, |
481,149 | 477,972 | ||||||
PNMAC GMSR Issuer Trust, |
440,000 | 445,091 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR +
..250% |
20,225 | 20,212 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-3A,
Class A |
204,700 | 203,628 |
Principal Amount |
Value | |||||||
Sierra Timeshare Receivables Funding LLC |
||||||||
Series 2014-2A, Class A, |
$ | 185,828 | $ | 185,496 | ||||
Series 2015-2A, Class A, |
452,937 | 447,325 | ||||||
Series 2014-3A, Class B, |
501,162 | 499,049 | ||||||
Series 2015-2A, Class B, |
1,315,328 | 1,303,260 | ||||||
Series 2015-1A, Class B, |
572,574 | 568,788 | ||||||
Series 2015-3A, Class B, |
43,747 | 43,315 | ||||||
SoFi Consumer Loan Program LLC |
||||||||
Series 2016-3, Class A, |
328,517 | 326,977 | ||||||
Series 2016-5, Class A, |
1,677,071 | 1,670,437 | ||||||
Series 2016-2A, Class A, |
462,529 | 461,072 | ||||||
Series 2016-1A, Class A, |
818,067 | 816,820 | ||||||
Series 2017-2, Class A, |
676,991 | 675,281 | ||||||
Sofi Consumer Loan Program Trust, Series 2018-3,
Class A1 |
1,861,331 | 1,861,042 | ||||||
SpringCastle America Funding LLC, Series 2016-AA,
Class A |
826,912 | 823,282 | ||||||
Springleaf Funding Trust, |
1,830,000 | 1,825,042 | ||||||
Taco Bell Funding LLC, Series 2016-1A,
Class A2I |
2,167,000 | 2,169,275 | ||||||
TLF National Tax Lien Trust, |
1,062,789 | 1,059,988 | ||||||
Trafigura Securitisation Finance PLC |
||||||||
Series 2017-1A, Class A1, 1 mo. USD LIBOR + .850% |
1,000,000 | 999,372 | ||||||
Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700% |
1,330,000 | 1,328,778 | ||||||
Trip Rail Master Funding LLC, |
254,817 | 250,907 | ||||||
Westgate Resorts LLC |
||||||||
Series 2014-1A, Class A, |
134,248 | 133,686 |
The accompanying notes are an integral part of the portfolio of investments.
58
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2017-1A, Class A, |
$ | 586,384 | $ | 579,378 | ||||
Series 2015-2A, Class A, |
296,360 | 296,011 | ||||||
Series 2018-1A, Class A, |
728,339 | 724,565 | ||||||
|
|
|||||||
52,393,740 | ||||||||
|
|
|||||||
Student Loans ABS — 15.4% | ||||||||
Academic Loan Funding Trust, |
2,062,857 | 2,056,303 | ||||||
AccessLex Institute |
||||||||
Series 2005-2, Class A3, 3 mo. USD LIBOR + .180% |
54,927 | 54,927 | ||||||
Series 2005-1, Class B, 3 mo. USD LIBOR + .570% |
713,110 | 684,875 | ||||||
Series 2003-A, Class A3, 3 mo. Treasury + 1.200% |
84,043 | 82,194 | ||||||
Brazos Higher Education Authority, Inc., Series 2006-2,
Class A10, 3 mo. USD LIBOR + .120% |
1,166,063 | 1,148,671 | ||||||
College Loan Corp. Trust I, |
540,401 | 507,131 | ||||||
DRB Prime Student Loan Trust |
||||||||
Series 2015-A, Class A3, |
37,206 | 36,949 | ||||||
Series 2015-B, Class A3, |
97,713 | 96,444 | ||||||
Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900% |
1,018,758 | 1,034,318 | ||||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000% |
141,994 | 145,928 | ||||||
Earnest Student Loan Program LLC |
||||||||
Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850% |
474,856 | 486,020 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050% |
369,861 | 379,044 | ||||||
ECMC Group Student Loan Trust |
||||||||
Series 2018-1A, Class A, |
4,125,662 | 4,126,282 |
Principal Amount |
Value | |||||||
Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200% |
$ | 1,619,424 | $ | 1,641,286 | ||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350% |
1,088,313 | 1,109,490 | ||||||
EdLinc Student Loan Funding Trust, Series 2017-A,
Class A (Acquired 12/22/17, Cost $1,290,960), |
1,123,145 | 1,110,634 | ||||||
Edsouth Indenture No. 10 LLC, |
1,000,000 | 1,014,942 | ||||||
Edsouth Indenture No. 9 LLC, |
528,825 | 528,846 | ||||||
ELFI Graduate Loan Program LLC, Series 2018-A,
Class A1, |
1,027,497 | 1,027,496 | ||||||
Goal Capital Funding Trust, |
378,975 | 378,793 | ||||||
JP Morgan Student Loan Trust, |
600,178 | 573,261 | ||||||
Kentucky Higher Education Student Loan Corp., Series
2015-1, Class A1, |
406,472 | 407,090 | ||||||
KeyCorp Student Loan Trust |
||||||||
Series 2000-A, Class A2, 3 mo. USD LIBOR + .320% |
338,205 | 335,706 | ||||||
Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310% |
276,765 | 276,128 | ||||||
Laurel Road Prime Student Loan Trust, |
401,065 | 399,860 | ||||||
Navient Private Education Loan Trust, |
654,143 | 663,154 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-A,
Class A1 |
2,454,757 | 2,434,853 | ||||||
Navient Student Loan Trust |
||||||||
Series 2018-1A, Class A1, |
819,309 | 819,309 |
The accompanying notes are an integral part of the portfolio of investments.
59
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2018-1A, Class A3, |
$ | 1,120,000 | $ | 1,125,077 | ||||
Series 2016-3A, Class A2, 1 mo. USD LIBOR + .850% |
733,441 | 737,624 | ||||||
Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250% |
2,378,755 | 2,438,964 | ||||||
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% |
2,200,000 | 2,281,807 | ||||||
Nelnet Private Education Loan Trust, |
620,102 | 621,174 | ||||||
Nelnet Student Loan Trust |
||||||||
Series 2005-1, Class A5, 3 mo. USD LIBOR + .110% |
733,150 | 728,759 | ||||||
Series 2005-2, Class A5, 3 mo. USD LIBOR + .100% |
1,286,789 | 1,277,607 | ||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .200% |
892,491 | 848,790 | ||||||
Series 2005-2, Class B, 3 mo. USD LIBOR + .170% |
1,024,499 | 969,000 | ||||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% |
415,597 | 381,346 | ||||||
Series 2018-3A, Class A2, |
900,000 | 900,036 | ||||||
Series 2004-3, Class B, 3 mo. USD LIBOR + .350% |
1,396,754 | 1,340,486 | ||||||
Series 2018-1A, Class A2, |
1,790,000 | 1,799,203 | ||||||
Series 2010-4A, Class A, 1 mo. USD LIBOR + .800% |
79,087 | 79,791 | ||||||
Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500% |
375,000 | 353,408 | ||||||
SLC Student Loan Trust |
||||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .230% |
1,426,539 | 1,342,586 | ||||||
Series 2005-2, Class B, 3 mo. USD LIBOR + .280% |
2,133,941 | 1,997,262 |
Principal Amount |
Value | |||||||
SLM Private Education Loan Trust, |
$ | 440,000 | $ | 448,702 | ||||
SLM Student Loan Trust |
||||||||
Series 2007-5, Class A6, 3 mo. USD LIBOR + .110% |
597,371 | 576,616 | ||||||
Series 2005-5, Class A4, 3 mo. USD LIBOR + .140% |
680,224 | 678,536 | ||||||
Series 2006-10, Class A6, 3 mo. USD LIBOR + .150% |
1,760,000 | 1,694,003 | ||||||
Series 2006-4, Class B, 3 mo. USD LIBOR + .200% |
429,481 | 408,006 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% |
450,572 | 427,183 | ||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .220% |
459,905 | 430,800 | ||||||
Series 2006-10, Class B, 3 mo. USD LIBOR + .220% |
1,007,405 | 952,994 | ||||||
Series 2003-14, Class A6, 3 mo. USD LIBOR + .300% |
400,000 | 399,152 | ||||||
Series 2005-8, Class B, 3 mo. USD LIBOR + .310% |
452,335 | 427,212 | ||||||
Series 2004-3, Class B, 3 mo. USD LIBOR + .470% |
342,897 | 325,865 | ||||||
Series 2003-14, Class A7, 3 mo. USD LIBOR + .600% |
2,550,000 | 2,550,367 | ||||||
Series 2003-11, Class B, 3 mo. USD LIBOR + .650% |
503,051 | 481,487 | ||||||
Series 2002-7, Class A11, 28 day ARS |
240,000 | 240,000 | ||||||
Series 2003-5, Class A9, 28 day ARS + 2.500% |
700,000 | 700,000 | ||||||
Series 2003-5, Class A7, 28 day ARS + 2.500% |
550,000 | 550,000 | ||||||
Series 2003-2, Class A7, 28 day ARS |
750,000 | 750,000 |
The accompanying notes are an integral part of the portfolio of investments.
60
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
SMB Private Education Loan Trust |
||||||||
Series 2017-B, Class A1, |
$ | 394,860 | $ | 394,820 | ||||
Series 2018-C, Class A1, |
1,130,000 | 1,130,000 | ||||||
Series 2018-B, Class A2B, |
1,500,000 | 1,501,492 | ||||||
Series 2014-A, Class A2A, |
530,417 | 529,834 | ||||||
SoFi Professional Loan Program LLC |
||||||||
Series 2016-C, Class A2A, |
130,170 | 129,910 | ||||||
Series 2017-F, Class A1FX, |
835,471 | 826,936 | ||||||
Series 2017-A, Class A1, 1 mo. USD LIBOR + .700% |
723,223 | 725,306 | ||||||
Series 2015-A, Class A1, 1 mo. USD LIBOR + 1.200% |
137,967 | 138,973 | ||||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750% |
471,914 | 486,040 | ||||||
|
|
|||||||
60,687,088 | ||||||||
|
|
|||||||
WL Collateral CMO — 3.2% |
||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series
2005-CF1, Class M1, 1 mo. USD LIBOR + .700% |
29,786 | 30,153 | ||||||
Deephaven Residential Mortgage Trust |
||||||||
Series 2018-1A, Class A1, |
921,620 | 902,727 | ||||||
Series 2018-1A, Class A2, |
921,620 | 903,586 | ||||||
Series 2018-2A, Class A1, |
2,309,235 | 2,299,838 | ||||||
JP Morgan Mortgage Trust |
||||||||
Series 2018-1, Class A5, |
710,475 | 700,796 | ||||||
Series 2018-3, Class A5, |
1,042,105 | 1,024,650 | ||||||
Series 2017-6, Class A5, |
1,024,689 | 1,011,372 | ||||||
PSMC Trust, Series 2018-1, Class A3, |
967,855 | 953,375 | ||||||
Sequoia Mortgage Trust |
||||||||
Series 2015-1, Class A6, |
834,867 | 808,750 | ||||||
Series 2018-3, Class A4, |
939,548 | 926,764 | ||||||
Series 2018-CH1, Class A10, |
741,699 | 744,339 |
Principal Amount |
Value | |||||||
Series 2018-CH2, Class A12, |
$ | 1,304,449 | $ | 1,309,082 | ||||
Series 2018-CH3, Class A11, |
903,323 | 907,823 | ||||||
|
|
|||||||
12,523,255 | ||||||||
|
|
|||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $180,516,461) |
185,448,426 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.7% |
| |||||||
Pass-Through Securities — 0.1% |
| |||||||
Federal Home Loan Mortgage Corp. Pool #1Q0239, 1 year CMT + 2.235% |
370,924 | 391,263 | ||||||
Government National Mortgage Association II |
141,973 | 147,024 | ||||||
|
|
|||||||
538,287 | ||||||||
|
|
|||||||
Whole Loans — 0.6% |
||||||||
Federal National Mortgage Association Connecticut Avenue Securities |
||||||||
Series 2018-C03, Class 1M1, |
1,148,755 | 1,148,630 | ||||||
Series 2016-C06, Class 1M1, 1 mo. USD LIBOR + 1.300% |
592,378 | 596,717 | ||||||
Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350% |
192,605 | 193,122 | ||||||
Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450% |
388,021 | 390,416 | ||||||
|
|
|||||||
2,328,885 | ||||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $2,850,468) |
2,867,172 | |||||||
|
|
|||||||
U.S. TREASURY OBLIGATIONS — 84.9% |
| |||||||
U.S. Treasury Bonds & Notes — 84.9% |
| |||||||
U.S. Treasury Inflation Index |
||||||||
0.125% 4/15/21 (e) |
20,308,679 | 19,889,019 | ||||||
0.125% 4/15/22 (e) |
24,900,607 | 24,191,847 | ||||||
0.125% 7/15/22 (e) |
24,234,723 | 23,647,317 | ||||||
0.125% 1/15/23 (e) |
24,641,249 | 23,854,372 |
The accompanying notes are an integral part of the portfolio of investments.
61
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
0.125% 7/15/24 (e) |
$ | 18,254,704 | $ | 17,535,182 | ||||
0.125% 7/15/26 (e) |
19,975,270 | 18,830,073 | ||||||
0.250% 1/15/25 (e) |
20,119,673 | 19,304,106 | ||||||
0.375% 7/15/25 (e) (f) |
21,434,054 | 20,746,378 | ||||||
0.375% 7/15/27 (e) |
22,355,340 | 21,356,336 | ||||||
0.500% 1/15/28 (e) |
12,413,048 | 11,910,869 | ||||||
0.625% 4/15/23 (e) |
12,509,402 | 12,347,007 | ||||||
0.625% 1/15/24 (e) |
12,420,460 | 12,253,475 | ||||||
0.625% 2/15/43 (e) |
5,918,940 | 5,377,527 | ||||||
0.750% 7/15/28 |
6,525,610 | 6,420,249 | ||||||
0.750% 2/15/42 |
6,808,653 | 6,388,786 | ||||||
0.750% 2/15/45 (e) |
8,850,306 | 8,224,907 | ||||||
0.875% 2/15/47 (e) |
6,263,820 | 5,988,962 | ||||||
1.000% 2/15/48 (e) |
7,817,765 | 7,719,941 | ||||||
1.125% 1/15/21 (g) |
435,460 | 438,059 | ||||||
1.375% 2/15/44 (e) |
8,109,675 | 8,686,856 | ||||||
1.750% 1/15/28 (e) |
6,616,005 | 7,080,331 | ||||||
2.000% 1/15/26 (e) |
7,618,133 | 8,193,745 | ||||||
2.125% 2/15/40 |
1,457,425 | 1,760,562 | ||||||
2.125% 2/15/41 (e) |
4,614,548 | 5,612,984 | ||||||
2.375% 1/15/25 (e) |
10,026,900 | 10,923,574 | ||||||
2.375% 1/15/27 (e) |
6,498,076 | 7,238,130 | ||||||
3.375% 4/15/32 (e) |
2,839,500 | 3,686,507 | ||||||
3.625% 4/15/28 (e) |
4,674,270 | 5,798,895 | ||||||
3.875% 4/15/29 (e) |
6,867,571 | 8,839,405 | ||||||
|
|
|||||||
334,245,401 | ||||||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $342,550,171) |
334,245,401 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $536,742,146) |
533,376,389 | |||||||
|
|
|||||||
TOTAL PURCHASED OPTIONS (#) — 0.7% (Cost $2,611,695) |
2,621,331 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $539,353,841) |
535,997,720 | |||||||
|
|
|||||||
SHORT-TERM INVESTMENTS — 31.5% |
| |||||||
Commercial Paper — 31.5% |
| |||||||
Aon Corp. |
3,600,000 | 3,595,353 | ||||||
AT&T, Inc. |
6,000,000 | 5,970,272 | ||||||
Avery Dennison Corp. |
2,400,000 | 2,395,630 | ||||||
BAT International Finance |
||||||||
2.418% 00418, 10/11/18 (b) |
3,600,000 | 3,596,831 | ||||||
2.485% 00418, 10/01/18 (b) |
3,500,000 | 3,499,307 |
Principal Amount |
Value | |||||||
Bell Canada |
$ | 6,000,000 | $ | 5,969,279 | ||||
CRH America Finance, Inc. |
2,000,000 | 1,999,337 | ||||||
Dominion Resources |
6,000,000 | 5,968,062 | ||||||
Entergy Corp. |
6,000,000 | 5,969,019 | ||||||
FMC Tech, Inc. |
6,000,000 | 5,992,254 | ||||||
HP, Inc. |
6,000,000 | 5,993,820 | ||||||
Keurig Dr Pepper, Inc. |
6,000,000 | 5,987,019 | ||||||
Marriott International |
6,000,000 | 5,981,086 | ||||||
Michelin Luxembourg SCS |
6,000,000 | 5,965,693 | ||||||
Nasdaq, Inc. |
6,000,000 | 5,989,570 | ||||||
Northrop Grumman Corp. |
6,000,000 | 5,998,036 | ||||||
Nutrien Ltd. |
6,000,000 | 5,985,838 | ||||||
Spectra Energy Partners |
||||||||
2.398% 00418, 10/10/18 (b) |
2,800,000 | 2,797,731 | ||||||
2.539% 02095, 10/22/18 (b) |
2,100,000 | 2,096,576 | ||||||
2.540% 02095, 10/23/18 (b) |
1,100,000 | 1,098,131 | ||||||
Suncor Energy, Inc. |
6,000,000 | 5,965,210 | ||||||
Telus Corp. |
6,000,000 | 5,986,094 | ||||||
Thomson Reuters Corp. |
6,000,000 | 5,998,385 | ||||||
Transcanada Pipelines Ltd. |
6,000,000 | 5,993,064 | ||||||
Walgreens Boots Alliance, Inc. |
6,000,000 | 5,997,606 | ||||||
WPP CP LLC |
1,400,000 | 1,399,630 | ||||||
|
|
|||||||
124,188,833 | ||||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $124,218,446) |
124,188,833 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 167.6% (Cost $663,572,287) (h) |
660,186,553 | |||||||
Other Assets/(Liabilities) — (67.6)% | (266,178,643 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 394,007,910 | ||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
62
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
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 September 30, 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 September 30, 2018, these securities amounted to a value of $261,316,908 or 66.32% of net assets. |
(c) | Investment was valued using significant unobservable inputs. |
(d) | Restricted security. Certain securities are restricted as to resale. At September 30, 2018, these securities amounted to a value of $1,555,725 or 0.39% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(e) | All or portion of this security is pledged as collateral for open reverse repurchase agreements. (Note 2). |
(f) | All or a portion of this security is held as collateral for open swap agreements. (Note 2). |
(g) | A portion of this security is pledged/held as collateral for open futures contracts and open swap agreements. (Note 2). |
(h) | See Note 3 for aggregate cost for federal tax purposes. |
(#) | Purchased Swaptions contracts at September 30, 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% |
$ | 561,913 | $ | 385,661 | $ | (176,252 | ) | |||||||||||||||||||||
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% |
302,881 | 241,919 | (60,962 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
864,794 | 627,580 | (237,214 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
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 | $ | 1,329,961 | $ | 186,121 | ||||||||||||||||||||||
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 | 663,790 | 60,729 | |||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
1,746,901 | 1,993,751 | 246,850 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | 2,611,695 | $ | 2,621,331 | $ | 9,636 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the portfolio of investments.
63
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Futures contracts at September 30, 2018:
Expiration Date |
Number of Contracts |
Notional Amount |
Value/ Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Long | ||||||||||||||||
U.S. Treasury Long Bond |
12/19/18 | 3 | $ | 433,321 | $ | (11,821 | ) | |||||||||
U.S. Treasury Note 10 Year |
12/19/18 | 19 | 2,258,088 | (1,244 | ) | |||||||||||
U.S. Treasury Ultra Bond |
12/19/18 | 2 | 314,038 | (5,475 | ) | |||||||||||
U.S. Treasury Note 5 Year |
12/31/18 | 5 | 567,085 | (4,702 | ) | |||||||||||
|
|
|||||||||||||||
$ | (23,242 | ) | ||||||||||||||
|
|
|||||||||||||||
Short | ||||||||||||||||
U.S. Treasury Note 2 Year |
12/31/18 | 65 | $ | (13,744,676 | ) | $ | 46,942 | |||||||||
|
|
Swap agreements at September 30, 2018:
Counterparty |
Currency |
Notional Amount |
Expiration Date |
Payment |
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.BBB-.6† (Rating: BBB-) | $ | (53,347 | ) | $ | 278 | $ | (53,069 | ) | ||||||||||||||||
Goldman Sachs International | USD | 890,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6† (Rating: BBB-) | (27,885 | ) | (77,074 | ) | (104,959 | ) | ||||||||||||||||||
Goldman Sachs International | USD | 330,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6† (Rating: BBB-) | (12,478 | ) | (26,439 | ) | (38,917 | ) | ||||||||||||||||||
JP Morgan Chase Bank N.A. | USD | 690,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6† (Rating: BBB-) | (82,223 | ) | 849 | (81,374 | ) | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | (175,933 | ) | $ | (102,386 | ) | $ | (278,319 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Counterparty |
Currency |
Notional Amount |
Expiration Date |
Payment |
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% | $ | (73,412 | ) | $ | - | $ | (73,412 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||||
Bank of America N.A. | USD | 8,500,000 | 11/20/19 | Pay at maturity | 2.012% | U.S. Consumer Price Index | $ | 71,065 | $ | - | $ | 71,065 | ||||||||||||||||||
Bank of America N.A. | USD | 8,500,000 | 1/11/20 | Pay at maturity | 2.057% | U.S. Consumer Price Index | 54,198 | - | 54,198 | |||||||||||||||||||||
Bank of America N.A. | USD | 5,300,000 | 1/19/20 | Pay at maturity | 2.095% | U.S. Consumer Price Index | 28,701 | - | 28,701 | |||||||||||||||||||||
Bank of America N.A. | USD | 27,600,000 | 10/01/20 | Pay at maturity | 2.314% | U.S. Consumer Price Index | 746 | - | 746 | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | USD | 17,000,000 | 12/20/19 | Pay at maturity | 1.910% | U.S. Consumer Price Index | 160,504 | - | 160,504 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 315,214 | $ | - | $ | 315,214 | |||||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the portfolio of investments.
64
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Collateral for swap agreements held by Goldman Sachs International and Credit Suisse International amounted to $259,378 and $167,230 in securities, respectively, at September 30, 2018.
† | 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 September 30, 2018:
Description |
Value | Value Including Accrued Interest |
||||||
Agreement with BNP Paribas SA, dated 8/03/18, 2.240%, to be repurchased on demand until 11/02/18 at value plus accrued interest. |
$ | 58,268,750 | $ | 58,482,661 | ||||
Agreement with Daiwa Securities, dated 7/10/18, 2.200%, to be repurchased on demand until 10/10/18 at value plus accrued interest. |
57,797,500 | 58,090,663 | ||||||
Agreement with Goldman Sachs & Co., dated 9/21/18, 2.380%, to be repurchased on demand until 11/20/18 at value plus accrued interest. |
33,536,458 | 33,558,629 | ||||||
Agreement with HSBC Bank USA, dated 7/17/18, 2.200%, to be repurchased on demand until 10/17/18 at value plus accrued interest. |
21,970,625 | 22,072,666 | ||||||
Agreement with HSBC Bank USA, dated 9/20/18, 2.340%, to be repurchased on demand until 12/05/18 at value plus accrued interest. |
61,697,500 | 61,741,614 | ||||||
Agreement with Morgan Stanley & Co. LLC, dated 9/19/18, 2.370%, to be repurchased on demand until 11/02/18 at value plus accrued interest. |
33,363,750 | 33,390,107 | ||||||
|
|
|
|
|||||
$ | 266,634,583 | $ | 267,336,340 | |||||
|
|
|
|
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the portfolio of investments.
65
MML Managed Bond Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
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 | $ | 2,375,000 | |||||
|
|
|||||||
TOTAL PREFERRED STOCK (Cost $2,375,000) |
2,375,000 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $2,375,000) |
2,375,000 | |||||||
|
|
|||||||
Principal Amount |
||||||||
BONDS & NOTES — 98.1% |
| |||||||
CORPORATE DEBT — 37.8% |
| |||||||
Advertising — 0.1% |
| |||||||
WPP Finance 2010 |
$ | 1,205,000 | 1,232,394 | |||||
|
|
|||||||
Aerospace & Defense — 0.0% |
| |||||||
United Technologies Corp. |
350,000 | 412,885 | ||||||
|
|
|||||||
Agriculture — 0.4% |
| |||||||
Bunge Ltd. Finance Corp. |
||||||||
3.250% 8/15/26 |
1,824,000 | 1,650,516 | ||||||
4.350% 3/15/24 |
1,910,000 | 1,890,987 | ||||||
Reynolds American, Inc. |
1,085,000 | 1,179,912 | ||||||
|
|
|||||||
4,721,415 | ||||||||
|
|
|||||||
Airlines — 1.0% |
| |||||||
American Airlines Group, Inc. |
8,351,000 | 8,465,826 | ||||||
American Airlines Pass-Through Trust, Series 2014-1,
Class B, |
191,813 | 190,586 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1,
Class A, |
1,688,967 | 1,682,633 | ||||||
United Airlines Pass-Through Trust, Series 2018-1,
Class B, |
565,000 | 563,889 | ||||||
WestJet Airlines Ltd. |
735,000 | 723,040 | ||||||
|
|
|||||||
11,625,974 | ||||||||
|
|
|||||||
Auto Manufacturers — 0.9% |
| |||||||
Ford Motor Co. |
530,000 | 472,049 |
Principal Amount |
Value | |||||||
Ford Motor Credit Co. LLC |
||||||||
4.140% 2/15/23 |
$ | 2,760,000 | $ | 2,714,908 | ||||
4.375% 8/06/23 |
340,000 | 336,142 | ||||||
General Motors Co. |
||||||||
4.200% 10/01/27 |
1,315,000 | 1,240,428 | ||||||
5.150% 4/01/38 |
800,000 | 744,064 | ||||||
General Motors Financial Co., Inc. |
||||||||
3.500% 11/07/24 |
3,200,000 | 3,016,750 | ||||||
4.150% 6/19/23 |
1,410,000 | 1,404,361 | ||||||
|
|
|||||||
9,928,702 | ||||||||
|
|
|||||||
Auto Parts & Equipment — 0.0% |
| |||||||
Lear Corp. |
535,000 | 550,042 | ||||||
|
|
|||||||
Banks — 5.3% |
| |||||||
Associated Banc-Corp. |
2,991,000 | 2,975,798 | ||||||
Banco Santander SA |
1,800,000 | 1,700,023 | ||||||
Bank of America Corp. |
||||||||
4.183% 11/25/27 |
2,515,000 | 2,454,720 | ||||||
3 mo. USD LIBOR + 1.814% |
1,150,000 | 1,122,679 | ||||||
6.110% 1/29/37 |
1,550,000 | 1,782,577 | ||||||
7.750% 5/14/38 |
400,000 | 539,908 | ||||||
Bank of Montreal |
1,505,000 | 1,406,182 | ||||||
The Bank of Nova Scotia |
||||||||
4.500% 12/16/25 |
1,295,000 | 1,295,625 | ||||||
4.650% VRN 12/31/99 (b) (c) |
2,575,000 | 2,415,672 | ||||||
Barclays PLC |
2,085,000 | 2,074,090 | ||||||
4.337% 1/10/28 |
1,720,000 | 1,627,699 | ||||||
CIT Group, Inc. |
2,100,000 | 2,105,145 | ||||||
Citigroup, Inc. |
2,975,000 | 2,874,243 | ||||||
Credit Suisse AG |
2,050,000 | 2,188,580 | ||||||
Credit Suisse Group AG |
||||||||
3.869% VRN 1/12/29 (a) (b) |
910,000 | 855,697 | ||||||
4.282% 1/09/28 (a) |
1,325,000 | 1,288,672 | ||||||
Deutsche Bank AG |
1,805,000 | 1,763,853 | ||||||
Discover Bank |
2,905,000 | 2,875,137 | ||||||
First Republic Bank |
4,360,000 | 4,049,177 | ||||||
Fulton Financial Corp. |
1,565,000 | 1,531,286 | ||||||
The Goldman Sachs Group, Inc. |
||||||||
3.814% VRN 4/23/29 (b) |
1,560,000 | 1,488,100 |
The accompanying notes are an integral part of the portfolio of investments.
66
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
5.950% 1/15/27 |
$ | 1,410,000 | $ | 1,541,885 | ||||
6.750% 10/01/37 |
1,145,000 | 1,377,384 | ||||||
HSBC Holdings PLC |
||||||||
4.250% 3/14/24 |
1,225,000 | 1,218,497 | ||||||
4.583% VRN 6/19/29 (b) |
1,535,000 | 1,535,024 | ||||||
ING Groep NV |
2,060,000 | 2,061,535 | ||||||
JP Morgan Chase & Co. |
||||||||
3.625% 12/01/27 |
1,235,000 | 1,164,743 | ||||||
5.600% 7/15/41 |
1,125,000 | 1,298,568 | ||||||
Morgan Stanley |
3,500,000 | 3,472,999 | ||||||
Turkiye Garanti Bankasi AS |
3,010,000 | 2,938,482 | ||||||
Valley National Bancorp |
1,530,000 | 1,575,107 | ||||||
Wells Fargo & Co. |
||||||||
5.375% 11/02/43 |
909,000 | 976,569 | ||||||
5.606% 1/15/44 |
665,000 | 734,579 | ||||||
|
|
|||||||
60,310,235 | ||||||||
|
|
|||||||
Beverages — 0.5% |
| |||||||
Anheuser-Busch InBev Finance, Inc. |
3,825,000 | 3,868,303 | ||||||
Molson Coors Brewing Co. |
||||||||
4.200% 7/15/46 |
1,724,000 | 1,527,544 | ||||||
5.000% 5/01/42 |
360,000 | 356,948 | ||||||
|
|
|||||||
5,752,795 | ||||||||
|
|
|||||||
Biotechnology — 0.3% |
| |||||||
Amgen, Inc. |
475,000 | 503,411 | ||||||
Celgene Corp. |
||||||||
3.450% 11/15/27 |
2,525,000 | 2,357,180 | ||||||
4.350% 11/15/47 |
1,230,000 | 1,101,083 | ||||||
|
|
|||||||
3,961,674 | ||||||||
|
|
|||||||
Building Materials — 0.7% |
| |||||||
CRH America Finance, Inc. |
1,950,000 | 1,889,383 | ||||||
Standard Industries, Inc. |
||||||||
5.000% 2/15/27 (a) |
3,037,000 | 2,858,576 | ||||||
5.375% 11/15/24 (a) |
1,636,000 | 1,633,955 | ||||||
5.500% 2/15/23 (a) |
1,238,000 | 1,251,927 | ||||||
|
|
|||||||
7,633,841 | ||||||||
|
|
|||||||
Chemicals — 1.0% |
| |||||||
Ashland, Inc. |
302,000 | 309,550 | ||||||
Incitec Pivot Finance LLC |
1,160,000 | 1,189,804 | ||||||
The Mosaic Co. |
1,805,000 | 1,746,187 | ||||||
RPM International, Inc. |
725,000 | 688,952 |
Principal Amount |
Value | |||||||
The Sherwin-Williams Co. |
$ | 700,000 | $ | 673,252 | ||||
Syngenta Finance NV |
||||||||
3.698% 4/24/20 (a) |
1,870,000 | 1,865,757 | ||||||
4.441% 4/24/23 (a) |
2,315,000 | 2,300,886 | ||||||
Yara International ASA |
2,100,000 | 2,114,146 | ||||||
|
|
|||||||
10,888,534 | ||||||||
|
|
|||||||
Commercial Services — 0.4% |
| |||||||
The ADT Security Corp. |
4,613,000 | 4,839,083 | ||||||
ERAC USA Finance LLC |
125,000 | 149,671 | ||||||
|
|
|||||||
4,988,754 | ||||||||
|
|
|||||||
Computers — 0.6% |
| |||||||
Dell International LLC/EMC Corp. |
487,000 | 520,521 | ||||||
Leidos Holdings, Inc. |
5,665,000 | 5,730,148 | ||||||
|
|
|||||||
6,250,669 | ||||||||
|
|
|||||||
Diversified Financial Services — 3.0% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
||||||||
3.300% 1/23/23 |
2,405,000 | 2,317,131 | ||||||
3.875% 1/23/28 |
4,660,000 | 4,325,957 | ||||||
4.500% 5/15/21 |
1,810,000 | 1,838,089 | ||||||
Affiliated Managers Group, Inc. |
2,080,000 | 1,988,264 | ||||||
Aircastle Ltd. |
||||||||
4.400% 9/25/23 |
970,000 | 970,130 | ||||||
5.000% 4/01/23 |
1,750,000 | 1,797,322 | ||||||
Ally Financial, Inc. |
3,060,000 | 3,058,776 | ||||||
Antares Holdings LP |
2,945,000 | 2,956,592 | ||||||
Ares Finance Co. LLC |
2,080,000 | 1,966,877 | ||||||
Discover Financial Services |
1,750,000 | 1,672,810 | ||||||
GE Capital International Funding Co. Unlimited Co. |
1,035,000 | 974,095 | ||||||
Genpact Luxembourg Sarl |
2,400,000 | 2,343,484 | ||||||
High Street Funding Trust I |
3,075,000 | 2,999,048 | ||||||
Lazard Group LLC |
||||||||
3.625% 3/01/27 |
1,253,000 | 1,168,521 | ||||||
4.500% 9/19/28 |
755,000 | 742,592 | ||||||
Legg Mason, Inc. |
1,195,000 | 1,208,792 |
The accompanying notes are an integral part of the portfolio of investments.
67
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. |
$ | 1,150,000 | $ | 1,142,637 | ||||
|
|
|||||||
33,471,117 | ||||||||
|
|
|||||||
Electric — 2.1% |
| |||||||
The Cleveland Electric Illuminating Co. |
945,000 | 891,319 | ||||||
Duke Energy Corp. |
1,235,000 | 1,085,263 | ||||||
EDP Finance BV |
2,665,000 | 2,544,113 | ||||||
Entergy Louisiana LLC |
1,005,000 | 1,011,375 | ||||||
Infraestructura Energetica Nova SAB de CV |
820,000 | 733,900 | ||||||
IPALCO Enterprises, Inc. |
||||||||
3.450% 7/15/20 |
4,160,000 | 4,140,282 | ||||||
3.700% 9/01/24 |
1,060,000 | 1,028,134 | ||||||
Israel Electric Corp. Ltd. |
||||||||
4.250% 8/14/28 (a) |
2,450,000 | 2,324,462 | ||||||
7.250% 1/15/19 (a) |
417,000 | 420,907 | ||||||
Nevada Power Co., Series N, |
550,000 | 695,230 | ||||||
Oncor Electric Delivery Co. |
495,000 | 695,608 | ||||||
Pacific Gas & Electric Co. |
543,000 | 605,712 | ||||||
Pennsylvania Electric Co. |
1,860,000 | 1,855,292 | ||||||
Progress Energy, Inc. |
485,000 | 604,859 | ||||||
Puget Energy, Inc. |
1,580,000 | 1,673,991 | ||||||
Tri-State Pass-Through Trust, Series 2003,
Class B, |
480,000 | 544,161 | ||||||
Virginia Electric and Power Co. |
640,000 | 803,111 | ||||||
Xcel Energy, Inc. |
1,435,000 | 1,818,701 | ||||||
|
|
|||||||
23,476,420 | ||||||||
|
|
|||||||
Electronics — 0.3% |
| |||||||
Arrow Electronics, Inc. |
||||||||
3.250% 9/08/24 |
965,000 | 912,084 | ||||||
3.875% 1/12/28 |
985,000 | 917,499 | ||||||
Ingram Micro, Inc. |
1,288,000 | 1,268,837 | ||||||
Tyco Electronics Group SA |
335,000 | 444,810 | ||||||
|
|
|||||||
3,543,230 | ||||||||
|
|
Principal Amount |
Value | |||||||
Forest Products & Paper — 0.1% |
| |||||||
Fibria Overseas Finance Ltd. |
$ | 1,250,000 | $ | 1,158,281 | ||||
|
|
|||||||
Gas — 0.3% |
| |||||||
NiSource, Inc. |
950,000 | 1,048,453 | ||||||
Spire, Inc. |
1,840,000 | 1,830,454 | ||||||
|
|
|||||||
2,878,907 | ||||||||
|
|
|||||||
Health Care – Products — 0.1% |
| |||||||
Becton Dickinson & Co. |
825,000 | 813,453 | ||||||
|
|
|||||||
Health Care – Services — 0.3% |
| |||||||
Advocate Health & Hospitals Corp. |
965,000 | 973,432 | ||||||
Humana, Inc. |
||||||||
3.950% 3/15/27 |
1,660,000 | 1,631,615 | ||||||
4.800% 3/15/47 |
830,000 | 846,539 | ||||||
|
|
|||||||
3,451,586 | ||||||||
|
|
|||||||
Home Builders — 0.4% |
| |||||||
Lennar Corp. |
||||||||
4.500% 11/15/19 |
3,390,000 | 3,415,425 | ||||||
4.750% 5/30/25 |
1,230,000 | 1,199,250 | ||||||
|
|
|||||||
4,614,675 | ||||||||
|
|
|||||||
Household Products & Wares — 0.0% |
| |||||||
Church & Dwight Co., Inc. |
520,000 | 481,485 | ||||||
|
|
|||||||
Insurance — 3.4% |
| |||||||
The Allstate Corp. 3 mo. USD LIBOR + 2.938% |
3,410,000 | 3,512,300 | ||||||
American International Group, Inc. |
||||||||
4.200% 4/01/28 |
1,525,000 | 1,508,953 | ||||||
4.500% 7/16/44 |
1,175,000 | 1,108,944 | ||||||
4.750% 4/01/48 |
505,000 | 496,447 | ||||||
5.750% VRN 4/01/48 (b) |
2,285,000 | 2,219,306 | ||||||
AmTrust Financial Services, Inc. |
3,030,000 | 2,937,003 | ||||||
Arch Capital Group US, Inc. |
1,040,000 | 1,102,023 | ||||||
The Athene Holding Ltd. |
5,070,000 | 4,736,893 | ||||||
AXIS Specialty Finance PLC |
2,500,000 | 2,364,789 | ||||||
CNA Financial Corp. |
1,115,000 | 1,032,402 | ||||||
CNO Financial Group, Inc. |
||||||||
4.500% 5/30/20 |
1,602,000 | 1,618,020 | ||||||
5.250% 5/30/25 |
2,321,000 | 2,373,223 | ||||||
Enstar Group Ltd. |
920,000 | 924,033 |
The accompanying notes are an integral part of the portfolio of investments.
68
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
The Progressive Corp. |
$ | 1,175,000 | $ | 1,172,063 | ||||
Prudential Financial, Inc. |
2,440,000 | 2,431,655 | ||||||
Trinity Acquisition PLC |
445,000 | 442,756 | ||||||
USF&G Capital I |
885,000 | 1,218,305 | ||||||
Voya Financial, Inc. |
1,080,000 | 961,200 | ||||||
Willis North America, Inc. |
||||||||
4.500% 9/15/28 |
2,465,000 | 2,464,303 | ||||||
7.000% 9/29/19 |
566,000 | 585,356 | ||||||
XLIT Ltd. |
3,525,000 | 3,492,159 | ||||||
|
|
|||||||
38,702,133 | ||||||||
|
|
|||||||
Internet — 0.2% |
| |||||||
Amazon.com, Inc. |
1,840,000 | 1,812,526 | ||||||
|
|
|||||||
Investment Companies — 1.1% |
| |||||||
Ares Capital Corp. |
||||||||
3.500% 2/10/23 |
3,100,000 | 2,962,266 | ||||||
3.875% 1/15/20 |
3,090,000 | 3,102,235 | ||||||
BlackRock TCP Capital Corp. |
2,870,000 | 2,725,035 | ||||||
FS Investment Corp. |
3,095,000 | 3,106,575 | ||||||
|
|
|||||||
11,896,111 | ||||||||
|
|
|||||||
Iron & Steel — 0.8% |
| |||||||
ArcelorMittal |
||||||||
5.125% 6/01/20 |
2,165,000 | 2,217,217 | ||||||
5.250% STEP 8/05/20 |
2,034,000 | 2,093,946 | ||||||
6.250% STEP 2/25/22 |
1,201,000 | 1,288,073 | ||||||
Vale Overseas Ltd. |
2,825,000 | 2,972,804 | ||||||
6.875% 11/21/36 |
630,000 | 731,556 | ||||||
|
|
|||||||
9,303,596 | ||||||||
|
|
|||||||
Lodging — 0.1% |
| |||||||
MGM Resorts International |
1,103,000 | 1,169,180 | ||||||
|
|
|||||||
Machinery – Diversified — 0.3% |
| |||||||
CNH Industrial Capital LLC |
3,280,000 | 3,270,826 | ||||||
|
|
|||||||
Media — 0.8% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
1,275,000 | 1,208,062 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
1,285,000 | 1,381,354 |
Principal Amount |
Value | |||||||
Comcast Corp. |
||||||||
3.400% 7/15/46 |
$ | 645,000 | $ | 521,872 | ||||
6.950% 8/15/37 |
515,000 | 636,046 | ||||||
Discovery Communications LLC |
||||||||
3.950% 3/20/28 |
1,550,000 | 1,472,424 | ||||||
5.000% 9/20/37 |
995,000 | 970,205 | ||||||
Grupo Televisa SAB |
1,075,000 | 1,212,761 | ||||||
Time Warner Cable, Inc. |
||||||||
6.750% 6/15/39 |
985,000 | 1,074,237 | ||||||
8.250% 4/01/19 |
75,000 | 76,917 | ||||||
8.750% 2/14/19 |
325,000 | 331,715 | ||||||
Warner Media LLC |
210,000 | 227,076 | ||||||
|
|
|||||||
9,112,669 | ||||||||
|
|
|||||||
Mining — 0.8% |
| |||||||
Glencore Finance Canada Ltd. |
894,000 | 881,940 | ||||||
Glencore Funding LLC |
||||||||
3.875% 10/27/27 (a) |
975,000 | 903,850 | ||||||
4.625% 4/29/24 (a) |
2,365,000 | 2,379,497 | ||||||
Kinross Gold Corp. |
||||||||
4.500% 7/15/27 |
1,020,000 | 911,676 | ||||||
5.125% 9/01/21 |
3,495,000 | 3,591,113 | ||||||
|
|
|||||||
8,668,076 | ||||||||
|
|
|||||||
Miscellaneous – Manufacturing — 0.1% |
| |||||||
General Electric Co. |
||||||||
4.125% 10/09/42 |
1,430,000 | 1,275,455 | ||||||
6.875% 1/10/39 |
298,000 | 372,207 | ||||||
|
|
|||||||
1,647,662 | ||||||||
|
|
|||||||
Office Equipment/Supplies — 0.3% |
| |||||||
Pitney Bowes, Inc. |
||||||||
3.875% STEP 9/15/20 |
845,000 | 833,381 | ||||||
3.875% STEP 10/01/21 |
3,005,000 | 2,866,019 | ||||||
|
|
|||||||
3,699,400 | ||||||||
|
|
|||||||
Oil & Gas — 2.6% |
| |||||||
Anadarko Petroleum Corp. |
1,258,000 | 1,479,400 | ||||||
Andeavor |
510,000 | 475,369 | ||||||
Antero Resources Corp. |
3,409,000 | 3,452,635 | ||||||
Cenovus Energy, Inc. |
||||||||
3.000% 8/15/22 |
1,275,000 | 1,221,373 | ||||||
4.250% 4/15/27 |
1,875,000 | 1,812,469 | ||||||
6.750% 11/15/39 |
550,000 | 620,252 | ||||||
Continental Resources, Inc. |
1,573,000 | 1,561,242 | ||||||
Diamondback Energy, Inc. |
2,196,000 | 2,198,745 |
The accompanying notes are an integral part of the portfolio of investments.
69
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Encana Corp. |
$ | 545,000 | $ | 638,758 | ||||
EQT Corp. |
4,085,000 | 3,827,694 | ||||||
Helmerich & Payne International Drilling Co. |
935,000 | 956,166 | ||||||
Marathon Petroleum Corp. |
1,120,000 | 1,310,589 | ||||||
Nabors Industries, Inc. |
1,415,000 | 1,389,967 | ||||||
Newfield Exploration Co. |
1,200,000 | 1,255,500 | ||||||
Patterson-UTI Energy, Inc. |
880,000 | 814,173 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. |
1,175,000 | 1,222,000 | ||||||
Petroleos Mexicanos |
||||||||
3.500% 1/30/23 |
675,000 | 639,900 | ||||||
4.625% 9/21/23 |
575,000 | 569,825 | ||||||
5.350% 2/12/28 (a) |
1,165,000 | 1,098,013 | ||||||
5.500% 1/21/21 |
1,190,000 | 1,227,973 | ||||||
6.375% 1/23/45 |
595,000 | 550,970 | ||||||
6.500% 3/13/27 |
585,000 | 597,578 | ||||||
6.625% 6/15/35 |
140,000 | 139,090 | ||||||
|
|
|||||||
29,059,681 | ||||||||
|
|
|||||||
Oil & Gas Services — 0.1% |
| |||||||
National Oilwell Varco, Inc. |
1,451,000 | 1,258,675 | ||||||
|
|
|||||||
Packaging & Containers — 0.4% |
| |||||||
Amcor Finance USA, Inc. |
3,105,000 | 2,937,900 | ||||||
The WestRock MWV LLC |
1,000,000 | 1,282,425 | ||||||
|
|
|||||||
4,220,325 | ||||||||
|
|
|||||||
Pharmaceuticals — 1.6% |
| |||||||
AbbVie, Inc. |
1,060,000 | 1,018,430 | ||||||
Allergan Funding SCS |
1,270,000 | 1,234,751 | ||||||
Bayer US Finance II LLC |
||||||||
4.400% 7/15/44 (a) |
650,000 | 578,254 | ||||||
4.625% 6/25/38 (a) |
1,200,000 | 1,148,869 | ||||||
CVS Health Corp. |
||||||||
5.050% 3/25/48 |
1,455,000 | 1,488,238 | ||||||
6.125% 9/15/39 |
560,000 | 635,532 | ||||||
CVS Pass-Through Trust |
||||||||
5.926% 1/10/34 (a) |
1,146,600 | 1,228,730 | ||||||
7.507% 1/10/32 (a) |
1,007,816 | 1,170,789 |
Principal Amount |
Value | |||||||
Express Scripts Holding Co. |
||||||||
4.500% 2/25/26 |
$ | 1,180,000 | $ | 1,190,570 | ||||
4.800% 7/15/46 |
1,180,000 | 1,151,668 | ||||||
McKesson Corp. |
550,000 | 605,894 | ||||||
Mylan, Inc. |
618,000 | 589,349 | ||||||
Teva Pharmaceutical Finance IV LLC |
1,300,000 | 1,261,527 | ||||||
Teva Pharmaceutical Finance Netherlands III BV |
||||||||
1.700% 7/19/19 |
315,000 | 309,877 | ||||||
2.200% 7/21/21 |
4,043,000 | 3,799,207 | ||||||
4.100% 10/01/46 |
460,000 | 335,362 | ||||||
|
|
|||||||
17,747,047 | ||||||||
|
|
|||||||
Pipelines — 2.5% |
| |||||||
Andeavor Logistics LP |
1,775,000 | 1,782,987 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. |
652,000 | 669,930 | ||||||
Energy Transfer Equity LP |
||||||||
5.875% 1/15/24 |
1,150,000 | 1,210,375 | ||||||
7.500% 10/15/20 |
1,125,000 | 1,203,750 | ||||||
Energy Transfer Partners LP |
||||||||
4.200% 4/15/27 |
1,085,000 | 1,048,006 | ||||||
6.125% 12/15/45 |
800,000 | 853,321 | ||||||
6.250% VRN 12/31/99 (b) (c) |
2,370,000 | 2,281,125 | ||||||
EnLink Midstream Partners LP |
||||||||
4.150% 6/01/25 |
2,075,000 | 1,967,542 | ||||||
4.850% 7/15/26 |
951,000 | 922,008 | ||||||
Enterprise Products Operating LLC |
1,205,000 | 1,116,025 | ||||||
EQT Midstream Partners LP |
2,925,000 | 2,968,241 | ||||||
Kinder Morgan Energy Partners LP |
||||||||
6.375% 3/01/41 |
376,000 | 428,666 | ||||||
6.500% 2/01/37 |
150,000 | 168,252 | ||||||
6.550% 9/15/40 |
500,000 | 572,558 | ||||||
6.950% 1/15/38 |
175,000 | 212,131 | ||||||
MPLX LP |
||||||||
4.500% 4/15/38 |
1,195,000 | 1,126,282 | ||||||
5.200% 3/01/47 |
245,000 | 245,492 | ||||||
5.500% 2/15/23 |
912,000 | 930,516 | ||||||
Phillips 66 Partners LP |
178,000 | 168,687 | ||||||
Plains All American Pipeline LP |
2,345,000 | 2,283,444 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. |
||||||||
4.500% 12/15/26 |
1,360,000 | 1,358,616 | ||||||
4.700% 6/15/44 |
675,000 | 607,949 |
The accompanying notes are an integral part of the portfolio of investments.
70
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Sabine Pass Liquefaction LLC |
$ | 1,585,000 | $ | 1,537,565 | ||||
Sunoco Logistics Partners Operations LP |
||||||||
4.000% 10/01/27 |
1,375,000 | 1,305,462 | ||||||
5.300% 4/01/44 |
525,000 | 503,242 | ||||||
Western Gas Partners LP |
655,000 | 628,304 | ||||||
|
|
|||||||
28,100,476 | ||||||||
|
|
|||||||
Private Equity — 0.3% |
| |||||||
Hercules Capital, Inc. |
2,910,000 | 2,800,475 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
1,125,000 | 1,153,125 | ||||||
|
|
|||||||
3,953,600 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 1.2% |
| |||||||
American Tower Corp. |
860,000 | 860,994 | ||||||
American Tower Trust #1 |
1,910,000 | 1,873,374 | ||||||
Crown Castle International Corp. |
790,000 | 765,432 | ||||||
Healthcare Trust of America Holdings LP |
1,265,000 | 1,179,944 | ||||||
Host Hotels & Resorts LP |
1,675,000 | 1,635,893 | ||||||
Kimco Realty Corp. |
960,000 | 910,865 | ||||||
Mid-America Apartments LP |
1,115,000 | 1,062,351 | ||||||
National Retail Properties, Inc. |
810,000 | 803,888 | ||||||
SBA Tower Trust |
||||||||
2.877% 7/10/46 (a) |
1,200,000 | 1,179,871 | ||||||
3.156% 10/10/45 (a) |
1,200,000 | 1,191,000 | ||||||
3.168% 4/09/47 (a) |
1,930,000 | 1,892,477 | ||||||
Weingarten Realty Investors |
535,000 | 491,466 | ||||||
|
|
|||||||
13,847,555 | ||||||||
|
|
|||||||
Retail — 0.5% |
| |||||||
Dollar Tree, Inc. |
1,915,000 | 1,859,998 | ||||||
El Puerto de Liverpool SAB de CV |
2,620,000 | 2,511,951 | ||||||
The Home Depot, Inc. |
600,000 | 746,967 | ||||||
QVC, Inc. |
545,000 | 552,114 | ||||||
|
|
|||||||
5,671,030 | ||||||||
|
|
Principal Amount |
Value | |||||||
Semiconductors — 0.1% |
| |||||||
Microchip Technology, Inc. |
$ | 985,000 | $ | 979,229 | ||||
|
|
|||||||
Software — 0.2% |
| |||||||
Microsoft Corp. |
2,064,000 | 2,210,270 | ||||||
|
|
|||||||
Telecommunications — 1.8% |
| |||||||
AT&T, Inc. |
||||||||
3.400% 5/15/25 |
1,075,000 | 1,023,474 | ||||||
4.750% 5/15/46 |
2,580,000 | 2,357,181 | ||||||
5.250% 3/01/37 |
648,000 | 645,829 | ||||||
CenturyLink, Inc. |
560,000 | 570,500 | ||||||
Cisco Systems, Inc. |
345,000 | 411,398 | ||||||
Crown Castle Towers LLC |
||||||||
3.222% 5/15/42 (a) |
1,700,000 | 1,663,008 | ||||||
4.241% 7/15/48 (a) |
1,750,000 | 1,766,048 | ||||||
Embarq Corp. |
145,000 | 145,000 | ||||||
Ericsson LM |
3,075,000 | 3,055,544 | ||||||
Hughes Satellite Systems Corp. |
1,125,000 | 1,147,500 | ||||||
Sprint Communications, Inc. |
2,550,000 | 2,894,250 | ||||||
Telecom Italia SpA |
605,000 | 589,119 | ||||||
Telefonica Emisiones SAU |
1,105,000 | 1,038,145 | ||||||
Turk Telekomunikasyon AS |
240,000 | 232,881 | ||||||
Verizon Communications, Inc. |
||||||||
4.862% 8/21/46 |
1,278,000 | 1,274,824 | ||||||
6.550% 9/15/43 |
885,000 | 1,076,508 | ||||||
|
|
|||||||
19,891,209 | ||||||||
|
|
|||||||
Transportation — 0.2% |
| |||||||
Autoridad del Canal de Panama |
1,050,000 | 1,084,125 | ||||||
Burlington Northern Santa Fe LLC |
720,000 | 882,836 | ||||||
Pacific National Finance Pty Ltd. |
610,000 | 616,847 | ||||||
|
|
|||||||
2,583,808 | ||||||||
|
|
|||||||
Trucking & Leasing — 0.6% |
| |||||||
DAE Funding LLC |
1,049,000 | 1,037,199 | ||||||
Park Aerospace Holdings Ltd. |
||||||||
4.500% 3/15/23 (a) |
1,550,000 | 1,513,186 | ||||||
5.250% 8/15/22 (a) |
4,440,000 | 4,478,850 | ||||||
|
|
|||||||
7,029,235 | ||||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $433,736,787) |
427,981,387 | |||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
71
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
MUNICIPAL OBLIGATIONS — 0.7% |
| |||||||
JobsOhio Beverage System Series B |
$ | 3,950,000 | $ | 4,177,836 | ||||
New York City Water & Sewer System |
105,000 | 133,199 | ||||||
Orange County Local Transportation Authority BAB |
1,350,000 | 1,776,397 | ||||||
Panhandle-Plains Student Finance Corp., Series
2001-A2, |
500,000 | 496,370 | ||||||
State of California BAB |
||||||||
7.550% 4/01/39 |
120,000 | 175,150 | ||||||
7.600% 11/01/40 |
1,115,000 | 1,657,157 | ||||||
|
|
|||||||
8,416,109 | ||||||||
|
|
|||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $8,179,059) |
8,416,109 | |||||||
|
|
|||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 32.3% |
| |||||||
Automobile ABS — 1.9% |
| |||||||
First Investors Auto Owner Trust,
Series 2016-2A, Class B |
2,990,000 | |||||||
2,947,347 | ||||||||
Hertz Vehicle Financing II LP |
||||||||
Series 2018-1A, Class A, |
7,680,000 | 7,469,116 | ||||||
Series 2018-1A, Class B, |
3,810,000 | 3,701,712 | ||||||
Oscar US Funding Trust II, Series 2015-1A,
Class A4 |
2,166,300 | 2,160,678 | ||||||
Oscar US Funding Trust IV, Series 2016-1A,
Class A2B, 1 mo. USD LIBOR + 1.700% |
67,672 | 67,821 | ||||||
Oscar US Funding Trust V, Series 2016-2A,
Class A4 |
4,000,000 | 3,963,100 | ||||||
Oscar US Funding Trust VI, Series 2017-1A,
Class A4 |
950,000 | 945,326 | ||||||
|
|
|||||||
21,255,100 | ||||||||
|
|
|||||||
Commercial MBS — 2.5% |
| |||||||
Aventura Mall Trust, |
4,270,000 | 4,224,155 | ||||||
BBCMS Mortgage Trust |
||||||||
Series 2018-CHRS, Class B, |
2,250,000 | 2,244,906 | ||||||
Series 2018-CHRS, Class C, |
1,610,000 | 1,580,100 |
Principal Amount |
Value | |||||||
Series 2018-CHRS, Class D, |
$ | 1,370,000 | $ | 1,319,559 | ||||
Bear Stearns Commercial Mortgage Securities, Series
2007-T26, Class AM, |
467,438 | 466,283 | ||||||
BHMS Mortgage Trust, Series 2018-ATLS,
Class B, |
4,950,000 | 4,957,588 | ||||||
Commercial Mortgage Pass-Through Certificates |
||||||||
Series 2012-CR4, Class B, |
1,060,000 | 1,044,232 | ||||||
Series 2014-UBS2, Class AM, |
1,375,000 | 1,389,875 | ||||||
Series 2014-CR14, Class A4, |
1,410,000 | 1,458,630 | ||||||
Series 2015-CR23, Class C, |
1,000,000 | 981,795 | ||||||
DBCCRE Mortgage Trust, |
995,000 | 1,020,310 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7,
Class AM, |
857,147 | 866,130 | ||||||
GS Mortgage Securities Corp. II, Series 2012-GC6,
Class AS |
488,000 | 508,831 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18,
Class AM, |
455,424 | 455,660 | ||||||
Morgan Stanley Capital I Trust |
||||||||
Series 2018-H3, Class B, |
760,000 | 772,977 | ||||||
Series 2011-C2, Class B, |
1,325,000 | 1,369,805 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4,
Class AJ, |
56,246 | 56,509 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2,
Class AFX, |
1,237,433 | 1,228,655 | ||||||
Wells Fargo Commercial Mortgage Trust |
||||||||
Series 2010-C1, Class A1, |
63,074 | 63,277 | ||||||
Series 2018-C45, Class AS, |
1,450,000 | 1,469,779 | ||||||
Series 2018-C45, Class B, |
400,000 | 408,337 | ||||||
|
|
|||||||
27,887,393 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
72
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Home Equity ABS — 0.1% |
| |||||||
Countrywide Partnership Trust, |
$ | 541,680 | $ | 541,762 | ||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR +
..720% |
211,053 | 212,662 | ||||||
|
|
|||||||
754,424 | ||||||||
|
|
|||||||
Other ABS — 14.4% |
| |||||||
321 Henderson Receivables LLC |
||||||||
Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200% |
537,082 | 505,443 | ||||||
Series 2015-1A, Class A, |
1,158,235 | 1,106,838 | ||||||
Aames Mortgage Investment Trust, Series 2004-1,
Class M5, 1 mo. USD LIBOR + 1.725% |
218,523 | 216,936 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD
LIBOR + 1.480% |
2,620,000 | 2,633,540 | ||||||
Alterna Funding II LLC, Series 2015-1A,
Class A |
197,090 | 196,905 | ||||||
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD
LIBOR + 1.460% |
770,000 | 770,145 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 |
1,847,750 | 1,853,771 | ||||||
ASSURANT CLO III Ltd., Series 2018-2A,
Class C, |
820,000 | 818,336 | ||||||
Avery Point III CLO Ltd., Series 2013-3A,
Class AR, 3 mo. USD LIBOR + 1.120% |
737,401 | 737,477 | ||||||
Bain Capital Credit CLO, Series 2017-1A,
Class A1, 3 mo. USD LIBOR + 1.250% |
1,990,000 | 1,992,060 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE |
617,492 | 617,492 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A,
Class A |
923,800 | 902,424 |
Principal Amount |
Value | |||||||
CAL Funding III Ltd., Series 2018-2A,
Class A |
$ | 1,520,000 | $ | 1,519,829 | ||||
Capital Automotive REIT |
||||||||
Series 2014-1A, Class A, |
900,000 | 866,036 | ||||||
Series 2017-1A, Class A2, |
985,833 | 973,435 | ||||||
Carlyle Global Market Strategies CLO Ltd. |
||||||||
Series 2013-1A, Class A1R, 3 mo. USD LIBOR + 1.220% |
4,000,000 | 4,005,844 | ||||||
Series 2015-3A, Class CR, |
330,000 | 329,987 | ||||||
Castlelake Aircraft Structured Trust, Series 2018-1,
Class A |
1,679,391 | 1,674,637 | ||||||
CBAM Ltd., Series 2017-3A, Class A, |
3,510,000 | 3,512,875 | ||||||
CIFC Funding V Ltd., Series 2017-5A,
Class A1, |
2,330,000 | 2,330,713 | ||||||
Clear Creek CLO Ltd., Series 2015-1A,
Class AR, |
2,040,000 | 2,043,401 | ||||||
Consumer Installment Loan Trust, Series 2016-LD1,
Class A |
55,911 | 55,907 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5,
Class 3A, 1 mo. USD LIBOR + .460% |
54,696 | 54,624 | ||||||
Cronos Containers Program I Ltd., Series 2014-2A,
Class A |
344,444 | 338,505 | ||||||
Diamond Resorts Owner Trust |
||||||||
Series 2014-1, Class A, |
186,733 | 186,634 | ||||||
Series 2015-1, Class A, |
376,194 | 376,154 | ||||||
Series 2015-2, Class A, |
408,320 | 406,664 | ||||||
Series 2016-1, Class A, |
1,839,664 | 1,795,013 | ||||||
Series 2018-1, Class A, |
1,865,498 | 1,856,102 | ||||||
Domino’s Pizza Master Issuer LLC |
||||||||
Series 2018-1A, Class A2I, |
1,546,125 | 1,536,831 | ||||||
Series 2017-1A, Class A23, |
772,200 | 760,689 |
The accompanying notes are an integral part of the portfolio of investments.
73
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2015-1A, Class A2II, |
$ | 3,030,250 | $ | 3,048,965 | ||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A,
Class A1 |
83,333 | 83,145 | ||||||
Drug Royalty Corp., Inc. |
||||||||
Series 2014-1, Class A2, |
186,084 | 185,366 | ||||||
Series 2012-1, Class A2, |
27,692 | 27,664 | ||||||
Eaton Vance CLO Ltd., Series 2018-1A, Class B, 3 mo.
USD LIBOR + 1.750% |
1,700,000 | 1,700,000 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A,
Class A |
1,346,222 | 1,317,292 | ||||||
Element Rail Leasing II LLC |
||||||||
Series 2015-1A, Class A1, |
365,350 | 359,414 | ||||||
Series 2016-1A, Class A1, |
1,061,215 | 1,065,712 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC,
Series 2015-1, Class A |
487,913 | 475,251 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A,
Class A2 |
1,912,048 | 1,910,820 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A,
Class AR, |
3,000,000 | 2,987,514 | ||||||
Global SC Finance II SRL, Series 2014-1A,
Class A1 |
291,667 | 285,586 | ||||||
Global SC Finance IV Ltd., Series 2017-1A,
Class A |
1,599,429 | 1,577,954 | ||||||
Goldentree Loan Management US CLO Ltd., Series 2017-2A,
Class A, |
1,950,000 | 1,952,494 | ||||||
Goodgreen Trust |
||||||||
Series 2016-1A, Class A, |
2,370,093 | 2,283,493 | ||||||
Series 2017-1A, Class A, |
1,113,901 | 1,104,086 | ||||||
Series 2018-1A, Class A, |
2,851,599 | 2,838,648 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD
LIBOR + .645% |
66,913 | 66,794 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A |
1,623,032 | 1,655,493 |
Principal Amount |
Value | |||||||
Hercules Capital Funding Trust, Series 2014-1A,
Class A |
$ | 27,188 | $ | 27,188 | ||||
Hero Funding Trust |
||||||||
Series 2016-3A, Class A1, |
1,297,194 | 1,251,922 | ||||||
Series 2017-3A, Class A1, |
1,418,603 | 1,361,608 | ||||||
Series 2017-2A, Class A1, |
419,263 | 410,383 | ||||||
Series 2016-4A, Class A1, |
1,450,275 | 1,423,146 | ||||||
Series 2017-2A, Class A2, |
337,054 | 339,042 | ||||||
Series 2018-1A, Class A2, |
2,519,404 | 2,574,046 | ||||||
Highbridge Loan Management Ltd., Series 12A-18,
Class B, |
1,200,000 | 1,191,358 | ||||||
Hilton Grand Vacations Trust |
||||||||
Series 2013-A, Class A, |
399,113 | 396,797 | ||||||
Series 2018-AA, Class C, |
420,000 | 419,857 | ||||||
Labrador Aviation Finance Ltd., Series 2016-1A,
Class A1 |
2,526,250 | 2,527,881 | ||||||
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400% |
3,030,000 | 3,041,711 | ||||||
Lendmark Funding Trust |
||||||||
Series 2017-1A, Class A, |
1,270,000 | 1,262,717 | ||||||
Series 2018-1A, Class A, |
1,730,000 | 1,728,185 | ||||||
Madison Park Funding Ltd., |
620,000 | 620,000 | ||||||
Madison Park Funding XXVIII Ltd., Series 2018-28A,
Class B, |
1,665,000 | 1,664,910 | ||||||
Marble Point CLO XI Ltd., Series 2017-2A,
Class A, |
1,200,000 | 1,199,536 | ||||||
Marlette Funding Trust, Series 2017-2A,
Class B |
1,000,000 | 997,952 | ||||||
Marriott Vacation Club Owner Trust, Series 2012-1A,
Class A |
138,767 | 138,283 | ||||||
Mosaic Solar Loans LLC |
||||||||
Series 2017-2A, Class A, |
922,203 | 907,754 | ||||||
Series 2018-1A, Class A, |
436,485 | 432,697 |
The accompanying notes are an integral part of the portfolio of investments.
74
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2017-1A, Class A, |
$ | 456,757 | $ | 460,010 | ||||
MP CLO III Ltd., Series 2013-1A, Class AR, |
1,750,000 | 1,750,889 | ||||||
MVW Owner Trust |
||||||||
Series 2017-1A, Class A, |
393,859 | 380,800 | ||||||
Series 2015-1A, Class A, |
489,914 | 477,805 | ||||||
NP SPE II LLC, Series 2017-1A, Class A2 |
2,260,000 | 2,242,544 | ||||||
NRZ Advance Receivables Trust |
||||||||
Series 2016-T3, Class AT3, |
10,600,000 | 10,307,872 | ||||||
Series 2016-T4, Class AT4, |
3,000,000 | 2,971,799 | ||||||
Orange Lake Timeshare Trust |
||||||||
Series 2014-AA, Class A, |
176,088 | 172,493 | ||||||
Series 2016-A, Class A, |
1,040,495 | 1,010,678 | ||||||
Series 2016-A, Class B, |
871,347 | 849,289 | ||||||
Oxford Finance Funding Trust |
||||||||
Series 2014-1A, Class A, |
176,932 | 177,005 | ||||||
Series 2016-1A, Class A, |
1,347,217 | 1,338,320 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A
(Acquired 2/21/18, |
1,270,000 | 1,284,695 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A,
Class AR, 3 mo. USD LIBOR + 1.340% |
700,000 | 703,256 | ||||||
RR 3 Ltd., Series 2018-3A, Class A1R2, |
2,450,000 | 2,446,533 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A,
Class B |
153,116 | 151,601 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2,
Class A |
1,805,308 | 1,800,750 | ||||||
Spirit Master Funding LLC, Series 2014-4A,
Class A1 |
996,562 | 995,130 |
Principal Amount |
Value | |||||||
SpringCastle America Funding LLC, Series 2016-AA,
Class A |
$ | 966,453 | $ | 962,211 | ||||
SPS Servicer Advance Receivables Trust, Series 2016-T2,
Class AT2 |
4,490,000 | 4,462,244 | ||||||
Steele Creek CLO Ltd. |
||||||||
Series 2017-1A, Class A, |
660,000 | 660,835 | ||||||
Series 2018-2A, Class C, |
1,170,000 | 1,169,915 | ||||||
Structured Receivables Finance LLC, Series 2010-B,
Class A |
221,429 | 214,370 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A,
Class A |
2,015,599 | 1,898,450 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR,
3 mo. USD LIBOR + 1.180% |
2,900,000 | 2,900,945 | ||||||
Taco Bell Funding LLC, Series 2016-1A,
Class A2I |
2,462,500 | 2,465,086 | ||||||
TAL Advantage VI LLC, Series 2017-1A,
Class A |
2,332,249 | 2,353,362 | ||||||
TCI-Symphony CLO Ltd.,
Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480% |
2,150,000 | 2,156,198 | ||||||
THL Credit Wind River CLO Ltd., |
1,150,000 | 1,148,779 | ||||||
Treman Park CLO Ltd.,
Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370% |
1,750,000 | 1,750,600 | ||||||
Trinity Rail Leasing L.P., Series 2018-1A,
Class A2 |
2,420,000 | 2,439,627 | ||||||
Trip Rail Master Funding LLC |
||||||||
Series 2017-1A, Class A1, |
501,671 | 493,972 | ||||||
Series 2017-1A, Class A2, |
810,000 | 798,190 | ||||||
Triton Container Finance IV LLC, |
3,093,743 | 3,027,172 | ||||||
Triton Container Finance VI LLC |
||||||||
Series 2017-1A, Class A, |
842,874 | 820,172 |
The accompanying notes are an integral part of the portfolio of investments.
75
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2018-2A, Class A, |
$ | 1,599,000 | $ | 1,595,793 | ||||
Vivint Solar Financing V LLC, Series 2018-1A,
Class B |
3,115,000 | 3,179,281 | ||||||
VSE VOI Mortgage LLC, Series 2016-A,
Class A |
1,395,959 | 1,358,205 | ||||||
WAVE Trust |
||||||||
Series 2017-1A, Class A, |
3,799,754 | 3,745,155 | ||||||
Series 2017-1A, Class C, |
2,431,560 | 2,445,367 | ||||||
Wendy’s Funding LLC |
||||||||
Series 2015-1A, Class A2II, |
1,775,100 | 1,771,608 | ||||||
Series 2015-1A, Class A23, |
2,134,000 | 2,140,722 | ||||||
Westgate Resorts LLC, Series 2017-1A,
Class A |
1,172,768 | 1,158,755 | ||||||
Willis Engine Structured Trust IV, Series 2018-A,
Class A, |
1,350,000 | 1,353,045 | ||||||
|
|
|||||||
163,809,439 | ||||||||
|
|
|||||||
Student Loans ABS — 12.8% |
| |||||||
AccessLex Institute |
||||||||
Series 2004-A, Class A3, 28 day ARS |
2,950,000 | 2,910,081 | ||||||
Series 2003-A, Class A3, 3 mo. Treasury + 1.200% |
277,342 | 271,239 | ||||||
College Loan Corp. Trust I, Series 2007-1,
Class B2, 28 day ARS |
900,000 | 707,795 | ||||||
Collegiate Funding Services Education Loan Trust,
Series 2005-B, Class A4, 3 mo. USD LIBOR + .160% |
1,324,454 | 1,307,989 | ||||||
DRB Prime Student Loan Trust |
||||||||
Series 2015-D, Class A2, |
695,887 | 693,805 | ||||||
Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900% |
142,505 | 146,627 | ||||||
Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900% |
2,954,397 | 2,999,522 |
Principal Amount |
Value | |||||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000% |
$ | 410,204 | $ | 421,569 | ||||
Earnest Student Loan Program LLC |
||||||||
Series 2016-D, Class A2, |
1,222,340 | 1,197,921 | ||||||
Series 2016-B, Class A2, |
901,551 | 892,400 | ||||||
Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850% |
1,394,198 | 1,426,977 | ||||||
ECMC Group Student Loan Trust |
||||||||
Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200% |
2,621,925 | 2,657,321 | ||||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350% |
3,191,041 | 3,253,134 | ||||||
EdLinc Student Loan Funding, Series 2017-A,
Class A (Acquired 12/22/17, Cost $ 3,773,575), |
3,283,038 | 3,246,469 | ||||||
Education Services of America |
||||||||
Series 2014-4, Class B, 1 mo. USD LIBOR + 1.500% |
1,200,000 | 1,126,570 | ||||||
Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500% |
1,100,000 | 1,042,876 | ||||||
Educational Funding of the South, Inc., Series 2011-1,
Class B, 3 mo. USD LIBOR + 3.700% |
625,000 | 656,465 | ||||||
Higher Education Funding I |
||||||||
Series 2004-1, Class B1, 28 day ARS |
450,000 | 395,927 | ||||||
Series 2004-1, Class B2, 28 day ARS |
450,000 | 383,920 | ||||||
KeyCorp Student Loan Trust, Series 2006-A,
Class 2A4, 3 mo. USD LIBOR + .310% |
220,282 | 219,775 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-B,
Class BFX |
1,011,144 | 979,253 | ||||||
Navient Private Education Loan Trust, Series 2018-BA,
Class A2B, |
880,000 | 882,599 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-CA,
Class B |
1,530,000 | 1,529,152 |
The accompanying notes are an integral part of the portfolio of investments.
76
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Navient Student Loan Trust |
||||||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + .700% |
$ | 2,602,906 | $ | 2,616,485 | ||||
Series 2018-1A, Class A3, |
4,150,000 | 4,168,813 | ||||||
Series 2014-1, Class A4, 1 mo. USD LIBOR + .750% |
3,000,000 | 2,966,522 | ||||||
Series 2017-5A, Class A, |
1,808,012 | 1,825,320 | ||||||
Series 2018-3A, Class A3, |
4,700,000 | 4,744,166 | ||||||
Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250% |
2,552,442 | 2,617,047 | ||||||
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% |
7,050,000 | 7,312,154 | ||||||
Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500% |
940,000 | 953,665 | ||||||
Series 2016-2, Class A3, 1 mo. USD LIBOR + 1.500% |
2,370,000 | 2,468,160 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A,
Class A1B |
895,775 | 861,015 | ||||||
Nelnet Student Loan Trust |
||||||||
Series 2005-2, Class A5, 3 mo. USD LIBOR + .100% |
1,013,834 | 1,006,600 | ||||||
Series 2005-4, Class A4A, 7 day ARS, 0.000% |
325,000 | 317,093 | ||||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% |
772,585 | 708,912 | ||||||
Series 2013-5A, Class A, 1 mo. USD LIBOR + .630% |
1,795,282 | 1,795,841 | ||||||
Series 2018-3A, Class A3, |
3,800,000 | 3,800,151 | ||||||
Series 2018-1A, Class A2, |
3,880,000 | 3,899,949 | ||||||
North Carolina State Education Assistance Authority, |
1,600,000 | 1,606,911 | ||||||
PHEAA Student Loan Trust, |
2,735,609 | 2,771,104 |
Principal Amount |
Value | |||||||
SLM Student Loan Trust |
||||||||
Series 2007-1, Class A6, 3 mo. USD LIBOR + .140% |
$ | 550,000 | $ | 531,520 | ||||
Series 2005-3, Class B, 3 mo. USD LIBOR + .150% |
961,926 | 881,309 | ||||||
Series 2006-10, Class A6, 3 mo. USD LIBOR + .150% |
5,310,000 | 5,110,884 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% |
2,326,076 | 2,205,330 | ||||||
Series 2005-6, Class B,, 3 mo. USD LIBOR + .290% |
2,421,994 | 2,265,134 | ||||||
Series 2005-9, Class A7A, 3 mo. EURIBOR + .600% |
3,530,000 | 3,537,955 | ||||||
Series 2003-14, Class A7, 3 mo. USD LIBOR + .600% |
15,050,000 | 15,052,166 | ||||||
Series 2005-7, Class A5, 3 mo. USD LIBOR + .750% |
5,300,000 | 5,280,125 | ||||||
Series 2005-5, Class A5, 3 mo. USD LIBOR + .750% |
1,056,000 | 1,052,200 | ||||||
Series 2013-2, Class B, 1 mo. USD LIBOR + 1.500% |
1,420,000 | 1,400,189 | ||||||
Series 2002-7, Class A11, 28 day ARS |
568,000 | 568,000 | ||||||
Series 2002-7, Class A10, 28 day ARS |
234,000 | 234,000 | ||||||
Series 2003-5, Class A7, 28 day ARS + 2.500% |
250,000 | 250,000 | ||||||
Series 2002-7, Class B, 28 day ARS |
3,950,000 | 3,893,474 | ||||||
Series 2003-2, Class A7, 28 day ARS |
650,000 | 650,000 | ||||||
SMB Private Education Loan Trust |
||||||||
Series 2016-B, Class A2A, |
1,363,886 | 1,314,407 | ||||||
Series 2018-B, Class A2B, |
3,000,000 | 3,002,984 |
The accompanying notes are an integral part of the portfolio of investments.
77
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
SoFi Professional Loan Program LLC |
||||||||
Series 2015-A, Class RC (Acquired 4/19/17, Cost $3,376,500), |
$ | 1,200 | $ | 1,282,500 | ||||
Series 2018-A, Class R1 (Acquired 1/22/18, Cost $2,700,288), |
3,759,800 | 2,700,288 | ||||||
Series 2017-D, Class R1 (Acquired 7/19/17, Cost $2,653,222), |
4,688,500 | 2,953,755 | ||||||
Series 2018-B, Class R1 (Acquired 3/15/18 Cost $1,794,790), |
3,324,300 | 1,868,959 | ||||||
Series 2018-D, Class R1 (Acquired 9/20/18, Cost $1,709,271) |
4,961,600 | 1,709,271 | ||||||
Series 2016-D, Class A2B, |
1,300,000 | 1,260,258 | ||||||
Series 2016-C, Class A2B, |
570,000 | 556,402 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200% |
1,036,541 | 1,052,673 | ||||||
Series 2017-A, Class B, |
1,220,000 | 1,170,579 | ||||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750% |
555,407 | 572,031 | ||||||
Series 2017-C, Class C, |
990,000 | 933,252 | ||||||
South Carolina Student Loan Corp. |
||||||||
Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000% |
1,800,000 | 1,811,124 | ||||||
Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500% |
3,050,000 | 2,977,437 | ||||||
South Texas Higher Education Authority, Inc.,
Series 2012-1, Class A3, 3 mo. USD LIBOR + .850% |
1,700,000 | 1,719,399 | ||||||
|
|
|||||||
145,586,899 | ||||||||
|
|
|||||||
WL Collateral CMO — 0.6% |
| |||||||
Bank of America Mortgage Securities, Series 2004-G,
Class 2A7, |
32,328 | 32,665 | ||||||
Countrywide Home Loans, Inc. |
||||||||
Series 2004-2, Class 1A1, |
18,646 | 18,743 | ||||||
Series 2003-42, Class 1A1, |
4,187 | 3,815 | ||||||
GSR Mortgage Loan Trust, |
5,907 | 5,867 |
Principal Amount |
Value | |||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4,
Class 1A, |
$ | 42,444 | $ | 41,603 | ||||
JP Morgan Mortgage Trust, |
3,148,502 | 3,022,156 | ||||||
Merrill Lynch Mortgage Investors, Inc. |
||||||||
Series 2004-A1, Class IA, |
3,705 | 3,586 | ||||||
Series 2003-A4, Class IA, |
2,775 | 2,780 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR,
Class 1A, |
219 | 235 | ||||||
PSMC Trust, Series 2018-2, Class A1, |
3,780,879 | 3,676,012 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series
2004-2, Class 2A, |
22,808 | 22,923 | ||||||
Washington Mutual Mortgage Pass-Through
Certificates, |
67,157 | 69,716 | ||||||
|
|
|||||||
6,900,101 | ||||||||
|
|
|||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $367,833,826) |
366,193,356 | |||||||
|
|
|||||||
SOVEREIGN DEBT OBLIGATIONS — 0.7% |
| |||||||
Colombia Government International Bond |
2,580,000 | 2,921,850 | ||||||
Mexico Government International Bond |
||||||||
4.750% 3/08/44 |
4,727,000 | 4,516,649 | ||||||
6.750% 9/27/34 |
685,000 | 818,575 | ||||||
|
|
|||||||
8,257,074 | ||||||||
|
|
|||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $8,257,423) |
8,257,074 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 26.3% |
| |||||||
Collateralized Mortgage Obligations — 0.9% |
| |||||||
Federal Home Loan Mortgage Corp. |
||||||||
Series 4303, Class AP, |
2,217,469 | 2,188,409 | ||||||
Series 2617, Class Z, |
1,239,748 | 1,330,523 |
The accompanying notes are an integral part of the portfolio of investments.
78
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2693, Class Z, |
$ | 2,221,419 | $ | 2,374,686 | ||||
Series 3423, Class PB, |
446,373 | 481,741 | ||||||
Series 2178, Class PB, |
51,220 | 55,794 | ||||||
Federal National Mortgage Association |
||||||||
Series 2014-7, Class VA, |
1,209,758 | 1,221,778 | ||||||
Series 2007-32, Class Z, |
688,685 | 742,672 | ||||||
Series 2010-60, Class HJ, |
469,551 | 495,629 | ||||||
Federal National Mortgage Association REMIC
Series 2007-B2, Class ZA |
584,735 | 616,993 | ||||||
|
|
|||||||
9,508,225 | ||||||||
|
|
|||||||
Pass-Through Securities — 25.0% |
| |||||||
Federal Home Loan Mortgage Corp. |
||||||||
Pool #G11630 3.500% 6/01/19 |
6,101 | 6,112 | ||||||
Pool #J13972 3.500% 1/01/26 |
49,876 | 50,213 | ||||||
Pool #C91344 3.500% 11/01/30 |
143,267 | 143,518 | ||||||
Pool #C91424 3.500% 1/01/32 |
95,606 | 95,924 | ||||||
Pool #U90432 3.500% 11/01/42 |
491,574 | 487,004 | ||||||
Pool #Q41916 3.500% 7/01/46 |
1,655,548 | 1,640,674 | ||||||
Pool #Q42045 3.500% 7/01/46 |
694,686 | 688,445 | ||||||
Pool #Q44275 3.500% 11/01/46 |
1,387,038 | 1,374,143 | ||||||
Pool #Q44277 3.500% 11/01/46 |
402,561 | 398,064 | ||||||
Pool #Q52216 3.500% 11/01/47 |
3,638,521 | 3,584,227 | ||||||
Pool #V83655 3.500% 12/01/47 |
10,896,538 | 10,733,941 | ||||||
Pool #V83763 3.500% 12/01/47 |
12,958,620 | 12,765,252 | ||||||
Pool #V83886 3.500% 1/01/48 |
802,086 | 790,118 | ||||||
Pool #V83764 4.000% 12/01/47 |
10,174,371 | 10,292,807 | ||||||
Pool #V83796 4.000% 12/01/47 |
16,411,728 | 16,595,079 | ||||||
Pool #Q52834 4.000% 12/01/47 |
1,517,101 | 1,534,050 | ||||||
Pool #V83962 4.000% 2/01/48 |
2,678,295 | 2,706,542 | ||||||
Pool #Q57232 4.000% 7/01/48 |
2,347,956 | 2,372,077 | ||||||
Pool #C91239 4.500% 3/01/29 |
7,221 | 7,496 | ||||||
Pool #C91251 4.500% 6/01/29 |
45,156 | 46,879 | ||||||
Pool #C03537 4.500% 8/01/40 |
1,050,550 | 1,096,019 | ||||||
Pool #G06057 4.500% 10/01/40 |
1,022,294 | 1,065,262 | ||||||
Pool #G60485 4.500% 10/01/41 |
1,148,843 | 1,197,131 | ||||||
Pool #G60172 4.500% 9/01/43 |
1,237,902 | 1,291,480 | ||||||
Pool #Q48208 4.500% 5/01/47 |
1,101,506 | 1,138,510 | ||||||
Pool #Q48869 4.500% 6/01/47 |
9,300,883 | 9,613,335 | ||||||
Pool #G05253 5.000% 2/01/39 |
218,666 | 232,281 | ||||||
Pool #C90939 5.500% 12/01/25 |
26,973 | 28,807 | ||||||
Pool #D97258 5.500% 4/01/27 |
14,682 | 15,681 | ||||||
Pool #C91026 5.500% 4/01/27 |
43,000 | 45,925 | ||||||
Pool #C91074 5.500% 8/01/27 |
4,562 | 4,872 |
Principal Amount |
Value | |||||||
Pool #D97417 5.500% 10/01/27 |
$ | 11,489 | $ | 12,270 | ||||
Pool #C91128 5.500% 12/01/27 |
2,224 | 2,375 | ||||||
Pool #C91148 5.500% 1/01/28 |
94,894 | 101,348 | ||||||
Pool #C91176 5.500% 5/01/28 |
33,674 | 35,964 | ||||||
Pool #C91217 5.500% 11/01/28 |
12,705 | 13,569 | ||||||
Pool #C01079 7.500% 10/01/30 |
1,713 | 1,939 | ||||||
Pool #C01135 7.500% 2/01/31 |
5,497 | 6,204 | ||||||
Federal National Mortgage Association |
||||||||
Pool #AO8180 3.000% 9/01/42 |
38,975 | 37,580 | ||||||
Pool #AR1975 3.000% 12/01/42 |
46,770 | 45,097 | ||||||
Pool #AP8668 3.000% 12/01/42 |
205,554 | 198,199 | ||||||
Pool #AB7397 3.000% 12/01/42 |
178,423 | 172,038 | ||||||
Pool #AB7401 3.000% 12/01/42 |
166,829 | 160,860 | ||||||
Pool #AR0306 3.000% 1/01/43 |
13,782 | 13,289 | ||||||
Pool #AR5391 3.000% 1/01/43 |
119,445 | 115,171 | ||||||
Pool #AR4109 3.000% 2/01/43 |
148,205 | 142,902 | ||||||
Pool #AL3215 3.000% 2/01/43 |
153,977 | 148,467 | ||||||
Pool #AR4432 3.000% 3/01/43 |
60,550 | 58,384 | ||||||
Pool #AT0169 3.000% 3/01/43 |
267,656 | 258,079 | ||||||
Pool #AB8809 3.000% 3/01/43 |
84,342 | 81,324 | ||||||
Pool #MA1368 3.000% 3/01/43 |
281,063 | 271,006 | ||||||
Pool #AR2174 3.000% 4/01/43 |
304,209 | 293,324 | ||||||
Pool #MA2806 3.000% 11/01/46 |
26,187,123 | 25,086,446 | ||||||
Pool #BM3564 3.000% 7/01/47 |
7,398,855 | 7,087,872 | ||||||
Pool #AS1304 3.500% 12/01/28 |
1,578,875 | 1,591,518 | ||||||
Pool #AV1897 3.500% 12/01/28 |
276,714 | 278,930 | ||||||
Pool #AV2325 3.500% 12/01/28 |
767,688 | 773,835 | ||||||
Pool #BF0196 3.500% 2/01/41 |
1,479,570 | 1,469,224 | ||||||
Pool #MA1356 3.500% 2/01/43 |
10,788,230 | 10,685,826 | ||||||
Pool #BM3994 3.500% 1/01/44 |
1,666,524 | 1,650,705 | ||||||
Pool #CA1073 3.500% 1/01/48 |
20,492,276 | 20,182,490 | ||||||
Pool #MA3287 3.500% 2/01/48 |
4,539,233 | 4,433,731 | ||||||
Pool #888586 1 year CMT + 2.198% |
106,961 | 110,937 | ||||||
Pool #BH9008 4.000% 8/01/47 |
343,882 | 347,683 | ||||||
Pool #CA0181 4.000% 8/01/47 |
9,492,701 | 9,597,640 | ||||||
Pool #BH9011 4.000% 9/01/47 |
296,005 | 299,277 | ||||||
Pool #CA0620 4.000% 10/01/47 |
13,592,835 | 13,743,100 | ||||||
Pool #BJ0686 4.000% 4/01/48 |
3,407,168 | 3,441,906 | ||||||
Pool #CA1951 4.000% 7/01/48 |
4,422,160 | 4,467,245 | ||||||
Pool #CA2039 4.000% 7/01/48 |
4,458,433 | 4,507,720 | ||||||
Pool #BF0105 4.000% 6/01/56 |
1,948,146 | 1,972,727 | ||||||
Pool #725692 1 year CMT + 2.138% |
111,674 | 117,080 | ||||||
Pool #775539 12 mo. USD LIBOR + 1.645% |
46,077 | 47,945 | ||||||
Pool #AA3980 4.500% 4/01/28 |
71,125 | 74,684 | ||||||
Pool #AH6787 4.500% 3/01/41 |
963,661 | 1,004,956 | ||||||
Pool #CA1952 4.500% 6/01/48 |
3,295,140 | 3,402,361 | ||||||
Pool #BK7877 4.500% 7/01/48 |
2,259,092 | 2,332,600 |
The accompanying notes are an integral part of the portfolio of investments.
79
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Pool #AD6437 5.000% 6/01/40 |
$ | 535,073 | $ | 569,121 | ||||
Pool #AD6996 5.000% 7/01/40 |
3,574,376 | 3,789,537 | ||||||
Pool #AL8173 5.000% 2/01/44 |
1,406,235 | 1,490,445 | ||||||
Pool #AD0836 5.500% 11/01/28 |
82,420 | 88,025 | ||||||
Pool #575667 7.000% 3/01/31 |
12,266 | 13,828 | ||||||
Pool #529453 7.500% 1/01/30 |
2,638 | 2,986 | ||||||
Pool #531196 7.500% 2/01/30 |
316 | 354 | ||||||
Pool #530299 7.500% 3/01/30 |
356 | 391 | ||||||
Pool #535996 7.500% 6/01/31 |
6,314 | 7,134 | ||||||
Pool #523499 8.000% 11/01/29 |
266 | 300 | ||||||
Pool #252926 8.000% 12/01/29 |
157 | 178 | ||||||
Pool #532819 8.000% 3/01/30 |
128 | 147 | ||||||
Pool #534703 8.000% 5/01/30 |
2,746 | 3,122 | ||||||
Pool #253437 8.000% 9/01/30 |
150 | 171 | ||||||
Pool #253481 8.000% 10/01/30 |
93 | 106 | ||||||
Pool #596656 8.000% 8/01/31 |
998 | 1,028 | ||||||
Pool #602008 8.000% 8/01/31 |
4,153 | 4,724 | ||||||
Pool #190317 8.000% 8/01/31 |
3,388 | 3,856 | ||||||
Pool #597220 8.000% 9/01/31 |
3,191 | 3,656 | ||||||
Federal National Mortgage Association TBA |
||||||||
Pool #9768 3.000% 4/29/47 (d) |
5,900,000 | 5,645,102 | ||||||
Pool #18388 4.000% 3/29/48 (d) |
1,710,000 | 1,726,566 | ||||||
Pool #21133 4.500% 4/29/48 (d) |
5,200,000 | 5,364,125 | ||||||
Government National Mortgage Association |
||||||||
Pool #783896 3.500% 5/15/44 |
4,779,896 | 4,775,975 | ||||||
Pool #BF1053 3.500% 12/15/47 |
1,738,007 | 1,727,348 | ||||||
Pool #BF1120 3.500% 1/15/48 |
2,420,045 | 2,405,204 | ||||||
Pool #AV1854 3.500% 1/15/48 |
2,000,705 | 1,988,435 | ||||||
Pool #BF1214 3.500% 2/15/48 |
1,780,450 | 1,769,531 | ||||||
Pool #BF1245 3.500% 2/15/48 |
1,804,881 | 1,793,812 | ||||||
Pool #371146 7.000% 9/15/23 |
105 | 111 | ||||||
Pool #374440 7.000% 11/15/23 |
311 | 332 | ||||||
Pool #352022 7.000% 11/15/23 |
5,140 | 5,480 | ||||||
Pool #491089 7.000% 12/15/28 |
8,747 | 9,492 | ||||||
Pool #480539 7.000% 4/15/29 |
421 | 468 | ||||||
Pool #478658 7.000% 5/15/29 |
2,180 | 2,442 | ||||||
Pool #488634 7.000% 5/15/29 |
2,285 | 2,545 | ||||||
Pool #500928 7.000% 5/15/29 |
4,285 | 4,788 | ||||||
Pool #499410 7.000% 7/15/29 |
1,268 | 1,423 | ||||||
Pool #510083 7.000% 7/15/29 |
946 | 1,053 | ||||||
Pool #493723 7.000% 8/15/29 |
2,575 | 2,893 | ||||||
Pool #516706 7.000% 8/15/29 |
66 | 68 | ||||||
Pool #581417 7.000% 7/15/32 |
12,308 | 13,853 | ||||||
Government National Mortgage Association II |
||||||||
Pool #008746 1 year CMT + 1.500% |
4,512 | 4,585 | ||||||
Pool #080136 1 year CMT + 1.500% |
882 | 899 | ||||||
Pool #82462, 1 year CMT + 1.500% |
493,169 | 510,715 |
Principal Amount |
Value | |||||||
Pool #82488 1 year CMT + 1.500% |
$ | 431,929 | $ | 447,145 | ||||
Pool #784314 3.500% 5/20/43 |
885,933 | 884,583 | ||||||
Pool #784026 3.500% 12/20/44 |
1,640,181 | 1,635,633 | ||||||
Pool #BC4641 3.500% 9/20/47 |
2,747,994 | 2,730,068 | ||||||
Pool #MA4778 3.500% 10/20/47 |
1,813,674 | 1,805,243 | ||||||
Pool #BC4885 3.500% 11/20/47 |
4,068,548 | 4,049,000 | ||||||
Pool #BD6940 3.500% 12/20/47 |
2,576,121 | 2,559,316 | ||||||
Pool #BE4328 3.500% 12/20/47 |
1,958,317 | 1,948,297 | ||||||
Pool #BD3899 3.500% 1/20/48 |
5,148,879 | 5,122,532 | ||||||
Pool #BE6487 3.500% 1/20/48 |
1,160,693 | 1,153,122 | ||||||
Pool #BD6461 3.500% 1/20/48 |
2,271,582 | 2,256,763 | ||||||
Pool #BF1119 3.500% 1/20/48 |
3,666,523 | 3,642,605 | ||||||
Pool #BF1269 3.500% 2/20/48 |
1,805,234 | 1,793,457 | ||||||
Pool #AC2985 4.000% 10/20/47 |
774,128 | 788,763 | ||||||
Pool #BF1270 4.000% 2/20/48 |
1,212,780 | 1,234,667 | ||||||
Government National Mortgage Association II TBA |
14,700,000 | 14,945,766 | ||||||
|
|
|||||||
283,653,009 | ||||||||
|
|
|||||||
Whole Loans — 0.4% |
| |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
||||||||
Series 2016-HQA3, Class M1, 1 mo. USD LIBOR + .800% |
180,250 | 180,393 | ||||||
Series 2016-HQA3, Class M2, 1 mo. USD LIBOR + 1.350% |
790,000 | 800,168 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities |
||||||||
Series 2016-C06, Class 1M1, 1 mo. USD LIBOR + 1.300% |
1,638,914 | 1,650,917 | ||||||
Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350% |
1,198,154 | 1,201,369 | ||||||
Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450% |
1,132,844 | 1,139,835 | ||||||
|
|
|||||||
4,972,682 | ||||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $306,681,282) |
298,133,916 | |||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
80
MML Managed Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
U.S. TREASURY OBLIGATIONS — 0.3% |
| |||||||
U.S. Treasury Bonds & Notes — 0.3% |
| |||||||
U.S. Treasury Bond |
$ | 3,100,000 | $ | 3,265,172 | ||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,360,285) |
3,265,172 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $1,128,048,662) |
1,112,247,014 | |||||||
|
|
|||||||
TOTAL PURCHASED OPTIONS (#) — 0.9% (Cost $10,172,309) |
10,199,517 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,140,595,971) |
1,124,821,531 | |||||||
|
|
|||||||
SHORT-TERM INVESTMENTS — 3.8% |
| |||||||
Commercial Paper — 3.8% |
| |||||||
Avangrid, Inc. |
||||||||
2.232% 10/02/18 (a) |
6,250,000 | 6,248,347 | ||||||
2.353% 10/01/18 (a) |
5,000,000 | 4,999,010 | ||||||
Comcast Corp. |
7,500,000 | 7,483,653 | ||||||
Fedex Corp. |
2,000,000 | 1,996,190 | ||||||
Mohawk Industries, Inc. |
8,500,000 | 8,490,174 | ||||||
Nutrien Ltd. |
6,500,000 | 6,491,121 | ||||||
Suncor Energy, Inc. |
3,500,000 | 3,495,482 | ||||||
Walgreens Boots Alliance, Inc. |
3,600,000 | 3,595,110 | ||||||
|
|
|||||||
42,799,087 | ||||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $42,809,644) |
42,799,087 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 103.0% (Cost $1,183,405,615) (i) |
1,167,620,618 | |||||||
Other Assets/(Liabilities) — (3.0)% | (34,140,661 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 1,133,479,957 | ||||||
|
|
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 |
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 September 30, 2018, these securities amounted to a value of $434,825,151 or 38.36% 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 September 30, 2018. |
(c) | Security is perpetual and has no stated maturity date. |
(d) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(e) | Investment was valued using significant unobservable inputs. |
(f) | Restricted security. Certain securities are restricted as to resale. At September 30, 2018, these securities amounted to a value of $15,045,937 or 1.33% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(g) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2018, these securities amounted to a value of $1,709,271 or 0.15% of net assets. |
(h) | A portion of this security is pledged/held as collateral for open futures contracts and open swap agreements. (Note 2). |
(i) | See Note 3 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the portfolio of investments.
81
MML Managed Bond Fund – Portfolio of Investments (Continued)
(#) | Purchased Swaptions contracts at September 30, 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 | $ | 1,122,672 | $ | (513,076 | ) | |||||||||||||||||||||
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 | 1,390,935 | (350,505 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
3,377,188 | 2,513,607 | (863,581 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
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 | $ | 3,871,883 | $ | 541,848 | ||||||||||||||||||||||
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 | 3,814,027 | 348,941 | |||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
6,795,121 | 7,685,910 | 890,789 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | 10,172,309 | $ | 10,199,517 | $ | 27,208 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
Futures contracts at September 30, 2018:
Expiration Date |
Number of Contracts |
Notional Amount |
Value/Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Long |
| |||||||||||||||
U.S. Treasury Ultra Bond |
12/19/18 | 551 | $ | 88,120,779 | $ | (3,111,810 | ) | |||||||||
U.S. Treasury Note 2 Year |
12/31/18 | 416 | 87,967,327 | (301,827 | ) | |||||||||||
U.S. Treasury Note 5 Year |
12/31/18 | 865 | 98,146,377 | (854,150 | ) | |||||||||||
|
|
|||||||||||||||
$ | (4,267,787 | ) | ||||||||||||||
|
|
|||||||||||||||
Short |
| |||||||||||||||
U.S. Treasury Long Bond |
12/19/18 | 304 | $ | (43,876,383 | ) | $ | 1,164,383 | |||||||||
U.S. Treasury Ultra 10 Year |
12/19/18 | 60 | (7,612,093 | ) | 52,093 | |||||||||||
|
|
|||||||||||||||
$ | 1,216,476 | |||||||||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
82
MML Managed Bond Fund – Portfolio of Investments (Continued)
Swap agreements at September 30, 2018:
Counterparty |
Currency |
Notional Amount |
Expiration Date |
Payment |
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.BBB-.6† (Rating: BBB-) |
$ | (379,352 | ) | $ | 1,972 | $ | (377,380 | ) | ||||||||||||||
Goldman Sachs International | USD | 2,540,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6† (Rating: BBB-) |
(79,581 | ) | (219,964 | ) | (299,545 | ) | ||||||||||||||||
Goldman Sachs International | USD | 920,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6† (Rating: BBB-) |
(34,787 | ) | (73,711 | ) | (108,498 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (493,720 | ) | $ | (291,703 | ) | $ | (785,423 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Collateral for swap agreements held by Goldman Sachs International amounted to $637,474 in securities at September 30, 2018.
† | 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 portfolio of investments.
83
MML Short-Duration Bond Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Principal Amount |
Value | |||||||
BONDS & NOTES — 95.0% |
| |||||||
CORPORATE DEBT — 44.9% |
| |||||||
Advertising — 0.1% |
| |||||||
The Interpublic Group of Cos., Inc. |
$ | 200,000 | $ | 200,395 | ||||
|
|
|||||||
Aerospace & Defense — 0.4% |
| |||||||
Harris Corp. |
954,000 | 944,566 | ||||||
|
|
|||||||
Agriculture — 1.0% |
| |||||||
Bunge Ltd. Finance Corp. |
1,080,000 | 1,076,627 | ||||||
Imperial Brands Finance PLC |
1,087,000 | 1,076,383 | ||||||
Reynolds American, Inc. |
98,000 | 98,605 | ||||||
|
|
|||||||
2,251,615 | ||||||||
|
|
|||||||
Airlines — 0.4% |
| |||||||
American Airlines Pass-Through Trust, Series 2014-1,
Class B, |
27,900 | 27,721 | ||||||
Delta Air Lines, Inc. |
850,000 | 839,366 | ||||||
|
|
|||||||
867,087 | ||||||||
|
|
|||||||
Auto Manufacturers — 1.6% |
| |||||||
Ford Motor Credit Co. LLC |
||||||||
3.147% FRN 4/05/21 (b) |
405,000 | 402,451 | ||||||
3.549% FRN 2/15/23 (b) |
575,000 | 571,810 | ||||||
General Motors Financial Co., Inc. |
1,290,000 | 1,243,941 | ||||||
Hyundai Capital America |
||||||||
2.000% 7/01/19 (a) |
65,000 | 64,566 | ||||||
2.550% 2/06/19 (a) |
140,000 | 139,794 | ||||||
3.000% 10/30/20 (a) |
800,000 | 787,562 | ||||||
Nissan Motor Acceptance Corp. |
380,000 | 361,965 | ||||||
|
|
|||||||
3,572,089 | ||||||||
|
|
|||||||
Auto Parts & Equipment — 0.4% |
| |||||||
Lear Corp. |
920,000 | 945,867 | ||||||
|
|
|||||||
Banks — 7.7% |
| |||||||
Banco Santander SA |
1,200,000 | 1,174,498 | ||||||
Bancolombia SA |
195,000 | 204,165 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + .930% |
2,150,000 | 2,078,144 | ||||||
Barclays PLC |
485,000 | 482,462 |
Principal Amount |
Value | |||||||
Citigroup, Inc. |
$ | 995,000 | $ | 975,853 | ||||
Compass Bank |
1,150,000 | 1,180,869 | ||||||
Discover Bank |
||||||||
3.350% 2/06/23 |
923,000 | 896,303 | ||||||
4.200% 8/08/23 |
310,000 | 311,104 | ||||||
First Horizon National Corp. |
1,130,000 | 1,131,666 | ||||||
The Goldman Sachs Group, Inc. |
2,105,000 | 2,058,891 | ||||||
JP Morgan Chase & Co. |
990,000 | 1,020,564 | ||||||
Macquarie Bank Ltd. |
130,000 | 127,876 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
1,170,000 | 1,128,409 | ||||||
Morgan Stanley |
1,220,000 | 1,219,772 | ||||||
Regions Financial Corp. |
895,000 | 890,829 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
||||||||
2.058% 7/14/21 |
585,000 | 562,430 | ||||||
2.846% 1/11/22 |
150,000 | 146,325 | ||||||
SVB Financial Group |
75,000 | 77,701 | ||||||
Synchrony Bank |
765,000 | 733,323 | ||||||
Turkiye Garanti Bankasi AS |
370,000 | 361,209 | ||||||
|
|
|||||||
16,762,393 | ||||||||
|
|
|||||||
Beverages — 0.8% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. |
575,000 | 569,015 | ||||||
Keurig Dr Pepper, Inc. |
625,000 | 626,091 | ||||||
Molson Coors Brewing Co. |
||||||||
2.100% 7/15/21 |
330,000 | 317,318 | ||||||
3.500% 5/01/22 |
197,000 | 195,320 | ||||||
|
|
|||||||
1,707,744 | ||||||||
|
|
|||||||
Biotechnology — 0.4% |
| |||||||
Celgene Corp. |
||||||||
3.250% 2/20/23 |
570,000 | 558,948 | ||||||
4.000% 8/15/23 |
330,000 | 333,042 | ||||||
|
|
|||||||
891,990 | ||||||||
|
|
|||||||
Building Materials — 1.1% |
| |||||||
Holcim US Finance Sarl & Cie SCS |
960,000 | 990,153 | ||||||
Martin Marietta Materials, Inc. 3 mo. USD LIBOR + .650% |
395,000 | 396,319 |
The accompanying notes are an integral part of the portfolio of investments.
84
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Masco Corp. |
||||||||
3.500% 4/01/21 |
$ | 270,000 | $ | 269,857 | ||||
7.125% 3/15/20 |
65,000 | 68,269 | ||||||
Standard Industries, Inc. |
560,000 | 566,300 | ||||||
|
|
|||||||
2,290,898 | ||||||||
|
|
|||||||
Chemicals — 1.9% |
| |||||||
Huntsman International LLC |
492,000 | 506,760 | ||||||
Incitec Pivot Finance LLC |
902,000 | 925,175 | ||||||
LyondellBasell Industries NV |
||||||||
5.000% 4/15/19 |
365,000 | 366,829 | ||||||
6.000% 11/15/21 |
500,000 | 530,905 | ||||||
RPM International, Inc. |
||||||||
3.450% 11/15/22 |
8,000 | 7,867 | ||||||
6.125% 10/15/19 |
878,000 | 901,052 | ||||||
The Sherwin-Williams Co. |
535,000 | 518,858 | ||||||
Syngenta Finance NV |
440,000 | 439,002 | ||||||
|
|
|||||||
4,196,448 | ||||||||
|
|
|||||||
Commercial Services — 0.2% |
| |||||||
S&P Global, Inc. |
435,000 | 435,090 | ||||||
|
|
|||||||
Computers — 0.9% |
| |||||||
Dell International LLC/EMC Corp. |
||||||||
3.480% 6/01/19 (a) |
280,000 | 280,707 | ||||||
4.420% 6/15/21 (a) |
475,000 | 482,161 | ||||||
DXC Technology Co. |
230,000 | 228,082 | ||||||
Leidos Holdings, Inc. |
995,000 | 1,006,443 | ||||||
|
|
|||||||
1,997,393 | ||||||||
|
|
|||||||
Diversified Financial Services — 2.0% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
1,010,000 | 1,025,674 | ||||||
Aircastle Ltd. |
1,210,000 | 1,242,719 | ||||||
Antares Holdings LP |
660,000 | 662,598 | ||||||
Genpact Luxembourg Sarl |
1,035,000 | 1,010,628 | ||||||
Lazard Group LLC |
457,000 | 463,973 | ||||||
|
|
|||||||
4,405,592 | ||||||||
|
|
|||||||
Electric — 1.4% |
| |||||||
Ameren Corp. |
455,000 | 448,194 | ||||||
EDP Finance BV |
452,000 | 454,296 |
Principal Amount |
Value | |||||||
Enel Finance International NV |
$ | 485,000 | $ | 461,300 | ||||
Entergy Texas, Inc. |
||||||||
2.550% 6/01/21 |
95,000 | 92,493 | ||||||
7.125% 2/01/19 |
798,000 | 808,701 | ||||||
Israel Electric Corp. Ltd. |
283,000 | 285,652 | ||||||
Puget Energy, Inc. |
||||||||
6.000% 9/01/21 |
260,000 | 276,396 | ||||||
6.500% 12/15/20 |
255,000 | 270,169 | ||||||
|
|
|||||||
3,097,201 | ||||||||
|
|
|||||||
Electronics — 0.2% |
| |||||||
FLIR Systems, Inc. |
230,000 | 226,307 | ||||||
Tech Data Corp. |
240,000 | 234,917 | ||||||
|
|
|||||||
461,224 | ||||||||
|
|
|||||||
Foods — 0.8% |
| |||||||
Danone SA |
1,140,000 | 1,091,076 | ||||||
JBS Investments GmbH |
200,000 | 204,078 | ||||||
McCormick & Co., Inc. |
570,000 | 552,142 | ||||||
|
|
|||||||
1,847,296 | ||||||||
|
|
|||||||
Health Care – Products — 1.0% |
| |||||||
Abbott Laboratories |
||||||||
2.900% 11/30/21 |
575,000 | 567,812 | ||||||
3.250% 4/15/23 |
270,000 | 267,857 | ||||||
Becton Dickinson & Co. |
1,085,000 | 1,086,608 | ||||||
Boston Scientific Corp. |
255,000 | 253,167 | ||||||
|
|
|||||||
2,175,444 | ||||||||
|
|
|||||||
Health Care – Services — 0.5% |
| |||||||
Cigna Corp. |
||||||||
4.000% 2/15/22 |
316,000 | 318,462 | ||||||
4.500% 3/15/21 |
790,000 | 806,123 | ||||||
|
|
|||||||
1,124,585 | ||||||||
|
|
|||||||
Home Builders — 0.5% |
| |||||||
Lennar Corp. |
1,028,000 | 1,035,710 | ||||||
|
|
|||||||
Household Products & Wares — 0.3% |
| |||||||
Church & Dwight Co., Inc. |
565,000 | 549,370 | ||||||
|
|
|||||||
Insurance — 3.6% |
| |||||||
American International Group, Inc. |
550,000 | 548,863 | ||||||
AmTrust Financial Services, Inc. |
585,000 | 567,045 |
The accompanying notes are an integral part of the portfolio of investments.
85
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Athene Global Funding |
$ | 1,240,000 | $ | 1,242,617 | ||||
CNA Financial Corp. |
443,000 | 468,802 | ||||||
Enstar Group Ltd. |
575,000 | 577,521 | ||||||
Jackson National Life Global Funding |
945,000 | 909,561 | ||||||
Lincoln National Corp. |
||||||||
4.000% 9/01/23 |
122,000 | 123,378 | ||||||
6.250% 2/15/20 |
500,000 | 518,202 | ||||||
Nuveen Finance LLC |
1,005,000 | 1,003,621 | ||||||
Reinsurance Group of America, Inc. |
600,000 | 622,495 | ||||||
Trinity Acquisition PLC |
470,000 | 466,069 | ||||||
Willis Towers Watson PLC |
370,000 | 387,860 | ||||||
XLIT Ltd. |
465,000 | 492,005 | ||||||
|
|
|||||||
7,928,039 | ||||||||
|
|
|||||||
Investment Companies — 0.8% |
| |||||||
Ares Capital Corp. |
||||||||
3.625% 1/19/22 |
30,000 | 29,332 | ||||||
3.875% 1/15/20 |
678,000 | 680,685 | ||||||
BlackRock TCP Capital Corp. |
675,000 | 640,905 | ||||||
FS Investment Corp. |
470,000 | 471,758 | ||||||
|
|
|||||||
1,822,680 | ||||||||
|
|
|||||||
Leisure Time — 0.5% |
| |||||||
Brunswick Corp. |
1,088,000 | 1,079,900 | ||||||
|
|
|||||||
Lodging — 0.4% |
| |||||||
Marriott International, Inc. |
||||||||
2.300% 1/15/22 |
30,000 | 28,767 | ||||||
2.875% 3/01/21 |
775,000 | 763,310 | ||||||
|
|
|||||||
792,077 | ||||||||
|
|
|||||||
Machinery – Diversified — 0.9% |
| |||||||
CNH Industrial Capital LLC |
||||||||
3.375% 7/15/19 |
353,000 | 353,459 | ||||||
3.875% 10/15/21 |
635,000 | 633,224 | ||||||
4.875% 4/01/21 |
115,000 | 117,855 | ||||||
Wabtec Corp. |
870,000 | 863,880 | ||||||
|
|
|||||||
1,968,418 | ||||||||
|
|
|||||||
Media — 0.9% |
| |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
505,000 | 505,285 |
Principal Amount |
Value | |||||||
Discovery Communications LLC |
$ | 355,000 | $ | 339,540 | ||||
Sirius XM Radio, Inc. |
1,147,000 | 1,128,224 | ||||||
|
|
|||||||
1,973,049 | ||||||||
|
|
|||||||
Mining — 1.5% |
| |||||||
Anglo American Capital PLC |
500,000 | 493,585 | ||||||
Glencore Finance Canada Ltd. |
254,000 | 255,786 | ||||||
Glencore Funding LLC |
||||||||
3.000% 10/27/22 (a) |
260,000 | 249,184 | ||||||
4.125% 5/30/23 (a) |
590,000 | 589,280 | ||||||
Kinross Gold Corp. |
||||||||
5.125% 9/01/21 |
470,000 | 482,925 | ||||||
5.950% 3/15/24 |
550,000 | 561,000 | ||||||
Newcrest Finance Pty Ltd. |
565,000 | 566,803 | ||||||
|
|
|||||||
3,198,563 | ||||||||
|
|
|||||||
Office Equipment/Supplies — 0.6% |
| |||||||
Pitney Bowes, Inc. |
1,340,000 | 1,278,025 | ||||||
|
|
|||||||
Oil & Gas — 0.6% |
| |||||||
Antero Resources Corp. |
246,000 | 249,149 | ||||||
Continental Resources, Inc. |
568,000 | 576,236 | ||||||
EQT Corp. |
565,000 | 547,610 | ||||||
|
|
|||||||
1,372,995 | ||||||||
|
|
|||||||
Packaging & Containers — 0.5% |
| |||||||
Graphic Packaging International LLC |
1,094,000 | 1,104,940 | ||||||
|
|
|||||||
Pharmaceuticals — 2.8% |
| |||||||
Bayer US Finance II LLC |
980,000 | 981,671 | ||||||
Cardinal Health, Inc. 3 mo. USD LIBOR + .770% |
1,090,000 | 1,091,819 | ||||||
CVS Health Corp. |
||||||||
2.125% 6/01/21 |
840,000 | 810,789 | ||||||
3.700% 3/09/23 |
305,000 | 303,404 | ||||||
Express Scripts Holding Co. |
1,195,000 | 1,188,883 | ||||||
Shire Acquisitions Investments Ireland DAC |
||||||||
2.400% 9/23/21 |
235,000 | 226,984 | ||||||
2.875% 9/23/23 |
360,000 | 342,841 | ||||||
Teva Pharmaceutical Finance Netherlands III BV |
1,125,000 | 1,057,163 | ||||||
|
|
|||||||
6,003,554 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
86
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Pipelines — 1.4% |
| |||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. |
$ | 170,000 | $ | 167,394 | ||||
Energy Transfer Partners LP |
1,060,000 | 1,068,414 | ||||||
EQT Midstream Partners LP |
660,000 | 669,757 | ||||||
The Williams Cos., Inc. |
1,120,000 | 1,108,341 | ||||||
|
|
|||||||
3,013,906 | ||||||||
|
|
|||||||
Private Equity — 0.5% |
| |||||||
Hercules Capital, Inc. |
1,110,000 | 1,068,222 | ||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 1.4% |
| |||||||
American Tower Corp. |
||||||||
2.250% 1/15/22 |
415,000 | 396,147 | ||||||
3.000% 6/15/23 |
640,000 | 616,147 | ||||||
Crown Castle International Corp. |
614,000 | 612,425 | ||||||
Digital Realty Trust LP |
220,000 | 220,209 | ||||||
Healthcare Trust of America Holdings LP |
275,000 | 265,975 | ||||||
SBA Tower Trust |
350,000 | 343,196 | ||||||
Simon Property Group LP |
450,000 | 434,824 | ||||||
Weyerhaeuser Co. |
135,000 | 140,633 | ||||||
|
|
|||||||
3,029,556 | ||||||||
|
|
|||||||
Retail — 0.9% |
| |||||||
AutoNation, Inc. |
675,000 | 669,091 | ||||||
Dollar Tree, Inc. |
590,000 | 582,369 | ||||||
O’Reilly Automotive, Inc. |
183,000 | 183,312 | ||||||
QVC, Inc. |
560,000 | 553,130 | ||||||
|
|
|||||||
1,987,902 | ||||||||
|
|
|||||||
Semiconductors — 0.8% |
| |||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. |
800,000 | 779,408 | ||||||
Microchip Technology, Inc. |
450,000 | 447,364 | ||||||
NXP BV/NXP Funding LLC |
570,000 | 569,384 | ||||||
|
|
|||||||
1,796,156 | ||||||||
|
|
Principal Amount |
Value | |||||||
Telecommunications — 1.6% |
| |||||||
Ericsson LM |
$ | 1,650,000 | $ | 1,639,560 | ||||
Hughes Satellite Systems Corp. |
883,000 | 900,660 | ||||||
Sprint Communications, Inc. |
490,000 | 556,150 | ||||||
Verizon Communications, Inc. |
480,000 | 472,379 | ||||||
|
|
|||||||
3,568,749 | ||||||||
|
|
|||||||
Transportation — 0.3% |
| |||||||
Ryder System, Inc. |
||||||||
3.400% 3/01/23 |
175,000 | 172,713 | ||||||
3.750% 6/09/23 |
482,000 | 480,899 | ||||||
|
|
|||||||
653,612 | ||||||||
|
|
|||||||
Trucking & Leasing — 1.3% |
| |||||||
DAE Funding LLC |
205,000 | 202,694 | ||||||
GATX Corp. |
455,000 | 449,243 | ||||||
Park Aerospace Holdings Ltd. |
1,105,000 | 1,114,669 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. |
||||||||
2.500% 6/15/19 (a) |
370,000 | 368,716 | ||||||
3.050% 1/09/20 (a) |
515,000 | 512,599 | ||||||
3.300% 4/01/21 (a) |
150,000 | 148,475 | ||||||
3.375% 2/01/22 (a) |
20,000 | 19,720 | ||||||
|
|
|||||||
2,816,116 | ||||||||
|
|
|||||||
TOTAL CORPORATE DEBT (Cost $99,725,816) |
98,216,456 | |||||||
|
|
|||||||
MUNICIPAL OBLIGATIONS — 0.0% |
|
|||||||
Louisiana State Public Facilities Authority, Series 2011-A,
Class A2, 3 mo. USD LIBOR |
45,849 | 45,902 | ||||||
|
|
|||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $45,849) |
45,902 | |||||||
|
|
|||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 48.6% |
| |||||||
Auto Floor Plan ABS — 0.4% |
| |||||||
Navistar Financial Dealer Note Master Owner Trust II |
||||||||
Series 2018-1, Class C, |
160,000 | 160,250 | ||||||
Series 2018-1, Class D, |
230,000 | 230,006 |
The accompanying notes are an integral part of the portfolio of investments.
87
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
NextGear Floorplan Master Owner Trust, Series 2016-2A,
Class A2 |
$ | 480,000 | $ | 476,095 | ||||
|
|
|||||||
866,351 | ||||||||
|
|
|||||||
Automobile ABS — 8.1% |
| |||||||
American Credit Acceptance Receivables Trust |
||||||||
Series 2017-1, Class B, |
121,813 | 121,762 | ||||||
Series 2017-4, Class C, |
770,000 | 766,415 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2014-1,
Class D |
191,605 | 191,598 | ||||||
CarFinance Capital Auto Trust, Series 2015-1A,
Class A |
4,981 | 4,979 | ||||||
CPS Auto Trust |
||||||||
Series 2018-A, Class A, |
126,343 | 125,901 | ||||||
Series 2016-C, Class B, |
150,982 | 150,829 | ||||||
Series 2017-A, Class B, |
1,150,000 | 1,146,804 | ||||||
Series 2018-C, Class B, |
180,000 | 179,617 | ||||||
Drive Auto Receivables Trust |
||||||||
Series 2017-2, Class C, |
140,000 | 139,646 | ||||||
Series 2017-1, Class C, |
270,000 | 269,448 | ||||||
Series 2018-2, Class B, |
200,000 | 199,735 | ||||||
Series 2018-4, Class C, |
230,000 | 229,669 | ||||||
DT Auto Owner Trust, Series 2018-1A,
Class B |
290,000 | 289,200 | ||||||
Enterprise Fleet Financing LLC, Series 2016-1,
Class A2 |
51,488 | 51,433 | ||||||
Exeter Automobile Receivables Trust |
||||||||
Series 2018-1A, Class B, |
270,000 | 267,620 | ||||||
Series 2016-3A, Class B, |
260,000 | 259,650 | ||||||
Series 2017-1A, Class B, |
260,000 | 259,468 | ||||||
Series 2018-2A, Class B, |
250,000 | 249,143 | ||||||
Series 2015-2A, Class C, |
650,000 | 651,513 |
Principal Amount |
Value | |||||||
First Investors Auto Owner Trust |
||||||||
Series 2016-2A, Class B, |
$ | 540,000 | $ | 532,297 | ||||
Series 2017-3A, Class B, |
340,000 | 332,494 | ||||||
Series 2018-1A, Class A2, |
290,000 | 289,701 | ||||||
Flagship Credit Auto Trust |
||||||||
Series 2015-2, Class A, |
5,011 | 5,010 | ||||||
Series 2015-3, Class A, |
19,654 | 19,639 | ||||||
Series 2016-4, Class B, |
910,000 | 906,326 | ||||||
Series 2018-1, Class A, |
581,832 | 579,174 | ||||||
Series 2016-4, Class C, |
410,000 | 397,766 | ||||||
Series 2016-1, Class A, |
61,110 | 61,112 | ||||||
Series 2017-1, Class B, |
615,000 | 612,361 | ||||||
Series 2017-4, Class C, |
650,000 | 633,998 | ||||||
Series 2018-1, Class B, |
1,250,000 | 1,237,736 | ||||||
Hertz Vehicle Financing II LP |
||||||||
Series 2018-1A, Class A, |
1,560,000 | 1,517,164 | ||||||
Series 2017-1A, Class B, |
510,000 | 505,746 | ||||||
Series 2018-1A, Class B, |
770,000 | 748,115 | ||||||
Hertz Vehicle Financing LLC, Series 2018-3A,
Class B |
330,000 | 327,869 | ||||||
NextGear Floorplan Master Owner Trust |
||||||||
Series 2015-2A, Class A, |
250,000 | 249,983 | ||||||
Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700% |
370,000 | 372,679 | ||||||
Oscar US Funding Trust II, Series 2015-1A,
Class A4 |
288,840 | 288,090 | ||||||
Oscar US Funding Trust IV, Series 2016-1A,
Class A2B, 1 mo. USD LIBOR + 1.700% |
9,613 | 9,634 | ||||||
OSCAR US Funding Trust IX LLC, Series 2018-2A,
Class A4 |
260,000 | 259,372 |
The accompanying notes are an integral part of the portfolio of investments.
88
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Oscar US Funding Trust V, Series 2016-2A,
Class A2A |
$ | 11,113 | $ | 11,108 | ||||
Oscar US Funding Trust VI |
||||||||
Series 2017-1A, Class A3, |
240,000 | 239,074 | ||||||
Series 2017-1A, Class A4, |
160,000 | 159,213 | ||||||
Oscar US Funding Trust VIII LLC, Series 2018-1A,
Class A2A |
304,118 | 303,785 | ||||||
Santander Drive Auto Receivables Trust |
||||||||
Series 2016-1, Class B, |
52,928 | 52,920 | ||||||
Series 2014-4, Class D, |
179,118 | 179,346 | ||||||
Series 2016-1, Class D, |
500,000 | 503,989 | ||||||
Securitized Equipment Receivable |
||||||||
3.760% 10/11/24 |
270,000 | 268,497 | ||||||
4.200% 10/11/24 |
310,000 | 308,118 | ||||||
Tesla Auto Lease Trust, Series 2018-A,
Class B |
150,000 | 149,358 | ||||||
|
|
|||||||
17,616,104 | ||||||||
|
|
|||||||
Commercial MBS — 1.5% |
| |||||||
BHMS Mortgage Trust, Series 2018-ATLS,
Class B, |
950,000 | 951,456 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A2 |
244,646 | 244,738 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7,
Class AM, |
110,600 | 111,759 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series
2018-LAQ, Class A, |
850,000 | 851,056 | ||||||
RETL, Series 2018-RVP, Class A, |
555,766 | 557,858 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4,
Class AJ, |
11,538 | 11,592 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2,
Class AFX, |
255,085 | 253,275 | ||||||
VMC Finance LLC, Series 2018-FL1, Class A, |
361,226 | 361,005 | ||||||
|
|
|||||||
3,342,739 | ||||||||
|
|
Principal Amount |
Value | |||||||
Home Equity ABS — 0.1% |
| |||||||
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo.
USD LIBOR + .735% |
$ | 2,057 | $ | 2,065 | ||||
Countrywide Partnership Trust, Series 2004-EC1,
Class M1, 1 mo. USD LIBOR + .900% |
102,644 | 102,660 | ||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1,
Class A, 1 mo. USD LIBOR + .240% |
108,337 | 108,127 | ||||||
|
|
|||||||
212,852 | ||||||||
|
|
|||||||
Other ABS — 18.2% |
| |||||||
321 Henderson Receivables I LLC |
||||||||
Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200% |
72,090 | 70,870 | ||||||
Series 2010-3A, Class A, |
230,512 | 231,241 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD
LIBOR + 1.480% |
370,000 | 371,912 | ||||||
American Tower Trust #1, Series 13, Class 2A |
500,000 | 485,135 | ||||||
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD
LIBOR + 1.460% |
520,000 | 520,098 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 |
291,750 | 292,701 | ||||||
Avant Loans Funding Trust |
||||||||
Series 2017-B, Class A, |
57,552 | 57,521 | ||||||
Series 2018-A, Class A, |
285,099 | 285,038 | ||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3
mo. USD LIBOR + 1.120% |
342,154 | 342,189 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE |
157,803 | 157,803 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A,
Class A |
182,063 | 177,850 | ||||||
CAL Funding III Ltd., Series 2018-2A,
Class A |
290,000 | 289,967 | ||||||
Capital Automotive LLC, Series 2012-1A,
Class A1 |
256,317 | 254,394 |
The accompanying notes are an integral part of the portfolio of investments.
89
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Castlelake Aircraft Structured Trust, Series 2018-1,
Class A |
$ | 363,377 | $ | 362,348 | ||||
Cazenovia Creek Funding I LLC, Series 2015-1A,
Class A |
34,163 | 34,078 | ||||||
CLI Funding VI LLC, Series 2017-1A, Class A |
512,174 | 500,701 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5,
Class 3A, 1 mo. USD LIBOR + .460% |
10,463 | 10,449 | ||||||
Denali Capital CLO X LLC, Series 2013-1A,
Class A1, |
350,000 | 350,155 | ||||||
Diamond Resorts Owner Trust |
||||||||
Series 2014-1, Class A, |
26,454 | 26,440 | ||||||
Series 2015-1, Class A, |
54,609 | 54,603 | ||||||
Series 2015-2, Class A, |
67,146 | 66,874 | ||||||
Series 2016-1, Class A, |
391,110 | 381,617 | ||||||
Series 2015-2, Class B, |
45,369 | 45,104 | ||||||
Series 2018-1, Class A, |
371,146 | 369,277 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2018-1A,
Class A2I |
359,100 | 356,941 | ||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A,
Class A1 |
12,500 | 12,472 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A1, 3
mo. USD LIBOR + 5.250% |
18,000 | 18,078 | ||||||
Drug Royalty II LP, Series 2014-1, Class A1, 3 mo. USD
LIBOR + 2.850% |
65,129 | 65,655 | ||||||
Elara HGV Timeshare Issuer LLC |
||||||||
Series 2017-A, Class A, |
213,535 | 207,888 | ||||||
Series 2016-A, Class A, |
373,951 | 365,914 | ||||||
Series 2014-A, Class B, |
70,963 | 68,718 | ||||||
Element Rail Leasing II LLC |
||||||||
Series 2015-1A, Class A1, |
48,713 | 47,922 | ||||||
Series 2016-1A, Class A1, |
139,284 | 139,875 |
Principal Amount |
Value | |||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series
2015-1, Class A |
$ | 72,283 | $ | 70,407 | ||||
FRS I LLC, Series 2013-1A, Class A1 |
15,553 | 15,480 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A,
Class AR, |
600,000 | 597,503 | ||||||
Global SC Finance II SRL, Series 2013-1A,
Class A |
135,208 | 132,738 | ||||||
Global SC Finance IV Ltd., Series 2017-1A,
Class A |
285,304 | 281,473 | ||||||
Goodgreen Trust |
||||||||
Series 2016-1A, Class A, |
434,390 | 418,518 | ||||||
Series 2018-1A, Class A, |
350,828 | 349,234 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD
LIBOR + .645% |
16,728 | 16,699 | ||||||
Hercules Capital Funding Trust, Series 2014-1A,
Class A |
6,797 | 6,797 | ||||||
Hero Funding Trust |
||||||||
Series 2017-3A, Class A1, |
278,334 | 267,151 | ||||||
Series 2016-4A, Class A1, |
286,602 | 281,241 | ||||||
Series 2015-1A, Class A, |
628,700 | 648,816 | ||||||
Series 2018-1A, Class A2, |
501,950 | 512,837 | ||||||
Hilton Grand Vacations Trust |
||||||||
Series 2014-AA, Class A, |
93,406 | 91,703 | ||||||
Series 2013-A, Class A, |
72,981 | 72,557 | ||||||
Series 2017-AA, Class B, |
237,418 | 229,938 | ||||||
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400% |
590,000 | 592,280 | ||||||
Lendmark Funding Trust |
||||||||
Series 2017-1A, Class A, |
240,000 | 238,624 | ||||||
Series 2018-1A, Class A, |
350,000 | 349,633 | ||||||
Madison Park Funding XIV Ltd., Series 2014-14A,
Class A1R, 3 mo. USD LIBOR + 1.120% |
280,000 | 280,027 |
The accompanying notes are an integral part of the portfolio of investments.
90
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Madison Park Funding XXII Ltd., Series 2016-22A,
Class A, 3 mo. USD LIBOR + 1.480% |
$ | 420,000 | $ | 421,464 | ||||
Magnetite XI Ltd., Series 2014-11A, Class A1R, 3 mo.
USD LIBOR + 1.120% |
700,000 | 700,057 | ||||||
Mariner Finance Issuance Trust |
||||||||
Series 2017-BA, Class A, |
900,000 | 885,595 | ||||||
Series 2017-AA, Class A, |
400,000 | 399,932 | ||||||
Marlette Funding Trust |
||||||||
Series 2017-3A, Class A, |
128,754 | 128,285 | ||||||
Series 2017-2A, Class A, |
102,130 | 101,959 | ||||||
Series 2017-1A, Class A, |
155,615 | 155,565 | ||||||
Series 2018-2A, Class A, |
250,068 | 249,630 | ||||||
Series 2018-3A, Class A, |
632,652 | 632,559 | ||||||
Mosaic Solar Loans LLC |
||||||||
Series 2017-2A, Class D, |
250,000 | 229,601 | ||||||
Series 2018-2GS, Class A, |
344,000 | 343,061 | ||||||
Series 2017-1A, Class A, |
90,149 | 90,791 | ||||||
MVW Owner Trust |
||||||||
Series 2013-1A, Class A, |
70,598 | 69,568 | ||||||
Series 2014-2, Class A, |
119,109 | 116,390 | ||||||
Series 2016-1A, Class A, |
47,483 | 45,948 | ||||||
Neuberger Berman CLO XX Ltd., Series 2015-20A,
Class BR, |
250,000 | 247,305 | ||||||
New Residential Advance Receivables Trust, Series 2016-T2,
Class AT2 |
975,000 | 966,667 | ||||||
NP SPE II LLC, Series 2017-1A, Class A1 |
172,447 | 168,602 | ||||||
NRZ Advance Receivables Trust, Series 2016-T4,
Class AT4 |
700,000 | 693,420 | ||||||
OCP CLO Ltd., Series 2015-8A, Class A2AR, |
650,000 | 648,172 |
Principal Amount |
Value | |||||||
OHA Loan Funding Ltd., Series 2015-1A, Class AR, 3 mo.
USD LIBOR + 1.410% |
$ | 590,000 | $ | 592,495 | ||||
Orange Lake Timeshare Trust |
||||||||
Series 2014-AA, Class A, |
28,174 | 27,599 | ||||||
Series 2016-A, Class A, |
712,457 | 692,040 | ||||||
Series 2016-A, Class B, |
292,157 | 284,762 | ||||||
Oxford Finance Funding Trust |
||||||||
Series 2014-1A, Class A, |
23,591 | 23,601 | ||||||
Series 2016-1A, Class A, |
192,460 | 191,189 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR +
..250% |
11,731 | 11,723 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3
mo. USD LIBOR + 1.340% |
700,000 | 703,256 | ||||||
Sierra Receivables Funding Co. LLC |
||||||||
Series 2014-3A, Class A, |
132,702 | 132,007 | ||||||
Series 2015-1A, Class A, |
268,792 | 264,095 | ||||||
Sierra Timeshare Receivables Funding LLC |
||||||||
Series 2014-2A, Class A, |
86,356 | 86,201 | ||||||
Series 2015-2A, Class A, |
262,703 | 259,449 | ||||||
Series 2015-3A, Class A, |
56,872 | 55,969 | ||||||
Series 2016-2A, Class B, |
216,578 | 213,338 | ||||||
Series 2017-1A, Class A, |
360,247 | 355,734 | ||||||
Series 2015-1A, Class B, |
327,640 | 325,473 | ||||||
Series 2015-3A, Class B, |
21,874 | 21,657 | ||||||
Series 2018-2A, Class C, |
300,374 | 298,853 | ||||||
SoFi Consumer Loan Program LLC |
||||||||
Series 2016-3, Class A, |
160,608 | 159,855 | ||||||
Series 2016-5, Class A, |
918,396 | 914,763 | ||||||
Series 2016-2A, Class A, |
179,534 | 178,969 | ||||||
Series 2016-1A, Class A, |
483,586 | 482,849 |
The accompanying notes are an integral part of the portfolio of investments.
91
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2015-2, Class A, |
$ | 239,986 | $ | 240,200 | ||||
Series 2017-2, Class A, |
361,062 | 360,150 | ||||||
Sofi Consumer Loan Program Trust, Series 2018-3,
Class A1 |
305,592 | 305,544 | ||||||
Springleaf Funding Trust, Series 2016-AA,
Class A |
1,460,000 | 1,456,044 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T1,
Class AT1 |
1,040,000 | 1,040,757 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR,
3 mo. USD LIBOR + 1.180% |
800,000 | 800,261 | ||||||
Taco Bell Funding LLC, Series 2016-1A,
Class A2I |
374,300 | 374,693 | ||||||
TAL Advantage V LLC, Series 2014-2A,
Class A2 |
403,333 | 400,630 | ||||||
TAL Advantage VI LLC, Series 2017-1A,
Class A |
430,304 | 434,200 | ||||||
TCI-Symphony CLO Ltd.,
Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480% |
300,000 | 300,865 | ||||||
TLF National Tax Lien Trust, Series 2017-1A,
Class A |
430,177 | 429,043 | ||||||
Trafigura Securitisation Finance PLC |
||||||||
Series 2018-1A, Class A1, |
610,000 | 610,000 | ||||||
Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700% |
260,000 | 259,761 | ||||||
Series 2018-1A, Class B, |
920,000 | 919,939 | ||||||
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo.
USD LIBOR + 1.370% |
950,000 | 950,326 | ||||||
Trinity Rail Leasing LP, Series 2018-1A,
Class A1 |
585,000 | 586,156 | ||||||
Trip Rail Master Funding LLC |
||||||||
Series 2017-1A, Class A1, |
143,335 | 141,135 | ||||||
Series 2011-1A, Class A2, |
669,679 | 693,197 |
Principal Amount |
Value | |||||||
Triton Container Finance IV LLC, Series 2017-2A,
Class A |
$ | 938,044 | $ | 917,860 | ||||
Triton Container Finance VI LLC, Series 2018-2A,
Class A |
536,250 | 535,174 | ||||||
VSE VOI Mortgage LLC |
||||||||
Series 2016-A, Class A, |
425,067 | 413,571 | ||||||
Series 2018-A, Class C, |
312,346 | 310,363 | ||||||
Welk Resorts LLC |
||||||||
Series 2015-AA, Class A, |
78,481 | 76,693 | ||||||
Series 2017-AA, Class B, |
230,164 | 223,780 | ||||||
Westgate Resorts LLC |
||||||||
Series 2014-1A, Class A, |
64,365 | 64,096 | ||||||
Series 2017-1A, Class A, |
219,894 | 217,267 | ||||||
Series 2015-2A, Class A, |
129,834 | 129,681 | ||||||
Series 2018-1A, Class A, |
391,482 | 389,454 | ||||||
Willis Engine Structured Trust IV, Series 2018-A,
Class A, |
260,000 | 260,586 | ||||||
|
|
|||||||
39,887,358 | ||||||||
|
|
|||||||
Student Loans ABS — 15.4% |
| |||||||
Access Group, Inc. |
||||||||
Series 2015-1, Class A, 1 mo. USD LIBOR + .700% |
233,890 | 233,172 | ||||||
Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500% |
140,000 | 125,852 | ||||||
AccessLex Institute |
||||||||
Series 2004-A, Class A3, 28 day ARS |
1,250,000 | 1,233,085 | ||||||
Series 2003-A, Class A3, 3 mo. Treasury + 1.200% |
42,022 | 41,097 | ||||||
College Ave Student Loans LLC, Series 2018-A,
Class A1, |
593,506 | 593,506 | ||||||
College Loan Corp. Trust I, Series 2005-2,
Class B, 3 mo. USD LIBOR + .490% |
216,160 | 202,852 | ||||||
Commonbond Student Loan Trust |
||||||||
Series 2018-AGS, Class C, |
230,000 | 228,115 |
The accompanying notes are an integral part of the portfolio of investments.
92
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2018-BGS, Class C, |
$ | 230,000 | $ | 229,320 | ||||
Series 2017-AGS, Class C, |
243,580 | 242,251 | ||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A,
Class B |
87,209 | 80,631 | ||||||
DRB Prime Student Loan Trust |
||||||||
Series 2015-A, Class A3, |
29,765 | 29,559 | ||||||
Series 2015-B, Class A3, |
39,696 | 39,181 | ||||||
Series 2015-A, Class A2, |
83,171 | 82,227 | ||||||
Series 2015-D, Class A2, |
589,571 | 587,807 | ||||||
Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700% |
148,748 | 151,627 | ||||||
Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900% |
560,317 | 568,875 | ||||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000% |
129,372 | 132,957 | ||||||
Earnest Student Loan Program LLC |
||||||||
Series 2016-C, Class A2, |
292,060 | 279,798 | ||||||
Series 2016-D, Class A2, |
257,837 | 252,687 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050% |
150,684 | 154,425 | ||||||
ECMC Group Student Loan Trust |
||||||||
Series 2018-1A, Class A, |
853,585 | 853,713 | ||||||
Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200% |
886,827 | 898,800 | ||||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350% |
450,105 | 458,863 | ||||||
EdLinc Student Loan Funding, Series 2017-A,
Class A, (Acquired 12/22/17, Cost $695,132), |
604,770 | 598,034 | ||||||
Education Loan Asset-Backed Trust I, Series 2013-1,
Class A1, 1 mo. USD LIBOR + .800% |
363,517 | 363,656 | ||||||
ELFI Graduate Loan Program LLC |
||||||||
Series 2018-A, Class A1, |
596,611 | 596,611 |
Principal Amount |
Value | |||||||
Series 2018-A, Class B, |
$ | 250,000 | $ | 241,449 | ||||
Higher Education Funding I, Series 2004-1, Class B1,
28 day ARS |
950,000 | 835,845 | ||||||
KeyCorp Student Loan Trust, Series 2006-A,
Class 2A4, 3 mo. USD LIBOR + .310% |
36,714 | 36,629 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-B,
Class CFX |
317,651 | 302,227 | ||||||
Navient Private Education Loan Trust |
||||||||
Series 2014-AA, Class A2A, |
208,354 | 204,642 | ||||||
Series 2018-BA, Class A2B, |
170,000 | 170,502 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-A,
Class A1 |
425,593 | 422,142 | ||||||
Navient Student Loan Trust |
||||||||
Series 2018-1A, Class A3, |
850,000 | 853,853 | ||||||
Series 2018-2A, Class A3, |
540,000 | 540,723 | ||||||
Series 2017-5A, Class A, |
373,486 | 377,061 | ||||||
Series 2018-3A, Class A3, |
900,000 | 908,457 | ||||||
Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150% |
750,000 | 767,395 | ||||||
Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250% |
679,644 | 696,847 | ||||||
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% |
560,000 | 580,824 | ||||||
Nelnet Private Education Loan Trust |
||||||||
Series 2016-A, Class A1B, |
177,186 | 170,311 | ||||||
Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750% |
246,072 | 246,498 | ||||||
Nelnet Student Loan Trust |
||||||||
Series 2005-1, Class A5, 3 mo. USD LIBOR + .110% |
224,434 | 223,089 | ||||||
Series 2005-2, Class A5, 3 mo. USD LIBOR + .100% |
233,962 | 232,292 | ||||||
Series 2007-2A, Class A4A2, 28 day ARS |
600,000 | 591,790 | ||||||
Series 2018-3A, Class A3, |
700,000 | 700,028 |
The accompanying notes are an integral part of the portfolio of investments.
93
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Series 2018-1A, Class A2, |
$ | 800,000 | $ | 804,113 | ||||
Series 2014-1A, Class B, 1 mo. USD LIBOR + 1.500% |
170,000 | 163,160 | ||||||
Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500% |
130,000 | 121,763 | ||||||
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% |
537,826 | 544,804 | ||||||
SLC Student Loan Trust, Series 2005-1, Class B, 3 mo.
USD LIBOR + .200% |
376,579 | 349,184 | ||||||
SLM Student Loan Trust |
||||||||
Series 2007-5, Class A6, 3 mo. USD LIBOR + .110% |
119,474 | 115,323 | ||||||
Series 2005-5, Class A4, 3 mo. USD LIBOR + .140% |
272,089 | 271,415 | ||||||
Series 2006-10, Class A6, 3 mo. USD LIBOR + .150% |
940,000 | 904,752 | ||||||
Series 2006-7, Class B, 3 mo. USD LIBOR + .200% |
1,180,478 | 1,125,595 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% |
450,572 | 427,183 | ||||||
Series 2006-10, Class B, 3 mo. USD LIBOR + .220% |
717,035 | 678,307 | ||||||
Series 2005-6, Class B,, 3 mo. USD LIBOR + .290% |
611,872 | 572,244 | ||||||
Series 2003-14, Class A6, 3 mo. USD LIBOR + .300% |
150,000 | 149,682 | ||||||
Series 2005-9, Class B, 3 mo. USD LIBOR + .300% |
453,416 | 433,092 | ||||||
Series 2005-8, Class B, 3 mo. USD LIBOR + .310% |
181,974 | 171,867 | ||||||
Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550% |
850,000 | 853,687 |
Principal Amount |
Value | |||||||
Series 2005-9, Class A7A, 3 mo. EURIBOR + .600% |
$ | 710,000 | $ | 711,600 | ||||
Series 2003-14, Class A7, 3 mo. USD LIBOR + .600% |
2,150,000 | 2,150,309 | ||||||
Series 2005-7, Class A5, 3 mo. USD LIBOR + .750% |
770,000 | 767,113 | ||||||
Series 2013-4, Class B, 1 mo. USD LIBOR + 1.500% |
120,000 | 116,795 | ||||||
Series 2003-5, Class A7, 28 day ARS + 2.500% |
50,000 | 50,000 | ||||||
SMB Private Education Loan Trust |
||||||||
Series 2018-B, Class A2B, |
550,000 | 550,547 | ||||||
Series 2016-C, Class A2B, 1 mo. USD LIBOR + 1.100% |
290,000 | 293,676 | ||||||
Series 2014-A, Class A2B, 1 mo. USD LIBOR + 1.150% |
472,649 | 477,720 | ||||||
Series 2016-B, Class A2B, 1 mo. USD LIBOR + 1.450% |
124,698 | 127,400 | ||||||
SoFi Professional Loan Program LLC |
||||||||
Series 2015-A, Class RC, (Acquired 4/19/17, Cost $562,750), |
200 | 213,750 | ||||||
Series 2017-D, Class R1, (Acquired 7/19/17, Cost $565,900), |
1,000,000 | 630,000 | ||||||
Series 2018-A, Class R1 (Acquired 1/22/18, Cost $718,200), |
1,000,000 | 718,200 | ||||||
Series 2016-D, Class A1, 1 mo. USD LIBOR + .950% |
86,753 | 87,237 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200% |
142,971 | 145,196 | ||||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750% |
152,465 | 157,028 | ||||||
Sofi Professional Loan Program Trust, Series 2018-D, Class R1 (Acquired 9/20/18, Cost $314,012) 2/25/48 (a) (c) (d) (e) |
956,000 | 329,342 | ||||||
|
|
|||||||
33,770,486 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
94
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
WL Collateral CMO — 4.9% |
| |||||||
Bank of America Mortgage Securities, Series 2004-G,
Class 2A7, |
$ | 6,158 | $ | 6,222 | ||||
Countrywide Home Loans, Inc. |
||||||||
Series 2004-2, Class 1A1, |
3,552 | 3,570 | ||||||
Series 2003-42, Class 1A1, |
786 | 716 | ||||||
Deephaven Residential Mortgage Trust |
||||||||
Series 2018-1A, Class A2, |
528,798 | 518,451 | ||||||
Series 2018-2A, Class A3, |
886,803 | 883,221 | ||||||
Series 2018-3A, Class A3, |
320,000 | 320,204 | ||||||
GSR Mortgage Loan Trust, Series 2004-9,
Class 2A1, |
1,127 | 1,119 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4,
Class 1A, |
8,002 | 7,843 | ||||||
JP Morgan Mortgage Trust |
||||||||
Series 2018-1, Class A5, |
412,534 | 406,914 | ||||||
Series 2018-3, Class A5, |
615,789 | 605,475 | ||||||
Series 2018-4, Class A15, |
566,181 | 558,493 | ||||||
Series 2017-6, Class A5, |
571,287 | 563,862 | ||||||
Merrill Lynch Mortgage Investors, Inc. |
||||||||
Series 2004-A1, Class IA, |
697 | 675 | ||||||
Series 2003-A4, Class IA, |
526 | 527 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR,
Class 1A, |
42 | 46 | ||||||
New Residential Mortgage Loan Trust, Series 2016-4A,
Class A1, |
330,852 | 329,342 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A
(Acquired 2/21/18, Cost $250,000), |
250,000 | 252,893 | ||||||
PSMC Trust |
||||||||
Series 2018-1, Class A3, |
595,603 | 586,692 | ||||||
Series 2018-2, Class A3, |
624,680 | 614,671 | ||||||
Sequoia Mortgage Trust |
||||||||
Series 2015-1, Class A6, |
467,525 | 452,900 |
Principal Amount |
Value | |||||||
Series 2018-3, Class A4, |
$ | 723,452 | $ | 713,608 | ||||
Series 2018-5, Class A4, |
577,351 | 569,497 | ||||||
Series 2018-CH1, Class A10, |
370,850 | 372,170 | ||||||
Series 2018-CH2, Class A12, |
931,749 | 935,058 | ||||||
Series 2018-CH3, Class A11, |
665,607 | 668,922 | ||||||
Series 2018-7, Class A4, |
237,644 | 240,602 | ||||||
Shellpoint Co-Originator Trust, Series 2016-1, Class 2A3, |
799,402 | 763,823 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series
2004-2, Class 2A, |
4,357 | 4,379 | ||||||
TIAA Bank Mortgage Loan Trust, Series 2018-2,
Class A4, |
332,485 | 327,964 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400% |
12,792 | 13,279 | ||||||
|
|
|||||||
10,723,138 | ||||||||
|
|
|||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $106,865,210) |
106,419,028 | |||||||
|
|
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 1.1% |
| |||||||
Collateralized Mortgage Obligations — 1.0% |
| |||||||
Federal Home Loan Mortgage Corp. |
||||||||
Series 4740, Class CA, |
279,346 | 273,633 | ||||||
Series 4491, Class B, |
448,361 | 439,635 | ||||||
Series 4720, Class A, |
380,492 | 373,520 | ||||||
Federal National Mortgage Association |
||||||||
Series 2015-80, Class CA, |
627,484 | 615,559 | ||||||
Series 2015-63, Class KA, |
299,236 | 294,448 | ||||||
Government National Mortgage Association (b) Series
2014-131, Class BW |
131,916 | 140,016 | ||||||
|
|
|||||||
2,136,811 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
95
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount |
Value | |||||||
Pass-Through Securities — 0.1% |
| |||||||
Federal Home Loan Mortgage Corp. |
||||||||
Pool #C01079 7.500% 10/01/30 |
$ | 327 | $ | 370 | ||||
Pool #C01135 7.500% 2/01/31 |
1,036 | 1,170 | ||||||
Federal National Mortgage Association |
||||||||
Pool #888586 1 year CMT + 2.198% 3.976% FRN 10/01/34 |
20,234 | 20,987 | ||||||
Pool #725692 1 year CMT + 2.138% 4.019% FRN 10/01/33 |
21,230 | 22,258 | ||||||
Pool #775539 12 mo. USD LIBOR + 1.645% |
8,777 | 9,132 | ||||||
Pool #575667 7.000% 3/01/31 |
2,336 | 2,634 | ||||||
Pool #529453 7.500% 1/01/30 |
503 | 569 | ||||||
Pool #531196 7.500% 2/01/30 |
63 | 70 | ||||||
Pool #530299 7.500% 3/01/30 |
67 | 73 | ||||||
Pool #535996 7.500% 6/01/31 |
1,200 | 1,355 | ||||||
Pool #523499 8.000% 11/01/29 |
53 | 60 | ||||||
Pool #252926 8.000% 12/01/29 |
24 | 27 | ||||||
Pool #532819 8.000% 3/01/30 |
30 | 35 | ||||||
Pool #534703 8.000% 5/01/30 |
511 | 581 | ||||||
Pool #253437 8.000% 9/01/30 |
31 | 35 | ||||||
Pool #253481 8.000% 10/01/30 |
14 | 16 | ||||||
Pool #596656 8.000% 8/01/31 |
193 | 199 | ||||||
Pool #602008 8.000% 8/01/31 |
790 | 899 | ||||||
Pool #190317 8.000% 8/01/31 |
632 | 720 | ||||||
Pool #597220 8.000% 9/01/31 |
621 | 712 | ||||||
Government National Mortgage Association |
||||||||
Pool #371146 7.000% 9/15/23 |
65 | 68 | ||||||
Pool #352022 7.000% 11/15/23 |
1,035 | 1,103 | ||||||
Pool #491089 7.000% 12/15/28 |
1,686 | 1,830 | ||||||
Pool #500928 7.000% 5/15/29 |
794 | 887 | ||||||
Pool #478658 7.000% 5/15/29 |
415 | 465 | ||||||
Pool #499410 7.000% 7/15/29 |
241 | 271 | ||||||
Pool #510083 7.000% 7/15/29 |
180 | 201 | ||||||
Pool #493723 7.000% 8/15/29 |
484 | 543 | ||||||
Pool #581417 7.000% 7/15/32 |
2,344 | 2,639 | ||||||
Government National Mortgage Association II |
||||||||
Pool #008746 1 year CMT + 1.500% 3.125% FRN 11/20/25 |
863 | 877 | ||||||
Pool #080136 1 year CMT + 1.500% 3.125% FRN 11/20/27 |
162 | 165 | ||||||
Pool #82462 1 year CMT + 1.500% 3.375% FRN 1/20/40 |
59,778 | 61,905 | ||||||
Pool #82488 1 year CMT + 1.500% 3.375% FRN 3/20/40 |
68,245 | 70,649 | ||||||
|
|
|||||||
203,505 | ||||||||
|
|
|||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $2,405,489) |
2,340,316 | |||||||
|
|
Principal Amount |
Value | |||||||
U.S. TREASURY OBLIGATIONS — 0.4% |
| |||||||
U.S. Treasury Bonds & Notes — 0.4% |
| |||||||
U.S. Treasury Note |
$ | 720,000 | $ | 829,271 | ||||
|
|
|||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $846,056) |
829,271 | |||||||
|
|
|||||||
TOTAL BONDS & NOTES (Cost $209,888,420) |
207,850,973 | |||||||
|
|
|||||||
TOTAL PURCHASED OPTIONS (#) — 0.9% (Cost $2,011,623) |
2,016,930 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $211,900,043) |
209,867,903 | |||||||
|
|
|||||||
SHORT-TERM INVESTMENTS — 4.6% |
|
|||||||
Commercial Paper — 4.6% |
| |||||||
Avangrid, Inc. |
1,750,000 | 1,749,653 | ||||||
Comcast Corp. |
2,250,000 | 2,247,247 | ||||||
Glencore Funding LLC |
2,000,000 | 1,999,063 | ||||||
Mohawk Industries, Inc. |
2,250,000 | 2,247,399 | ||||||
Walgreens Boots Alliance, Inc. |
1,750,000 | 1,747,623 | ||||||
|
|
|||||||
9,990,985 | ||||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,993,210) |
9,990,985 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 100.5% (Cost $221,893,253) (g) |
219,858,888 | |||||||
Other Assets/(Liabilities) — (0.5)% | (1,152,102 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 218,706,786 | ||||||
|
|
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 |
The accompanying notes are an integral part of the portfolio of investments.
96
MML Short-Duration 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 September 30, 2018, these securities amounted to a value of $124,598,345 or 56.97% 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 September 30, 2018. |
(c) | Investment was valued using significant unobservable inputs. |
(d) | Restricted security. Certain securities are restricted as to resale. At September 30, 2018, these securities amounted to a value of $2,742,219 or 1.25% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2018, these securities amounted to a value of $329,342 or 0.15% of net assets. |
(f) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
(g) | See Note 3 for aggregate cost for federal tax purposes. |
(#) | Purchased Swaptions contracts at September 30, 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 | $ | 217,535 | $ | (99,416 | ) | |||||||||||||||||||||
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 | 280,257 | (70,623 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
667,831 | 497,792 | (170,039 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
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 | $ | 750,428 | $ | 105,018 | ||||||||||||||||||||||
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 | 768,710 | 70,328 | |||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
1,343,792 | 1,519,138 | 175,346 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | 2,011,623 | $ | 2,016,930 | $ | 5,307 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the portfolio of investments.
97
MML Short-Duration Bond Fund – Portfolio of Investments (Continued)
Futures contracts at September 30, 2018:
Expiration Date |
Number of Contracts |
Notional Amount |
Value/ Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
Long | ||||||||||||||||
U.S. Treasury Note 10 Year |
12/19/18 | 225 | $ | 27,090,364 | $ | (364,583 | ) | |||||||||
U.S. Treasury Note 2 Year |
12/31/18 | 320 | 67,659,248 | (224,248 | ) | |||||||||||
|
|
|||||||||||||||
$ | (588,831 | ) | ||||||||||||||
|
|
|||||||||||||||
Short | ||||||||||||||||
U.S. Treasury Note Ultra 10 Year |
12/19/18 | 82 | $ | (10,521,386 | ) | $ | 189,386 | |||||||||
U.S. Treasury Note 5 Year |
12/31/18 | 644 | (73,066,875 | ) | 631,968 | |||||||||||
|
|
|||||||||||||||
$ | 821,354 | |||||||||||||||
|
|
Swap agreements at September 30, 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 | 410,000 | 5/11/63 | Monthly | 3.000 | % | CMBX.NA.BBB-.6† (Rating: BBB-) |
$ | (48,604 | ) | $ | 253 | $ | (48,351 | ) | |||||||||||||||||||
Goldman Sachs International | USD | 410,000 | 5/11/63 | Monthly | 3.000 | % | CMBX.NA.BBB-.6† (Rating: BBB-) |
(12,846 | ) | (35,506 | ) | (48,352 | ) | |||||||||||||||||||||
Goldman Sachs International | USD | 150,000 | 5/11/63 | Monthly | 3.000 | % | CMBX.NA.BBB-.6† (Rating: BBB-) |
(5,672 | ) | (12,018 | ) | (17,690 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | (67,122 | ) | $ | (47,271 | ) | $ | (114,393 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
† | 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 portfolio of investments.
98
MML Small Cap Equity Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Number of Shares |
Value | |||||||
EQUITIES — 98.1% |
| |||||||
COMMON STOCK — 98.1% |
| |||||||
Basic Materials — 3.5% |
| |||||||
Iron & Steel — 1.2% |
| |||||||
Allegheny Technologies, Inc. (a) |
49,225 | $ | 1,454,599 | |||||
|
|
|||||||
Mining — 2.3% |
| |||||||
Compass Minerals International, Inc. |
18,480 | 1,241,856 | ||||||
Kaiser Aluminum Corp. |
15,655 | 1,707,334 | ||||||
|
|
|||||||
2,949,190 | ||||||||
|
|
|||||||
4,403,789 | ||||||||
|
|
|||||||
Communications — 4.8% |
| |||||||
Internet — 4.0% |
| |||||||
Etsy, Inc. (a) |
34,690 | 1,782,372 | ||||||
Q2 Holdings, Inc. (a) |
20,850 | 1,262,468 | ||||||
Yelp, Inc. (a) |
42,470 | 2,089,524 | ||||||
|
|
|||||||
5,134,364 | ||||||||
|
|
|||||||
Media — 0.8% |
| |||||||
Houghton Mifflin Harcourt Co. (a) |
134,140 | 938,980 | ||||||
|
|
|||||||
6,073,344 | ||||||||
|
|
|||||||
Consumer, Cyclical — 14.1% |
| |||||||
Airlines — 1.1% |
| |||||||
Spirit Airlines, Inc. (a) |
29,770 | 1,398,297 | ||||||
|
|
|||||||
Auto Manufacturers — 0.8% |
| |||||||
Navistar International Corp. (a) |
26,840 | 1,033,340 | ||||||
|
|
|||||||
Auto Parts & Equipment — 2.8% |
| |||||||
Dorman Products, Inc. (a) |
22,750 | 1,749,930 | ||||||
Visteon Corp. (a) |
19,450 | 1,806,905 | ||||||
|
|
|||||||
3,556,835 | ||||||||
|
|
|||||||
Retail — 9.4% |
| |||||||
The Children’s Place, Inc. |
15,220 | 1,945,116 | ||||||
Group 1 Automotive, Inc. |
31,490 | 2,043,701 | ||||||
Jack in the Box, Inc. |
15,620 | 1,309,424 | ||||||
The Michaels Cos., Inc. (a) |
38,990 | 632,808 | ||||||
Nu Skin Enterprises, Inc. Class A |
16,790 | 1,383,832 | ||||||
Suburban Propane Partners LP (b) |
76,110 | 1,790,868 | ||||||
Texas Roadhouse, Inc. |
23,830 | 1,651,181 | ||||||
The Wendy’s Co. |
71,780 | 1,230,309 | ||||||
|
|
|||||||
11,987,239 | ||||||||
|
|
|||||||
17,975,711 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 21.2% |
| |||||||
Agriculture — 0.8% |
| |||||||
Universal Corp. |
16,340 | 1,062,100 | ||||||
|
|
|||||||
Biotechnology — 2.6% |
| |||||||
Emergent BioSolutions, Inc. (a) |
19,840 | 1,306,067 | ||||||
Ligand Pharmaceuticals, Inc. (a) |
5,560 | 1,526,164 | ||||||
Sage Therapeutics, Inc. (a) |
3,046 | 430,248 | ||||||
|
|
|||||||
3,262,479 | ||||||||
|
|
Number of Shares |
Value | |||||||
Commercial Services — 5.3% |
| |||||||
ASGN, Inc. (a) |
30,716 | $ | 2,424,414 | |||||
Korn/Ferry International |
48,031 | 2,365,046 | ||||||
Monro, Inc. |
11,520 | 801,792 | ||||||
Paylocity Holding Corp. (a) |
14,840 | 1,191,949 | ||||||
|
|
|||||||
6,783,201 | ||||||||
|
|
|||||||
Health Care – Products — 4.3% |
| |||||||
Inogen, Inc. (a) |
4,020 | 981,362 | ||||||
Inspire Medical Systems, Inc. (a) (c) |
15,088 | 634,903 | ||||||
Intersect ENT, Inc. (a) |
23,770 | 683,387 | ||||||
Quidel Corp. (a) |
16,280 | 1,060,968 | ||||||
Repligen Corp. (a) |
21,410 | 1,187,399 | ||||||
Wright Medical Group NV (a) |
33,460 | 971,009 | ||||||
|
|
|||||||
5,519,028 | ||||||||
|
|
|||||||
Health Care – Services — 4.7% |
| |||||||
Addus HomeCare Corp. (a) |
12,212 | 856,672 | ||||||
Amedisys, Inc. (a) |
15,540 | 1,941,878 | ||||||
American Renal Associates Holdings, Inc. (a) |
24,120 | 522,198 | ||||||
Molina Healthcare, Inc. (a) |
6,360 | 945,732 | ||||||
Teladoc Health, Inc. (a) (c) |
19,030 | 1,643,241 | ||||||
|
|
|||||||
5,909,721 | ||||||||
|
|
|||||||
Household Products & Wares — 1.2% |
| |||||||
Acco Brands Corp. |
137,170 | 1,550,021 | ||||||
|
|
|||||||
Pharmaceuticals — 2.3% |
| |||||||
Diplomat Pharmacy, Inc. (a) |
44,770 | 868,986 | ||||||
Senseonics Holdings, Inc. (a) (c) |
115,880 | 552,747 | ||||||
TherapeuticsMD, Inc. (a) (c) |
113,800 | 746,528 | ||||||
uniQure NV (a) |
10,920 | 397,379 | ||||||
Zogenix, Inc. (a) |
7,600 | 376,960 | ||||||
|
|
|||||||
2,942,600 | ||||||||
|
|
|||||||
27,029,150 | ||||||||
|
|
|||||||
Energy — 3.8% |
| |||||||
Energy – Alternate Sources — 1.3% |
| |||||||
Renewable Energy Group, Inc. (a) |
58,949 | 1,697,731 | ||||||
|
|
|||||||
Oil & Gas — 1.8% |
| |||||||
Matador Resources Co. (a) |
67,635 | 2,235,337 | ||||||
|
|
|||||||
Pipelines — 0.7% |
| |||||||
Noble Midstream Partners LP (b) |
26,605 | 942,083 | ||||||
|
|
|||||||
4,875,151 | ||||||||
|
|
|||||||
Financial — 20.5% |
| |||||||
Banks — 6.2% |
| |||||||
The Bank of NT Butterfield & Son Ltd. |
15,399 | 798,592 | ||||||
BankUnited, Inc. |
34,909 | 1,235,779 | ||||||
Chemical Financial Corp. |
23,902 | 1,276,367 | ||||||
Columbia Banking System, Inc. |
21,980 | 852,165 | ||||||
Customers Bancorp, Inc. (a) |
26,220 | 616,957 |
The accompanying notes are an integral part of the portfolio of investments.
99
MML Small Cap Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
FCB Financial Holdings, Inc. |
23,553 | $ | 1,116,412 | |||||
Heritage Financial Corp. |
18,200 | 639,730 | ||||||
IBERIABANK Corp. |
16,390 | 1,333,326 | ||||||
|
|
|||||||
7,869,328 | ||||||||
|
|
|||||||
Diversified Financial Services — 1.6% |
| |||||||
Focus Financial Partners, Inc. |
14,980 | 710,951 | ||||||
Stifel Financial Corp. |
25,810 | 1,323,021 | ||||||
|
|
|||||||
2,033,972 | ||||||||
|
|
|||||||
Insurance — 1.5% |
| |||||||
James River Group Holdings Ltd. |
16,285 | 694,067 | ||||||
ProAssurance Corp. |
26,990 | 1,267,180 | ||||||
|
|
|||||||
1,961,247 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 6.2% |
| |||||||
Brandywine Realty Trust |
98,790 | 1,552,979 | ||||||
DiamondRock Hospitality Co. |
162,000 | 1,890,540 | ||||||
EPR Properties |
12,090 | 827,077 | ||||||
Four Corners Property Trust, Inc. |
75,960 | 1,951,412 | ||||||
National Storage Affiliates Trust |
65,530 | 1,667,083 | ||||||
|
|
|||||||
7,889,091 | ||||||||
|
|
|||||||
Savings & Loans — 5.0% |
| |||||||
Beneficial Bancorp, Inc. |
50,170 | 847,873 | ||||||
Berkshire Hills Bancorp, Inc. |
26,750 | 1,088,725 | ||||||
OceanFirst Financial Corp. |
38,030 | 1,035,177 | ||||||
Pacific Premier Bancorp, Inc. (a) |
16,790 | 624,588 | ||||||
Sterling Bancorp |
56,410 | 1,241,020 | ||||||
WSFS Financial Corp. |
33,630 | 1,585,654 | ||||||
|
|
|||||||
6,423,037 | ||||||||
|
|
|||||||
26,176,675 | ||||||||
|
|
|||||||
Industrial — 14.4% |
| |||||||
Building Materials — 2.0% |
| |||||||
Masonite International Corp. (a) |
21,143 | 1,355,266 | ||||||
Summit Materials, Inc. Class A (a) |
62,559 | 1,137,323 | ||||||
|
|
|||||||
2,492,589 | ||||||||
|
|
|||||||
Electrical Components & Equipment — 2.7% |
| |||||||
Energizer Holdings, Inc. |
25,170 | 1,476,220 | ||||||
Generac Holdings, Inc. (a) |
34,290 | 1,934,299 | ||||||
|
|
|||||||
3,410,519 | ||||||||
|
|
|||||||
Engineering & Construction — 2.8% |
| |||||||
Dycom Industries, Inc. (a) |
14,570 | 1,232,622 | ||||||
KBR, Inc. |
71,896 | 1,519,162 | ||||||
TopBuild Corp. (a) |
14,080 | 800,026 | ||||||
|
|
|||||||
3,551,810 | ||||||||
|
|
|||||||
Environmental Controls — 1.8% |
| |||||||
Advanced Disposal Services, Inc. (a) |
49,818 | 1,349,071 | ||||||
Evoqua Water Technologies Corp. (a) |
55,670 | 989,813 | ||||||
|
|
|||||||
2,338,884 | ||||||||
|
|
Number of Shares |
Value | |||||||
Machinery – Diversified — 0.5% |
| |||||||
The Manitowoc Co., Inc. (a) |
27,897 | $ | 669,249 | |||||
|
|
|||||||
Metal Fabricate & Hardware — 1.2% |
| |||||||
Rexnord Corp. (a) |
50,670 | 1,560,636 | ||||||
|
|
|||||||
Miscellaneous – Manufacturing — 0.8% |
| |||||||
EnPro Industries, Inc. |
13,970 | 1,018,832 | ||||||
|
|
|||||||
Transportation — 1.4% |
| |||||||
CryoPort, Inc. (a) (c) |
24,270 | 310,899 | ||||||
Genesee & Wyoming, Inc. |
15,690 | 1,427,633 | ||||||
|
|
|||||||
1,738,532 | ||||||||
|
|
|||||||
Trucking & Leasing — 1.2% |
| |||||||
The Greenbrier Cos., Inc. |
25,110 | 1,509,111 | ||||||
|
|
|||||||
18,290,162 | ||||||||
|
|
|||||||
Technology — 13.1% |
| |||||||
Computers — 4.0% |
| |||||||
CACI International, Inc. Class A (a) |
14,051 | 2,587,492 | ||||||
Perspecta, Inc. |
49,535 | 1,274,040 | ||||||
Teradata Corp. (a) |
33,510 | 1,263,662 | ||||||
|
|
|||||||
5,125,194 | ||||||||
|
|
|||||||
Semiconductors — 2.0% |
| |||||||
Brooks Automation, Inc. |
33,810 | 1,184,364 | ||||||
MKS Instruments, Inc. |
16,970 | 1,360,146 | ||||||
|
|
|||||||
2,544,510 | ||||||||
|
|
|||||||
Software — 7.1% |
| |||||||
Blackline, Inc. (a) |
24,130 | 1,362,621 | ||||||
Envestnet, Inc. (a) |
13,980 | 852,081 | ||||||
j2 Global, Inc. |
22,541 | 1,867,522 | ||||||
Pegasystems, Inc. |
24,296 | 1,520,929 | ||||||
SendGrid, Inc. (a) |
36,009 | 1,324,771 | ||||||
Zynga, Inc. Class A (a) |
524,896 | 2,104,833 | ||||||
|
|
|||||||
9,032,757 | ||||||||
|
|
|||||||
16,702,461 | ||||||||
|
|
|||||||
Utilities — 2.7% |
| |||||||
Electric — 2.7% |
| |||||||
Black Hills Corp. |
32,070 | 1,862,947 | ||||||
NorthWestern Corp. |
26,720 | 1,567,395 | ||||||
|
|
|||||||
3,430,342 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $95,651,202) |
124,956,785 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $95,651,202) |
124,956,785 | |||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
100
MML Small Cap Equity Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
MUTUAL FUNDS — 2.0% |
| |||||||
Diversified Financial Services — 2.0% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (d) |
2,622,653 | $ | 2,622,653 | |||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $2,622,653) |
2,622,653 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $98,273,855) |
127,579,438 | |||||||
|
|
|||||||
Principal Amount |
||||||||
SHORT-TERM INVESTMENTS — 2.0% |
| |||||||
Repurchase Agreement — 2.0% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/28/18, 1.100%, due 10/01/18 (e) |
$ | 2,511,549 | 2,511,549 | |||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,511,549) |
2,511,549 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 102.1% (Cost $100,785,404) (f) |
130,090,987 | |||||||
Other Assets/(Liabilities) — (2.1)% | (2,703,965 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 127,387,022 | ||||||
|
|
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 September 30, 2018, was $2,543,470 or 2.00% 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 $2,511,779. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 11/15/42, and an aggregate market value, including accrued interest, of $2,563,970. |
(f) | See Note 3 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the portfolio of investments.
101
MML Special Situations Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Number of Shares |
Value | |||||||
EQUITIES — 95.5% |
| |||||||
COMMON STOCK — 95.5% |
| |||||||
Basic Materials — 5.7% |
| |||||||
Chemicals — 4.5% |
| |||||||
The Chemours Co. |
10,379 | $ | 409,348 | |||||
Ingevity Corp. (a) |
6,639 | 676,381 | ||||||
Rayonier Advanced Materials, Inc. |
4,600 | 84,778 | ||||||
|
|
|||||||
1,170,507 | ||||||||
|
|
|||||||
Mining — 1.2% |
| |||||||
Alcoa Corp. (a) |
8,100 | 327,240 | ||||||
|
|
|||||||
1,497,747 | ||||||||
|
|
|||||||
Communications — 12.0% |
| |||||||
Internet — 0.2% |
| |||||||
Liberty Expedia Holdings, Inc. Class A (a) |
1,360 | 63,974 | ||||||
|
|
|||||||
Media — 6.8% |
| |||||||
Cable One, Inc. |
500 | 441,805 | ||||||
Liberty Broadband Corp. Class A (a) |
3,500 | 295,155 | ||||||
Liberty Broadband Corp. Class C (a) |
3,600 | 303,480 | ||||||
Liberty Media Corp-Liberty Formula One Class C (a) |
5,300 | 197,107 | ||||||
Liberty Media Corp-Liberty SiriusXM Class A (a) |
5,600 | 243,264 | ||||||
Liberty Media Corp-Liberty SiriusXM Class C (a) |
5,600 | 243,320 | ||||||
News Corp. Class A |
5,800 | 76,502 | ||||||
|
|
|||||||
1,800,633 | ||||||||
|
|
|||||||
Telecommunications — 5.0% |
| |||||||
GCI Liberty, Inc. Class A (a) |
3,440 | 175,440 | ||||||
Liberty Latin America Ltd. Class A (a) |
54,100 | 1,127,444 | ||||||
|
|
|||||||
1,302,884 | ||||||||
|
|
|||||||
3,167,491 | ||||||||
|
|
|||||||
Consumer, Cyclical — 5.8% |
| |||||||
Auto Parts & Equipment — 1.5% |
| |||||||
Aptiv PLC |
4,679 | 392,568 | ||||||
|
|
|||||||
Entertainment — 2.2% |
| |||||||
The Madison Square Garden Co. Class A (a) |
1,810 | 570,729 | ||||||
|
|
|||||||
Lodging — 1.6% |
| |||||||
Hilton Grand Vacations, Inc. (a) |
12,500 | 413,750 | ||||||
|
|
|||||||
Retail — 0.5% |
| |||||||
J Alexander’s Holdings, Inc. (a) |
11,500 | 136,850 | ||||||
|
|
|||||||
1,513,897 | ||||||||
|
|
|||||||
Consumer, Non-cyclical — 30.8% |
| |||||||
Commercial Services — 11.7% |
| |||||||
PayPal Holdings, Inc. (a) |
35,000 | 3,074,400 | ||||||
|
|
Number of Shares |
Value | |||||||
Foods — 2.9% |
| |||||||
Lamb Weston Holdings, Inc. |
11,733 | $ | 781,418 | |||||
|
|
|||||||
Health Care – Products — 6.1% |
| |||||||
Avanos Medical, Inc. (a) |
6,100 | 417,850 | ||||||
Danaher Corp. |
5,400 | 586,764 | ||||||
Varex Imaging Corp. (a) |
7,500 | 214,950 | ||||||
West Pharmaceutical Services, Inc. |
3,100 | 382,757 | ||||||
|
|
|||||||
1,602,321 | ||||||||
|
|
|||||||
Household Products & Wares — 1.0% |
| |||||||
Avery Dennison Corp. |
2,400 | 260,040 | ||||||
|
|
|||||||
Pharmaceuticals — 9.1% |
| |||||||
AbbVie, Inc. |
6,300 | 595,854 | ||||||
Zoetis, Inc. |
19,700 | 1,803,732 | ||||||
|
|
|||||||
2,399,586 | ||||||||
|
|
|||||||
8,117,765 | ||||||||
|
|
|||||||
Energy — 3.2% |
| |||||||
Oil & Gas — 2.7% |
| |||||||
Andeavor |
1,900 | 291,650 | ||||||
Murphy USA, Inc. (a) |
5,000 | 427,300 | ||||||
|
|
|||||||
718,950 | ||||||||
|
|
|||||||
Oil & Gas Services — 0.5% |
| |||||||
KLX Energy Services Holdings, Inc. (a) |
3,600 | 115,236 | ||||||
|
|
|||||||
834,186 | ||||||||
|
|
|||||||
Financial — 4.5% |
| |||||||
Diversified Financial Services — 1.1% |
| |||||||
Synchrony Financial |
9,540 | 296,503 | ||||||
|
|
|||||||
Real Estate Investment Trusts (REITS) — 2.9% |
| |||||||
Four Corners Property Trust, Inc. |
10,300 | 264,607 | ||||||
Gaming and Leisure Properties, Inc. |
13,900 | 489,975 | ||||||
|
|
|||||||
754,582 | ||||||||
|
|
|||||||
Savings & Loans — 0.5% |
| |||||||
Poage Bankshares, Inc. |
5,400 | 136,890 | ||||||
|
|
|||||||
1,187,975 | ||||||||
|
|
|||||||
Industrial — 23.6% |
| |||||||
Aerospace & Defense — 2.2% |
| |||||||
KLX, Inc. (a) |
9,000 | 565,020 | ||||||
|
|
|||||||
Electronics — 16.0% |
| |||||||
Allegion PLC |
8,500 | 769,845 | ||||||
Fortive Corp. |
22,600 | 1,902,920 | ||||||
Honeywell International, Inc. |
3,060 | 509,184 | ||||||
Keysight Technologies, Inc. (a) |
14,570 | 965,700 | ||||||
nVent Electric PLC |
2,340 | 63,554 | ||||||
|
|
|||||||
4,211,203 | ||||||||
|
|
|||||||
Engineering & Construction — 1.6% |
| |||||||
TopBuild Corp. (a) |
7,600 | 431,832 | ||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
102
MML Special Situations Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Environmental Controls — 0.4% |
| |||||||
Pentair PLC |
2,340 | $ | 101,439 | |||||
|
|
|||||||
Machinery – Construction & Mining — 0.5% |
| |||||||
Oshkosh Corp. |
2,002 | 142,623 | ||||||
|
|
|||||||
Metal Fabricate & Hardware — 0.4% |
| |||||||
TimkenSteel Corp. (a) |
7,100 | 105,577 | ||||||
|
|
|||||||
Miscellaneous – Manufacturing — 2.5% |
| |||||||
Trinseo SA |
8,300 | 649,890 | ||||||
|
|
|||||||
6,207,584 | ||||||||
|
|
|||||||
Technology — 7.6% |
| |||||||
Computers — 7.6% |
| |||||||
DXC Technology Co. |
3,874 | 362,296 | ||||||
Hewlett Packard Enterprise Co. |
81,600 | 1,330,896 | ||||||
Lumentum Holdings, Inc. (a) |
4,500 | 269,775 | ||||||
Perspecta, Inc. |
1,937 | 49,820 | ||||||
|
|
|||||||
2,012,787 | ||||||||
|
|
|||||||
Utilities — 2.3% |
| |||||||
Gas — 2.3% |
| |||||||
ONE Gas, Inc. |
7,300 | 600,644 | ||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $19,972,298) |
25,140,076 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $19,972,298) |
25,140,076 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $19,972,298) |
25,140,076 | |||||||
|
|
|||||||
Principal Amount |
||||||||
SHORT-TERM INVESTMENTS — 4.6% |
| |||||||
Repurchase Agreement — 4.6% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/28/18, 1.100%, due 10/01/18 (b) |
$ | 1,224,463 | 1,224,463 | |||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,224,463) |
1,224,463 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 100.1% (Cost $21,196,761) (c) |
26,364,539 | |||||||
Other Assets/(Liabilities) — (0.1)% | (27,342 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 26,337,197 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $1,224,575. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity date of 8/15/42, and an aggregate market value, including accrued interest, of $1,252,504. |
(c) | See Note 3 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the portfolio of investments.
103
MML Strategic Emerging Markets Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Number of Shares |
Value | |||||||
EQUITIES — 95.9% |
| |||||||
COMMON STOCK — 94.8% |
| |||||||
Bermuda — 2.6% |
| |||||||
Credicorp Ltd. |
7,110 | $ | 1,586,099 | |||||
Jardine Strategic Holdings Ltd. |
45,462 | 1,650,148 | ||||||
|
|
|||||||
3,236,247 | ||||||||
|
|
|||||||
Brazil — 4.0% |
| |||||||
Atacadao Distribuicao Comercio e Industria Ltda |
330,000 | 1,210,162 | ||||||
B3 SA — Brasil Bolsa Balcao |
330,465 | 1,914,767 | ||||||
Itau Unibanco Holding SA Sponsored ADR |
55,670 | 611,256 | ||||||
Vale SA Sponsored ADR |
87,700 | 1,301,468 | ||||||
|
|
|||||||
5,037,653 | ||||||||
|
|
|||||||
Cayman Islands — 17.8% |
| |||||||
3SBio, Inc. (a) |
63,500 | 106,811 | ||||||
AAC Technologies Holdings, Inc. |
37,500 | 385,004 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR (b) |
43,553 | 7,175,792 | ||||||
BEST, Inc. ADR (b) (c) |
24,302 | 143,868 | ||||||
Huazhu Group Ltd. ADR |
78,241 | 2,527,184 | ||||||
Hutchison China MediTech Ltd. ADR (b) |
8,517 | 274,162 | ||||||
Meituan Dianping Class B (b) |
159,800 | 1,402,372 | ||||||
New Oriental Education & Technology Group, Inc. Sponsored ADR |
15,580 | 1,153,076 | ||||||
Pinduoduo, Inc. ADR (b) (c) |
38,870 | 1,021,892 | ||||||
Ping An Healthcare and Technology Co. Ltd. (a) (b) |
9,465 | 63,281 | ||||||
Sunny Optical Technology Group Co. Ltd. |
36,000 | 415,586 | ||||||
Tencent Holdings Ltd. |
141,059 | 5,828,870 | ||||||
Wuxi Biologics Cayman, Inc. (a) (b) |
40,500 | 405,614 | ||||||
ZTO Express Cayman, Inc. ADR |
74,210 | 1,229,660 | ||||||
|
|
|||||||
22,133,172 | ||||||||
|
|
|||||||
Chile — 0.2% |
| |||||||
Banco de Chile |
1,378,985 | 211,092 | ||||||
|
|
|||||||
China — 4.1% |
| |||||||
China International Capital Corp. Ltd. Class H (a) |
289,600 | 535,235 | ||||||
Dong-E-E-Jiao Co. Ltd. |
86,899 | 599,910 | ||||||
Jiangsu Hengrui Medicine Co. Ltd. Class A |
165,650 | 1,529,975 | ||||||
Sinopharm Group Co. Ltd. Class H |
502,200 | 2,461,327 | ||||||
|
|
|||||||
5,126,447 | ||||||||
|
|
|||||||
Colombia — 0.7% |
| |||||||
Grupo Aval Acciones y Valores SA ADR (c) |
91,700 | 711,592 |
Number of Shares |
Value | |||||||
Grupo de Inversiones Suramericana SA |
12,420 | $ | 145,713 | |||||
|
|
|||||||
857,305 | ||||||||
|
|
|||||||
Egypt — 0.5% |
| |||||||
Commercial International Bank Egypt SAE |
120,952 | 566,948 | ||||||
|
|
|||||||
France — 6.4% |
| |||||||
Kering SA |
8,405 | 4,494,331 | ||||||
LVMH Moet Hennessy Louis Vuitton SE |
9,776 | 3,451,564 | ||||||
|
|
|||||||
7,945,895 | ||||||||
|
|
|||||||
Hong Kong — 3.9% |
| |||||||
AIA Group Ltd. |
392,000 | 3,502,413 | ||||||
Hong Kong Exchanges & Clearing Ltd. |
49,536 | 1,407,560 | ||||||
|
|
|||||||
4,909,973 | ||||||||
|
|
|||||||
India — 9.5% |
| |||||||
Apollo Hospitals Enterprise Ltd. |
23,424 | 341,481 | ||||||
Biocon Ltd. |
85,266 | 811,820 | ||||||
Cholamandalam Investment & Finance Co. Ltd. |
22,827 | 368,261 | ||||||
Dalmia Bharat Ltd. |
4,771 | 151,605 | ||||||
Housing Development Finance Corp. Ltd. |
141,992 | 3,426,923 | ||||||
Kotak Mahindra Bank Ltd. |
193,122 | 3,027,187 | ||||||
Tata Consultancy Services Ltd. |
49,506 | 1,490,414 | ||||||
UltraTech Cement Ltd. |
14,639 | 821,834 | ||||||
Zee Entertainment Enterprises Ltd. |
220,960 | 1,341,753 | ||||||
|
|
|||||||
11,781,278 | ||||||||
|
|
|||||||
Indonesia — 0.9% |
| |||||||
Bank Central Asia Tbk PT |
377,500 | 611,359 | ||||||
Indocement Tunggal Prakarsa Tbk PT |
424,000 | 525,890 | ||||||
|
|
|||||||
1,137,249 | ||||||||
|
|
|||||||
Italy — 1.4% |
| |||||||
PRADA SpA |
368,300 | 1,764,804 | ||||||
|
|
|||||||
Malaysia — 0.3% |
| |||||||
Genting Bhd |
180,500 | 340,586 | ||||||
|
|
|||||||
Mexico — 5.3% |
| |||||||
Fomento Economico Mexicano SAB de CV |
213,550 | 2,112,677 | ||||||
Fomento Economico Mexicano SAB de CV Sponsored ADR |
10,410 | 1,030,278 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B |
40,883 | 835,399 | ||||||
Grupo Financiero Inbursa SAB de CV Class O |
722,011 | 1,135,063 | ||||||
Grupo Mexico SAB de CV Series B |
502,563 | 1,446,406 | ||||||
|
|
|||||||
6,559,823 | ||||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
104
MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Number of Shares |
Value | |||||||
Netherlands — 1.4% |
| |||||||
Steinhoff International Holdings NV (b) (c) |
380,496 | $ | 61,864 | |||||
Yandex NV Class A (b) |
51,539 | 1,695,118 | ||||||
|
|
|||||||
1,756,982 | ||||||||
|
|
|||||||
Philippines — 3.6% |
| |||||||
Ayala Corp. |
25,450 | 437,429 | ||||||
Ayala Land, Inc. |
1,055,400 | 782,514 | ||||||
BDO Unibank, Inc. |
53,800 | 119,299 | ||||||
Jollibee Foods Corp. |
141,490 | 673,079 | ||||||
SM Investments Corp. |
90,200 | 1,509,166 | ||||||
SM Prime Holdings, Inc. |
1,393,500 | 935,052 | ||||||
|
|
|||||||
4,456,539 | ||||||||
|
|
|||||||
Republic of Korea — 8.6% |
| |||||||
Amorepacific Corp. |
3,544 | 833,966 | ||||||
AMOREPACIFIC Group |
1,977 | 166,216 | ||||||
Kakao Corp. |
4,205 | 451,172 | ||||||
LG Household & Health Care Ltd. |
1,914 | 2,200,702 | ||||||
NAVER Corp. |
4,213 | 2,714,204 | ||||||
Netmarble Corp. (a) |
2,898 | 300,286 | ||||||
Samsung Biologics Co. Ltd. (a) (b) |
3,816 | 1,836,176 | ||||||
Samsung Electronics Co. Ltd. |
51,800 | 2,169,501 | ||||||
|
|
|||||||
10,672,223 | ||||||||
|
|
|||||||
Russia — 6.8% |
| |||||||
LUKOIL PJSC Sponsored ADR |
3,230 | 246,901 | ||||||
LUKOIL PJSC Sponsored ADR |
11,334 | 868,122 | ||||||
Magnit PJSC |
4,273 | 249,516 | ||||||
Novatek PJSC Sponsored GDR Registered (d) |
31,584 | 5,802,036 | ||||||
Polyus PJSC GDR (a) (e) |
8,200 | 257,480 | ||||||
Sberbank of Russia PJSC |
330,097 | 1,021,822 | ||||||
|
|
|||||||
8,445,877 | ||||||||
|
|
|||||||
South Africa — 2.5% |
| |||||||
FirstRand Ltd. |
462,730 | 2,217,022 | ||||||
Shoprite Holdings Ltd. |
70,271 | 951,504 | ||||||
|
|
|||||||
3,168,526 | ||||||||
|
|
|||||||
Taiwan — 5.9% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. |
854,000 | 7,291,836 | ||||||
|
|
|||||||
Thailand — 0.5% |
| |||||||
Siam Commercial Bank PCL |
145,600 | 670,822 | ||||||
|
|
|||||||
Turkey — 0.6% |
| |||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS |
129,726 | 452,919 | ||||||
BIM Birlesik Magazalar AS |
22,402 | 301,906 | ||||||
|
|
|||||||
754,825 | ||||||||
|
|
|||||||
United Arab Emirates — 1.6% |
| |||||||
DP World Ltd. |
74,184 | 1,414,625 | ||||||
Emaar Properties PJSC |
427,468 | 576,364 | ||||||
|
|
|||||||
1,990,989 | ||||||||
|
|
Number of Shares |
Value | |||||||
United Kingdom — 4.4% |
| |||||||
Glencore PLC |
1,157,561 | $ | 4,989,905 | |||||
Mediclinic International PLC |
78,150 | 436,482 | ||||||
|
|
|||||||
5,426,387 | ||||||||
|
|
|||||||
United States — 1.3% |
| |||||||
MercadoLibre, Inc. |
1,780 | 606,036 | ||||||
Snap, Inc. Class A (b) (c) |
49,568 | 420,337 | ||||||
Yum China Holdings, Inc. |
16,710 | 586,688 | ||||||
|
|
|||||||
1,613,061 | ||||||||
|
|
|||||||
TOTAL COMMON STOCK (Cost $103,611,663) |
117,856,539 | |||||||
|
|
|||||||
PREFERRED STOCK — 1.1% |
| |||||||
Brazil — 1.1% |
| |||||||
Lojas Americanas SA 0.410% |
332,400 | 1,306,209 | ||||||
|
|
|||||||
India — 0.0% |
| |||||||
Zee Entertainment Enterprises Ltd. 6.000% |
503,840 | 54,422 | ||||||
|
|
|||||||
TOTAL PREFERRED STOCK (Cost $1,681,387) |
1,360,631 | |||||||
|
|
|||||||
TOTAL EQUITIES (Cost $105,293,050) |
119,217,170 | |||||||
|
|
|||||||
MUTUAL FUNDS — 1.4% |
| |||||||
United States — 1.4% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (f) |
1,756,987 | 1,756,987 | ||||||
|
|
|||||||
TOTAL MUTUAL FUNDS (Cost $1,756,987) |
1,756,987 | |||||||
|
|
|||||||
TOTAL LONG-TERM INVESTMENTS (Cost $107,050,037) |
120,974,157 | |||||||
|
|
|||||||
Principal Amount |
||||||||
SHORT-TERM INVESTMENTS — 4.1% |
| |||||||
Repurchase Agreement — 4.1% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/28/18, 1.100%, due 10/01/18 (g) |
$ | 5,021,748 | 5,021,748 | |||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,021,748) |
5,021,748 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 101.4% (Cost $112,071,785) (h) |
125,995,905 | |||||||
Other Assets/(Liabilities) — (1.4)% | (1,681,922 | ) | ||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 124,313,983 | ||||||
|
|
The accompanying notes are an integral part of the portfolio of investments.
105
MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
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) | 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 September 30, 2018, these securities amounted to a value of $3,504,883 or 2.82% of net assets. |
(b) | Non-income producing security. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2018, was $1,695,277 or 1.36% 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) | 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 September 30, 2018, these securities amounted to a value of $5,802,036 or 4.67% of net assets. |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2018, these securities amounted to a value of $257,480 or 0.21% of net assets. |
(f) | Represents investment of security lending collateral. (Note 2). |
(g) | Maturity value of $5,022,208. Collateralized by U.S. Government Agency obligations with a rate of 2.750%, maturity dates ranging from 8/15/42 – 11/15/42, and an aggregate market value, including accrued interest, of $5,126,276. |
(h) | See Note 3 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the portfolio of investments.
106
MML U.S. Government Money Market Fund – Portfolio of Investments
September 30, 2018 (Unaudited)
Principal Amount |
Value | |||||||
SHORT-TERM INVESTMENTS — 100.0% |
| |||||||
Discount Notes — 77.5% |
| |||||||
Federal Farm Credit Bank |
||||||||
1 mo. USD LIBOR - .080% |
$ | 5,000,000 | $ | 5,000,407 | ||||
1 mo. USD LIBOR + .150% |
5,000,000 | 5,006,463 | ||||||
1 mo. USD LIBOR + .175% |
1,500,000 | 1,501,873 | ||||||
Federal Home Loan Bank |
||||||||
1.980% 10/01/18, 10/01/18 (a) |
800,000 | 799,913 | ||||||
1.996% FRN 10/09/18, 6/07/19 (a) (b) |
6,000,000 | 5,999,997 | ||||||
1 mo. USD LIBOR - .110% |
2,000,000 | 2,000,000 | ||||||
2.024% 10/31/18, 10/31/18 (a) |
810,000 | 808,575 | ||||||
2.028% FRN 10/15/18, 11/15/18 (a) (b) |
4,000,000 | 4,000,064 | ||||||
2.029% 10/03/18, 10/03/18 (a) |
2,000,000 | 1,999,556 | ||||||
2.032% 10/10/18, 10/10/18 (a) |
1,720,000 | 1,718,949 | ||||||
2.068% FRN 10/17/18, 7/17/19 (a) (b) |
10,000,000 | 10,000,060 | ||||||
2.080% 10/12/18, 10/12/18 (a) |
1,000,000 | 999,260 | ||||||
2.082% FRN 10/21/18, 8/21/19 (a) (b) |
4,000,000 | 4,000,000 | ||||||
2.090% 10/12/18, 10/12/18 (a) |
4,640,000 | 4,636,548 | ||||||
2.092% 12/13/18, 12/13/18 (a) |
4,000,000 | 3,983,000 | ||||||
2.098% FRN 10/19/18, 12/19/18 (a) (b) |
8,000,000 | 8,000,685 | ||||||
2.101% FRN 10/25/18, 10/25/18 (a) (b) |
5,000,000 | 4,999,190 | ||||||
2.101% 10/17/18, 10/17/18 (a) |
10,000,000 | 9,989,650 | ||||||
2.102% FRN 10/22/18, 4/22/19 (a) (b) |
2,500,000 | 2,500,192 | ||||||
2.111% FRN 10/01/18, 11/01/18 (a) (b) |
3,800,000 | 3,800,004 | ||||||
3 mo. USD LIBOR - .220% |
3,000,000 | 3,000,592 | ||||||
1 mo. USD LIBOR - .090% |
1,600,000 | 1,600,179 | ||||||
3 mo. USD LIBOR - .220% |
3,000,000 | 3,001,322 | ||||||
1 mo. USD LIBOR - .090% |
5,000,000 | 5,000,259 | ||||||
1 mo. USD LIBOR - .100% |
5,000,000 | 5,000,083 | ||||||
2.131% 11/30/18, 11/30/18 (a) |
2,890,000 | 2,879,648 | ||||||
2.132% 10/19/18, 10/19/18 (a) |
7,000,000 | 6,991,833 |
Principal Amount |
Value | |||||||
3 mo. USD LIBOR - .160% |
$ | 7,000,000 | $ | 7,006,214 | ||||
2.171% 10/26/18, 10/26/18 (a) |
10,000,000 | 9,983,965 | ||||||
2.173% 10/26/18, 10/26/18 (a) |
5,000,000 | 4,991,975 | ||||||
1 mo. USD LIBOR - .035% |
1,400,000 | 1,400,338 | ||||||
2.192% 11/23/18, 11/23/18 (a) |
5,000,000 | 4,983,538 | ||||||
Federal National Mortgage Association |
3,000,000 | 2,999,678 | ||||||
|
|
|||||||
140,584,010 | ||||||||
|
|
|||||||
Repurchase Agreement — 11.0% |
| |||||||
HSBC Securities (USA)
Inc., |
20,000,000 | 20,000,000 | ||||||
|
|
|||||||
U.S. Treasury Bonds & Notes — 11.5% |
| |||||||
U.S. Treasury Note |
||||||||
0.750% 2/15/19, 2/15/19 |
5,000,000 | 4,972,118 | ||||||
1.125% 1/31/19, 1/31/19 |
8,000,000 | 7,971,036 | ||||||
1.500% 3/31/19, 3/31/19 |
8,000,000 | 7,964,879 | ||||||
|
|
|||||||
20,908,033 | ||||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $181,492,043) |
181,492,043 | |||||||
|
|
|||||||
TOTAL INVESTMENTS — 100.0% (Cost $181,492,043) (d) |
181,492,043 | |||||||
Other Assets/(Liabilities) — 0.0% | 3,562 | |||||||
|
|
|||||||
NET ASSETS — 100.0% | $ | 181,495,605 | ||||||
|
|
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 September 30, 2018. |
(c) | Maturity value of $20,003,700. Collateralized by U.S. Government Agency obligations with rates ranging from 0.000% – 3.375%, maturity dates ranging from 11/08/18 –8/15/47, and an aggregate market value, including accrued interest, of $20,400,000. |
(d) | See Note 3 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the portfolio of investments.
107
Notes to Portfolio of Investments (Unaudited)
1. | The Funds |
MML Series Investment Fund II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated February 8, 2005, which was amended and restated as of February 28, 2005 and December 15, 2011, as it may be further amended from time to time. The Trust consists of the following series (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Asset Momentum Fund (“Asset Momentum Fund”)
MML Blend Fund (“Blend Fund”)
MML Dynamic Bond Fund (“Dynamic Bond Fund”)
MML Equity Fund (“Equity 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 Managed Bond Fund (“Managed Bond 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”)
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 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.
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
108
Notes to Portfolio of Investments (Unaudited) (Continued)
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, 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
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. |
109
Notes to Portfolio of Investments (Unaudited) (Continued)
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 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
110
Notes to Portfolio of Investments (Unaudited) (Continued)
and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. Government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The U.S. Government Money Market Fund characterized all investments at Level 2, as of September 30, 2018. The Equity Fund, Equity Rotation Fund, and Special Situations Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of September 30, 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.
111
Notes to Portfolio of Investments (Unaudited) (Continued)
The following is the aggregate value by input level, as of September 30, 2018, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset Momentum Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock |
$ | 16,206,925 | $ | 2,819,448 | * | $ | - | $ | 19,026,373 | |||||||
U.S. Treasury Obligations |
- | 2,967,457 | - | 2,967,457 | ||||||||||||
Mutual Funds |
4,750,812 | - | - | 4,750,812 | ||||||||||||
Short-Term Investments |
- | 3,937,700 | - | 3,937,700 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 20,957,737 | $ | 9,724,605 | $ | - | $ | 30,682,342 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts |
$ | 171,322 | $ | - | $ | - | $ | 171,322 | ||||||||
Forwards Contracts |
- | 53,958 | - | 53,958 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 171,322 | $ | 53,958 | $ | - | $ | 225,280 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives |
||||||||||||||||
Forwards contracts |
$ | - | $ | (86,245 | ) | $ | - | $ | (86,245 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Blend Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock |
$ | 498,315,244 | $ | - | $ | - | $ | 498,315,244 | ||||||||
Preferred Stock |
500,000 | - | - | 500,000 | ||||||||||||
Corporate Debt |
- | 80,478,909 | - | 80,478,909 | ||||||||||||
Municipal Obligations |
- | 1,720,590 | - | 1,720,590 | ||||||||||||
Non-U.S. Government Agency Obligations |
- | 63,782,554 | 2,503,775 | ** | 66,286,329 | |||||||||||
Sovereign Debt Obligations |
- | 1,585,132 | - | 1,585,132 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
- | 57,473,195 | - | 57,473,195 | ||||||||||||
U.S. Treasury Obligations |
- | 9,819,876 | - | 9,819,876 | ||||||||||||
Purchased Options |
- | 1,668,218 | - | 1,668,218 | ||||||||||||
Short-Term Investments |
- | 16,202,431 | - | 16,202,431 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 498,815,244 | $ | 232,730,905 | $ | 2,503,775 | $ | 734,049,924 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts |
$ | 92,908 | $ | - | $ | - | $ | 92,908 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts |
$ | (541,647 | ) | $ | - | $ | - | $ | (541,647 | ) | ||||||
Swap Agreements |
- | (128,545 | ) | - | (128,545 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (541,647 | ) | $ | (128,545 | ) | $ | - | $ | (670,192 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Dynamic Bond Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock |
$ | 7,044 | $ | - | $ | - | $ | 7,044 | ||||||||
Corporate Debt |
- | 112,977,542 | - | 112,977,542 | ||||||||||||
Municipal Obligations |
- | 422,039 | - | 422,039 | ||||||||||||
Non-U.S. Government Agency Obligations |
- | 115,851,562 | - | 115,851,562 | ||||||||||||
Sovereign Debt Obligations |
- | 5,759,593 | - | 5,759,593 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
- | 63,020,405 | - | 63,020,405 | ||||||||||||
U.S. Treasury Obligations |
- | 118,381,032 | - | 118,381,032 | ||||||||||||
Mutual Funds |
15,890,368 | - | - | 15,890,368 | ||||||||||||
Short-Term Investments |
- | 15,631,352 | - | 15,631,352 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 15,897,412 | $ | 432,043,525 | $ | - | $ | 447,940,937 | ||||||||
|
|
|
|
|
|
|
|
112
Notes to Portfolio of Investments (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
High Yield Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock |
$ | - | $ | 826,404 | $ | - | $ | 826,404 | ||||||||
Preferred Stock |
- | 709,612 | - | 709,612 | ||||||||||||
Bank Loans |
- | 5,112,042 | - | 5,112,042 | ||||||||||||
Corporate Debt |
- | 125,160,209 | - | 125,160,209 | ||||||||||||
Warrants |
- | - | 22,426 | ** | 22,426 | |||||||||||
Short-Term Investments |
- | 2,499,505 | - | 2,499,505 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | - | $ | 134,307,772 | $ | 22,426 | $ | 134,330,198 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Inflation-Protected and Income Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Corporate Debt |
$ | - | $ | 10,706,676 | $ | - | $ | 10,706,676 | ||||||||
Municipal Obligations |
- | 108,714 | - | 108,714 | ||||||||||||
Non-U.S. Government Agency Obligations |
- | 183,892,701 | 1,555,725 | ** | 185,448,426 | |||||||||||
U.S. Government Agency Obligations and Instrumentalities |
- | 2,867,172 | - | 2,867,172 | ||||||||||||
U.S. Treasury Obligations |
- | 334,245,401 | - | 334,245,401 | ||||||||||||
Purchased Options |
- | 2,621,331 | - | 2,621,331 | ||||||||||||
Short-Term Investments |
- | 124,188,833 | - | 124,188,833 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | - | $ | 658,630,828 | $ | 1,555,725 | $ | 660,186,553 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts |
$ | 46,942 | $ | - | $ | - | $ | 46,942 | ||||||||
Swap Agreements |
- | 315,214 | - | 315,214 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 46,942 | $ | 315,214 | $ | - | $ | 362,156 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts |
$ | (23,242 | ) | $ | - | $ | - | $ | (23,242 | ) | ||||||
Swap Agreements |
- | (351,731 | ) | - | (351,731 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (23,242 | ) | $ | (351,731 | ) | $ | - | $ | (374,973 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Managed Bond Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Preferred Stock |
$ | 2,375,000 | $ | - | $ | - | $ | 2,375,000 | ||||||||
Corporate Debt |
- | 427,981,387 | - | 427,981,387 | ||||||||||||
Municipal Obligations |
- | 8,416,109 | - | 8,416,109 | ||||||||||||
Non-U.S. Government Agency Obligations |
- | 351,147,419 | 15,045,937 | ** | 366,193,356 | |||||||||||
Sovereign Debt Obligations |
- | 8,257,074 | - | 8,257,074 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
- | 298,133,916 | - | 298,133,916 | ||||||||||||
U.S. Treasury Obligations |
- | 3,265,172 | - | 3,265,172 | ||||||||||||
Purchased Options |
- | 10,199,517 | - | 10,199,517 | ||||||||||||
Short-Term Investments |
- | 42,799,087 | - | 42,799,087 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 2,375,000 | $ | 1,150,199,681 | $ | 15,045,937 | $ | 1,167,620,618 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts |
$ | 1,216,476 | $ | - | $ | - | $ | 1,216,476 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts |
$ | (4,267,787 | ) | $ | - | $ | - | $ | (4,267,787 | ) | ||||||
Swap Agreements |
- | (785,423 | ) | - | (785,423 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (4,267,787 | ) | $ | (785,423 | ) | $ | - | $ | (5,053,210 | ) | |||||
|
|
|
|
|
|
|
|
113
Notes to Portfolio of Investments (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-Duration Bond Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Corporate Debt |
$ | - | $ | 98,216,456 | $ | - | $ | 98,216,456 | ||||||||
Municipal Obligations |
- | 45,902 | - | 45,902 | ||||||||||||
Non-U.S. Government Agency Obligations |
- | 103,676,809 | 2,742,219 | ** | 106,419,028 | |||||||||||
U.S. Government Agency Obligations and Instrumentalities |
- | 2,340,316 | - | 2,340,316 | ||||||||||||
U.S. Treasury Obligations |
- | 829,271 | - | 829,271 | ||||||||||||
Purchased Options |
- | 2,016,930 | - | 2,016,930 | ||||||||||||
Short-Term Investments |
- | 9,990,985 | - | 9,990,985 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | - | $ | 217,116,669 | $ | 2,742,219 | $ | 219,858,888 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts |
$ | 821,354 | $ | - | $ | - | $ | 821,354 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts |
$ | (588,831 | ) | $ | - | $ | - | $ | (588,831 | ) | ||||||
Swap Agreements |
- | (114,393 | ) | - | (114,393 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (588,831 | ) | $ | (114,393 | ) | $ | - | $ | (703,224 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Small Cap Equity Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock |
$ | 124,956,785 | $ | - | $ | - | $ | 124,956,785 | ||||||||
Mutual Funds |
2,622,653 | - | - | 2,622,653 | ||||||||||||
Short-Term Investments |
- | 2,511,549 | - | 2,511,549 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 127,579,438 | $ | 2,511,549 | $ | - | $ | 130,090,987 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Strategic Emerging Markets Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock* | ||||||||||||||||
Bermuda |
$ | 1,586,099 | $ | 1,650,148 | $ | - | $ | 3,236,247 | ||||||||
Brazil |
5,037,653 | - | - | 5,037,653 | ||||||||||||
Cayman Islands |
14,928,006 | 7,205,166 | - | 22,133,172 | ||||||||||||
Chile |
211,092 | - | - | 211,092 | ||||||||||||
China |
- | 5,126,447 | - | 5,126,447 | ||||||||||||
Colombia |
857,305 | - | - | 857,305 | ||||||||||||
Egypt |
- | 566,948 | - | 566,948 | ||||||||||||
France |
- | 7,945,895 | - | 7,945,895 | ||||||||||||
Hong Kong |
- | 4,909,973 | - | 4,909,973 | ||||||||||||
India |
- | 11,781,278 | - | 11,781,278 | ||||||||||||
Indonesia |
- | 1,137,249 | - | 1,137,249 | ||||||||||||
Italy |
- | 1,764,804 | - | 1,764,804 | ||||||||||||
Malaysia |
- | 340,586 | - | 340,586 | ||||||||||||
Mexico |
6,559,823 | - | - | 6,559,823 | ||||||||||||
Netherlands |
1,695,118 | 61,864 | - | 1,756,982 | ||||||||||||
Philippines |
- | 4,456,539 | - | 4,456,539 | ||||||||||||
Republic of Korea |
- | 10,672,223 | - | 10,672,223 | ||||||||||||
Russia |
- | 8,445,877 | - | 8,445,877 | ||||||||||||
South Africa |
- | 3,168,526 | - | 3,168,526 | ||||||||||||
Taiwan |
- | 7,291,836 | - | 7,291,836 | ||||||||||||
Thailand |
670,822 | - | - | 670,822 | ||||||||||||
Turkey |
- | 754,825 | - | 754,825 |
114
Notes to Portfolio of Investments (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Strategic Emerging Markets Fund (Continued) |
||||||||||||||||
Asset Investments (Continued) |
||||||||||||||||
Common Stock* (Continued) | ||||||||||||||||
United Arab Emirates |
$ | - | $ | 1,990,989 | $ | - | $ | 1,990,989 | ||||||||
United Kingdom |
- | 5,426,387 | - | 5,426,387 | ||||||||||||
United States |
1,613,061 | - | - | 1,613,061 | ||||||||||||
Preferred Stock | ||||||||||||||||
Brazil |
1,306,209 | - | - | 1,306,209 | ||||||||||||
India |
54,422 | - | - | 54,422 | ||||||||||||
Mutual Funds | 1,756,987 | - | - | 1,756,987 | ||||||||||||
Short-Term Investments | - | 5,021,748 | - | 5,021,748 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 36,276,597 | $ | 89,719,308 | $ | - | $ | 125,995,905 | ||||||||
|
|
|
|
|
|
|
|
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets, as applicable. |
** | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the period ended September 30, 2018 is not presented. |
The Funds, with the exception of the Blend Fund and Strategic Emerging Markets Fund, had no transfers between Levels of the fair value hierarchy during the period ended September 30, 2018. The Blend Fund had transfers between Level 2 and Level 3 of the fair value hierarchy during the period ended September 30, 2018; however, none of the transfers individually or collectively had a material impact on the Fund. The Funds recognize transfers between the Levels as of the beginning of the year.
The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:
Transfers In* | Transfers Out* | |||||||||||||||
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
Level 1 — Quoted Prices |
Level 2 — Other Significant Observable Inputs |
|||||||||||||
Strategic Emerging Markets Fund | $ | 2,682,026 | $ | - | $ | - | $ | (2,682,026 | ) | |||||||
|
|
|
|
|
|
|
|
* | Transfers occurred between Level 1 and Level 2 as inputs were more observable. |
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 at September 30, 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”).
115
Notes to Portfolio of Investments (Unaudited) (Continued)
Type of Derivative and Objective for Use |
Asset |
Blend |
Inflation- |
Managed |
Short- | |||||
Foreign Currency Exchange Transactions* |
||||||||||
Hedging/Risk Management |
M | |||||||||
Directional Exposures to Currencies |
A | |||||||||
Intention to Create Investment Leverage in Portfolio |
M | |||||||||
Futures Contracts** |
||||||||||
Hedging/Risk Management |
A | A | A | 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 | |||||||||
Duration Management |
A | |||||||||
Asset/Liability Management |
M | |||||||||
Substitution for Direct Investment |
M | |||||||||
Intention to Create Investment Leverage in Portfolio |
M | |||||||||
Credit Default Swaps (Protection Seller) |
||||||||||
Hedging/Risk Management |
A | A | A | A | ||||||
Duration/Credit Quality Management |
A | A | A | A | ||||||
Income |
A | A | A | A | ||||||
Substitution for Direct Investment |
A | A | A | A | ||||||
Intention to Create Investment Leverage in Portfolio |
M | M | M | M | ||||||
Options (Purchased) |
||||||||||
Hedging/Risk Management |
A | A | A | A | ||||||
Duration/Credit Quality Management |
A | A | A | A | ||||||
Substitution for Direct Investment |
A | A | A | A | ||||||
Directional Investment |
A | A | A | A | ||||||
Intention to Create Investment Leverage in Portfolio |
M | M | 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. |
At September 30, 2018, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Credit Risk |
Equity Risk |
Foreign Exchange Risk |
Interest Rate Risk |
Total | ||||||||||||||||
Asset Momentum Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Forward Contracts |
$ | - | $ | - | $ | 53,958 | $ | - | $ | 53,958 | ||||||||||
Futures Contracts |
- | 171,322 | - | - | 171,322 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | - | $ | 171,322 | $ | 53,958 | $ | - | $ | 225,280 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts |
$ | - | $ | - | $ | (86,245 | ) | $ | - | $ | (86,245 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
116
Notes to Portfolio of Investments (Unaudited) (Continued)
Credit Risk |
Equity Risk |
Foreign Exchange Risk |
Interest Rate Risk |
Total | ||||||||||||||||
Blend Fund |
| |||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||
Purchased Options |
$ | - | $ | - | $ | - | $ | 1,668,218 | $ | 1,668,218 | ||||||||||
Futures Contracts |
- | - | - | 92,908 | 92,908 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | - | $ | - | $ | - | $ | 1,761,126 | $ | 1,761,126 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liability Derivatives |
| |||||||||||||||||||
Futures Contracts |
$ | - | $ | - | $ | - | $ | (541,647 | ) | $ | (541,647 | ) | ||||||||
Swap Agreements |
(128,545 | ) | - | - | - | (128,545 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | (128,545 | ) | $ | - | $ | - | $ | (541,647 | ) | $ | (670,192 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Inflation-Protected and Income Fund |
| |||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||
Purchased Options |
$ | - | $ | - | $ | - | $ | 2,621,331 | $ | 2,621,331 | ||||||||||
Futures Contracts |
- | - | - | 46,942 | 46,942 | |||||||||||||||
Swap Agreements |
- | - | - | 315,214 | 315,214 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | - | $ | - | $ | - | $ | 2,983,487 | $ | 2,983,487 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liability Derivatives |
| |||||||||||||||||||
Futures Contracts |
$ | - | $ | - | $ | - | $ | (23,242 | ) | $ | (23,242 | ) | ||||||||
Swap Agreements |
(278,319 | ) | - | - | (73,412 | ) | (351,731 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | (278,319 | ) | $ | - | $ | - | $ | (96,654 | ) | $ | (374,973 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Managed Bond Fund |
| |||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||
Purchased Options |
$ | - | $ | - | $ | - | $ | 10,199,517 | $ | 10,199,517 | ||||||||||
Futures Contracts |
- | - | - | 1,216,476 | 1,216,476 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | - | $ | - | $ | - | $ | 11,415,993 | $ | 11,415,993 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liability Derivatives |
| |||||||||||||||||||
Futures Contracts |
$ | - | $ | - | $ | - | $ | (4,267,787 | ) | $ | (4,267,787 | ) | ||||||||
Swap Agreements |
(785,423 | ) | - | - | - | (785,423 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | (785,423 | ) | $ | - | $ | - | $ | (4,267,787 | ) | $ | (5,053,210 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Short-Duration Bond Fund |
| |||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||
Purchased Options |
$ | - | $ | - | $ | - | $ | 2,016,930 | $ | 2,016,930 | ||||||||||
Futures Contracts |
- | - | - | 821,354 | 821,354 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | - | $ | - | $ | - | $ | 2,838,284 | $ | 2,838,284 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liability Derivatives |
| |||||||||||||||||||
Futures Contracts |
$ | - | $ | - | $ | - | $ | (588,831 | ) | $ | (588,831 | ) | ||||||||
Swap Agreements |
(114,393 | ) | - | - | - | (114,393 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Value |
$ | (114,393 | ) | $ | - | $ | - | $ | (588,831 | ) | $ | (703,224 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
117
Notes to Portfolio of Investments (Unaudited) (Continued)
At September 30, 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† | ||||||||||||||||
Fund Name |
Futures Contracts |
Forward Contracts |
Swap Agreements |
Purchased Swaptions |
||||||||||||
Asset Momentum Fund |
123 | $ | 5,640,491 | $ | - | $ | - | |||||||||
Blend Fund |
340 | - | 1,090,000 | 34,020,000 | ||||||||||||
Inflation-Protected and Income Fund |
94 | - | 93,560,000 | 53,020,000 | ||||||||||||
Managed Bond Fund |
2,196 | - | 6,660,000 | 207,950,000 | ||||||||||||
Short-Duration Bond Fund |
1,271 | - | 970,000 | 41,140,000 |
† | Amount(s) disclosed represent number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, and purchased swaptions, based on absolute values, at September 30, 2018. |
Further details regarding the derivatives and other investments held by the Fund(s) at September 30, 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.
Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
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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.
Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
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
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protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of 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
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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.
Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments. 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.
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When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.
Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.
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
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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.
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 September 30, 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. 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.
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
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investment leverage and involve the risk that the market value of the security that a Fund is obligated to repurchase under the agreement may decline below the repurchase price. For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for a security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.
Reverse repurchase transactions are entered into by a Fund under a Master Repurchase Agreement (“MRA”), which permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and creates one single net payment due to or from the Fund. With reverse 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.
Open reverse repurchase transactions outstanding at September 30, 2018, if any, are listed in each applicable Fund’s Portfolio of Investments.
At September 30, 2018, the average balance outstanding for open reverse repurchase agreements for the Inflation-Protected and Income Fund was $300,028,273. The maximum balance outstanding for the Inflation-Protected and Income Fund was $349,736,919 during the period ended September 30, 2018. The weighted average maturity was 45 days, at a weighted average interest rate of 1.920%.
Average balance outstanding was calculated based on daily balances outstanding during the period that the Inflation-Protected and Income Fund had entered into reverse repurchase transactions.
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.
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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 Asset Momentum Fund, Blend Fund, Dynamic Bond Fund, Equity Fund, Equity Rotation Fund, High Yield Fund, Inflation-Protected and Income Fund, Managed Bond Fund, Short-Duration Bond Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets 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 Asset Momentum Fund, Blend Fund, Dynamic Bond Fund, Equity Fund, Equity Rotation Fund, High Yield Fund, Inflation-Protected and Income Fund, Short-Duration Bond Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets Fund, 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 portfolio of 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 September 30, 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 September 30, 2018.
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
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litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among 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 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, Dynamic Bond Fund, High Yield Fund, Inflation-Protected and Income Fund, Managed Bond Fund, and Short-Duration Bond Fund and annually for the Asset Momentum
126
Notes to Portfolio of Investments (Unaudited) (Continued)
Fund, Equity 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. 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. | Federal Income Tax Information |
At September 30, 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 |
$ | 28,733,617 | $ | 2,531,898 | $ | (583,173 | ) | $ | 1,948,725 | |||||||
Blend Fund |
573,108,775 | 169,439,217 | (8,498,068 | ) | 160,941,149 | |||||||||||
Dynamic Bond Fund |
459,092,625 | 3,572,728 | (14,724,416 | ) | (11,151,688 | ) | ||||||||||
Equity Fund |
696,350,763 | 184,937,950 | (20,989,825 | ) | 163,948,125 | |||||||||||
Equity Rotation Fund |
27,694,077 | 6,257,365 | (966,965 | ) | 5,290,400 | |||||||||||
High Yield Fund |
136,900,486 | 3,824,941 | (6,395,229 | ) | (2,570,288 | ) | ||||||||||
Inflation-Protected and Income Fund |
663,572,287 | 6,470,944 | (9,856,678 | ) | (3,385,734 | ) | ||||||||||
Managed Bond Fund |
1,183,405,615 | 11,001,822 | (26,786,819 | ) | (15,784,997 | ) | ||||||||||
Short-Duration Bond Fund |
221,893,253 | 1,703,200 | (3,737,565 | ) | (2,034,365 | ) | ||||||||||
Small Cap Equity Fund |
100,785,404 | 31,821,583 | (2,516,000 | ) | 29,305,583 | |||||||||||
Special Situations Fund |
21,196,761 | 5,745,255 | (577,477 | ) | 5,167,778 | |||||||||||
Strategic Emerging Markets Fund |
112,071,785 | 20,622,425 | (6,698,305 | ) | 13,924,120 |
Note: The aggregate cost for investments for the U.S. Government Money Market Fund at September 30, 2018, is the same for financial reporting and federal income tax purposes.
4. | 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.
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.
127
Notes to Portfolio of Investments (Unaudited) (Continued)
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.
5. | Legal Proceedings |
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.
The potential amount sought to be recovered from the Blend Fund and Small Cap Equity Fund plus interest and the Official Committee’s court costs, are approximately $207,400 and $93,500, respectively.
In addition, on June 2, 2011, the Blend Fund was named as a defendant in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.
The Funds cannot predict the outcome of these proceedings. Accordingly, the Funds have not accrued any amounts related to these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Official Committee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Funds’ net asset value depending on the net assets of each applicable Fund at the time of such judgment or settlement.
128
Item 2. 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-Q, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-Q 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 3. Exhibits.
(a) 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.
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 |
/s/ Tina Wilson | |
Tina Wilson, President and Principal Executive Officer | ||
Date |
11/21/2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By |
/s/ Tina Wilson | |
Tina Wilson, President and Principal Executive Officer | ||
Date |
11/21/2018 | |
By |
/s/ Renee Hitchcock | |
Renee Hitchcock, Treasurer and Principal Financial Officer | ||
Date |
11/21/2018 |
This ‘N-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
12/15/19 | ||||
12/15/18 | ||||
Filed on / Effective on: | 11/27/18 | |||
For Period End: | 9/30/18 | N-MFP2 | ||
6/1/18 | ||||
8/1/17 | ||||
12/15/11 | 497, DEF 14A, PRE 14A | |||
6/2/11 | ||||
12/7/10 | N-MFP | |||
2/28/05 | ||||
2/8/05 | ||||
List all Filings |