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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-21714 |
MML Series Investment Fund II | ||
(Exact name of registrant as specified in charter) | ||
100 Bright Meadow Blvd., Enfield, CT 06082 | ||
(Address of principal executive offices) | (Zip code) | |
Eric Wietsma | ||
100 Bright Meadow Blvd., Enfield, CT 06082 | ||
(Name and address of agent for service) | ||
Registrant’s telephone number, including area code: (860) 562-1000 | ||
Date of fiscal year end: 12/31/2019 | ||
Date of reporting period: 12/31/2019 |
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Item 1. Reports to Stockholders.
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Portfolio of Investments | ||||
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Other Information (Unaudited) | ||||
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MML Series Investment Fund II. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
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To Our Shareholders
Eric Wietsma
“MassMutual believes that retirement investors’ long-term financial security is crucial. In our view, the dynamics of the investment markets during 2019 validate, for those planning for retirement, the importance of maintaining a long-term perspective rather than reacting to current headlines.”
December 31, 2019
Markets remained strong overall
I am pleased to present you with the MML Series Investment Fund II Annual Report, covering the year ended December 31, 2019. During the period, U.S. stocks delivered one of their best years of returns, benefiting from an accommodative Federal Reserve Board (the “Fed”), investors’ belief that the U.S.-China trade war was on a path to resolution, and diminished investors’ concerns that the global economy was entering a period of recession.
Investor concerns of a global economic recession eased considerably during the year, aided by low unemployment, strong consumer spending, and renewed monetary stimulus by global central banks.
Bond investors were the beneficiaries of a falling yield environment fueled by Fed policy. Consequently, the Bloomberg Barclays U.S. Aggregate Bond Index, the Bloomberg Barclays U.S. Corporate Bond Index, and the Bloomberg Barclays U.S. Corporate High Yield Index all advanced strongly for the year.
In MassMutual’s view, the dynamics of the investment markets during 2019 validate the importance of retirement investors maintaining a long-term perspective rather than reacting to current headlines. We also believe that individuals who follow certain investment guidelines, such as the ones below, may enhance their retirement income.
Suggestions for retirement investors underany market conditions
Save as much as possible
While you can’t control – or predict the direction of – the investment markets at any given time, youcan control how often and how much you contribute to your retirement savings account. Contributing as much as possible and increasing contribution levels regularly is one way retirement investors can help themselves reach their retirement income goals,regardless of how the markets perform.
Invest continually
Financial professionals often advise their clients to stay in the market, regardless of short-term results.Here’s why:Individuals who can invest in all market conditions have the potential to be rewarded even during market downturns, when more favorable prices may enable them to accumulate larger positions. This has the potential to put them at an advantage when the markets turn around.
Invest for thelong run
Investing for retirement doesn’t happen overnight. Many people save and invest for retirement throughout their working years. It may help you to keep in mind that, although the financial markets will go up and down over time, taking a long-term approach to investing gives you more time to ride out market downturns as you work toward achieving your long-term investment goals.
(Continued)
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MML Series Investment Fund II – President’s Letter to Shareholders (Unaudited)(Continued)
Monitor your asset allocation regularly – and diversify*
The most common retirement plan investments – stocks, bonds, and short-term/money market investments – typically (although not always) behave differently from one another at any given time. Each of these asset classes contains an array ofsub-categories, such assmall-cap stocks, international stocks, and high-yield bonds. Many financial professionals believe that investors can reduce the risk of over-exposure to one or two poorly performing investment types by investing in a diverse mix of investment types andsub-categories.
Choose the investments you feel are right for you – and seek professional guidance
Many financial advisors believe that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.
If you work with a financial professional, you may wish to consider reaching out to him or her for assistance in helping you ensure:
• | you are saving enough for retirement based on your long-term needs; |
• | your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as your investment time horizon and risk tolerance; and |
• | you are taking the right steps to help reduce your longevity risk, which is the risk that your retirement savings could “run out” during your lifetime. |
We’re people protecting people
MassMutual believes that your long-term financial security is crucial. Our ongoing commitment is to help people financially protect their families and put themselves on the path to a more secure retirement. And that’s why we continually remind retirement investors of the importance of maintaining a long-term perspective on retirement planning. Our view is that planning isn’t about crunching numbers – it’s about those moments when it all pays off – and that the more you plan for life’s greatest moments, the more you can relax and enjoy them. Thank you for your continued confidence and trust in MassMutual.
Sincerely,
Eric Wietsma
President
* | Diversification and asset allocation do not ensure a profit or protect against loss in a declining market, but can be sound investment strategies. |
© 2020 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA. All rights reserved.www.massmutual.com Underwriter: MML Distributors, LLC. (MMLD) Member FINRA and SIPC (www.FINRA.org andwww.SIPC.org), 100 Bright Meadow Blvd., Enfield, CT 06082. MMLD is a wholly-owned subsidiary of MassMutual. Investment advisory services provided to the Funds by MML Investment Advisers, LLC (MML Advisers), a wholly-owned subsidiary of MassMutual. The information provided is the opinion of MML Advisers as of 1/1/20 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
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December 31, 2019
Market Highlights
• | During 2019, U.S. stocks delivered one of their best years of returns, benefiting from an accommodative Federal Reserve Board (the “Fed”), investors’ belief that the U.S.-China trade war was on a path to resolution, and diminished investors’ concerns that the global economy was entering a period of recession. |
• | Concerns of a global economic recession eased considerably during the year, aided by low unemployment, strong consumer spending, and renewed monetary stimulus by global central banks. |
• | Foreign stocks in both developed markets and emerging markets also performed well, though they trailed their U.S. counterparts for the period. |
• | U.S. bond investors benefited from falling interest rates, a stable U.S. dollar, and accommodative global central bank policy. |
Market Environment
U.S. equity investors benefited from a decrease in volatility in 2019 and expectations that a global recession would be avoided in the near term. U.S. stocks delivered positive returns in each of the four quarters of the year. The S&P 500® Index* (the “S&P 500”) and the Dow Jones Industrial AverageSM (the “Dow”) each posted strong positive results for the year, gaining 31% and 25% respectively.
In the first quarter of 2019, investors pushed aside concerns over slowing global economic growth and increased market volatility to push global stock prices to nearall-time highs. The market rally was fueled by the Fed’s decision to hold off on interest rate hikes in 2019 (and to instead lower rates), the end of the government shutdown (which ran from December 22, 2018 to January 25, 2019), and evidence that the trade war between the U.S. and China was on a path to resolution.
Markets continued to gain traction in the second quarter, as investors tamped down fears of a global economic slowdown, and continued to send global stock prices on an upward trajectory. The market rally was bolstered by expectations that the Fed would be cutting interest rates as early as July 2019 and the belief that the trade negotiations between the U.S. and China remained on track.
Volatility returned to the markets in the third quarter, as investor concerns that tradewar-related conflicts would spark a global economic slowdown flew in the face of strong consumption in the United States, a rebound in U.S. housing, and renewed monetary stimulus from a majority of the world’s central banks. The temporary inversion of the U.S. yield curve also troubled investors. Inversions of the yield curve, where short-term rates are higher than long-term rates, have historically signaled future economic contractions.
It was back to the races in the fourth quarter, with investors responding positively to the Fed’s move to lower the federal funds rate (i.e., the interest rate that banks and financial institutions charge each other for borrowing funds overnight), better-than-expected corporate earnings, the resurgence of the housing sector in the U.S., and progress being made in the U.S.-China trade war. Emerging-market stocks led global markets upward in the face of a weakening U.S. dollar.
At year end, the broad market S&P 500 ended up 31.49% and the Dow followed a similar pattern, advancing 25.34%. The technology-heavy NASDAQ Composite Index gained 36.69%, led by technology giant Apple, which appreciated 87% for the year.Small-cap stocks underperformed their larger peers and growth stocks continued to outperform their value counterparts during the period.
All sectors of the S&P 500 delivered positive results for the year, with the information technology sector being the clear winner, up 50.29%. The information technology, communication services, and financials sectors were the only areas of the market that outperformed the broad market, as represented by the S&P 500. The energy sector, while up, was the top laggard, up just 11.81% for the year.
* | Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment. |
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MML Series Investment Fund II – Economic and Market Overview (Unaudited)(Continued)
Developed international markets, as measured by the MSCI EAFE® Index, had a strong year, although they trailed their U.S. peers, and ended the year 22.01% higher. Emerging markets, as measured by the MSCI Emerging Markets Index, also had a strong year, with an advance of 18.42%. International stocks benefited from accommodative monetary policy, investors’ belief that the U.S.-China trade war was done escalating, and diminished concerns that the global economy was on the brink of a recession.
The Fed’s influence on markets was considerable in 2019. In the first quarter, it signaled that it was done raising interest rates over concerns that higher rates were impacting economic expansion. In the second quarter, Fed Chairperson Jerome Powell addressed fears of how the continuing U.S.-China trade war could hurt the U.S. economy and commented that the Fed would “act as appropriate to sustain the expansion.” This perceived willingness to cut interest rates was positive for risk assets and drove equities higher. In the second half of 2019, the Fed took action to sustain the economic expansion, cutting interest rates in July, September, and October.
Bond yields fell during the year, with the10-year U.S. Treasury bond falling below 1.50% in September. After starting the year at 2.69%, yields fell 0.77% to end 2019 at 1.92%. Since falling yields drive bond prices up, returns on the Bloomberg Barclays U.S. Aggregate Bond Index were strong for the year, with an 8.72% advance. Investment-grade corporate bonds also fared well in the falling yield environment. The Bloomberg Barclays U.S. Corporate Bond Index, which tracks investment-grade corporate bonds, ended the year with a gain of 14.54%. The Bloomberg Barclays U.S. Corporate High Yield Index also ended the year in positive territory, appreciating 14.32%.
As we enter 2020, we continue to see high valuations in the equity market, from a historical perspective. At MassMutual, we remain convinced that a broadly diversified portfolio aligned with a long-term strategy is the wisest course for those investors seeking retirement income. We remind you that it is important to maintain perspective and have realistic expectations about the future performance of your investment portfolio. As described in this report, financial markets can reverse suddenly, stumble along sideways, and reverse again. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to markets like these, taking into consideration how long you have to save and invest, as well as your financial goals and risk tolerance. Thank you for your confidence in MassMutual.
The information provided is the opinion of MML Investment Advisers, LLC as of 1/1/20 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
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What is the investment approach of MML Blend Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve as high a level of total rate of return over an extended period of time as is considered consistent with prudent investment risk and the preservation of capital. The Fund invests across different asset classes (equity securities, fixed income securities, including bank loans and Rule 144A securities, and money market instruments), each represented by a different segment of the Fund’s portfolio. The subadviser typically adjusts the allocation among the three segments, based on its judgment about each segment’s potential for returns in comparison with those of other segments and corresponding risk. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Initial Class shares returned 21.38%, underperforming, by a wide margin, the 31.49% return of the S&P 500® Index (the “stock component’s benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market. The Fund substantially outperformed the 8.72% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “bond component’s benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). The Fund outperformed the 19.44% return of the Lipper Balanced Fund Index, an unmanaged, equally weighted index of the 30 largest mutual funds within the Lipper Balanced Category. Finally, the Fund underperformed the 22.11% return of the Custom Balanced Index (the “blend benchmark”), which comprises the stock component’s benchmark and the bond component’s benchmark. The weightings of each index are 60% and 40%, respectively.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2019, there were three distinct phases within the Fund’s equity portfolio. The first was a rally inlow-quality stocks as the market rebounded from the 2018sell-off and priced in a Federal Reserve (the Fed) rate cut. This behavior was similar to that which occurs in the market at the end of a recession; the only difference was that there was no recession. The second phase was a rally in growth stocks, which were the leaders of 2018 that declined sharply in the fourth quarter of 2018. In the third phase, value stocks ended the year strongly, as there were hints of a resolution of the trade war and a realization that value shares had become extraordinarily cheap.
Both the Fund’s allocation to, and its investments in, the consumer discretionary sector detracted from relative performance. The Fund held an overweight stake, relative to the benchmark, in the sector for most of the year. Within the consumer discretionary sector, the Fund held overweight stakes in traditional retailers Kohl’s, Nordstrom, and Foot Locker, based on their valuations. These holdings, however, significantly underperformed both the benchmark and the behemoth of the sector, internet retailer Amazon, during a time when consumers continued to ramp up their online shopping at the expense of traditional retailers.
The Fund also was significantly overweight in the financials sector throughout the year. Banks have been growing their earnings and have improved their balance sheets and loan quality. They borrow at the short rate and lend at the long rate, so a steeper yield curve (i.e., the difference between the long rates and the short rates) is generally favorable for them. These stocks fell, however, throughout the first three quarters of 2019 due to declining long-term interest rates. When long-term rates rose and short-term rates declined in the fourth quarter, making the yield curve steeper, banks rebounded and this helped the Fund’s performance. The Fund held overweight stakes in Bank of America and Citigroup, whose returns both advanced over 40% for the year.
The Fund’s fixed-income segment’s notable performance detractors for the year were in the securitized sectors – in particular, asset-backed securities backed by student loan and aviation collateral. Portfolio positioning within30-year government mortgage-backed securities was a drag on performance, as lower mortgage rates drove an unexpected increase in refinancing activity, weighing on bond prices. During the year, the Fund was overweight corporate bonds, which was a primary driver of performance. Allocations to banking, life insurance, and property & casualty insurance were top contributing industry holdings for the Fund.
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MML Blend Fund – Portfolio Manager Report (Unaudited)(Continued)
The equity portion of the Fund used derivatives, which resulted in a small gain to the Fund’s performance. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both. In the fixed-income segment, the Fund used derivative instruments for yield curve, duration, downside hedging, and to gain exposures. In aggregate, these positions positively contributed to the Fund’s performance.
Subadviser outlook
Interest rates in the U.S. have been generally declining for over 30 years. Rates are essentially the price of money to borrow, so classical economics would tell us that there was more money to lend than there was a demand for money. Fund management believes, however, that the excess supply of money can be attributed to an aging population, movement to a service-based economy that requires less capital, expansive money supply by our central bank (allowed by the dollar’s position as the world’s reserve currency), and other factors. There may be cyclical pressure on rates, but Fund management believes that secularly low rates could continue – along with their salutary effect on financial asset prices.
MML Blend Fund Portfolio Characteristics (% of Net Assets) on 12/31/19 | ||||
Common Stock | 65.7 | % | ||
Corporate Debt | 12.0 | % | ||
Non-U.S. Government Agency Obligations | 11.0 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 9.0 | % | ||
U.S. Treasury Obligations | 1.1 | % | ||
Mutual Funds | 0.4 | % | ||
Sovereign Debt Obligations | 0.3 | % | ||
Municipal Obligations | 0.2 | % | ||
Purchased Options | 0.2 | % | ||
Preferred Stock | 0.1 | % | ||
Rights | 0.0 | % | ||
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Total Long-Term Investments | 100.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.0 | )% | ||
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Net Assets | 100.0 | % | ||
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MML Blend Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - INITIAL CLASS
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||||
Inception Date of Class | 1 Year | 5 Years | 10 Years | |||||
Initial Class | 02/03/1984 | 21.38% | 7.94% | 10.02% | ||||
Service Class | 08/15/2008 | 21.08% | 7.67% | 9.75% | ||||
S&P 500 Index* | 31.49% | 11.70% | 13.56% | |||||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72% | 3.05% | 3.75% | |||||
Lipper Balanced Fund Index | 19.44% | 6.76% | 8.12% | |||||
Custom Balanced Index | 22.11% | 8.35% | 9.81% |
* Benchmark
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Equity Fund, and who are the Fund’s subadvisers?
The Fund’s primary objective is to achieve a superior total rate of return over an extended period of time from both capital appreciation and current income. Its secondary objective is the preservation of capital when business and economic conditions indicate that investing for defensive purposes is appropriate. The Fund invests primarily in common stocks of companies that the subadvisers believe are undervalued in the marketplace, with a focus on securities of larger size companies. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in common stocks, preferred stocks, securities convertible into common or preferred stocks, and other securities, such as warrants and stock rights, whose value is based on stock prices. The Fund typically invests most of its assets in securities of U.S. companies, but may invest up to 25% of its total assets in foreign securities and American Depositary Receipts (“ADRs”), including emerging market securities. The Fund’s two subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which managed approximately 35% of the Fund’s portfolio; and Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 65% of the Fund’s portfolio, as of December 31, 2019. T. Rowe Price replaced OppenheimerFunds, Inc. as subadviser effective May 17, 2019.
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Initial Class shares returned 25.92%, underperforming the 26.54% return of the Russell 1000® Value Index (the “benchmark”), which measures the performance of thelarge-cap value segment of U.S. equity securities. It includes the Russell 1000 Index companies with lowerprice-to-book ratios and lower expected growth values. It is market-capitalization weighted.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2019, within the Brandywine Global component of the Fund, prescription drug price reform threats from the federal government, along with scrutiny over the opioid epidemic, weighed heavily on the industry and the prospects for future earnings growth of some of the Fund component holdings within the health care sector, like Pfizer and Gilead. Biopharmaceutical company Abbvie was another Fund component holding that underperformed substantially after announcing a very expensive acquisition for Allergan; Fund management subsequently eliminated Abbvie from the portfolio. Much of the health care sector lagged the broader market throughout the year, during which time Brandywine Global maintained a meaningful overweight, relative to the benchmark, in both the pharmaceutical and biotechnology industries. This proved to be the biggest drag on performance for 2019. On the other hand, helping to drive performance for the year was Brandywine Global’s large overweight positions in both the financials and technology sectors. Semiconductor and semiconductor equipment companies were the best-performing Fund component holdings. In addition, technology giant Apple continued to have another great year, nearly doubling in value before Brandywine Global eliminated it from the portfolio on valuations.
For the portion of the year that OppenheimerFunds, Inc. served asco-subadviser of the Fund (January 1, 2019–May 16, 2019), within its component of the Fund, weaker stock selection in the industrials sector and a modest overweight exposure to the health care sector, which significantly underperformed the broader market, offset strong relative returns from stock selection within the financials and information technology sectors. Fund component holdings that were key individual detractors included DuPont, UnitedHealth Group, and Pfizer. Fund component holdings that contributed the most to performance included Cisco Systems, Bank of America, and Citigroup.
For the portion of the year that T. Rowe Price served asco-subadviser of the Fund (May 17, 2019–December 31, 2019), stock selection was the primary reason for T. Rowe Price’s underperformance. Fund component holdings in the financials, information technology, and industrials and business services sectors were the largest relative detractors from full-year returns. Within the financials sector, American International Group and Bank of America were two Fund component holdings that lagged the benchmark. Fund component holdings in information technology that held back T. Rowe Price’s performance included Microsoft and Cisco Systems. In industrials and business services, Boeing was the worst-performing T. Rowe Price holding. There were no contributors to relative performance during the period.
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MML Equity Fund – Portfolio Manager Report (Unaudited)(Continued)
Subadviser outlook
Brandywine Global notes that the phase one partial trade agreement between the U.S. and China eased some global growth concerns and that risk of a disruptive Brexit seems to have also softened. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) Brandywine Global reports that its component of the Fund continues to have a bias away from overpriced bond yield proxies, such as utilities and real estate investment trusts (REITs), while maintaining apro-cyclical bias with overweight allocations in the technology and industrials sectors. Brandywine Global’s view is that partial protection from any economic slowdown could come from its overweight in often-defensive, higher-quality stocks, such as those with positive earnings, high return on equity, or larger share buybacks – and from insurance stocks, which could counterbalance any faltering in the economy and resulting underperformance of cyclicals.
T. Rowe Price observes that significant moves by global central banks to loosen monetary policy have eased financial conditions, which is supportive of global economic activity. Indeed, the most recent global manufacturing purchasing managers’ surveys suggest that activity may have turned up recently, such as in Europe, where T. Rowe Price has seen early signs of green shoots (i.e., signs of economic recovery during an economic downturn). While slowing Chinese demand and geopolitical tensions, including protests in Hong Kong and U.S. impeachment proceedings, continue to weigh on global activity, T. Rowe Price believes that manageable trade tensions and the fading risk of ano-deal Brexit could support a rebound in global growth in 2020.
MML Equity Fund Largest Holdings (% of Net Assets) on 12/31/19 | ||||
JP Morgan Chase & Co. | 4.8 | % | ||
Johnson & Johnson | 3.0 | % | ||
Wells Fargo & Co. | 2.6 | % | ||
Bank of America Corp. | 2.4 | % | ||
Exxon Mobil Corp. | 2.1 | % | ||
Intel Corp. | 2.0 | % | ||
Merck & Co., Inc. | 2.0 | % | ||
Verizon Communications, Inc. | 1.9 | % | ||
Chevron Corp. | 1.7 | % | ||
American International Group, Inc. | 1.6 | % | ||
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24.1 | % | |||
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MML Equity Fund Sector Table (% of Net Assets) on 12/31/19 | ||||
Financial | 30.2 | % | ||
Consumer,Non-cyclical | 18.3 | % | ||
Technology | 12.7 | % | ||
Industrial | 10.6 | % | ||
Energy | 7.6 | % | ||
Utilities | 5.8 | % | ||
Consumer, Cyclical | 5.6 | % | ||
Communications | 5.2 | % | ||
Basic Materials | 2.8 | % | ||
Mutual Funds | 1.0 | % | ||
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Total Long-Term Investments | 99.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.2 | % | ||
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Net Assets | 100.0 | % | ||
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MML Equity Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - INITIAL CLASS
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||||
Inception Date of Class | 1 Year | 5 Years | 10 Years | |||||
Initial Class | 12/31/1973 | 25.92% | 7.37% | 10.52% | ||||
Service Class | 08/15/2008 | 25.61% | 7.10% | 10.25% | ||||
Russell 1000 Value Index | 26.54% | 8.29% | 11.80% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Managed Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Managed Bond Fund, and who is the Fund’s subadviser?
The Fund’s investment objective is to achieve as high a total rate of return on an annual basis as is considered consistent with the preservation of capital. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s,BBB- or higher by Standard & Poor’s or the equivalent by any NRSRO, or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Initial Class shares returned 9.81%, outperforming the 8.72% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
From both a relative and an absolute perspective, the Fund enjoyed a very strong year performance-wise. U.S. Government bond yields fell sharply over the year, in part due to the U.S. Federal Reserve’s (the Fed) easing monetary policy. Credit spreads also tightened, as the economy avoided recession. (Credit spreads are the differences in yields between comparable bonds, with tightening spreads often indicating decreasing yields and increasing prices for bonds.) In the end, both factors contributed to healthy bond price appreciation for most investment-grade sectors.
For the year ended December 31, 2019, the Fund had an overweight allocation, relative to the benchmark, to the corporate sector, which was a primary driver of the Fund’s performance. The Fund’s allocations to banking, life insurance, and property & casualty insurance were top contributing industry holdings. Secondary oil & gas producers, electronics, and diversified manufacturing were the Fund holdings that detracted the most. BBB quality holdings proved to be thetop-performing quality position over the period, and the Fund’s overweight stake contributed as well. BBB quality issuers showed less credit deterioration over 2019 when compared to higher-qualitysingle-A rated issuers. BBB quality issuers reduced payouts to shareholders, while higher-quality,single-A rated issuers continued to pay a near peak share of their earnings out as dividends and share buybacks.
Notable performance detractors for the Fund were in the securitized sectors – in particular, asset-backed securities backed by student loan and aviation collateral. The Fund was overweight to these sectors during the year. Portfolio positioning within30-year government mortgage-backed securities was a drag on performance, as lower mortgage rates drove an unexpected increase in refinancing activity, weighing on bond prices.
Fund management generally keeps portfolio duration (i.e., interest rate sensitivity) in line with that of the benchmark. Consequently, duration management did not have a significant effect on the Fund’s relative performance.
The Fund uses derivative instruments for yield curve, duration, downside hedging, and to gain exposures. They may also be used as a substitute for a direct investment. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. In aggregate, these positions positively contributed to performance.
Subadviser outlook
To Fund management, it appears that the global growth outlook, though far from robust, may be stabilizing after prompt policy support by global central banks – especially the Fed – helped alleviate recession fears. After three rate cuts in 2019, Fund management believes that the Fed is now likely on hold for a while, as it monitors growth trends. Fund management believes that modest, positive growth could be supportive for risk assets, including corporate and securitized sectors as we move into 2020.
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MML Managed Bond Fund – Portfolio Manager Report (Unaudited)(Continued)
Still, they believe that security selection will be critical, as some sectors sport extended valuations – even as earnings have come down from prior healthy levels – and some corporate fundamentals remain stretched.
Despite modest weakness in 2019, Fund management believes that securitized sectors still represent good value, on the belief that the U.S. consumer remains on solid ground amid strong employment and rising wages. Consequently, they have maintained an overweight to the space going into 2020.
MML Managed Bond Fund Portfolio Characteristics (% of Net Assets) on 12/31/19 | ||||
Corporate Debt | 35.0 | % | ||
Non-U.S. Government Agency Obligations | 33.5 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 26.0 | % | ||
U.S. Treasury Obligations | 1.7 | % | ||
Sovereign Debt Obligations | 0.7 | % | ||
Purchased Options | 0.7 | % | ||
Municipal Obligations | 0.5 | % | ||
Mutual Funds | 0.5 | % | ||
Preferred Stock | 0.2 | % | ||
|
| |||
Total Long-Term Investments | 98.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.2 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
12
Table of Contents
MML Managed Bond Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - INITIAL CLASS
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||||
Inception Date of Class | 1 Year | 5 Years | 10 Years | |||||
Initial Class | 12/16/1981 | 9.81% | 3.14% | 4.03% | ||||
Service Class | 08/15/2008 | 9.54% | 2.88% | 3.77% | ||||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72% | 3.05% | 3.75% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML U.S. Government Money Market Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML U.S. Government Money Market Fund, and who is the Fund’s subadviser?
The Fund’s investment objective is to achieve current income consistent with preservation of capital and liquidity. The Fund normally invests at least 99.5% of its total assets in cash, U.S. Government securities, and/or repurchase agreements fully collateralized by cash or U.S. Government securities. It is important to note that this Fund seeks to maintain, but does not guarantee, a stable $1.00 share price. Under normal circumstances, the Fund invests at least 80% of its net assets in U.S. Government securities and repurchase agreements that are fully collateralized by U.S. Government securities.You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Initial Class shares returned 1.71%, underperforming the 2.25% return of the FTSE 3 Month US T Bill Index (the “benchmark”), which measures the performance of the last three three-month Treasury billmonth-end rates.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Federal Reserve Board (the Fed) increased the federal funds target rate in December 2018 and then reversed course and lowered the rate three times for a total of 0.75% in 2019. (The federal funds rate is the interest rate that banks and financial institutions charge each other for borrowing funds overnight.) Fears of slowing global growth took hold at the end of the year and the Fed indicated that this was not the beginning of a longer easing cycle, but merely a short series of “insurance” cuts designed to keep the U.S. economy on track. 2019 began with the highest short-term rates in more than 10 years, but short rates responded to the Fed’s recent actions by moving lower as monetary policy continued to ease. LIBOR (London Interbank Offered Rate) rates decreased, withone-month LIBOR down 0.74% to 1.76% over the year, and three-month LIBOR down 0.90% to 1.91% over the12-month period.
With LIBOR dropping so much in the last year, the Fund benefited from the purchase of longer-dated Treasuries in December 2018 when yields were at their highest levels. Conversely, the sharp drop in LIBOR hurt the Fund due to the large percentage of adjustable rate issues that were negatively affected by the unexpected drop. Currently, about 50% of the adjustable rate issues in the Fund are tied to the Secured Overnight Financing Rate (SOFR) – a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities – as LIBOR will be phased out within the next few years. However, the effects of a declining interest rate environment are similar, regardless of the benchmark those adjustable rate issues are tied to.
The Weighted Average Maturity (WAM) of the Fund started the year at its highest point of 53 days because of several longer-dated fixed rate trades done in December 2018. The WAM of the Fund decreased slowly throughout 2019, as the longer-dated paper inched closer to maturity. (Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the bond or portfolio when interest rates rise or fall.) Inmid-2019, when it became apparent that the Fed would begin easing for the first time in more than a decade, the Fund once again began lengthening the duration of the Fund’s portfolio to take advantage of rates that would be decreasing during the second half of 2019.
The disparity between the Fund’s WAM and Weighted Average Life (WAL) increased greatly in 2019. The main reason for this large disparity is that the Fund purchased a large number of SOFR-based adjustable rate issues as opposed to the LIBOR-based issues that Fund management had purchased in the past. Unlike the LIBOR-based adjustable rate issues that reset either monthly or quarterly, the SOFR-based issues reset daily, so even aone-year SOFR adjustable rate issue that will contribute 365 days to the Fund’s WAL will only contribute one day to the Fund’s WAM. The WAL of the Fund, which takes into account a bond’s final maturity date, began the year at 91 days, dipped into the high 60’smid-year and then ended the year at 98 days.
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MML U.S. Government Money Market Fund – Portfolio Manager Report (Unaudited)(Continued)
The Fund may use derivative instruments for yield curve and duration management, as well as for replicating cash bonds and gaining market exposure in order to implement Fund management’s views. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. During the period, the Fund used repurchase agreements, as proxies for commercial mortgage-backed securities to manage the Fund. Overall, these derivative positions modestly detracted from the Fund’s full-year performance.
Subadviser outlook
Barring unexpected additional growth weakness, Fund management believes that U.S. government yields will be range bound in 2020. Fund management believes that lower interest rates would require a marked deterioration in future growth prospects. Conversely, Fund management’s view is that higher rates will only manifest alongside a sharppick-up in inflation expectations. Neither seems likely at the moment, in Fund management’s view.
As the Fed appears to be on hold for the majority, if not all, of 2020, Fund management expects to buy more adjustable rate issues, which it believes are more attractive than fixed-rate paper from a relative value standpoint. The Fund bought longer fixed-rate paper after the Fed announced, but before they began buying, the purchase of Treasury Bills in an effort to get ahead of the expected drop in yields. Fund management believes that the Fed’s purchase of Treasury Bills could drive yields onT-Bills and all short government and agency fixed-rate paper even lower, and will make adjustable rate issues even more attractive than they otherwise would be in a stagnant rate environment.
MML U.S. Government Money Market Fund Portfolio Characteristics (% of Net Assets) on 12/31/19 | ||||
Discount Notes | 84.8 | % | ||
Repurchase Agreement | 8.6 | % | ||
U.S. Treasury Bonds & Notes | 8.4 | % | ||
|
| |||
Total Short-Term Investments | 101.8 | % | ||
Other Assets & Liabilities | (1.8 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
15
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MML U.S. Government Money Market Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - INITIAL CLASS
The graph above illustrates the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||||
Inception Date of Class | 1 Year | 5 Years | 10 Years | |||||
Initial Class | 12/16/1981 | 1.71% | 0.70% | 0.35% | ||||
FTSE 3 Month US T Bill Index | 2.25% | 1.05% | 0.56% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
16
Table of Contents
December 31, 2019
Number of Shares | Value | |||||||
EQUITIES — 65.8% |
| |||||||
COMMON STOCK — 65.7% |
| |||||||
Basic Materials — 1.2% |
| |||||||
Chemicals — 0.9% |
| |||||||
Air Products & Chemicals, Inc. | 2,475 | $ | 581,600 | |||||
Celanese Corp. | 5,200 | 640,224 | ||||||
CF Industries Holdings, Inc. | 10,690 | 510,341 | ||||||
Dow, Inc. | 13,006 | 711,818 | ||||||
DuPont de Nemours, Inc. | 16,906 | 1,085,365 | ||||||
Eastman Chemical Co. | 6,070 | 481,108 | ||||||
Ecolab, Inc. | 2 | 386 | ||||||
Linde PLC | 346 | 73,664 | ||||||
LyondellBasell Industries NV Class A | 15,640 | 1,477,667 | ||||||
PPG Industries, Inc. | 2,818 | 376,175 | ||||||
The Sherwin-Williams Co. | 1,673 | 976,263 | ||||||
|
| |||||||
6,914,611 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% |
| |||||||
International Paper Co. | 18,987 | 874,351 | ||||||
|
| |||||||
Iron & Steel — 0.1% |
| |||||||
Nucor Corp. | 11,656 | 656,000 | ||||||
|
| |||||||
Mining — 0.1% |
| |||||||
Freeport-McMoRan, Inc. | 64 | 840 | ||||||
Newmont Goldcorp Corp. | 16,870 | 733,001 | ||||||
|
| |||||||
733,841 | ||||||||
|
| |||||||
9,178,803 | ||||||||
|
| |||||||
Communications — 9.9% |
| |||||||
Advertising — 0.2% |
| |||||||
The Interpublic Group of Cos., Inc. | 22,122 | 511,018 | ||||||
Omnicom Group, Inc. | 8,147 | 660,070 | ||||||
|
| |||||||
1,171,088 | ||||||||
|
| |||||||
Internet — 5.9% |
| |||||||
Alphabet, Inc. Class A (a) | 4,750 | 6,362,102 | ||||||
Alphabet, Inc. Class C (a) | 5,411 | 7,234,615 | ||||||
Amazon.com, Inc. (a) | 7,500 | 13,858,800 | ||||||
Booking Holdings, Inc. (a) | 1,511 | 3,103,186 | ||||||
CDW Corp. | 6,080 | 868,467 | ||||||
eBay, Inc. | 41,777 | 1,508,567 | ||||||
Expedia Group, Inc. | 1,877 | 202,979 | ||||||
F5 Networks, Inc. (a) | 1,400 | 195,510 | ||||||
Facebook, Inc. Class A (a) | 47,000 | 9,646,750 | ||||||
Netflix, Inc. (a) | 143 | 46,271 | ||||||
NortonLifeLock, Inc. | 55 | 1,404 | ||||||
TripAdvisor, Inc. | 37 | 1,124 | ||||||
Twitter, Inc. (a) | 300 | 9,615 | ||||||
VeriSign, Inc. (a) | 2,991 | 576,306 | ||||||
|
| |||||||
43,615,696 | ||||||||
|
|
Number of Shares | Value | |||||||
Media — 1.3% |
| |||||||
Charter Communications, Inc. Class A (a) | 2,031 | $ | 985,197 | |||||
Comcast Corp. Class A | 93,724 | 4,214,768 | ||||||
Discovery, Inc. Class A (a) (b) | 16,400 | 536,936 | ||||||
Discovery, Inc. Class C (a) | 9,043 | 275,721 | ||||||
DISH Network Corp. Class A (a) | 6,600 | 234,102 | ||||||
Fox Corp. Class A | 14,622 | 542,038 | ||||||
Fox Corp. Class B | 2,700 | 98,280 | ||||||
News Corp. Class A | 66 | 933 | ||||||
ViacomCBS, Inc. Class B | 20,143 | 845,402 | ||||||
The Walt Disney Co. | 11,166 | 1,614,939 | ||||||
|
| |||||||
9,348,316 | ||||||||
|
| |||||||
Telecommunications — 2.5% |
| |||||||
AT&T, Inc. | 97,326 | 3,803,500 | ||||||
CenturyLink, Inc. | 27,928 | 368,929 | ||||||
Cisco Systems, Inc. | 144,142 | 6,913,050 | ||||||
Corning, Inc. | 8,167 | 237,742 | ||||||
Juniper Networks, Inc. | 7,289 | 179,528 | ||||||
Motorola Solutions, Inc. | 2,107 | 339,522 | ||||||
Verizon Communications, Inc. | 113,955 | 6,996,837 | ||||||
|
| |||||||
18,839,108 | ||||||||
|
| |||||||
72,974,208 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.2% |
| |||||||
Airlines — 0.5% |
| |||||||
Alaska Air Group, Inc. | 300 | 20,325 | ||||||
American Airlines Group, Inc. | 2,200 | 63,096 | ||||||
Delta Air Lines, Inc. | 23,200 | 1,356,736 | ||||||
Southwest Airlines Co. | 27,183 | 1,467,338 | ||||||
United Airlines Holdings, Inc. (a) | 11,700 | 1,030,653 | ||||||
|
| |||||||
3,938,148 | ||||||||
|
| |||||||
Apparel — 0.5% |
| |||||||
Capri Holdings Ltd. (a) | 2,800 | 106,820 | ||||||
Hanesbrands, Inc. | 34,000 | 504,900 | ||||||
NIKE, Inc. Class B | 17,884 | 1,811,828 | ||||||
PVH Corp. | 1,620 | 170,343 | ||||||
Ralph Lauren Corp. | 2,960 | 346,971 | ||||||
Tapestry, Inc. | 6,220 | 167,754 | ||||||
Under Armour, Inc. Class C (a) | 1,900 | 36,442 | ||||||
VF Corp. | 2,200 | 219,252 | ||||||
|
| |||||||
3,364,310 | ||||||||
|
| |||||||
Auto Manufacturers — 0.6% |
| |||||||
Cummins, Inc. | 5,555 | 994,123 | ||||||
Ford Motor Co. | 74,313 | 691,111 | ||||||
General Motors Co. | 53,400 | 1,954,440 | ||||||
PACCAR, Inc. | 12,722 | 1,006,310 | ||||||
|
| |||||||
4,645,984 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.0% |
| |||||||
BorgWarner, Inc. | 4,800 | 208,224 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
17
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Distribution & Wholesale — 0.1% |
| |||||||
Copart, Inc. (a) | 4,400 | $ | 400,136 | |||||
Fastenal Co. | 164 | 6,060 | ||||||
W.W. Grainger, Inc. | 1,072 | 362,893 | ||||||
|
| |||||||
769,089 | ||||||||
|
| |||||||
Home Builders — 0.1% |
| |||||||
D.R. Horton, Inc. | 4,747 | 250,404 | ||||||
PulteGroup, Inc. | 8,173 | 317,113 | ||||||
|
| |||||||
567,517 | �� | |||||||
|
| |||||||
Home Furnishing — 0.1% |
| |||||||
Leggett & Platt, Inc. | 86 | 4,372 | ||||||
Whirlpool Corp. | 2,993 | 441,557 | ||||||
|
| |||||||
445,929 | ||||||||
|
| |||||||
Housewares — 0.0% |
| |||||||
Newell Brands, Inc. | 4,600 | 88,412 | ||||||
|
| |||||||
Leisure Time — 0.0% |
| |||||||
Harley-Davidson, Inc. | 3,302 | 122,801 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 1,300 | 75,933 | ||||||
Royal Caribbean Cruises Ltd. | 610 | 81,441 | ||||||
|
| |||||||
280,175 | ||||||||
|
| |||||||
Lodging — 0.4% |
| |||||||
Hilton Worldwide Holdings, Inc. | 12,700 | 1,408,557 | ||||||
Las Vegas Sands Corp. | 9,000 | 621,360 | ||||||
Marriott International, Inc. Class A | 6,081 | 920,846 | ||||||
Wynn Resorts Ltd. | 8 | 1,111 | ||||||
|
| |||||||
2,951,874 | ||||||||
|
| |||||||
Retail — 3.9% |
| |||||||
Advance Auto Parts, Inc. | 1,010 | 161,762 | ||||||
AutoZone, Inc. (a) | 464 | 552,768 | ||||||
Best Buy Co., Inc. | 13,192 | 1,158,258 | ||||||
Costco Wholesale Corp. | 530 | 155,778 | ||||||
Darden Restaurants, Inc. | 2,654 | 289,312 | ||||||
Dollar General Corp. | 3,780 | 589,604 | ||||||
Dollar Tree, Inc. (a) | 48 | 4,514 | ||||||
The Gap, Inc. | 10,990 | 194,303 | ||||||
Genuine Parts Co. | 3,264 | 346,735 | ||||||
The Home Depot, Inc. | 23,487 | 5,129,091 | ||||||
Kohl’s Corp. | 8,530 | 434,603 | ||||||
L Brands, Inc. | 2,200 | 39,864 | ||||||
Lowe’s Cos., Inc. | 39,115 | 4,684,412 | ||||||
Macy’s, Inc. | 10,351 | 175,967 | ||||||
McDonald’s Corp. | 3,300 | 652,113 | ||||||
Nordstrom, Inc. (b) | 10,308 | 421,906 | ||||||
O’Reilly Automotive, Inc. (a) | 3,743 | 1,640,407 | ||||||
Ross Stores, Inc. | 10,104 | 1,176,308 | ||||||
Starbucks Corp. | 39,354 | 3,460,004 | ||||||
Target Corp. | 17,286 | 2,216,238 | ||||||
Tiffany & Co. | 802 | 107,187 | ||||||
The TJX Cos., Inc. | 25,112 | 1,533,339 |
Number of Shares | Value | |||||||
Walgreens Boots Alliance, Inc. | 10,857 | $ | 640,129 | |||||
Walmart, Inc. | 19,862 | 2,360,400 | ||||||
Yum! Brands, Inc. | 3,675 | 370,183 | ||||||
|
| |||||||
28,495,185 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.0% |
| |||||||
Hasbro, Inc. | 2,791 | 294,758 | ||||||
|
| |||||||
46,049,605 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 13.6% |
| |||||||
Agriculture — 0.9% |
| |||||||
Altria Group, Inc. | 74,259 | 3,706,267 | ||||||
Archer-Daniels-Midland Co. | 92 | 4,264 | ||||||
Philip Morris International, Inc. | 31,986 | 2,721,689 | ||||||
|
| |||||||
6,432,220 | ||||||||
|
| |||||||
Beverages — 1.1% |
| |||||||
Brown-Forman Corp. Class B | 15 | 1,014 | ||||||
The Coca-Cola Co. | 73,030 | 4,042,210 | ||||||
Constellation Brands, Inc. Class A | 542 | 102,845 | ||||||
Molson Coors Brewing Co. Class B | 1,500 | 80,850 | ||||||
Monster Beverage Corp. (a) | 8,400 | 533,820 | ||||||
PepsiCo, Inc. | 21,770 | 2,975,306 | ||||||
|
| |||||||
7,736,045 | ||||||||
|
| |||||||
Biotechnology — 1.9% |
| |||||||
Alexion Pharmaceuticals, Inc. (a) | 8,440 | 912,786 | ||||||
Amgen, Inc. | 23,671 | 5,706,368 | ||||||
Biogen, Inc. (a) | 9,472 | 2,810,627 | ||||||
Corteva, Inc. | 6 | 177 | ||||||
Gilead Sciences, Inc. | 46,910 | 3,048,212 | ||||||
Illumina, Inc. (a) | 20 | 6,635 | ||||||
Incyte Corp. (a) | 2,900 | 253,228 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 2,090 | 784,753 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 1,250 | 273,687 | ||||||
|
| |||||||
13,796,473 | ||||||||
|
| |||||||
Commercial Services — 0.9% |
| |||||||
Automatic Data Processing, Inc. | 1,889 | 322,075 | ||||||
Cintas Corp. | 2,378 | 639,872 | ||||||
Equifax, Inc. | 2 | 280 | ||||||
Gartner, Inc. (a) | 110 | 16,951 | ||||||
Global Payments, Inc. | 2 | 365 | ||||||
H&R Block, Inc. (b) | 26,163 | 614,307 | ||||||
Moody’s Corp. | 5,040 | 1,196,547 | ||||||
Nielsen Holdings PLC | 23,400 | 475,020 | ||||||
PayPal Holdings, Inc. (a) | 7 | 757 | ||||||
Quanta Services, Inc. | 2,013 | 81,949 | ||||||
Robert Half International, Inc. | 10,626 | 671,032 | ||||||
S&P Global, Inc. | 6,358 | 1,736,052 | ||||||
United Rentals, Inc. (a) | 3,220 | 536,999 | ||||||
Verisk Analytics, Inc. | 2,720 | 406,205 | ||||||
|
| |||||||
6,698,411 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
18
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Cosmetics & Personal Care — 1.0% |
| |||||||
Colgate-Palmolive Co. | 20,806 | $ | 1,432,285 | |||||
The Estee Lauder Cos., Inc. Class A | 1,570 | 324,268 | ||||||
The Procter & Gamble Co. | 44,419 | 5,547,933 | ||||||
|
| |||||||
7,304,486 | ||||||||
|
| |||||||
Foods — 0.7% |
| |||||||
Campbell Soup Co. | 11,724 | 579,400 | ||||||
Conagra Brands, Inc. | 7,774 | 266,182 | ||||||
General Mills, Inc. | 19,062 | 1,020,961 | ||||||
The Hershey Co. | 4,287 | 630,103 | ||||||
Hormel Foods Corp. (b) | 3,232 | 145,796 | ||||||
The J.M. Smucker Co. | 845 | 87,990 | ||||||
Kellogg Co. | 28 | 1,936 | ||||||
The Kraft Heinz Co. | 4,958 | 159,301 | ||||||
The Kroger Co. | 24,258 | 703,239 | ||||||
McCormick & Co., Inc. | 91 | 15,445 | ||||||
Mondelez International, Inc. Class A | 1,675 | 92,259 | ||||||
Sysco Corp. | 15,134 | 1,294,562 | ||||||
Tyson Foods, Inc. Class A | 5,401 | 491,707 | ||||||
|
| |||||||
5,488,881 | ||||||||
|
| |||||||
Health Care – Products — 0.5% |
| |||||||
Abbott Laboratories | 1 | 87 | ||||||
Baxter International, Inc. | 7,561 | 632,251 | ||||||
The Cooper Cos., Inc. | 1,240 | 398,400 | ||||||
Danaher Corp. | 86 | 13,199 | ||||||
Edwards Lifesciences Corp. (a) | 1,750 | 408,258 | ||||||
Henry Schein, Inc. (a) | 500 | 33,360 | ||||||
IDEXX Laboratories, Inc. (a) | 1,830 | 477,868 | ||||||
Intuitive Surgical, Inc. (a) | 8 | 4,729 | ||||||
Medtronic PLC | 1,520 | 172,444 | ||||||
ResMed, Inc. | 2,160 | 334,735 | ||||||
Stryker Corp. | 2,780 | 583,633 | ||||||
Thermo Fisher Scientific, Inc. | 2,281 | 741,029 | ||||||
Varian Medical Systems, Inc. (a) | 7 | 994 | ||||||
Zimmer Biomet Holdings, Inc. | 5 | 748 | ||||||
|
| |||||||
3,801,735 | ||||||||
|
| |||||||
Health Care – Services — 1.2% |
| |||||||
Anthem, Inc. | 5,476 | 1,653,916 | ||||||
Centene Corp. (a) | 2,120 | 133,285 | ||||||
DaVita, Inc. (a) | 7,630 | 572,479 | ||||||
HCA Healthcare, Inc. | 9,790 | 1,447,060 | ||||||
Humana, Inc. | 2,144 | 785,819 | ||||||
Laboratory Corp. of America Holdings (a) | 2 | 338 | ||||||
Quest Diagnostics, Inc. | 3,309 | 353,368 | ||||||
UnitedHealth Group, Inc. | 13,984 | 4,111,016 | ||||||
Universal Health Services, Inc. Class B | 50 | 7,173 | ||||||
|
| |||||||
9,064,454 | ||||||||
|
|
Number of Shares | Value | |||||||
Household Products — 0.1% |
| |||||||
Church & Dwight Co., Inc. | 3,400 | $ | 239,156 | |||||
The Clorox Co. | 4,243 | 651,470 | ||||||
|
| |||||||
890,626 | ||||||||
|
| |||||||
Household Products & Wares — 0.4% |
| |||||||
Avery Dennison Corp. | 1,915 | 250,520 | ||||||
Kimberly-Clark Corp. | 17,005 | 2,339,038 | ||||||
|
| |||||||
2,589,558 | ||||||||
|
| |||||||
Pharmaceuticals — 4.9% |
| |||||||
AbbVie, Inc. | 58,722 | 5,199,246 | ||||||
Align Technology, Inc. (a) | 1,370 | 382,285 | ||||||
Allergan PLC | 1,250 | 238,963 | ||||||
AmerisourceBergen Corp. | 6,507 | 553,225 | ||||||
Becton Dickinson and Co. | 2 | 544 | ||||||
Bristol-Myers Squibb Co. | 64,243 | 4,123,758 | ||||||
Cardinal Health, Inc. | 5,978 | 302,367 | ||||||
Cigna Corp. | 2,803 | 573,185 | ||||||
CVS Health Corp. | 9,301 | 690,971 | ||||||
Dentsply Sirona, Inc. | 56 | 3,169 | ||||||
Eli Lilly & Co. | 39,264 | 5,160,468 | ||||||
Johnson & Johnson | 49,892 | 7,277,746 | ||||||
McKesson Corp. | 11,605 | 1,605,204 | ||||||
Merck & Co., Inc. | 49,383 | 4,491,384 | ||||||
Mylan NV (a) | 18,547 | 372,795 | ||||||
Pfizer, Inc. | 114,441 | 4,483,798 | ||||||
Zoetis, Inc. | 4,890 | 647,191 | ||||||
|
| |||||||
36,106,299 | ||||||||
|
| |||||||
99,909,188 | ||||||||
|
| |||||||
Energy — 2.2% |
| |||||||
Oil & Gas — 2.1% |
| |||||||
Apache Corp. | 21 | 537 | ||||||
Cabot Oil & Gas Corp. | 30,148 | 524,877 | ||||||
Chevron Corp. | 23,238 | 2,800,411 | ||||||
Cimarex Energy Co. | 1,900 | 99,731 | ||||||
ConocoPhillips | 12,539 | 815,411 | ||||||
Devon Energy Corp. | 6,447 | 167,429 | ||||||
Diamondback Energy, Inc. | 2,460 | 228,436 | ||||||
EOG Resources, Inc. | 5,478 | 458,837 | ||||||
Exxon Mobil Corp. | 36,397 | 2,539,783 | ||||||
Helmerich & Payne, Inc. | 60 | 2,726 | ||||||
Hess Corp. | 3,032 | 202,568 | ||||||
HollyFrontier Corp. | 13,000 | 659,230 | ||||||
Marathon Oil Corp. | 7,327 | 99,501 | ||||||
Marathon Petroleum Corp. | 38,100 | 2,295,525 | ||||||
Noble Energy, Inc. | 56 | 1,391 | ||||||
Occidental Petroleum Corp. | 629 | 25,921 | ||||||
Phillips 66 | 25,579 | 2,849,756 | ||||||
Pioneer Natural Resources Co. | 1 | 151 | ||||||
Valero Energy Corp. | 23,240 | 2,176,426 | ||||||
|
| |||||||
15,948,647 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
19
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Oil & Gas Services — 0.1% |
| |||||||
Baker Hughes Co. | 31 | $ | 794 | |||||
Halliburton Co. | 16,867 | 412,735 | ||||||
National Oilwell Varco, Inc. | 1,094 | 27,405 | ||||||
Schlumberger Ltd. | 4,531 | 182,146 | ||||||
TechnipFMC PLC | 40 | 858 | ||||||
|
| |||||||
623,938 | ||||||||
|
| |||||||
Pipelines — 0.0% |
| |||||||
Kinder Morgan, Inc. | 238 | 5,038 | ||||||
The Williams Cos., Inc. | 48 | 1,139 | ||||||
|
| |||||||
6,177 | ||||||||
|
| |||||||
16,578,762 | ||||||||
|
| |||||||
Financial — 11.9% |
| |||||||
Banks — 5.0% |
| |||||||
Bank of America Corp. | 135,398 | 4,768,718 | ||||||
The Bank of New York Mellon Corp. | 35,507 | 1,787,067 | ||||||
Citigroup, Inc. | 65,551 | 5,236,869 | ||||||
Citizens Financial Group, Inc. | 5,900 | 239,599 | ||||||
Comerica, Inc. | 5,821 | 417,657 | ||||||
Fifth Third Bancorp | 11,821 | 363,377 | ||||||
The Goldman Sachs Group, Inc. | 4,840 | 1,112,861 | ||||||
Huntington Bancshares, Inc. | 6,800 | 102,544 | ||||||
JP Morgan Chase & Co. | 65,732 | 9,163,041 | ||||||
KeyCorp | 32,764 | 663,143 | ||||||
M&T Bank Corp. | 2,545 | 432,014 | ||||||
Morgan Stanley | 56,497 | 2,888,127 | ||||||
Northern Trust Corp. | 3,459 | 367,484 | ||||||
The PNC Financial Services Group, Inc. | 7,688 | 1,227,235 | ||||||
Regions Financial Corp. | 26,715 | 458,429 | ||||||
State Street Corp. | 6,576 | 520,162 | ||||||
SVB Financial Group (a) | 2,100 | 527,184 | ||||||
Truist Financial Corp. | 14,044 | 790,958 | ||||||
US Bancorp | 21,902 | 1,298,570 | ||||||
Wells Fargo & Co. | 78,716 | 4,234,921 | ||||||
Zions Bancorp NA | 2,041 | 105,969 | ||||||
|
| |||||||
36,705,929 | ||||||||
|
| |||||||
Diversified Financial Services — 3.2% |
| |||||||
Alliance Data Systems Corp. | 3,580 | 401,676 | ||||||
American Express Co. | 5,839 | 726,897 | ||||||
Ameriprise Financial, Inc. | 7,456 | 1,242,020 | ||||||
BlackRock, Inc. | 1,450 | 728,915 | ||||||
Capital One Financial Corp. | 9,452 | 972,705 | ||||||
The Charles Schwab Corp. | 21,112 | 1,004,087 | ||||||
Discover Financial Services | 17,183 | 1,457,462 | ||||||
E*TRADE Financial Corp. | 5,561 | 252,303 | ||||||
Franklin Resources, Inc. | 5,387 | 139,954 | ||||||
Intercontinental Exchange, Inc. | 1,115 | 103,193 | ||||||
Invesco Ltd. | 14,412 | 259,128 | ||||||
Jefferies Financial Group, Inc. | 37 | 791 | ||||||
Mastercard, Inc. Class A | 26,510 | 7,915,621 |
Number of Shares | Value | |||||||
Nasdaq, Inc. | 45 | $ | 4,819 | |||||
Raymond James Financial, Inc. | 3,900 | 348,894 | ||||||
Synchrony Financial | 39,200 | 1,411,592 | ||||||
T. Rowe Price Group, Inc. | 4,706 | 573,379 | ||||||
Visa, Inc. Class A | 28,692 | 5,391,227 | ||||||
The Western Union Co. (b) | 21,188 | 567,415 | ||||||
|
| |||||||
23,502,078 | ||||||||
|
| |||||||
Insurance — 1.9% |
| |||||||
Aflac, Inc. | 14,844 | 785,248 | ||||||
The Allstate Corp. | 4,235 | 476,226 | ||||||
American International Group, Inc. | 11,446 | 587,523 | ||||||
Aon PLC | 3,445 | 717,559 | ||||||
Assurant, Inc. | 96 | 12,584 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 21,606 | 4,893,759 | ||||||
Chubb Ltd. | 4,088 | 636,338 | ||||||
Cincinnati Financial Corp. | 39 | 4,101 | ||||||
Everest Re Group Ltd. | 20 | 5,537 | ||||||
Globe Life, Inc. | 3,282 | 345,430 | ||||||
The Hartford Financial Services Group, Inc. | 5,152 | 313,087 | ||||||
Lincoln National Corp. | 6,951 | 410,179 | ||||||
Loews Corp. | 783 | 41,100 | ||||||
Marsh & McLennan Cos., Inc. | 1,103 | 122,885 | ||||||
MetLife, Inc. | 32,190 | 1,640,724 | ||||||
Principal Financial Group, Inc. | 8,129 | 447,095 | ||||||
The Progressive Corp. | 11,614 | 840,737 | ||||||
Prudential Financial, Inc. | 8,037 | 753,388 | ||||||
The Travelers Cos., Inc. | 4,097 | 561,084 | ||||||
Unum Group | 16,131 | 470,380 | ||||||
|
| |||||||
14,064,964 | ||||||||
|
| |||||||
Real Estate — 0.1% |
| |||||||
CBRE Group, Inc. Class A (a) | 8,087 | 495,652 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.6% |
| |||||||
Alexandria Real Estate Equities, Inc. | 120 | 19,390 | ||||||
American Tower Corp. | 13,019 | 2,992,027 | ||||||
Apartment Investment & Management Co. Class A | 82 | 4,235 | ||||||
AvalonBay Communities, Inc. | 2,081 | 436,386 | ||||||
Boston Properties, Inc. | 3,793 | 522,903 | ||||||
Crown Castle International Corp. | 1,450 | 206,117 | ||||||
Digital Realty Trust, Inc. (b) | 280 | 33,527 | ||||||
Duke Realty Corp. | 9,000 | 312,030 | ||||||
Equinix, Inc. | 300 | 175,110 | ||||||
Equity Residential | 756 | 61,176 | ||||||
Essex Property Trust, Inc. | 180 | 54,155 | ||||||
Extra Space Storage, Inc. | 4,090 | 431,986 | ||||||
Healthpeak Properties, Inc. | 12,035 | 414,846 | ||||||
Host Hotels & Resorts, Inc. | 43,337 | 803,901 | ||||||
Iron Mountain, Inc. (b) | 48 | 1,530 | ||||||
Kimco Realty Corp. | 15,067 | 312,038 | ||||||
The Macerich Co. (b) | 6,000 | 161,520 |
The accompanying notes are an integral part of the financial statements.
20
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Mid-America Apartment Communities, Inc. | 2,190 | $ | 288,773 | |||||
Prologis, Inc. | 12,838 | 1,144,379 | ||||||
Public Storage | 3,103 | 660,815 | ||||||
Realty Income Corp. | 700 | 51,541 | ||||||
Regency Centers Corp. | 3,900 | 246,051 | ||||||
Simon Property Group, Inc. | 15,305 | 2,279,833 | ||||||
SL Green Realty Corp. | 2,790 | 256,345 | ||||||
UDR, Inc. | 200 | 9,340 | ||||||
Ventas, Inc. | 925 | 53,410 | ||||||
Vornado Realty Trust | 1,373 | 91,304 | ||||||
Welltower, Inc. | 1,500 | 122,670 | ||||||
Weyerhaeuser Co. | 26 | 785 | ||||||
|
| |||||||
12,148,123 | ||||||||
|
| |||||||
Savings & Loans — 0.1% |
| |||||||
People’s United Financial, Inc. | 25,351 | 428,432 | ||||||
|
| |||||||
87,345,178 | ||||||||
|
| |||||||
Industrial — 4.7% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
Arconic, Inc. | 5,408 | 166,404 | ||||||
The Boeing Co. | 72 | 23,455 | ||||||
General Dynamics Corp. | 602 | 106,163 | ||||||
L3 Harris Technologies, Inc. | 1,161 | 229,727 | ||||||
Lockheed Martin Corp. | 11,970 | 4,660,878 | ||||||
Northrop Grumman Corp. | 2,658 | 914,272 | ||||||
Raytheon Co. | 3,309 | 727,120 | ||||||
United Technologies Corp. | 2,493 | 373,352 | ||||||
|
| |||||||
7,201,371 | ||||||||
|
| |||||||
Building Materials — 0.1% |
| |||||||
Johnson Controls International PLC | 2,565 | 104,421 | ||||||
Masco Corp. | 9,825 | 471,502 | ||||||
Vulcan Materials Co. | 5 | 720 | ||||||
|
| |||||||
576,643 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.2% |
| |||||||
AMETEK, Inc. | 2,500 | 249,350 | ||||||
Emerson Electric Co. | 12,269 | 935,634 | ||||||
|
| |||||||
1,184,984 | ||||||||
|
| |||||||
Electronics — 0.8% |
| |||||||
Agilent Technologies, Inc. | 63 | 5,374 | ||||||
Allegion PLC | 1,633 | 203,374 | ||||||
Amphenol Corp. Class A | 4,874 | 527,513 | ||||||
FLIR Systems, Inc. | 2,852 | 148,504 | ||||||
Fortive Corp. | 5,878 | 449,020 | ||||||
Garmin Ltd. | 2,100 | 204,876 | ||||||
Honeywell International, Inc. | 13,402 | 2,372,154 | ||||||
Keysight Technologies, Inc. (a) | 4,500 | 461,835 | ||||||
Mettler-Toledo International, Inc. (a) | 760 | 602,893 | ||||||
PerkinElmer, Inc. | 20 | 1,942 | ||||||
TE Connectivity Ltd. | 8,500 | 814,640 |
Number of Shares | Value | |||||||
Waters Corp. (a) | 1,540 | $ | 359,821 | |||||
|
| |||||||
6,151,946 | ||||||||
|
| |||||||
Engineering & Construction — 0.0% |
| |||||||
Jacobs Engineering Group, Inc. | 820 | 73,661 | ||||||
|
| |||||||
Environmental Controls — 0.2% |
| |||||||
Pentair PLC | 2,523 | 115,730 | ||||||
Republic Services, Inc. | 337 | 30,205 | ||||||
Waste Management, Inc. | 9,373 | 1,068,147 | ||||||
|
| |||||||
1,214,082 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.0% |
| |||||||
Snap-on, Inc. | 1,171 | 198,367 | ||||||
Stanley Black & Decker, Inc. | 9 | 1,492 | ||||||
|
| |||||||
199,859 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.3% |
| |||||||
Caterpillar, Inc. | 15,845 | 2,339,990 | ||||||
|
| |||||||
Machinery – Diversified — 0.3% |
| |||||||
Dover Corp. | 1,303 | 150,184 | ||||||
Flowserve Corp. | 1,870 | 93,070 | ||||||
Rockwell Automation, Inc. | 6,753 | 1,368,631 | ||||||
Roper Technologies, Inc. | 663 | 234,854 | ||||||
Xylem, Inc. | 55 | 4,333 | ||||||
|
| |||||||
1,851,072 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.9% |
| |||||||
3M Co. | 14,052 | 2,479,054 | ||||||
Eaton Corp. PLC | 7,366 | 697,707 | ||||||
General Electric Co. | 2,586 | 28,860 | ||||||
Illinois Tool Works, Inc. | 15,815 | 2,840,848 | ||||||
Ingersoll-Rand PLC | 390 | 51,839 | ||||||
Parker-Hannifin Corp. | 2,268 | 466,800 | ||||||
Textron, Inc. | 3,372 | 150,391 | ||||||
|
| |||||||
6,715,499 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% |
| |||||||
Ball Corp. | 4 | 259 | ||||||
Packaging Corp. of America | 5,550 | 621,544 | ||||||
Sealed Air Corp. | 53 | 2,111 | ||||||
WestRock Co. | 7,467 | 320,409 | ||||||
|
| |||||||
944,323 | ||||||||
|
| |||||||
Shipbuilding — 0.0% |
| |||||||
Huntington Ingalls Industries, Inc. | 1,110 | 278,477 | ||||||
|
| |||||||
Transportation — 0.8% |
| |||||||
C.H. Robinson Worldwide, Inc. | 2,520 | 197,064 | ||||||
CSX Corp. | 19,307 | 1,397,054 | ||||||
Expeditors International of Washington, Inc. | 126 | 9,831 | ||||||
Norfolk Southern Corp. | 3 | 582 | ||||||
Union Pacific Corp. | 11,252 | 2,034,249 | ||||||
United Parcel Service, Inc. Class B | 17,960 | 2,102,398 | ||||||
|
| |||||||
5,741,178 | ||||||||
|
| |||||||
34,473,085 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
21
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Technology — 14.2% |
| |||||||
Computers — 5.2% |
| |||||||
Accenture PLC Class A | 15,660 | $ | 3,297,526 | |||||
Apple, Inc. | 83,287 | 24,457,227 | ||||||
Cognizant Technology Solutions Corp. Class A | 14,656 | 908,965 | ||||||
DXC Technology Co. | 7,579 | 284,895 | ||||||
Fortinet, Inc. (a) | 2,720 | 290,387 | ||||||
Hewlett Packard Enterprise Co. | 50,874 | 806,862 | ||||||
HP, Inc. | 44,074 | 905,721 | ||||||
International Business Machines Corp. | 38,390 | 5,145,796 | ||||||
Leidos Holdings, Inc. | 5,000 | 489,450 | ||||||
NetApp, Inc. | 8,998 | 560,125 | ||||||
Seagate Technology PLC | 8,800 | 523,600 | ||||||
Western Digital Corp. | 7,147 | 453,620 | ||||||
|
| |||||||
38,124,174 | ||||||||
|
| |||||||
Office & Business Equipment — 0.0% |
| |||||||
Xerox Holdings Corp. | 5,736 | 211,487 | ||||||
|
| |||||||
Semiconductors — 3.8% |
| |||||||
Analog Devices, Inc. | 1,072 | 127,396 | ||||||
Applied Materials, Inc. | 35,339 | 2,157,093 | ||||||
Broadcom, Inc. | 7,049 | 2,227,625 | ||||||
Intel Corp. | 132,123 | 7,907,562 | ||||||
KLA Corp. | 5,439 | 969,067 | ||||||
Lam Research Corp. | 6,193 | 1,810,833 | ||||||
Maxim Integrated Products, Inc. | 6,600 | 405,966 | ||||||
Microchip Technology, Inc. | 21 | 2,199 | ||||||
Micron Technology, Inc. (a) | 29,817 | 1,603,558 | ||||||
NVIDIA Corp. | 2,256 | 530,837 | ||||||
QUALCOMM, Inc. | 59,100 | 5,214,393 | ||||||
Skyworks Solutions, Inc. | 5,940 | 718,027 | ||||||
Texas Instruments, Inc. | 29,594 | 3,796,614 | ||||||
Xilinx, Inc. | 5,996 | 586,229 | ||||||
|
| |||||||
28,057,399 | ||||||||
|
| |||||||
Software — 5.2% |
| |||||||
Activision Blizzard, Inc. | 200 | 11,884 | ||||||
Adobe, Inc. (a) | 3,600 | 1,187,316 | ||||||
Akamai Technologies, Inc. (a) | 2,026 | 175,006 | ||||||
Autodesk, Inc. (a) | 7 | 1,284 | ||||||
Broadridge Financial Solutions, Inc. | 720 | 88,949 | ||||||
Cadence Design Systems, Inc. (a) | 10,500 | 728,280 | ||||||
Cerner Corp. | 4,300 | 315,577 | ||||||
Citrix Systems, Inc. | 4,937 | 547,513 | ||||||
Electronic Arts, Inc. (a) | 14,107 | 1,516,644 | ||||||
Fidelity National Information Services, Inc. | 540 | 75,109 | ||||||
Fiserv, Inc. (a) | 502 | 58,046 | ||||||
Intuit, Inc. | 6,190 | 1,621,347 | ||||||
Microsoft Corp. | 158,395 | 24,978,891 | ||||||
MSCI, Inc. | 1,700 | 438,906 | ||||||
Oracle Corp. | 101,957 | 5,401,682 | ||||||
Paychex, Inc. | 5,864 | 498,792 |
Number of Shares | Value | |||||||
salesforce.com, Inc. (a) | 4 | $ | 650 | |||||
Synopsys, Inc. (a) | 2,630 | 366,096 | ||||||
|
| |||||||
38,011,972 | ||||||||
|
| |||||||
104,405,032 | ||||||||
|
| |||||||
Utilities — 1.8% |
| |||||||
Electric — 1.8% |
| |||||||
AES Corp. | 48,287 | 960,911 | ||||||
Alliant Energy Corp. | 5,400 | 295,488 | ||||||
Ameren Corp. | 4,060 | 311,808 | ||||||
American Electric Power Co., Inc. | 2,485 | 234,857 | ||||||
CenterPoint Energy, Inc. | 4,131 | 112,652 | ||||||
CMS Energy Corp. | 1,103 | 69,313 | ||||||
Consolidated Edison, Inc. | 1,282 | 115,983 | ||||||
Dominion Energy, Inc. | 6,647 | 550,505 | ||||||
DTE Energy Co. | 3,020 | 392,207 | ||||||
Duke Energy Corp. | 6,190 | 564,590 | ||||||
Edison International | 826 | 62,289 | ||||||
Entergy Corp. | 648 | 77,630 | ||||||
Evergy, Inc. | 5,300 | 344,977 | ||||||
Eversource Energy | 812 | 69,077 | ||||||
Exelon Corp. | 22,140 | 1,009,363 | ||||||
FirstEnergy Corp. | 19,380 | 941,868 | ||||||
NextEra Energy, Inc. | 1,350 | 326,916 | ||||||
NRG Energy, Inc. | 28,600 | 1,136,850 | ||||||
Pinnacle West Capital Corp. | 1,396 | 125,542 | ||||||
PPL Corp. | 41,918 | 1,504,018 | ||||||
Public Service Enterprise Group, Inc. | 9,924 | 586,012 | ||||||
Sempra Energy | 1,781 | 269,786 | ||||||
The Southern Co. | 41,922 | 2,670,431 | ||||||
WEC Energy Group, Inc. | 4,542 | 418,909 | ||||||
Xcel Energy, Inc. | 2,172 | 137,900 | ||||||
|
| |||||||
13,289,882 | ||||||||
|
| |||||||
Gas — 0.0% |
| |||||||
NiSource, Inc. | 713 | 19,850 | ||||||
|
| |||||||
Water — 0.0% |
| |||||||
American Water Works Co., Inc. | 380 | 46,683 | ||||||
|
| |||||||
13,356,415 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $331,485,701) | 484,270,276 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% |
| |||||||
Financial — 0.1% |
| |||||||
Insurance — 0.1% |
| |||||||
The Allstate Corp., 3 mo. USD LIBOR + 3.165% | 20,000 | 533,000 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $500,000) | 533,000 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $331,985,701) | 484,803,276 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
22
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
BONDS & NOTES — 33.6% |
| |||||||
CORPORATE DEBT — 12.0% |
| |||||||
Aerospace & Defense — 0.0% |
| |||||||
L3Harris Technologies, Inc. | $ | 180,000 | $ | 182,856 | ||||
United Technologies Corp. | 80,000 | 111,103 | ||||||
|
| |||||||
293,959 | ||||||||
|
| |||||||
Agriculture — 0.2% |
| |||||||
BAT Capital Corp. | 110,000 | 113,735 | ||||||
Bunge Ltd. Finance Corp. | 262,000 | 261,056 | ||||||
4.350% 3/15/24 | 350,000 | 367,692 | ||||||
Imperial Brands Finance PLC | 346,000 | 349,038 | ||||||
Reynolds American, Inc. | 245,000 | 263,837 | ||||||
5.850% 8/15/45 | 220,000 | 252,493 | ||||||
|
| |||||||
1,607,851 | ||||||||
|
| |||||||
Airlines — 0.1% |
| |||||||
American Airlines Group, Inc. | 511,000 | 534,634 | ||||||
American Airlines Pass-Through Trust,Series 2014-1, Class B, | 25,096 | 25,828 | ||||||
Spirit Airlines Pass-Through Trust,Series 2015-1, Class A, | 260,153 | 271,126 | ||||||
United Airlines Pass-Through Trust,Series 2018-1, Class B, | 87,289 | 90,270 | ||||||
WestJet Airlines Ltd. | 117,000 | 118,840 | ||||||
|
| |||||||
1,040,698 | ||||||||
|
| |||||||
Auto Manufacturers — 0.6% |
| |||||||
Ford Motor Co. | 80,000 | 76,231 | ||||||
Ford Motor Credit Co. LLC | 400,000 | 403,008 | ||||||
3.810% 1/09/24 | 450,000 | 456,874 | ||||||
4.140% 2/15/23 | 465,000 | 478,425 | ||||||
4.375% 8/06/23 | 475,000 | 493,946 | ||||||
General Motors Co. | 215,000 | 224,867 | ||||||
5.150% 4/01/38 | 130,000 | 132,988 | ||||||
General Motors Financial Co., Inc. | 490,000 | 504,907 | ||||||
4.150% 6/19/23 | 582,000 | 611,385 | ||||||
4.200% 11/06/21 | 301,000 | 312,074 |
Principal Amount | Value | |||||||
Hyundai Capital America | $ | 385,000 | $ | 389,291 | ||||
|
| |||||||
4,083,996 | ||||||||
|
| |||||||
Banks — 1.4% |
| |||||||
Associated Banc-Corp. | 494,000 | 522,256 | ||||||
Bank of America Corp. | 255,000 | 276,534 | ||||||
3 mo. USD LIBOR + 1.814% | 200,000 | 230,584 | ||||||
4.750% 4/21/45 | 125,000 | 154,916 | ||||||
6.110% 1/29/37 | 220,000 | 297,380 | ||||||
7.750% 5/14/38 | 95,000 | 149,758 | ||||||
The Bank of Nova Scotia | 200,000 | 219,722 | ||||||
3 mo. USD LIBOR + 2.648% | 715,000 | 723,938 | ||||||
Barclays Bank PLC | 440,000 | 489,114 | ||||||
Barclays PLC | 345,000 | 348,940 | ||||||
4.337% 1/10/28 | 260,000 | 279,057 | ||||||
Citigroup, Inc. | 387,000 | 409,420 | ||||||
8.125% 7/15/39 | 90,000 | 150,251 | ||||||
Credit Suisse AG | 350,000 | 389,813 | ||||||
Deutsche Bank AG | 548,000 | 550,492 | ||||||
Discover Bank 5 year USD Swap + 1.730% | 495,000 | 517,275 | ||||||
First Republic Bank | 935,000 | 1,033,032 | ||||||
Fulton Financial Corp. | 230,000 | 233,568 | ||||||
The Goldman Sachs Group, Inc. | 100,000 | 108,624 | ||||||
5.950% 1/15/27 | 212,000 | 253,362 | ||||||
6.250% 2/01/41 | 60,000 | 83,901 | ||||||
6.750% 10/01/37 | 200,000 | 277,826 | ||||||
HSBC Holdings PLC | 200,000 | 212,230 | ||||||
ING Groep NV | 290,000 | 303,530 | ||||||
JP Morgan Chase & Co. | 195,000 | 267,060 | ||||||
Morgan Stanley | 775,000 | 847,760 | ||||||
5.000% 11/24/25 | 275,000 | 309,761 | ||||||
SVB Financial Group | 400,000 | 419,117 |
The accompanying notes are an integral part of the financial statements.
23
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Valley National Bancorp | $ | 245,000 | $ | 262,977 | ||||
Wells Fargo & Co. | 159,000 | 204,207 | ||||||
5.606% 1/15/44 | 110,000 | 144,963 | ||||||
|
| |||||||
10,671,368 | ||||||||
|
| |||||||
Beverages — 0.2% |
| |||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 825,000 | 978,551 | ||||||
Molson Coors Brewing Co. | 285,000 | 284,473 | ||||||
5.000% 5/01/42 | 60,000 | 65,607 | ||||||
|
| |||||||
1,328,631 | ||||||||
|
| |||||||
Building Materials — 0.1% |
| |||||||
Standard Industries, Inc. | 771,000 | 803,767 | ||||||
5.500% 2/15/23 (c) | 178,000 | 180,893 | ||||||
|
| |||||||
984,660 | ||||||||
|
| |||||||
Chemicals — 0.4% |
| |||||||
DuPont de Nemours, Inc. | 365,000 | 435,690 | ||||||
Huntsman International LLC | 197,000 | 210,428 | ||||||
LYB International Finance BV | 175,000 | 206,716 | ||||||
The Sherwin-Williams Co. | 105,000 | 119,352 | ||||||
Syngenta Finance NV | 410,000 | 411,290 | ||||||
4.441% 4/24/23 (c) | 400,000 | 417,746 | ||||||
Yara International ASA | 745,000 | 809,803 | ||||||
|
| |||||||
2,611,025 | ||||||||
|
| |||||||
Commercial Services — 0.0% |
| |||||||
ERAC USA Finance LLC | 78,000 | 105,308 | ||||||
|
| |||||||
Computers — 0.2% |
| |||||||
Dell International LLC/EMC Corp. | 616,000 | 709,139 | ||||||
Genpact Luxembourg Sarl | 770,000 | 773,571 | ||||||
3.700% STEP 4/01/22 | 360,000 | 365,240 | ||||||
|
| |||||||
1,847,950 | ||||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
Aircastle Ltd. | 190,000 | 200,897 | ||||||
5.000% 4/01/23 | 525,000 | 561,530 | ||||||
Ally Financial, Inc. | 375,000 | 387,188 |
Principal Amount | Value | |||||||
Antares Holdings LP | $ | 495,000 | $ | 520,804 | ||||
Ares Finance Co. LLC | 355,000 | 354,872 | ||||||
Brookfield Finance, Inc. | 433,000 | 495,834 | ||||||
GE Capital International Funding Co. | 200,000 | 213,947 | ||||||
Global Aircraft Leasing Co. Ltd. | 325,000 | 339,121 | ||||||
Lazard Group LLC | 184,000 | 189,973 | ||||||
3.750% 2/13/25 | 160,000 | 169,023 | ||||||
4.500% 9/19/28 | 285,000 | 313,786 | ||||||
LeasePlan Corp. NV | 345,000 | 344,883 | ||||||
Legg Mason, Inc. | 175,000 | 198,754 | ||||||
Park Aerospace Holdings Ltd. | 250,000 | 261,750 | ||||||
5.250% 8/15/22 (c) | 1,375,000 | 1,464,925 | ||||||
|
| |||||||
6,017,287 | ||||||||
|
| |||||||
Electric — 0.6% |
| |||||||
Avangrid, Inc. | 367,000 | 389,458 | ||||||
The Cleveland Electric Illuminating Co. | 155,000 | 161,451 | ||||||
CMS Energy Corp. | 115,000 | 129,710 | ||||||
4.875% 3/01/44 | 390,000 | 465,820 | ||||||
Entergy Louisiana LLC | 165,000 | 176,993 | ||||||
IPALCO Enterprises, Inc. | 615,000 | 617,660 | ||||||
3.700% 9/01/24 | 170,000 | 175,871 | ||||||
Metropolitan Edison Co. | 328,000 | 365,720 | ||||||
Nevada Power Co., Series N, | 135,000 | 187,039 | ||||||
NextEra Energy Capital Holdings, Inc. | 320,000 | 321,707 | ||||||
Oncor Electric Delivery Co. | 40,000 | 62,379 | ||||||
Pennsylvania Electric Co. | 295,000 | 313,962 | ||||||
Puget Energy, Inc. | 350,000 | 362,551 | ||||||
Southwestern Electric Power Co. | 180,000 | 237,200 | ||||||
Xcel Energy, Inc. | 390,000 | 527,500 | ||||||
|
| |||||||
4,495,021 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
24
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Electronics — 0.2% |
| |||||||
The ADT Security Corp. | $ | 1,122,000 | $ | 1,183,710 | ||||
Ingram Micro, Inc. | 203,000 | 213,306 | ||||||
|
| |||||||
1,397,016 | ||||||||
|
| |||||||
Foods — 0.2% |
| |||||||
Ingredion, Inc. | 155,000 | 156,729 | ||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | 174,000 | 186,893 | ||||||
Kraft Heinz Foods Co. | 360,000 | 375,336 | ||||||
Mars, Inc. | 415,000 | 469,780 | ||||||
|
| |||||||
1,188,738 | ||||||||
|
| |||||||
Forest Products & Paper — 0.0% |
| |||||||
Fibria Overseas Finance Ltd. | 250,000 | 258,315 | ||||||
|
| |||||||
Gas — 0.1% |
| |||||||
NiSource, Inc. | 135,000 | 157,024 | ||||||
5.800% 2/01/42 | 175,000 | 219,307 | ||||||
|
| |||||||
376,331 | ||||||||
|
| |||||||
Health Care – Services — 0.0% |
| |||||||
Advocate Health & Hospitals Corp. | 165,000 | 179,419 | ||||||
Humana, Inc. | 125,000 | 146,515 | ||||||
|
| |||||||
325,934 | ||||||||
|
| |||||||
Home Builders — 0.0% |
| |||||||
Lennar Corp. | 200,000 | 215,000 | ||||||
|
| |||||||
Housewares — 0.1% |
| |||||||
Newell Brands, Inc. | 528,000 | 548,703 | ||||||
|
| |||||||
Insurance — 1.3% |
| |||||||
Allstate Corp. | 990,000 | 1,064,319 | ||||||
American International Group, Inc. | 210,000 | 231,169 | ||||||
4.500% 7/16/44 | 200,000 | 230,706 | ||||||
4.750% 4/01/48 | 75,000 | 90,436 | ||||||
3 mo. USD LIBOR + 2.868% | 625,000 | 687,162 | ||||||
AmTrust Financial Services, Inc. | 495,000 | 505,515 | ||||||
Arch Capital Group US, Inc. | 170,000 | 210,941 |
Principal Amount | Value | |||||||
Athene Holding Ltd. | $ | 1,255,000 | $ | 1,299,487 | ||||
AXIS Specialty Finance LLC | 155,000 | 162,142 | ||||||
5 year CMT + 3.186% | 300,000 | 304,073 | ||||||
AXIS Specialty Finance PLC | 665,000 | 705,162 | ||||||
Brown & Brown, Inc. | 246,000 | 261,702 | ||||||
CNO Financial Group, Inc. | 590,000 | 653,425 | ||||||
Enstar Group Ltd. | 370,000 | 383,653 | ||||||
Markel Corp. | 130,000 | 133,184 | ||||||
The Progressive Corp. | 375,000 | 394,110 | ||||||
Prudential Financial, Inc. | 480,000 | 548,400 | ||||||
3 mo. USD LIBOR + 4.175% | 125,000 | 134,375 | ||||||
USF&G Capital I | 150,000 | 230,101 | ||||||
Voya Financial, Inc. | 180,000 | 180,450 | ||||||
Willis North America, Inc. | 180,000 | 178,409 | ||||||
4.500% 9/15/28 | 480,000 | 529,334 | ||||||
XLIT Ltd. | 483,000 | 526,281 | ||||||
|
| |||||||
9,644,536 | ||||||||
|
| |||||||
Internet — 0.1% |
| |||||||
Amazon.com, Inc. | 325,000 | 382,475 | ||||||
|
| |||||||
Investment Companies — 0.5% |
| |||||||
Ares Capital Corp. | 710,000 | 720,686 | ||||||
BlackRock TCP Capital Corp. | 850,000 | 868,519 | ||||||
4.125% 8/11/22 | 470,000 | 486,721 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 550,000 | 560,450 | ||||||
TPG Specialty Lending, Inc. | 805,000 | 810,929 | ||||||
|
| |||||||
3,447,305 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
25
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Iron & Steel — 0.1% |
| |||||||
Vale Overseas Ltd. | $ | 275,000 | $ | 322,795 | ||||
6.875% 11/21/36 | 230,000 | 299,000 | ||||||
|
| |||||||
621,795 | ||||||||
|
| |||||||
Machinery – Diversified — 0.1% |
| |||||||
CNH Industrial Capital LLC | 700,000 | 718,298 | ||||||
|
| |||||||
Media — 0.3% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 200,000 | 211,000 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 225,000 | 278,939 | ||||||
Comcast Corp. | 220,000 | 223,293 | ||||||
3.450% 2/01/50 | 125,000 | 128,149 | ||||||
3.969% 11/01/47 | 135,000 | 148,733 | ||||||
4.750% 3/01/44 | 190,000 | 231,242 | ||||||
Discovery Communications LLC | 349,000 | 372,565 | ||||||
5.000% 9/20/37 | 160,000 | 180,830 | ||||||
Grupo Televisa SAB | 495,000 | 577,391 | ||||||
Time Warner Cable, Inc. | 110,000 | 138,985 | ||||||
|
| |||||||
2,491,127 | ||||||||
|
| |||||||
Mining — 0.3% |
| |||||||
Glencore Finance Canada Ltd. | 149,000 | 157,969 | ||||||
Glencore Funding LLC | 160,000 | 165,245 | ||||||
4.625% 4/29/24 (c) | 600,000 | 636,120 | ||||||
Kinross Gold Corp. | 166,000 | 173,885 | ||||||
5.125% 9/01/21 | 650,000 | 676,000 | ||||||
Teck Resources Ltd. | 200,000 | 223,272 | ||||||
|
| |||||||
2,032,491 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.0% |
| |||||||
General Electric Co. | 42,000 | 43,329 | ||||||
|
| |||||||
Office Equipment/Supplies — 0.1% |
| |||||||
Pitney Bowes, Inc. | 485,000 | 491,669 | ||||||
|
| |||||||
Oil & Gas — 0.8% |
| |||||||
Antero Resources Corp. | 1,264,000 | 1,203,565 |
Principal Amount | Value | |||||||
Cenovus Energy, Inc. | $ | 275,000 | $ | 291,354 | ||||
6.750% 11/15/39 | 100,000 | 127,407 | ||||||
Diamondback Energy, Inc. | 250,000 | 253,048 | ||||||
Encana Corp. | 80,000 | 94,518 | ||||||
EQT Corp. | 340,000 | 334,155 | ||||||
3.900% 10/01/27 (b) | 1,090,000 | 1,014,138 | ||||||
Marathon Petroleum Corp. | 85,000 | 90,447 | ||||||
4.750% 9/15/44 | 100,000 | 109,938 | ||||||
6.500% 3/01/41 | 170,000 | 220,807 | ||||||
Newfield Exploration Co. | 250,000 | 274,721 | ||||||
5.750% 1/30/22 | 417,000 | 443,299 | ||||||
Occidental Petroleum Corp. | 250,000 | 307,104 | ||||||
6.600% 3/15/46 | 257,000 | 331,340 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. | 175,000 | 181,562 | ||||||
Petroleos Mexicanos | 190,000 | 189,050 | ||||||
6.375% 1/23/45 | 80,000 | 77,077 | ||||||
6.500% 3/13/27 | 60,000 | 63,703 | ||||||
6.625% 6/15/38 | 37,000 | 36,944 | ||||||
Saudi Arabian Oil Co. | 495,000 | 530,267 | ||||||
|
| |||||||
6,174,444 | ||||||||
|
| |||||||
Oil & Gas Services — 0.1% |
| |||||||
National Oilwell Varco, Inc. | 285,000 | 285,869 | ||||||
3.950% 12/01/42 | 366,000 | 337,282 | ||||||
Patterson-UTI Energy, Inc. | 410,000 | 399,441 | ||||||
|
| |||||||
1,022,592 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% |
| |||||||
Amcor Finance USA, Inc. | 715,000 | 734,732 | ||||||
|
| |||||||
Pharmaceuticals — 0.6% |
| |||||||
AbbVie, Inc. | 240,000 | 252,254 | ||||||
4.700% 5/14/45 | 490,000 | 547,560 | ||||||
Allergan Funding SCS | 300,000 | 315,272 | ||||||
Becton Dickinson and Co. | 225,000 | 263,320 | ||||||
Bristol-Myers Squibb Co. | 200,000 | 238,663 |
The accompanying notes are an integral part of the financial statements.
26
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Cigna Corp. | $ | 195,000 | $ | 226,345 | ||||
CVS Health Corp. | 250,000 | 273,110 | ||||||
5.050% 3/25/48 | 230,000 | 272,556 | ||||||
6.125% 9/15/39 | 175,000 | 223,574 | ||||||
CVS Pass-Through Trust | 252,324 | 294,165 | ||||||
McKesson Corp. | 60,000 | 65,461 | ||||||
6.000% 3/01/41 | 125,000 | 153,407 | ||||||
Mylan NV | 495,000 | 516,049 | ||||||
Teva Pharmaceutical Finance LLC | 200,000 | 200,118 | ||||||
Teva Pharmaceutical Finance Netherlands BV | 232,000 | 224,680 | ||||||
4.100% 10/01/46 | 75,000 | 54,000 | ||||||
|
| |||||||
4,120,534 | ||||||||
|
| |||||||
Pipelines — 0.8% |
| |||||||
Cheniere Corpus Christi Holdings LLC | 105,000 | 107,228 | ||||||
Cheniere Energy Partners LP | 122,000 | 125,367 | ||||||
Energy Transfer Operating LP | 440,000 | 460,835 | ||||||
5.875% 1/15/24 | 200,000 | 221,428 | ||||||
6.125% 12/15/45 | 200,000 | 231,945 | ||||||
3 mo. USD LIBOR + 4.028% | 540,000 | 507,600 | ||||||
7.500% 10/15/20 | 235,000 | 244,219 | ||||||
EnLink Midstream Partners LP | 621,000 | 583,740 | ||||||
4.850% 7/15/26 | 149,000 | 139,688 | ||||||
Enterprise Products Operating LLC | 225,000 | 227,695 | ||||||
3 mo. USD LIBOR + 2.570% | 195,000 | 193,790 | ||||||
EQM Midstream Partners LP | 500,000 | 501,596 | ||||||
MPLX LP | 195,000 | 198,427 | ||||||
6.250% 10/15/22 (c) | 97,000 | 98,913 | ||||||
3 mo. USD LIBOR + 4.652% | 300,000 | 302,250 | ||||||
Plains All American Pipeline LP | 585,000 | 545,512 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 268,000 | 285,603 | ||||||
4.700% 6/15/44 | 275,000 | 267,434 |
Principal Amount | Value | |||||||
Sunoco Logistics Partners Operations LP | $ | 75,000 | $ | 79,824 | ||||
Western Gas Partners LP | 781,000 | 800,574 | ||||||
Western Midstream Operating LP | 105,000 | 103,665 | ||||||
|
| |||||||
6,227,333 | ||||||||
|
| |||||||
Private Equity — 0.2% |
| |||||||
Apollo Management Holdings LP | 185,000 | 187,529 | ||||||
Carlyle Finance Subsidiary LLC | 245,000 | 244,400 | ||||||
Hercules Capital, Inc. | 470,000 | 473,824 | ||||||
KKR Group Finance Co. VI LLC | 280,000 | 298,463 | ||||||
|
| |||||||
1,204,216 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.8% |
| |||||||
Alexandria Real Estate Equities, Inc. | 185,000 | 182,825 | ||||||
American Tower Trust #1 | 310,000 | 324,073 | ||||||
Crown Castle International Corp. | 146,000 | 177,640 | ||||||
Healthcare Trust of America Holdings LP | 495,000 | 516,737 | ||||||
Mid-America Apartments LP | 140,000 | 152,788 | ||||||
SBA Tower Trust | 1,300,000 | 1,313,251 | ||||||
3.168% 4/09/47 (c) | 260,000 | 262,662 | ||||||
Service Properties Trust | 170,000 | 176,738 | ||||||
Spirit Realty LP | 325,000 | 325,529 | ||||||
3.400% 1/15/30 | 120,000 | 120,632 | ||||||
4.000% 7/15/29 | 185,000 | 194,838 | ||||||
STORE Capital Corp. | 250,000 | 277,517 | ||||||
Tanger Properties LP | 322,000 | 331,533 | ||||||
UDR, Inc. | 180,000 | 184,117 | ||||||
VEREIT Operating Partnership LP | 635,000 | 624,019 | ||||||
4.625% 11/01/25 | 460,000 | 503,749 | ||||||
|
| |||||||
5,668,648 | ||||||||
|
| |||||||
Retail — 0.1% |
| |||||||
El Puerto de Liverpool SAB de CV | 445,000 | 457,798 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
27
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Semiconductors — 0.0% |
| |||||||
Microchip Technology, Inc. | $ | 165,000 | $ | 168,742 | ||||
|
| |||||||
Software — 0.1% |
| |||||||
Broadridge Financial Solutions, Inc. | 280,000 | 279,744 | ||||||
Microsoft Corp. | 530,000 | 663,663 | ||||||
|
| |||||||
943,407 | ||||||||
|
| |||||||
Telecommunications — 0.3% |
| |||||||
AT&T, Inc. | 670,000 | 758,268 | ||||||
5.250% 3/01/37 | 95,000 | 113,504 | ||||||
6.250% 3/29/41 | 25,000 | 32,556 | ||||||
Cisco Systems, Inc. | 55,000 | 75,145 | ||||||
Crown Castle Towers LLC | 250,000 | 276,740 | ||||||
Qwest Corp | 162,000 | 174,427 | ||||||
Telefonica Emisiones SAU | 180,000 | 201,383 | ||||||
Verizon Communications, Inc. | 149,000 | 218,772 | ||||||
|
| |||||||
1,850,795 | ||||||||
|
| |||||||
Transportation — 0.1% |
| |||||||
Autoridad del Canal de Panama | 210,000 | 244,652 | ||||||
CSX Corp. | 155,000 | 188,097 | ||||||
Pacific National Finance Pty Ltd. | 105,000 | 106,577 | ||||||
|
| |||||||
539,326 | ||||||||
|
| |||||||
Trucking & Leasing — 0.0% |
| |||||||
DAE Funding LLC | 173,000 | 174,081 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $83,378,074) | 88,557,464 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.2% |
| |||||||
JobsOhio Beverage System Series B | 325,000 | 380,919 | ||||||
Orange County Local Transportation Authority BAB | 230,000 | 332,442 | ||||||
State of California BAB | 475,000 | 761,909 | ||||||
7.600% 11/01/40 | 105,000 | 173,325 | ||||||
|
| |||||||
1,648,595 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $1,455,225) | 1,648,595 | |||||||
|
|
Principal Amount | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 11.0% |
| |||||||
Automobile ABS — 0.4% |
| |||||||
Avis Budget Rental Car Funding AESOP LLC,Series 2019-1A, Class C | $ | 305,000 | $ | 312,197 | ||||
Carvana Auto Receivables Trust,Series 2019-4A, Class D | 359,000 | 358,272 | ||||||
Hertz Vehicle Financing LP | 493,000 | 490,534 | ||||||
Series 2018-1A, Class B, | 650,000 | 661,985 | ||||||
OneMain Direct Auto Receivables Trust,Series 2019-1A, Class B | 424,000 | 432,746 | ||||||
Santander Revolving Auto Loan Trust | 204,000 | 202,961 | ||||||
Series 2019-A, Class C, | 126,000 | 124,997 | ||||||
Series 2019-A, Class D, | 263,000 | 260,989 | ||||||
|
| |||||||
2,844,681 | ||||||||
|
| |||||||
Commercial MBS — 1.7% |
| |||||||
Aventura Mall Trust, | 710,000 | 755,174 | ||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class C, | 130,000 | 129,926 | ||||||
BANK | 409,000 | 416,519 | ||||||
Series 2019-BN24, Class C, | 308,000 | 306,783 | ||||||
Series 2019-BN17, Class B, | 150,000 | 161,859 | ||||||
Series 2019-BN16, Class AS, | 176,250 | 195,423 | ||||||
Series 2019-BN16, Class B, | 136,855 | 150,198 | ||||||
Series 2018-BN14, Class C, | 210,000 | 227,828 | ||||||
BBCMS Mortgage Trust | 350,000 | 373,280 | ||||||
Series 2018-CHRS, Class C, | 280,000 | 296,081 | ||||||
Series 2018-CHRS, Class D, | 210,000 | 217,530 |
The accompanying notes are an integral part of the financial statements.
28
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
BHMS Mortgage Trust | $ | 970,000 | $ | 968,180 | ||||
Series 2018-ATLS, Class B, | 850,000 | 848,403 | ||||||
BX Commercial Mortgage Trust | 294,000 | 294,821 | ||||||
Series 2019-XL, Class E, | 391,000 | 391,367 | ||||||
Series 2019-XL, Class F, | 474,000 | 474,296 | ||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, | 224,629 | 225,263 | ||||||
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class C | 241,000 | 239,492 | ||||||
Commercial Mortgage Pass-Through Certificates | 195,000 | 188,318 | ||||||
Series 2015-CR23, Class C, | 140,000 | 146,438 | ||||||
Series 2014-UBS5, Class B, | 290,000 | 306,617 | ||||||
CPT Mortgage Trust | 225,000 | 218,916 | ||||||
Series 2019-CPT, Class E, | 338,000 | 315,137 | ||||||
DBUBS Mortgage Trust, | 110,000 | 112,433 | ||||||
GCCFC Commercial Mortgage Trust,Series 2006-GG7, Class AM, | 68,875 | 69,496 | ||||||
GS Mortgage Securities Corp.,Series 2012-GC6, Class AS | 100,000 | 104,841 | ||||||
GS Mortgage Securities Trust,Series 2017-GS6, Class B | 440,000 | 465,805 | ||||||
Jackson Park Trust, | 500,000 | 494,499 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | 490,000 | 495,066 |
Principal Amount | Value | |||||||
JPMBB Commercial Mortgage Securities Trust,Series 2015-C27, Class B | $ | 500,000 | $ | 518,639 | ||||
KNDL Mortgage Trust, | 326,000 | 325,805 | ||||||
Morgan Stanley Capital I Trust | 500,000 | 551,980 | ||||||
Series 2018-H3, Class B, | 120,000 | 132,065 | ||||||
Series 2011-C2, Class B, | 250,000 | 254,793 | ||||||
TIAA Seasoned Commercial Mortgage Trust,Series 2007-C4, Class AJ, | 116 | 116 | ||||||
Velocity Commercial Capital Loan Trust,Series 2016-2, Class AFX, | 28,294 | 28,371 | ||||||
Wells Fargo Commercial Mortgage Trust | 291,000 | 319,633 | ||||||
Series 2018-C45, Class AS, | 240,000 | 266,654 | ||||||
Series 2018-C45, Class B, | 60,000 | 67,245 | ||||||
WF-RBS Commercial Mortgage Trust,Series 2012-C8, Class B | 190,000 | 197,748 | ||||||
|
| |||||||
12,253,038 | ||||||||
|
| |||||||
Other ABS — 5.3% |
| |||||||
321 Henderson Receivables LLC | 47,055 | 45,634 | ||||||
Series 2015-1A, Class A, | 43,713 | 44,014 | ||||||
AASET Trust | 495,281 | 498,625 | ||||||
Series 2017-1A, Class A, | 314,534 | 317,110 | ||||||
AASET US Ltd., | 306,652 | 312,535 | ||||||
Adams Outdoor Advertising LP,Series 2018-1, Class A | 383,604 | 398,042 | ||||||
Arbys Funding LLC, | 307,200 | 311,981 |
The accompanying notes are an integral part of the financial statements.
29
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Ares CLO Ltd.,Series 2019-54A, Class C, 3 mo. USD LIBOR + 2.850% | $ | 500,000 | $ | 502,133 | ||||
Ascentium Equipment Receivables Trust | 827,000 | 821,228 | ||||||
Series 2018-2A, Class D, | 488,000 | 499,449 | ||||||
Series 2019-1A, Class E, | 295,000 | 301,981 | ||||||
Assurant CLO Ltd.,Series 2018-2A, Class C, 3 mo. USD LIBOR + 2.250% | 310,000 | 307,507 | ||||||
Atlas Senior Loan Fund Ltd.,Series 2016-7A, Class A1R, | 960,000 | 959,513 | ||||||
Atrium, Series 15A, Class B, | 250,000 | 248,843 | ||||||
Benefit Street Partners CLOV-B Ltd.,Series 2018-5BA, Class A1A, | 260,000 | 258,734 | ||||||
BlueMountain CLO Ltd.,Series 2019-25A, Class B, 3 mo. USD LIBOR + 1.800% | 500,000 | 497,525 | ||||||
BRE Grand Islander Timeshare Issuer LLC,Series 2017-1A, Class A | 94,447 | 94,511 | ||||||
CAL Funding Ltd., | 253,750 | 257,387 | ||||||
Capital Automotive REIT | 153,178 | 153,000 | ||||||
Series 2017-1A, Class A2, | 132,426 | 134,593 | ||||||
Carlyle Global Market Strategies CLO Ltd.,Series 2018-4A, Class A2, 3 mo. USD LIBOR + 1.800% | 720,000 | 720,139 | ||||||
Castlelake Aircraft Structured Trust,Series 2018-1, Class A | 690,749 | 702,168 | ||||||
Cazenovia Creek Funding LLC,Series 2015-1A, Class A | 163 | 163 | ||||||
CBAM Ltd.,Series 2018-6A, Class B1R, 3 mo. USD LIBOR + 2.100% | 250,000 | 250,712 | ||||||
CIFC Funding Ltd.,Series 2017-5A, Class A1, 3 mo. USD LIBOR + 1.180% | 340,000 | 339,172 |
Principal Amount | Value | |||||||
Clear Creek CLO Ltd.,Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.200% | $ | 480,000 | $ | 478,828 | ||||
CLI Funding LLC,Series 2019-1A, Class A | 401,881 | 402,863 | ||||||
Countrywide Asset-Backed Certificates,Series 2004-5, Class 3A, | 5,627 | 5,365 | ||||||
Crestline Denali CLO Ltd.,Series 2016-1A, Class A1R, 3 mo. USD LIBOR + 1.280% | 250,000 | 249,150 | ||||||
Cronos Containers Program Ltd.,Series 2014-2A, Class A | 130,556 | 130,573 | ||||||
DB Master Finance LLC | 416,905 | 425,127 | ||||||
Series 2019-1A, Class A23, | 377,105 | 396,816 | ||||||
Diamond Resorts Owner Trust | 689,514 | 688,770 | ||||||
Series 2016-1, Class A, | 169,005 | 169,641 | ||||||
Domino’s Pizza Master Issuer LLC | 260,000 | 261,087 | ||||||
Series 2018-1A, Class A2I, | 306,125 | 313,037 | ||||||
Series 2017-1A, Class A23, | 107,800 | 111,305 | ||||||
Series 2015-1A, Class A2II, | 522,450 | 537,963 | ||||||
Eaton Vance CLO Ltd.,Series 2018-1A, Class B, 3 mo. USD LIBOR + 1.750% | 700,000 | 698,651 | ||||||
Elmwood CLO Ltd. | 450,000 | 451,448 | ||||||
Series 2019-3A, Class B, | 250,000 | 250,163 | ||||||
Falcon Aerospace Ltd., | 577,691 | 574,713 | ||||||
FCI Funding LLC, | 102,604 | 103,038 | ||||||
First Franklin Mortgage Loan Trust, Series 2004-FFH4, Class M6, | 420,000 | 423,725 |
The accompanying notes are an integral part of the financial statements.
30
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Flatiron CLO Ltd.,Series 2019-1A, Class B, 3 mo. USD LIBOR + 1.900% | $ | 250,000 | $ | 250,895 | ||||
Galaxy CLO Ltd., | 500,000 | 495,086 | ||||||
Global SC Finance SRL, | 114,583 | 114,157 | ||||||
Goodgreen Trust | 756,927 | 750,437 | ||||||
Series 2016-1A, Class A, | 276,648 | 281,428 | ||||||
Series 2017-2A, Class A, | 341,163 | 346,016 | ||||||
Series 2017-1A, Class A, | 207,729 | 214,109 | ||||||
Series 2018-1A, Class A, | 404,325 | 421,836 | ||||||
Helios Issuer LLC, | 220,444 | 229,774 | ||||||
Hero Funding Trust | 144,724 | 145,342 | ||||||
Series 2017-3A, Class A1, | 176,752 | 176,253 | ||||||
Series 2016-4A, Class A1, | 152,050 | 155,729 | ||||||
Series 2018-1A, Class A2, | 335,602 | 349,150 | ||||||
Highbridge Loan Management Ltd. | 250,000 | 243,214 | ||||||
Series 13A-18, Class C, | 350,000 | 346,238 | ||||||
Horizon Aircraft Finance Ltd. | 543,744 | 540,544 | ||||||
Series 2019-1, Class A, | 322,327 | 321,930 | ||||||
J.G. Wentworth LLC | 285,479 | 302,449 | ||||||
Series 2017-1A, Class B, | 1,100,000 | 1,218,078 | ||||||
KDAC Aircraft Finance Ltd.,Series 2017-1A, Class A | 348,862 | 352,635 |
Principal Amount | Value | |||||||
KKR Financial CLO Ltd. | $ | 300,000 | $ | 300,112 | ||||
Series 26, Class B1, 3 mo. USD LIBOR + 2.050% | 250,000 | 250,258 | ||||||
KREF Ltd.,Series 2018-FL1, Class C, | 210,000 | 210,131 | ||||||
MACH 1 Cayman Ltd., | 488,555 | 485,197 | ||||||
Madison Park Funding Ltd. | 430,000 | 426,062 | ||||||
Series 2018-31A, Class B, 3 mo. USD LIBOR + 1.700% | 250,000 | 249,832 | ||||||
Series 2018-29A, Class C, 3 mo. USD LIBOR + 2.200% | 550,000 | 547,757 | ||||||
Marlette Funding Trust, | 2,505 | 2,504 | ||||||
Mosaic Solar Loans LLC | 112,263 | 114,305 | ||||||
Series 2017-1A, Class A, | 51,039 | 53,027 | ||||||
MP CLO Ltd., | 300,000 | 298,660 | ||||||
NP SPE LLC,Series 2017-1A, Class A2 | 380,000 | 395,313 | ||||||
OHA Credit Funding Ltd. | 250,000 | 250,165 | ||||||
Series 2019-4A, Class C, | 250,000 | 250,193 | ||||||
OHA Credit Partners Ltd.,Series 2015-11A, Class CR, | 300,000 | 294,711 | ||||||
OneMain Financial Issuance Trust,Series 2019-2A, Class A | 1,810,000 | 1,786,587 | ||||||
Oxford Finance Funding Trust,Series 2016-1A, Class A | 71,994 | 72,326 |
The accompanying notes are an integral part of the financial statements.
31
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Palmer Square CLO Ltd., | $ | 500,000 | $ | 500,264 | ||||
Pioneer Aircraft Finance Ltd., | 346,179 | 348,848 | ||||||
Planet Fitness Master Issuer LLC,Series 2019-1A, Class A2 | 529,000 | 524,086 | ||||||
PNMAC GMSR Issuer Trust,Series 2018-GT1, Class A, 1 mo. USD LIBOR + 2.850% | 200,000 | 201,180 | ||||||
Sierra Receivables Funding LLC | 14,676 | 14,732 | ||||||
Series 2018-2A, Class C, | 139,062 | 141,093 | ||||||
Steele Creek CLO Ltd.,Series 2018-2A, Class C, 3 mo. USD LIBOR + 2.300% | 290,000 | 280,210 | ||||||
Store Master Funding | 665,856 | 657,958 | ||||||
Series 2018-1A, Class A2, | 253,733 | 268,878 | ||||||
Structured Receivables Finance LLC,Series 2010-B, Class A | 61,358 | 61,741 | ||||||
Sunnova Helios Issuer LLC,Series 2018-1A, Class A | 115,172 | 120,450 | ||||||
SuttonPark Structured Settlements LLC,Series 2017-1A, Class A | 337,520 | 360,960 | ||||||
Taco Bell Funding LLC | 237,600 | 255,697 | ||||||
Series 2016-1A, Class A23, | 799,500 | 841,810 | ||||||
TAL Advantage LLC, | 298,649 | 306,415 | ||||||
Textainer Marine Containers Ltd. | 438,842 | 437,913 | ||||||
Series 2019-1A, Class A, | 115,493 | 116,577 | ||||||
Trinity Rail Leasing LP | 731,000 | 722,050 |
Principal Amount | Value | |||||||
Series 2019-1A, Class A, | $ | 859,838 | $ | 881,522 | ||||
Series 2018-1A, Class A2, | 410,000 | 426,211 | ||||||
Triton Container Finance LLC | 127,936 | 127,247 | ||||||
Series 2018-2A, Class A, | 399,500 | 404,717 | ||||||
Voya CLO Ltd., | 300,000 | 295,253 | ||||||
VSE VOI Mortgage LLC, | 134,454 | 133,901 | ||||||
WAVE LLC,Series 2017-1A, Class A | 569,620 | 573,063 | ||||||
WAVE USA, Inc, | 932,995 | 923,112 | ||||||
Welk Resorts LLC, | 53,030 | 52,686 | ||||||
Wendy’s Funding LLC, | 406,938 | 410,772 | ||||||
|
| |||||||
39,280,748 | ||||||||
|
| |||||||
Student Loans ABS — 3.3% |
| |||||||
Academic Loan Funding Trust,Series 2012-1A, Class A2, | 381,122 | 383,397 | ||||||
AccessLex Institute | 200,000 | 196,956 | ||||||
Series 2003-A, Class A3, | 19,469 | 19,450 | ||||||
CIT Education Loan Trust,Series 2005-1, Class B, | 665,449 | 632,519 | ||||||
College Avenue Student Loans LLC | 531,000 | 531,425 | ||||||
Series 2019-A, Class C, | 270,000 | 269,545 | ||||||
College Loan Corp. Trust I,Series 2007-1, Class B2, 28 day ARS | 130,000 | 102,968 |
The accompanying notes are an integral part of the financial statements.
32
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
DRB Prime Student Loan Trust,Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900% | $ | 267,698 | $ | 267,904 | ||||
Earnest Student Loan Program LLC | 103,904 | 104,066 | ||||||
Series 2016-B, Class A2, | 74,360 | 74,677 | ||||||
ECMC Group Student Loan Trust | 433,204 | 425,086 | ||||||
Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200% | 298,883 | 298,883 | ||||||
Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350% | 428,163 | 430,331 | ||||||
EdLinc Student Loan Funding Trust | 376,469 | 371,200 | ||||||
Series 2012-1, Class B, 1 mo. USD LIBOR + 4.240% | 270,000 | 318,887 | ||||||
Goal Capital Funding Trust,Series 2006-1, Class B, 3 mo. USD LIBOR + .450% | 126,996 | 116,539 | ||||||
KnowledgeWorks Foundation,Series 2010-1, Class A, 3 mo. USD LIBOR + .950% | 108,284 | 107,707 | ||||||
Laurel Road Prime Student Loan Trust | 106,836 | 108,324 | ||||||
Series 2018-B, Class BFX, | 94,937 | 96,740 | ||||||
Navient Private Education Refi Loan Trust | 284,000 | 300,561 | ||||||
Series 2018-CA, Class B, | 250,000 | 256,753 | ||||||
Navient Student Loan Trust | 150,000 | 149,532 | ||||||
Series 2016-1A, Class A, | 380,132 | 377,195 |
Principal Amount | Value | |||||||
Series 2018-2A, Class A3, | $ | 550,000 | $ | 542,535 | ||||
Series 2018-3A, Class A3, 1 mo. USD LIBOR + .800% | 750,000 | 733,634 | ||||||
Series 2019-1A, Class A2, 1 mo. USD LIBOR + .900% | 850,000 | 850,647 | ||||||
Series 2016-7A, Class A, 1 mo. USD LIBOR + 1.150% | 236,464 | 236,686 | ||||||
Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250% | 357,777 | 361,984 | ||||||
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% | 1,100,000 | 1,114,670 | ||||||
Series 2018-4A, Class B, 1 mo. USD LIBOR + 1.300% | 750,000 | 741,528 | ||||||
Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500% | 220,000 | 215,692 | ||||||
Series 2014-8, Class B, 1 mo. USD LIBOR + 1.500% | 155,000 | 154,534 | ||||||
Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500% | 150,000 | 151,046 | ||||||
Series 2019-A, Class A2A, | 253,000 | 258,600 | ||||||
Series 2019-BA, Class B, | 750,000 | 783,955 | ||||||
Nelnet Private Education Loan Trust,Series 2016-A, Class A1B | 83,857 | 84,675 | ||||||
Nelnet Student Loan Trust | 144,368 | 133,359 | ||||||
Series 2019-5, Class A, 2.530% 10/25/67 (c) | 1,577,441 | 1,557,614 | ||||||
Series 2018-3A, Class A3, 1 mo. USD LIBOR + .750% | 600,000 | 595,945 | ||||||
Series 2018-1A, Class A2, 1 mo. USD LIBOR + .760% | 646,918 | 634,596 | ||||||
Series 2005-4, Class A4R2, 28 day ARS 2.700% FRN 3/22/32 | 200,000 | 188,399 | ||||||
Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500% | 150,000 | 147,340 |
The accompanying notes are an integral part of the financial statements.
33
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
SLM Student Loan Trust | $ | 1,799 | $ | 890,505 | ||||
Series 2002-7, Class A11, 28 day ARS 1.513% FRN 3/15/28 | 60,000 | 60,000 | ||||||
Series 2005-3, Class B, 3 mo. USD LIBOR + .150% | 153,506 | 141,795 | ||||||
Series 2005-4, Class B, 3 mo. USD LIBOR + .180% | 255,464 | 237,598 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% | 327,564 | 305,389 | ||||||
Series 2006-10, Class B, 3 mo. USD LIBOR + .220% | 293,859 | 265,860 | ||||||
Series 2005-6, Class B, 3 mo. USD LIBOR + .290% | 354,728 | 331,532 | ||||||
Series 2004-1 Class B, 3 mo. USD LIBOR + .500% | 314,302 | 297,591 | ||||||
Series 2003-5, Class A7, 28 day ARS | 50,000 | 50,000 | ||||||
Series 2002-7, Class B, 28 day ARS | 550,000 | 549,814 | ||||||
SMB Private Education Loan Trust | 126,000 | 125,848 | ||||||
Series 2019-B, Class A2B, 1 mo. USD LIBOR + 1.000% | 1,200,000 | 1,202,001 | ||||||
Series 2017-A, Class B, | 300,000 | 308,413 | ||||||
Series 2017-B, Class B, | 150,000 | 154,333 | ||||||
SoFi Professional Loan Program LLC | 100 | 82,500 | ||||||
Series 2017-D, Class R1, | 1,000,000 | 499,130 | ||||||
Series 2018-A, Class R1, | 1,000,000 | 773,000 | ||||||
Series 2018-D, Class R1, | 968,900 | 334,270 | ||||||
Series 2019-A, Class R1, | 1,661,200 | 515,846 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200% | 77,695 | 78,168 |
Principal Amount | Value | |||||||
Series 2019-C, Class BFX, | $ | 646,000 | $ | 636,146 | ||||
Series 2017-D, Class BFX, | 500,000 | 525,427 | ||||||
South Carolina Student Loan Corp. | 290,000 | 286,197 | ||||||
Series 2010-1, Class A3, 3 mo. USD LIBOR + 1.050% | 170,000 | 170,780 | ||||||
|
| |||||||
24,250,227 | ||||||||
|
| |||||||
WL Collateral CMO — 0.3% |
| |||||||
Countrywide Home Loans, Inc. | 4,085 | 3,888 | ||||||
Series 2004-2, Class 1A1, | 19,007 | 17,793 | ||||||
Deephaven Residential Mortgage Trust | 230,950 | 230,112 | ||||||
Series 2018-1A, Class A3, | 65,986 | 65,761 | ||||||
Series 2019-1A, Class A3, | 232,717 | 234,566 | ||||||
GSR Mortgage Loan Trust,Series 2004-9, Class 2A1, | 5,798 | 5,731 | ||||||
IndyMac Index Mortgage Loan Trust,Series 2004-AR4, Class 1A, | 37,552 | 36,240 | ||||||
JP Morgan Mortgage Trust,Series 2017-1, Class A11, | 415,489 | 422,695 | ||||||
Merrill Lynch Mortgage Investors, Inc. | 1,989 | 1,893 | ||||||
Series 2003-A4, Class IA, | 2,075 | 2,017 | ||||||
PSMC Trust,Series 2018-2, Class A1, | 514,442 | 516,433 | ||||||
Sequoia Mortgage Trust | 384,083 | 389,331 | ||||||
Series 2018-CH4, Class A2, | 210,011 | 218,292 | ||||||
Series 2019-1, Class A1, | 74,043 | 75,257 | ||||||
Structured Adjustable Rate Mortgage Loan Trust,Series 2004-2, Class 2A, | 21,059 | 20,526 | ||||||
Washington Mutual Mortgage Pass-Through Certificates,Series 2004-AR2, Class A, | 52,461 | 51,338 |
The accompanying notes are an integral part of the financial statements.
34
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Wells Fargo Mortgage Backed Securities Trust,Series 2019-1, Class A1, | $ | 294,803 | $ | 302,462 | ||||
|
| |||||||
2,594,335 | ||||||||
|
| |||||||
TOTALNON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $80,441,834) | 81,223,029 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.3% |
| |||||||
Colombia Government International Bond | 620,000 | 802,280 | ||||||
Mexico Government International Bond | 824,000 | 910,520 | ||||||
6.750% 9/27/34 | 160,000 | 219,200 | ||||||
|
| |||||||
1,932,000 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,630,907) | 1,932,000 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 9.0% |
| |||||||
Collateralized Mortgage Obligations — 0.1% |
| |||||||
Federal Home Loan Mortgage Corp. | 158,069 | 175,444 | ||||||
Series 2693, Class Z, | 285,476 | 312,193 | ||||||
|
| |||||||
487,637 | ||||||||
|
| |||||||
Pass-Through Securities — 8.8% |
| |||||||
Federal Home Loan Mortgage Corp. | 1,563,710 | 1,577,729 | ||||||
Pool #SB8020 2.500% 12/01/34 | 1,316,817 | 1,328,623 | ||||||
Pool #ZA5946 4.500% 11/01/48 | 1,388,182 | 1,464,093 | ||||||
Pool #ZA6368 4.500% 2/01/49 | 915,400 | 964,084 | ||||||
Pool #C55867 7.500% 2/01/30 | 30,477 | 34,099 | ||||||
Pool #C01079 7.500% 10/01/30 | 4,031 | 4,691 | ||||||
Pool #C01135 7.500% 2/01/31 | 17,356 | 20,118 | ||||||
Pool #C00470 8.000% 8/01/26 | 10,273 | 11,526 | ||||||
Pool #G00924 8.000% 3/01/28 | 10,020 | 11,241 | ||||||
Federal National Mortgage Association | 2,945,319 | 2,971,724 | ||||||
Pool #MA3029 3.000% 6/01/32 | 843,778 | 868,648 | ||||||
Pool #MA3090 3.000% 8/01/32 | 357,588 | 367,904 | ||||||
Pool #AS1304 3.500% 12/01/28 | 183,910 | 191,711 | ||||||
Pool #AV1897 3.500% 12/01/28 | 29,683 | 30,942 | ||||||
Pool #AV2325 3.500% 12/01/28 | 100,135 | 104,383 | ||||||
Pool #BF0196 3.500% 2/01/41 | 237,071 | 248,281 | ||||||
Pool #MA1356 3.500% 2/01/43 | 1,368,369 | 1,439,061 | ||||||
Pool #CA1073 3.500% 1/01/48 | 2,828,435 | 2,935,665 |
Principal Amount | Value | |||||||
Pool #BJ0686 4.000% 4/01/48 | $ | 662,131 | $ | 694,084 | ||||
Pool #CA1951 4.000% 7/01/48 | 589,262 | 616,593 | ||||||
Pool #CA2039 4.000% 7/01/48 | 702,415 | 732,854 | ||||||
Pool #BN5342 4.000% 3/01/49 | 5,846,535 | 6,082,993 | ||||||
Pool #MA3638 4.000% 4/01/49 | 1,926,922 | 2,003,650 | ||||||
Pool #725692 1 year CMT + 2.138% 4.357% FRN 10/01/33 | 25,258 | 26,600 | ||||||
Pool #888586 1 year CMT + 2.195% 4.370% FRN 10/01/34 | 52,401 | 55,187 | ||||||
Pool #CA1952 4.500% 6/01/48 | 405,351 | 429,771 | ||||||
Pool #CA1909 4.500% 6/01/48 | 1,588,439 | 1,684,633 | ||||||
Pool #BK7877 4.500% 7/01/48 | 244,409 | 258,981 | ||||||
Pool #MA3522 4.500% 11/01/48 | 1,043,785 | 1,101,124 | ||||||
Pool #MA3537 4.500% 12/01/48 | 982,746 | 1,035,504 | ||||||
Pool #MA3564 4.500% 1/01/49 | 932,331 | 983,548 | ||||||
Pool #BN5241 4.500% 2/01/49 | 4,084,261 | 4,302,242 | ||||||
Pool #MA3639 4.500% 4/01/49 | 1,937,371 | 2,038,955 | ||||||
Pool #MA3688 4.500% 6/01/49 | 968,361 | 1,019,136 | ||||||
Pool #AD6437 5.000% 6/01/40 | 65,726 | 72,255 | ||||||
Pool #AD6996 5.000% 7/01/40 | 451,378 | 496,222 | ||||||
Pool #AL8173 5.000% 2/01/44 | 176,895 | 193,363 | ||||||
Pool #564594 7.000% 1/01/31 | 8,974 | 10,165 | ||||||
Pool #572844 7.000% 4/01/31 | 20,558 | 23,663 | ||||||
Pool #253795 7.000% 5/01/31 | 35,483 | 40,637 | ||||||
Pool #499386 7.500% 9/01/29 | 1,075 | 1,241 | ||||||
Pool #521006 7.500% 12/01/29 | 415 | 483 | ||||||
Pool #522769 7.500% 12/01/29 | 58 | 67 | ||||||
Pool #252981 7.500% 1/01/30 | 5,657 | 6,533 | ||||||
Pool #524317 7.500% 3/01/30 | 951 | 1,102 | ||||||
Pool #530520 7.500% 3/01/30 | 9,701 | 11,105 | ||||||
Pool #253183 7.500% 4/01/30 | 2,024 | 2,336 | ||||||
Pool #253265 7.500% 5/01/30 | 1,060 | 1,223 | ||||||
Pool #536949 8.000% 5/01/30 | 1,315 | 1,533 | ||||||
Pool #535351 8.000% 6/01/30 | 2,156 | 2,494 | ||||||
Pool #253481 8.000% 10/01/30 | 1,432 | 1,664 | ||||||
Pool #190317 8.000% 8/01/31 | 627 | 727 | ||||||
Pool #596656 8.000% 8/01/31 | 47 | 48 | ||||||
Pool #602008 8.000% 8/01/31 | 2,101 | 2,432 | ||||||
Government National Mortgage Association | 251 | 266 | ||||||
Pool #363066 7.000% 8/15/23 | 2,605 | 2,757 | ||||||
Pool #354674 7.000% 10/15/23 | 2,273 | 2,409 | ||||||
Pool #362651 7.000% 10/15/23 | 18 | 18 | ||||||
Pool #352021 7.000% 11/15/23 | 1,352 | 1,432 | ||||||
Government National Mortgage Association II TBA | 15,715,000 | 16,197,499 | ||||||
Pool #232 4.000% 10/01/48 (f) | 8,625,000 | 8,928,222 | ||||||
Uniform Mortgage-Backed Securities TBA | 825,000 | 868,699 | ||||||
|
| |||||||
64,510,973 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
35
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Whole Loans — 0.1% |
| |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2019-DNA3, Class M2, 1 mo. USD LIBOR + 2.050% | $ | 389,000 | $ | 390,676 | ||||
Federal National Mortgage Association Connecticut Avenue Securities,Series 2019-R01, Class 2M2, 1 mo. USD LIBOR + 2.450% | 540,000 | 545,788 | ||||||
|
| |||||||
936,464 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $65,580,178) | 65,935,074 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 1.1% |
| |||||||
U.S. Treasury Bonds & Notes — 1.1% |
| |||||||
U.S. Treasury Bond | 530,000 | 542,295 | ||||||
3.500% 2/15/39 (g) | 870,000 | 1,044,348 | ||||||
U.S. Treasury Note | 1,900,000 | 1,895,850 | ||||||
1.500% 11/30/24 | 600,000 | 595,125 | ||||||
1.625% 8/15/29 | 2,800,000 | 2,730,075 | ||||||
2.250% 8/15/49 (b) | 1,450,000 | 1,410,579 | ||||||
|
| |||||||
8,218,272 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $8,115,675) | 8,218,272 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $240,601,893) | 247,514,434 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $1,387,590) | 1,215,941 | |||||||
|
| |||||||
Number of Shares | ||||||||
RIGHTS — 0.0% |
| |||||||
Consumer,Non-cyclical — 0.0% |
| |||||||
Pharmaceuticals — 0.0% |
| |||||||
Bristol-Myers Squibb Co. (a) | 25,576 | 76,984 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $54,477) | 76,984 | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 0.4% |
| |||||||
Diversified Financial Services — 0.4% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (h) | 3,221,530 | $ | 3,221,530 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $3,221,530) | 3,221,530 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $577,251,191) | 736,832,165 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 4.1% |
| |||||||
Commercial Paper — 3.9% |
| |||||||
Bemis Co., Inc. | $ | 1,000,000 | 998,487 | |||||
Duke Energy Corp. | 2,000,000 | 1,996,973 | ||||||
Entergy Corp. | 2,000,000 | 1,994,290 | ||||||
FMC Tech, Inc. | 2,000,000 | 1,999,292 | ||||||
2.086% 1/07/20 (c) | 1,000,000 | 999,646 | ||||||
General Electric Co. | 500,000 | 499,951 | ||||||
2.334% 2/20/20 | 2,000,000 | 1,994,016 | ||||||
Parker-Hannifin Corp. | 1,500,000 | 1,494,537 | ||||||
Public Service Enterprise Group, Inc. | 3,000,000 | 2,996,545 | ||||||
Reckitt Benckiser Treasury Services PLC | 2,000,000 | 1,992,388 | ||||||
2.526% 4/01/20 (c) | 1,000,000 | 995,121 | ||||||
Ryder System, Inc. | 2,000,000 | 1,997,579 | ||||||
Telus Corp. | 2,000,000 | 1,999,398 | ||||||
Transcanada Pipelines Ltd. | 2,000,000 | 1,994,262 | ||||||
Viacomcbs, Inc. | 1,000,000 | 998,158 | ||||||
VW Credit, Inc. | 2,000,000 | 1,990,718 | ||||||
Walgreens Boots Alliance, Inc. | 2,000,000 | 1,989,618 | ||||||
|
| |||||||
28,930,979 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
36
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Repurchase Agreement — 0.2% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (i) | $ | 1,216,675 | $ | 1,216,675 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $30,145,096) | 30,147,654 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 104.1% (Cost $607,396,287) (j) | 766,979,819 | |||||||
Other Assets/(Liabilities) — (4.1)% | (30,282,333 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 736,697,486 | ||||||
|
|
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 |
REIT | Real Estate Investment Trust |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $5,987,801 or 0.81% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $2,895,225 ofnon-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities.(Note 2). |
(c) | Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $111,937,355 or 15.19% of net assets. |
(d) | Security is perpetual and has no stated maturity date. |
(e) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2019. |
(f) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis.(Note 2). |
(g) | A portion of this security is pledged/held as collateral for open derivatives.(Note 2). |
(h) | Represents investment of security lending cash collateral.(Note 2). |
(i) | Maturity value of $1,216,729. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,244,296. |
(j) | See Note 6 for aggregate cost for federal tax purposes. |
(#) Interest Rate Swaptions Purchased
Paid by Fund | Received by Fund | |||||||||||||||||||||||||||||||||||||
Description | Counterparty | Expiration Date | Rate | Frequency | Rate | Frequency | Notional Amount | Value | Premium Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||||||
10 Year Interest Rate Swap, 12/15/42 | | Barclays Bank PLC* | | 12/13/32 | | 3-Month USD LIBOR BBA | | Quarterly | 2.44% | Semi-Annually | USD 2,650,000 | $ | 174,356 | $ | 132,479 | $ | 41,877 | |||||||||||||||||||||
10 Year Interest Rate Swap, 2/02/43 | | Credit Suisse International* | | 1/31/33 | | 3-Month USD LIBOR BBA | | Quarterly | 2.61% | Semi-Annually | USD 2,995,000 | 219,126 | 143,760 | 75,366 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
393,482 | 276,239 | 117,243 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
37
Table of Contents
MML Blend Fund – Portfolio of Investments(Continued)
Paid by Fund | Received by Fund | |||||||||||||||||||||||||||||||||||||
Description | Counterparty | Expiration Date | Rate | Frequency | Rate | Frequency | Notional Amount | Value | Premium Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||||||
10 Year Interest Rate Swap, 12/15/42 | | Barclays Bank PLC* | | 12/13/32 | 2.94% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD 10,790,000 | $ | 412,984 | $ | 539,424 | $ | (126,440 | ) | ||||||||||||||||||||||
10 Year Interest Rate Swap, 2/02/43 | | Credit Suisse International* | | 1/31/33 | 3.11% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD 11,940,000 | 409,475 | 571,927 | (162,452 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
822,459 | 1,111,351 | (288,892 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 1,215,941 | $ | 1,387,590 | $ | (171,649 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
Futures contracts
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Long | ||||||||||||||||
U.S. Treasury Ultra 10 Year | 3/20/20 | 10 | $ | 1,423,861 | $ | (16,830 | ) | |||||||||
U.S. Treasury Ultra Bond | 3/20/20 | 106 | 19,724,631 | (469,068 | ) | |||||||||||
U.S. Treasury Note 2 Year | 3/31/20 | 145 | 31,268,053 | (20,553 | ) | |||||||||||
U.S. Treasury Note 5 Year | 3/31/20 | 64 | 7,628,096 | (37,096 | ) | |||||||||||
|
| |||||||||||||||
$ | (543,547 | ) | ||||||||||||||
|
| |||||||||||||||
Short | ||||||||||||||||
90 Day Eurodollar | 3/16/20 | 3 | $ | (730,640 | ) | $ | (6,348 | ) | ||||||||
U.S. Treasury Long Bond | 3/20/20 | 47 | (7,469,176 | ) | 141,582 | |||||||||||
90 Day Eurodollar | 6/15/20 | 3 | (731,071 | ) | (6,254 | ) | ||||||||||
90 Day Eurodollar | 9/14/20 | 3 | (731,391 | ) | (6,347 | ) | ||||||||||
90 Day Eurodollar | 12/14/20 | 2 | (487,568 | ) | (4,332 | ) | ||||||||||
90 Day Eurodollar | 3/15/21 | 2 | (487,743 | ) | (4,457 | ) | ||||||||||
90 Day Eurodollar | 9/13/21 | 4 | (975,637 | ) | (8,713 | ) | ||||||||||
90 Day Eurodollar | 3/14/22 | 4 | (975,337 | ) | (8,513 | ) | ||||||||||
90 Day Eurodollar | 9/19/22 | 3 | (731,203 | ) | (6,272 | ) | ||||||||||
90 Day Eurodollar | 3/13/23 | 3 | (730,753 | ) | (6,235 | ) | ||||||||||
90 Day Eurodollar | 12/18/23 | 4 | (973,437 | ) | (8,313 | ) | ||||||||||
90 Day Eurodollar | 12/16/24 | 10 | (2,430,592 | ) | (20,533 | ) | ||||||||||
|
| |||||||||||||||
$ | 55,265 | |||||||||||||||
|
|
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
38
Table of Contents
December 31, 2019
Number of Shares | Value | |||||||
EQUITIES — 98.8% |
| |||||||
COMMON STOCK — 98.3% |
| |||||||
Basic Materials — 2.8% |
| |||||||
Chemicals — 2.0% |
| |||||||
Air Products & Chemicals, Inc. | 256 | $ | 60,157 | |||||
Celanese Corp. | 7,700 | 948,024 | ||||||
CF Industries Holdings, Inc. | 46,698 | 2,229,363 | ||||||
Eastman Chemical Co. | 20,735 | 1,643,456 | ||||||
FMC Corp. | 8,200 | 818,524 | ||||||
Huntsman Corp. | 12,300 | 297,168 | ||||||
Linde PLC | 28,932 | 6,159,623 | ||||||
LyondellBasell Industries NV Class A | 24,700 | 2,333,656 | ||||||
PPG Industries, Inc. | 16,400 | 2,189,236 | ||||||
|
| |||||||
16,679,207 | ||||||||
|
| |||||||
Forest Products & Paper — 0.2% |
| |||||||
International Paper Co. | 43,521 | 2,004,142 | ||||||
|
| |||||||
Iron & Steel — 0.3% |
| |||||||
Nucor Corp. | 19,300 | 1,086,204 | ||||||
Reliance Steel & Aluminum Co. | 4,000 | 479,040 | ||||||
Steel Dynamics, Inc. | 13,600 | 462,944 | ||||||
|
| |||||||
2,028,188 | ||||||||
|
| |||||||
Mining — 0.3% |
| |||||||
Freeport-McMoRan, Inc. | 211,178 | 2,770,655 | ||||||
|
| |||||||
23,482,192 | ||||||||
|
| |||||||
Communications — 5.2% |
| |||||||
Advertising — 0.2% |
| |||||||
The Interpublic Group of Cos., Inc. | 20,600 | 475,860 | ||||||
Omnicom Group, Inc. | 13,800 | 1,118,076 | ||||||
|
| |||||||
1,593,936 | ||||||||
|
| |||||||
Internet — 0.5% |
| |||||||
Alphabet, Inc. Class C (a) | 1,493 | 1,996,171 | ||||||
eBay, Inc. | 51,600 | 1,863,276 | ||||||
|
| |||||||
3,859,447 | ||||||||
|
| |||||||
Media — 2.1% |
| |||||||
Comcast Corp. Class A | 288,000 | 12,951,360 | ||||||
The Walt Disney Co. | 28,500 | 4,121,955 | ||||||
|
| |||||||
17,073,315 | ||||||||
|
| |||||||
Telecommunications — 2.4% |
| |||||||
AT&T, Inc. | 485 | 18,954 | ||||||
Cisco Systems, Inc. | 9,600 | 460,416 | ||||||
Juniper Networks, Inc. | 21,100 | 519,693 | ||||||
Motorola Solutions, Inc. | 19,368 | 3,120,959 | ||||||
Verizon Communications, Inc. | 262,300 | 16,105,220 | ||||||
|
| |||||||
20,225,242 | ||||||||
|
| |||||||
42,751,940 | ||||||||
|
|
Number of Shares | Value | |||||||
Consumer, Cyclical — 5.6% |
| |||||||
Airlines — 0.8% |
| |||||||
Alaska Air Group, Inc. | 7,800 | $ | 528,450 | |||||
Delta Air Lines, Inc. | 41,000 | 2,397,680 | ||||||
JetBlue Airways Corp. (a) | 18,100 | 338,832 | ||||||
Southwest Airlines Co. | 33,400 | 1,802,932 | ||||||
United Airlines Holdings, Inc. (a) | 16,000 | 1,409,440 | ||||||
|
| |||||||
6,477,334 | ||||||||
|
| |||||||
Apparel — 0.1% |
| |||||||
Ralph Lauren Corp. | 3,000 | 351,660 | ||||||
Skechers U.S.A., Inc. Class A (a) | 7,100 | 306,649 | ||||||
VF Corp. | 2,400 | 239,184 | ||||||
|
| |||||||
897,493 | ||||||||
|
| |||||||
Auto Manufacturers — 1.1% |
| |||||||
Cummins, Inc. | 13,000 | 2,326,480 | ||||||
Ford Motor Co. | 247,000 | 2,297,100 | ||||||
General Motors Co. | 76,900 | 2,814,540 | ||||||
PACCAR, Inc. | 21,900 | 1,732,290 | ||||||
|
| |||||||
9,170,410 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.3% |
| |||||||
Allison Transmission Holdings, Inc. | 7,600 | 367,232 | ||||||
Aptiv PLC | 16,000 | 1,519,520 | ||||||
BorgWarner, Inc. | 13,100 | 568,278 | ||||||
|
| |||||||
2,455,030 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.3% |
| |||||||
HD Supply Holdings, Inc. (a) | 9,400 | 378,068 | ||||||
LKQ Corp. (a) | 19,500 | 696,150 | ||||||
W.W. Grainger, Inc. | 3,400 | 1,150,968 | ||||||
|
| |||||||
2,225,186 | ||||||||
|
| |||||||
Home Builders — 0.4% |
| |||||||
D.R. Horton, Inc. | 23,400 | 1,234,350 | ||||||
Lennar Corp. Class A | 17,800 | 993,062 | ||||||
PulteGroup, Inc. | 16,300 | 632,440 | ||||||
Toll Brothers, Inc. | 8,900 | 351,639 | ||||||
|
| |||||||
3,211,491 | ||||||||
|
| |||||||
Home Furnishing — 0.1% |
| |||||||
Whirlpool Corp. | 4,100 | 604,873 | ||||||
|
| |||||||
Housewares — 0.1% |
| |||||||
Newell Brands, Inc. | 26,900 | 517,018 | ||||||
|
| |||||||
Leisure Time — 0.6% |
| |||||||
Harley-Davidson, Inc. | 9,800 | 364,462 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 13,500 | 788,535 | ||||||
Polaris, Inc. | 3,900 | 396,630 | ||||||
Royal Caribbean Cruises Ltd. | 25,400 | 3,391,154 | ||||||
|
| |||||||
4,940,781 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
39
Table of Contents
MML Equity Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Lodging — 0.2% |
| |||||||
Hyatt Hotels Corp. Class A | 2,100 | $ | 188,391 | |||||
Las Vegas Sands Corp. | 15,078 | 1,040,985 | ||||||
Wynn Resorts Ltd. | 6,500 | 902,655 | ||||||
|
| |||||||
2,132,031 | ||||||||
|
| |||||||
Retail — 1.5% |
| |||||||
AutoZone, Inc. (a) | 1,500 | 1,786,965 | ||||||
Best Buy Co., Inc. | 16,500 | 1,448,700 | ||||||
CarMax, Inc. (a) | 9,800 | 859,166 | ||||||
Dollar Tree, Inc. (a) | 36,942 | 3,474,395 | ||||||
Genuine Parts Co. | 9,200 | 977,316 | ||||||
Ross Stores, Inc. | 230 | 26,777 | ||||||
Target Corp. | 29,400 | 3,769,374 | ||||||
Williams-Sonoma, Inc. (b) | 4,900 | 359,856 | ||||||
|
| |||||||
12,702,549 | ||||||||
|
| |||||||
Textiles — 0.1% |
| |||||||
Mohawk Industries, Inc. (a) | 4,500 | 613,710 | ||||||
|
| |||||||
45,947,906 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 18.2% |
| |||||||
Agriculture — 1.2% |
| |||||||
Archer-Daniels-Midland Co. | 35,300 | 1,636,155 | ||||||
Philip Morris International, Inc. | 97,600 | 8,304,784 | ||||||
|
| |||||||
9,940,939 | ||||||||
|
| |||||||
Beverages — 0.1% |
| |||||||
Molson Coors Brewing Co. Class B | 8,600 | 463,540 | ||||||
|
| |||||||
Biotechnology — 2.0% |
| |||||||
Amgen, Inc. | 37,800 | 9,112,446 | ||||||
Bio-Rad Laboratories, Inc. Class A (a) | 1,500 | 555,045 | ||||||
Biogen, Inc. (a) | 4,650 | 1,379,795 | ||||||
Gilead Sciences, Inc. | 80,200 | 5,211,396 | ||||||
|
| |||||||
16,258,682 | ||||||||
|
| |||||||
Commercial Services — 0.5% |
| |||||||
AMERCO | 1,300 | 488,566 | ||||||
H&R Block, Inc. | 11,100 | 260,628 | ||||||
ManpowerGroup, Inc. | 3,800 | 368,980 | ||||||
Quanta Services, Inc. | 9,000 | 366,390 | ||||||
Robert Half International, Inc. | 6,400 | 404,160 | ||||||
United Rentals, Inc. (a) | 14,700 | 2,451,519 | ||||||
|
| |||||||
4,340,243 | ||||||||
|
| |||||||
Foods — 1.8% |
| |||||||
Campbell Soup Co. | 16,300 | 805,546 | ||||||
Conagra Brands, Inc. | 23,218 | 794,984 | ||||||
The J.M. Smucker Co. | 6,300 | 656,019 | ||||||
Kellogg Co. | 21,600 | 1,493,856 | ||||||
The Kraft Heinz Co. | 77,500 | 2,490,075 | ||||||
Tyson Foods, Inc. Class A | 90,113 | 8,203,888 | ||||||
US Foods Holding Corp. (a) | 5,100 | 213,639 | ||||||
|
| |||||||
14,658,007 | ||||||||
|
|
Number of Shares | Value | |||||||
Health Care – Products — 2.9% |
| |||||||
Boston Scientific Corp. (a) | 60,374 | $ | 2,730,112 | |||||
Danaher Corp. | 63,127 | 9,688,732 | ||||||
Henry Schein, Inc. (a) | 9,300 | 620,496 | ||||||
Medtronic PLC | 24,114 | 2,735,733 | ||||||
Stryker Corp. | 5,496 | 1,153,830 | ||||||
Thermo Fisher Scientific, Inc. | 17,353 | 5,637,469 | ||||||
Zimmer Biomet Holdings, Inc. | 9,264 | 1,386,636 | ||||||
|
| |||||||
23,953,008 | ||||||||
|
| |||||||
Health Care – Services — 2.2% |
| |||||||
Anthem, Inc. | 21,700 | 6,554,051 | ||||||
DaVita, Inc. (a) | 8,800 | 660,264 | ||||||
Encompass Health Corp. | 6,200 | 429,474 | ||||||
Envista Holdings Corp. (a) | 33,904 | 1,004,915 | ||||||
HCA Healthcare, Inc. | 21,500 | 3,177,915 | ||||||
Humana, Inc. | 7,400 | 2,712,248 | ||||||
Laboratory Corp. of America Holdings (a) | 6,100 | 1,031,937 | ||||||
Quest Diagnostics, Inc. | 8,500 | 907,715 | ||||||
UnitedHealth Group, Inc. | 4,400 | 1,293,512 | ||||||
Universal Health Services, Inc. Class B | 5,100 | 731,646 | ||||||
|
| |||||||
18,503,677 | ||||||||
|
| |||||||
Household Products & Wares — 0.1% |
| |||||||
Avery Dennison Corp. | 4,200 | 549,444 | ||||||
|
| |||||||
Pharmaceuticals — 7.4% |
| |||||||
AbbVie, Inc. | 51,434 | 4,553,966 | ||||||
AmerisourceBergen Corp. | 13,000 | 1,105,260 | ||||||
Becton Dickinson and Co. | 7,488 | 2,036,511 | ||||||
Cardinal Health, Inc. | 18,600 | 940,788 | ||||||
Elanco Animal Health, Inc. (a) | 40,519 | 1,193,285 | ||||||
Jazz Pharmaceuticals PLC (a) | 3,600 | 537,408 | ||||||
Johnson & Johnson | 172,600 | 25,177,162 | ||||||
McKesson Corp. | 11,500 | 1,590,680 | ||||||
Merck & Co., Inc. | 179,736 | 16,346,989 | ||||||
Perrigo Co. PLC | 8,600 | 444,276 | ||||||
Pfizer, Inc. | 197,600 | 7,741,968 | ||||||
|
| |||||||
61,668,293 | ||||||||
|
| |||||||
150,335,833 | ||||||||
|
| |||||||
Energy — 7.6% |
| |||||||
Oil & Gas — 6.7% |
| |||||||
BP PLC Sponsored ADR | 20,242 | 763,933 | ||||||
Chevron Corp. | 118,700 | 14,304,537 | ||||||
ConocoPhillips | 89,704 | 5,833,451 | ||||||
Continental Resources, Inc. | 13,327 | 457,116 | ||||||
Devon Energy Corp. | 26,531 | 689,010 | ||||||
EOG Resources, Inc. | 43,979 | 3,683,681 | ||||||
Exxon Mobil Corp. | 251,100 | 17,521,758 | ||||||
HollyFrontier Corp. | 10,300 | 522,313 | ||||||
Marathon Petroleum Corp. | 11,700 | 704,925 | ||||||
Noble Energy, Inc. | 58,574 | 1,454,978 |
The accompanying notes are an integral part of the financial statements.
40
Table of Contents
MML Equity Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Occidental Petroleum Corp. | 50,146 | $ | 2,066,517 | |||||
Phillips 66 | 28,200 | 3,141,762 | ||||||
Pioneer Natural Resources Co. | 8,000 | 1,210,960 | ||||||
Total SA Sponsored ADR | 1,253 | 69,291 | ||||||
Valero Energy Corp. | 26,100 | 2,444,265 | ||||||
|
| |||||||
54,868,497 | ||||||||
|
| |||||||
Oil & Gas Services — 0.5% |
| |||||||
Halliburton Co. | 73,400 | 1,796,098 | ||||||
Schlumberger Ltd. | 58,735 | 2,361,147 | ||||||
|
| |||||||
4,157,245 | ||||||||
|
| |||||||
Pipelines — 0.4% |
| |||||||
TC Energy Corp. | 63,905 | 3,406,776 | ||||||
|
| |||||||
62,432,518 | ||||||||
|
| |||||||
Financial — 30.2% |
| |||||||
Banks — 16.9% |
| |||||||
Bank of America Corp. | 569,500 | 20,057,790 | ||||||
The Bank of New York Mellon Corp. | 58,500 | 2,944,305 | ||||||
Citigroup, Inc. | 159,049 | 12,706,425 | ||||||
Citizens Financial Group, Inc. | 27,600 | 1,120,836 | ||||||
Commerce Bancshares, Inc. (b) | 7,045 | 478,637 | ||||||
Cullen/Frost Bankers, Inc. | 3,600 | 352,008 | ||||||
Fifth Third Bancorp | 59,536 | 1,830,137 | ||||||
The Goldman Sachs Group, Inc. | 22,400 | 5,150,432 | ||||||
Huntington Bancshares, Inc. | 65,500 | 987,740 | ||||||
JP Morgan Chase & Co. | 285,959 | 39,862,684 | ||||||
KeyCorp | 62,500 | 1,265,000 | ||||||
M&T Bank Corp. | 8,300 | 1,408,925 | ||||||
Morgan Stanley | 223,000 | 11,399,760 | ||||||
Northern Trust Corp. | 13,400 | 1,423,616 | ||||||
The PNC Financial Services Group, Inc. | 27,800 | 4,437,714 | ||||||
Popular, Inc. | 6,100 | 358,375 | ||||||
Regions Financial Corp. | 61,300 | 1,051,908 | ||||||
Signature Bank | 3,100 | 423,491 | ||||||
State Street Corp. | 46,500 | 3,678,150 | ||||||
SVB Financial Group (a) | 3,300 | 828,432 | ||||||
US Bancorp | 99,100 | 5,875,639 | ||||||
Wells Fargo & Co. | 394,160 | 21,205,808 | ||||||
Western Alliance Bancorp | 6,500 | 370,500 | ||||||
Zions Bancorp NA | 10,800 | 560,736 | ||||||
|
| |||||||
�� | 139,779,048 | |||||||
|
| |||||||
Diversified Financial Services — 4.4% |
| |||||||
Ally Financial, Inc. | 47,000 | 1,436,320 | ||||||
American Express Co. | 67,042 | 8,346,059 | ||||||
Ameriprise Financial, Inc. | 8,900 | 1,482,562 | ||||||
BlackRock, Inc. | 8,500 | 4,272,950 | ||||||
Capital One Financial Corp. | 44,026 | 4,530,716 | ||||||
The Charles Schwab Corp. | 113,403 | 5,393,447 | ||||||
CME Group, Inc. | 942 | 189,078 | ||||||
Credit Acceptance Corp. (a) (b) | 1,200 | 530,796 |
Number of Shares | Value | |||||||
Discover Financial Services | 20,400 | $ | 1,730,328 | |||||
Eaton Vance Corp. | 7,100 | 331,499 | ||||||
Franklin Resources, Inc. | 27,700 | 719,646 | ||||||
Intercontinental Exchange, Inc. | 13,441 | 1,243,964 | ||||||
LPL Financial Holdings, Inc. | 5,100 | 470,475 | ||||||
OneMain Holdings, Inc. | 8,500 | 358,275 | ||||||
Raymond James Financial, Inc. | 8,800 | 787,248 | ||||||
Santander Consumer USA Holdings, Inc. | 21,500 | 502,455 | ||||||
SEI Investments Co. | 7,800 | 510,744 | ||||||
Synchrony Financial | 41,000 | 1,476,410 | ||||||
T. Rowe Price Group, Inc. | 14,800 | 1,803,232 | ||||||
The Western Union Co. (b) | 25,200 | 674,856 | ||||||
|
| |||||||
36,791,060 | ||||||||
|
| |||||||
Insurance — 7.9% |
| |||||||
Aflac, Inc. | 46,500 | 2,459,850 | ||||||
Alleghany Corp. (a) | 1,000 | 799,570 | ||||||
The Allstate Corp. | 20,600 | 2,316,470 | ||||||
American Financial Group, Inc. | 9,300 | 1,019,745 | ||||||
American International Group, Inc. | 256,744 | 13,178,669 | ||||||
Arch Capital Group Ltd. (a) | 25,700 | 1,102,273 | ||||||
Assurant, Inc. | 3,900 | 511,212 | ||||||
Athene Holding Ltd. Class A (a) | 9,100 | 427,973 | ||||||
AXA Equitable Holdings, Inc. | 149,229 | 3,697,895 | ||||||
Chubb Ltd. | 61,397 | 9,557,057 | ||||||
Cincinnati Financial Corp. | 8,900 | 935,835 | ||||||
Everest Re Group Ltd. | 2,300 | 636,732 | ||||||
Fidelity National Financial, Inc. | 12,300 | 557,805 | ||||||
Globe Life, Inc. | 14,900 | 1,568,225 | ||||||
The Hanover Insurance Group, Inc. | 2,300 | 314,341 | ||||||
The Hartford Financial Services Group, Inc. | 19,000 | 1,154,630 | ||||||
Lincoln National Corp. | 11,500 | 678,615 | ||||||
Loews Corp. | 18,900 | 992,061 | ||||||
Markel Corp. (a) | 890 | 1,017,421 | ||||||
Marsh & McLennan Cos., Inc. | 25,291 | 2,817,670 | ||||||
MetLife, Inc. | 83,700 | 4,266,189 | ||||||
Old Republic International Corp. | 13,500 | 301,995 | ||||||
Principal Financial Group, Inc. | 17,600 | 968,000 | ||||||
The Progressive Corp. | 25,800 | 1,867,662 | ||||||
Prudential Financial, Inc. | 25,500 | 2,390,370 | ||||||
Reinsurance Group of America, Inc. | 4,000 | 652,240 | ||||||
The Travelers Cos., Inc. | 33,700 | 4,615,215 | ||||||
Voya Financial, Inc. | 9,600 | 585,408 | ||||||
Willis Towers Watson PLC | 14,940 | 3,016,984 | ||||||
WR Berkley Corp. | 10,000 | 691,000 | ||||||
|
| |||||||
65,099,112 | ||||||||
|
| |||||||
Real Estate — 0.2% |
| |||||||
CBRE Group, Inc. Class A (a) | 21,200 | 1,299,348 | ||||||
The Howard Hughes Corp. (a) | 800 | 101,440 | ||||||
|
| |||||||
1,400,788 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
41
Table of Contents
MML Equity Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Real Estate Investment Trusts (REITS) — 0.8% |
| |||||||
Prologis, Inc. | 69,901 | $ | 6,230,975 | |||||
|
| |||||||
Savings & Loans — 0.0% |
| |||||||
New York Community Bancorp, Inc. | 29,600 | 355,792 | ||||||
|
| |||||||
249,656,775 | ||||||||
|
| |||||||
Industrial — 10.6% |
| |||||||
Aerospace & Defense — 2.2% |
| |||||||
The Boeing Co. | 3,197 | 1,041,455 | ||||||
General Dynamics Corp. | 18,400 | 3,244,840 | ||||||
Lockheed Martin Corp. | 17,900 | 6,969,902 | ||||||
Northrop Grumman Corp. | 10,700 | 3,680,479 | ||||||
Raytheon Co. | 13,900 | 3,054,386 | ||||||
|
| |||||||
17,991,062 | ||||||||
|
| |||||||
Building Materials — 0.2% |
| |||||||
Fortune Brands Home & Security, Inc. | 8,700 | 568,458 | ||||||
Masco Corp. | 18,000 | 863,820 | ||||||
Owens Corning | 6,800 | 442,816 | ||||||
|
| |||||||
1,875,094 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.4% |
| |||||||
Acuity Brands, Inc. | 2,400 | 331,200 | ||||||
Emerson Electric Co. | 33,800 | 2,577,588 | ||||||
Hubbell, Inc. | 3,500 | 517,370 | ||||||
|
| |||||||
3,426,158 | ||||||||
|
| |||||||
Electronics — 0.6% |
| |||||||
Arrow Electronics, Inc. (a) | 5,100 | 432,174 | ||||||
Gentex Corp. | 15,200 | 440,496 | ||||||
Honeywell International, Inc. | 4,219 | 746,763 | ||||||
Keysight Technologies, Inc. (a) | 28,735 | 2,949,073 | ||||||
Sensata Technologies Holding PLC (a) | 10,100 | 544,087 | ||||||
TE Connectivity Ltd. | 2,296 | 220,049 | ||||||
|
| |||||||
5,332,642 | ||||||||
|
| |||||||
Engineering & Construction — 0.3% |
| |||||||
AECOM (a) | 9,400 | 405,422 | ||||||
Jacobs Engineering Group, Inc. | 20,256 | 1,819,596 | ||||||
|
| |||||||
2,225,018 | ||||||||
|
| |||||||
Environmental Controls — 0.1% |
| |||||||
Pentair PLC | 9,300 | 426,591 | ||||||
|
| |||||||
Hand & Machine Tools — 0.3% |
| |||||||
Lincoln Electric Holdings, Inc. | 3,400 | 328,882 | ||||||
Snap-on, Inc. | 3,500 | 592,900 | ||||||
Stanley Black & Decker, Inc. | 10,700 | 1,773,418 | ||||||
|
| |||||||
2,695,200 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.9% |
| |||||||
Caterpillar, Inc. | 46,700 | 6,896,656 | ||||||
Oshkosh Corp. | 4,300 | 406,995 | ||||||
|
| |||||||
7,303,651 | ||||||||
|
|
Number of Shares | Value | |||||||
Machinery – Diversified — 1.2% |
| |||||||
AGCO Corp. | 4,700 | $ | 363,075 | |||||
Crane Co. | 2,300 | 198,674 | ||||||
Deere & Co. | 36,500 | 6,323,990 | ||||||
Dover Corp. | 11,800 | 1,360,068 | ||||||
Roper Technologies, Inc. | 5,036 | 1,783,902 | ||||||
|
| |||||||
10,029,709 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.8% |
| |||||||
3M Co. | 3,300 | 582,186 | ||||||
A.O. Smith Corp. | 6,200 | 295,368 | ||||||
Eaton Corp. PLC | 26,200 | 2,481,664 | ||||||
General Electric Co. | 880,152 | 9,822,496 | ||||||
Parker-Hannifin Corp. | 8,100 | 1,667,142 | ||||||
|
| |||||||
14,848,856 | ||||||||
|
| |||||||
Packaging & Containers — 0.6% |
| |||||||
Crown Holdings, Inc. (a) | 8,600 | 623,844 | ||||||
Packaging Corp. of America | 35,376 | 3,961,758 | ||||||
Sonoco Products Co. | 5,100 | 314,772 | ||||||
|
| |||||||
4,900,374 | ||||||||
|
| |||||||
Shipbuilding — 0.1% |
| |||||||
Huntington Ingalls Industries, Inc. | 2,600 | 652,288 | ||||||
|
| |||||||
Transportation — 1.9% |
| |||||||
C.H. Robinson Worldwide, Inc. | 8,100 | 633,420 | ||||||
CSX Corp. | 49,300 | 3,567,348 | ||||||
Knight-Swift Transportation Holdings, Inc. | 10,900 | 390,656 | ||||||
Norfolk Southern Corp. | 6,598 | 1,280,870 | ||||||
Union Pacific Corp. | 9,900 | 1,789,821 | ||||||
United Parcel Service, Inc. Class B | 68,815 | 8,055,484 | ||||||
|
| |||||||
15,717,599 | ||||||||
|
| |||||||
87,424,242 | ||||||||
|
| |||||||
Technology — 12.6% |
| |||||||
Computers — 1.4% |
| |||||||
Cognizant Technology Solutions Corp. Class A | 30,600 | 1,897,812 | ||||||
Hewlett Packard Enterprise Co. | 82,000 | 1,300,520 | ||||||
International Business Machines Corp. | 52,700 | 7,063,908 | ||||||
Leidos Holdings, Inc. | 7,800 | 763,542 | ||||||
NetApp, Inc. | 14,300 | 890,175 | ||||||
|
| |||||||
11,915,957 | ||||||||
|
| |||||||
Office & Business Equipment — 0.1% |
| |||||||
Xerox Holdings Corp. (a) | 12,200 | 449,814 | ||||||
|
| |||||||
Semiconductors — 7.7% |
| |||||||
Applied Materials, Inc. | 116,330 | 7,100,783 | ||||||
ASML Holding NV | 2,362 | 699,010 | ||||||
Broadcom, Inc. | 39,163 | 12,376,291 | ||||||
Intel Corp. | 275,900 | 16,512,615 | ||||||
Lam Research Corp. | 7,600 | 2,222,240 |
The accompanying notes are an integral part of the financial statements.
42
Table of Contents
MML Equity Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Micron Technology, Inc. (a) | 125,105 | $ | 6,728,147 | |||||
NVIDIA Corp. | 500 | 117,650 | ||||||
NXP Semiconductor NV | 43,103 | 5,485,288 | ||||||
ON Semiconductor Corp. (a) | 25,800 | 629,004 | ||||||
Qorvo, Inc. (a) | 7,000 | 813,610 | ||||||
QUALCOMM, Inc. | 65,937 | 5,817,622 | ||||||
Skyworks Solutions, Inc. | 15,800 | 1,909,904 | ||||||
Texas Instruments, Inc. | 19,585 | 2,512,560 | ||||||
Xilinx, Inc. | 11,900 | 1,163,463 | ||||||
|
| |||||||
64,088,187 | ||||||||
|
| |||||||
Software — 3.4% |
| |||||||
CDK Global, Inc. | 6,600 | 360,888 | ||||||
Electronic Arts, Inc. (a) | 18,500 | 1,988,935 | ||||||
Fidelity National Information Services, Inc. | 2,971 | 413,236 | ||||||
Microsoft Corp. | 71,775 | 11,318,917 | ||||||
Oracle Corp. | 207,400 | 10,988,052 | ||||||
Synopsys, Inc. (a) | 12,293 | 1,711,186 | ||||||
VMware, Inc. Class A (a) (b) | 8,200 | 1,244,678 | ||||||
|
| |||||||
28,025,892 | ||||||||
|
| |||||||
104,479,850 | ||||||||
|
| |||||||
Utilities — 5.5% |
| |||||||
Electric — 5.4% |
| |||||||
AES Corp. | 28,900 | 575,110 | ||||||
Ameren Corp. | 3,620 | 278,016 | ||||||
American Electric Power Co., Inc. | 36,516 | 3,451,127 | ||||||
CenterPoint Energy, Inc. | 60,300 | 1,644,381 | ||||||
Edison International | 78,666 | 5,932,203 | ||||||
Entergy Corp. | 33,090 | 3,964,182 | ||||||
Evergy, Inc. | 14,400 | 937,296 | ||||||
Eversource Energy | 15,900 | 1,352,613 | ||||||
NextEra Energy, Inc. | 44,930 | 10,880,249 | ||||||
NRG Energy, Inc. | 15,800 | 628,050 | ||||||
OGE Energy Corp. | 8,600 | 382,442 | ||||||
Pinnacle West Capital Corp. | 6,200 | 557,566 | ||||||
Public Service Enterprise Group, Inc. | 32,100 | 1,895,505 | ||||||
Sempra Energy | 41,556 | 6,294,903 | ||||||
The Southern Co. | 56,680 | 3,610,516 | ||||||
Vistra Energy Corp. | 30,600 | 703,494 | ||||||
WEC Energy Group, Inc. | 16,900 | 1,558,687 | ||||||
|
| |||||||
44,646,340 | ||||||||
|
| |||||||
Gas — 0.1% |
| |||||||
NiSource, Inc. | 33,258 | 925,903 | ||||||
|
| |||||||
45,572,243 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $689,015,503) | 812,083,499 | |||||||
|
|
Number of Shares | Value | |||||||
PREFERRED STOCK — 0.5% |
| |||||||
Consumer,Non-cyclical — 0.1% |
| |||||||
Pharmaceuticals — 0.1% |
| |||||||
Becton Dickinson and Co. Convertible 6.125% | 9,400 | $ | 615,324 | |||||
|
| |||||||
Industrial — 0.0% |
| |||||||
Electronics — 0.0% |
| |||||||
Fortive Corp. Convertible 5.000% | 400 | 389,104 | ||||||
|
| |||||||
Technology — 0.1% |
| |||||||
Semiconductors — 0.1% |
| |||||||
Broadcom, Inc. Convertible 8.000% | 661 | 778,638 | ||||||
|
| |||||||
Utilities — 0.3% |
| |||||||
Electric — 0.3% |
| |||||||
Sempra Energy Convertible 6.000% | 5,200 | 624,104 | ||||||
Sempra Energy Convertible 6.750% | 2,700 | 321,489 | ||||||
The Southern Co. Convertible 6.750% | 22,730 | 1,225,147 | ||||||
|
| |||||||
2,170,740 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,618,040) | 3,953,806 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $692,633,543) | 816,037,305 | |||||||
|
| |||||||
MUTUAL FUNDS — 1.0% |
| |||||||
Diversified Financial Services — 1.0% |
| |||||||
iShares Russell 1000 Value ETF | 59,400 | 8,106,912 | ||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 348,975 | 348,975 | ||||||
|
| |||||||
8,455,887 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $8,238,443) | 8,455,887 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $700,871,986) | 824,493,192 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.4% |
| |||||||
Repurchase Agreement — 0.4% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (d) | $ | 3,646,060 | 3,646,060 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,646,060) | 3,646,060 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $704,518,046) (e) | 828,139,252 | |||||||
Other Assets/(Liabilities) — (0.2)% | (1,713,952 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 826,425,300 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
43
Table of Contents
MML Equity Fund – Portfolio of Investments(Continued)
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) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $2,860,691 or 0.35% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $2,572,950 ofnon-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. |
(c) | Represents investment of security lending cash collateral.(Note 2). |
(d) | Maturity value of $3,646,222. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $3,727,747. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
44
Table of Contents
December 31, 2019
Number of Shares | Value | |||||||
EQUITIES — 0.2% |
| |||||||
PREFERRED STOCK — 0.2% |
| |||||||
Financial — 0.2% |
| |||||||
Insurance — 0.2% |
| |||||||
Allstate Corp., 3 mo. USD LIBOR + 3.165% | 95,000 | $ | 2,531,750 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $2,375,000) | 2,531,750 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $2,375,000) | 2,531,750 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 97.4% |
| |||||||
CORPORATE DEBT — 35.0% |
| |||||||
Aerospace & Defense — 0.1% |
| |||||||
L3Harris Technologies, Inc. | $ | 780,000 | 792,382 | |||||
United Technologies Corp. | 350,000 | 486,075 | ||||||
|
| |||||||
1,278,457 | ||||||||
|
| |||||||
Agriculture — 0.7% |
| |||||||
BAT Capital Corp. | 540,000 | 558,335 | ||||||
Bunge Ltd. Finance Corp. | 1,179,000 | 1,174,752 | ||||||
4.350% 3/15/24 | 1,810,000 | 1,901,495 | ||||||
Imperial Brands Finance PLC | 1,539,000 | 1,552,513 | ||||||
Reynolds American, Inc. | 1,095,000 | 1,179,189 | ||||||
5.850% 8/15/45 | 985,000 | 1,130,477 | ||||||
|
| |||||||
7,496,761 | ||||||||
|
| |||||||
Airlines — 0.2% |
| |||||||
American Airlines Pass-Through Trust,Series 2014-1, Class B, | 153,361 | 157,840 | ||||||
Spirit Airlines Pass-Through Trust,Series 2015-1, Class A, | 1,495,879 | 1,558,971 | ||||||
United Airlines Pass-Through Trust,Series 2018-1, Class B, | 519,140 | 536,868 | ||||||
|
| |||||||
2,253,679 | ||||||||
|
| |||||||
Auto Manufacturers — 1.7% |
| |||||||
Ford Motor Co. | 530,000 | 505,033 |
Principal Amount | Value | |||||||
Ford Motor Credit Co. LLC | $ | 2,700,000 | $ | 2,720,302 | ||||
4.140% 2/15/23 | 2,760,000 | 2,839,685 | ||||||
4.375% 8/06/23 | 2,278,000 | 2,368,861 | ||||||
General Motors Co. | 565,000 | 590,930 | ||||||
5.150% 4/01/38 | 800,000 | 818,388 | ||||||
General Motors Financial Co., Inc. | 3,200,000 | 3,297,352 | ||||||
4.150% 6/19/23 | 2,193,000 | 2,303,722 | ||||||
4.200% 11/06/21 | 1,216,000 | 1,260,738 | ||||||
Hyundai Capital America | 1,705,000 | 1,724,002 | ||||||
|
| |||||||
18,429,013 | ||||||||
|
| |||||||
Banks — 4.9% |
| |||||||
Associated Banc-Corp. | 2,991,000 | 3,162,079 | ||||||
Bank of America Corp. | 1,090,000 | 1,182,047 | ||||||
3 mo. USD LIBOR + 1.814% | 1,150,000 | 1,325,857 | ||||||
6.110% 1/29/37 | 1,550,000 | 2,095,181 | ||||||
7.750% 5/14/38 | 400,000 | 630,562 | ||||||
The Bank of Nova Scotia | 795,000 | 873,395 | ||||||
3 mo. USD LIBOR + 2.648% | 3,575,000 | 3,619,688 | ||||||
Barclays Bank PLC | 3,351,000 | 3,725,050 | ||||||
Barclays PLC | 2,085,000 | 2,108,814 | ||||||
4.337% 1/10/28 | 1,720,000 | 1,846,070 | ||||||
Citigroup, Inc. | 1,725,000 | 1,882,439 | ||||||
Credit Suisse AG | 3,069,000 | 3,418,099 | ||||||
Deutsche Bank AG | 2,553,000 | 2,564,611 | ||||||
Discover Bank 5 year USD Swap + 1.730% | 2,905,000 | 3,035,725 | ||||||
First Republic Bank | 4,360,000 | 4,817,133 | ||||||
Fulton Financial Corp. | 1,565,000 | 1,589,280 | ||||||
The Goldman Sachs Group, Inc. | 550,000 | 597,429 | ||||||
5.950% 1/15/27 | 1,410,000 | 1,685,094 | ||||||
6.750% 10/01/37 | 1,145,000 | 1,590,552 | ||||||
HSBC Holdings PLC | 1,225,000 | 1,299,906 |
The accompanying notes are an integral part of the financial statements.
45
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
ING Groep NV | $ | 1,205,000 | $ | 1,261,220 | ||||
JP Morgan Chase & Co. | 1,125,000 | 1,540,731 | ||||||
Morgan Stanley | 3,200,000 | 3,500,428 | ||||||
5.000% 11/24/25 | 975,000 | 1,098,245 | ||||||
SVB Financial Group | 1,000,000 | 1,047,793 | ||||||
Valley National Bancorp | 1,530,000 | 1,642,263 | ||||||
Wells Fargo & Co. | 909,000 | 1,167,448 | ||||||
|
| |||||||
54,307,139 | ||||||||
|
| |||||||
Beverages — 0.6% |
| |||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 4,225,000 | 5,011,368 | ||||||
Molson Coors Brewing Co. | 1,124,000 | 1,121,921 | ||||||
5.000% 5/01/42 | 360,000 | 393,643 | ||||||
|
| |||||||
6,526,932 | ||||||||
|
| |||||||
Building Materials — 0.1% |
| |||||||
Standard Industries, Inc. | 1,238,000 | 1,258,118 | ||||||
|
| |||||||
Chemicals — 1.0% |
| |||||||
DuPont de Nemours, Inc. | 1,750,000 | 2,088,924 | ||||||
Huntsman International LLC | 1,000,000 | 1,068,164 | ||||||
Syngenta Finance NV | 1,870,000 | 1,875,884 | ||||||
4.441% 4/24/23 (a) | 2,065,000 | 2,156,613 | ||||||
Yara International ASA | 3,328,000 | 3,617,484 | ||||||
|
| |||||||
10,807,069 | ||||||||
|
| |||||||
Commercial Services — 0.0% |
| |||||||
ERAC USA Finance LLC | 125,000 | 168,763 | ||||||
|
| |||||||
Computers — 0.7% |
| |||||||
Dell International LLC/EMC Corp. | 2,702,000 | 3,110,543 | ||||||
Genpact Luxembourg Sarl | 2,660,000 | 2,672,337 | ||||||
3.700% STEP 4/01/22 | 2,400,000 | 2,434,931 | ||||||
|
| |||||||
8,217,811 | ||||||||
|
| |||||||
Diversified Financial Services — 2.5% |
| |||||||
Aircastle Ltd. | 3,095,000 | 3,272,506 | ||||||
5.000% 4/01/23 | 1,750,000 | 1,871,767 |
Principal Amount | Value | |||||||
Antares Holdings LP | $ | 2,945,000 | $ | 3,098,523 | ||||
Ares Finance Co. LLC | 2,080,000 | 2,079,253 | ||||||
Brookfield Finance, Inc. | 1,752,000 | 2,006,239 | ||||||
GE Capital International Funding Co. Unlimited Co. | 335,000 | 358,361 | ||||||
Global Aircraft Leasing Co. Ltd. | 1,350,000 | 1,408,658 | ||||||
Lazard Group LLC | 1,253,000 | 1,293,673 | ||||||
3.750% 2/13/25 | 800,000 | 845,116 | ||||||
4.500% 9/19/28 | 755,000 | 831,256 | ||||||
LeasePlan Corp. NV | 1,535,000 | 1,534,479 | ||||||
Legg Mason, Inc. | 1,195,000 | 1,357,204 | ||||||
Park Aerospace Holdings Ltd. | 1,550,000 | 1,622,850 | ||||||
5.250% 8/15/22 (a) | 5,055,000 | 5,385,597 | ||||||
5.500% 2/15/24 (a) | 545,000 | 598,361 | ||||||
|
| |||||||
27,563,843 | ||||||||
|
| |||||||
Electric — 1.6% |
| |||||||
Avangrid, Inc. | 1,675,000 | 1,777,499 | ||||||
The Cleveland Electric Illuminating Co. | 945,000 | 984,330 | ||||||
CMS Energy Corp. | 780,000 | 931,639 | ||||||
Duke Energy Corp. | 635,000 | 656,874 | ||||||
Entergy Louisiana LLC | 1,005,000 | 1,078,048 | ||||||
Infraestructura Energetica Nova SAB | 820,000 | 797,450 | ||||||
IPALCO Enterprises, Inc. | 3,410,000 | 3,424,747 | ||||||
3.700% 9/01/24 | 1,060,000 | 1,096,610 | ||||||
Nevada Power Co., Series N, | 550,000 | 762,012 | ||||||
NextEra Energy Capital Holdings, Inc. | 1,435,000 | 1,442,655 | ||||||
Oncor Electric Delivery Co. | 495,000 | 771,935 | ||||||
Pennsylvania Electric Co. | 1,860,000 | 1,979,559 | ||||||
Southwestern Electric Power Co. | 300,000 | 395,334 | ||||||
Xcel Energy, Inc. | 1,250,000 | 1,690,704 | ||||||
|
| |||||||
17,789,396 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
46
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Electronics — 0.1% |
| |||||||
Arrow Electronics, Inc. | $ | 965,000 | $ | 992,318 | ||||
|
| |||||||
Foods — 0.5% |
| |||||||
Ingredion, Inc. | 638,000 | 645,115 | ||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | 776,000 | 833,502 | ||||||
Kraft Heinz Foods Co. | 1,605,000 | 1,673,375 | ||||||
Mars, Inc. | 1,910,000 | 2,162,119 | ||||||
|
| |||||||
5,314,111 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% |
| |||||||
Fibria Overseas Finance Ltd. | 1,250,000 | 1,291,575 | ||||||
|
| |||||||
Gas — 0.2% |
| |||||||
NiSource, Inc. | 1,035,000 | 1,203,846 | ||||||
5.800% 2/01/42 | 950,000 | 1,190,525 | ||||||
|
| |||||||
2,394,371 | ||||||||
|
| |||||||
Health Care – Services — 0.2% |
| |||||||
City of Hope | 1,050,000 | 1,215,973 | ||||||
Humana, Inc. | 830,000 | 972,859 | ||||||
|
| |||||||
2,188,832 | ||||||||
|
| |||||||
Housewares — 0.3% |
| |||||||
Newell Brands, Inc. | 2,982,000 | 3,098,926 | ||||||
|
| |||||||
Insurance — 4.2% |
| |||||||
Allstate Corp. 3 mo. | 4,260,000 | 4,579,798 | ||||||
American International Group, Inc. | 1,025,000 | 1,128,326 | ||||||
4.500% 7/16/44 | 1,175,000 | 1,355,397 | ||||||
4.750% 4/01/48 | 505,000 | 608,938 | ||||||
3 mo. USD LIBOR + 2.868% | 2,860,000 | 3,144,456 | ||||||
AmTrust Financial Services, Inc. | 3,030,000 | 3,094,365 | ||||||
Arch Capital Group US, Inc. | 540,000 | 670,048 | ||||||
Athene Holding Ltd. | 6,228,000 | 6,448,771 | ||||||
AXIS Specialty Finance LLC | 885,000 | 925,777 | ||||||
5 year CMT + 3.186% | 1,315,000 | 1,332,852 |
Principal Amount | Value | |||||||
AXIS Specialty Finance PLC | $ | 2,500,000 | $ | 2,650,986 | ||||
Brown & Brown, Inc. | 1,132,000 | 1,204,257 | ||||||
CNO Financial Group, Inc. | 2,621,000 | 2,902,758 | ||||||
Enstar Group Ltd. | 920,000 | 953,947 | ||||||
4.950% 6/01/29 | 1,600,000 | 1,714,441 | ||||||
Markel Corp. | 585,000 | 599,326 | ||||||
The Progressive Corp. 3 mo. | 1,625,000 | 1,707,810 | ||||||
Prudential Financial, Inc. | 2,440,000 | 2,787,700 | ||||||
3 mo. USD LIBOR + 4.175% | 550,000 | 591,250 | ||||||
USF&G Capital I | 885,000 | 1,357,595 | ||||||
Voya Financial, Inc. 3 mo. | 1,080,000 | 1,082,700 | ||||||
Willis North America, Inc. | 905,000 | 896,999 | ||||||
4.500% 9/15/28 | 1,965,000 | 2,166,959 | ||||||
XLIT Ltd. | 2,250,000 | 2,451,620 | ||||||
|
| |||||||
46,357,076 | ||||||||
|
| |||||||
Internet — 0.1% |
| |||||||
Amazon.com, Inc. | 1,340,000 | 1,576,975 | ||||||
|
| |||||||
Investment Companies — 1.1% |
| |||||||
Ares Capital Corp. | 2,600,000 | 2,639,133 | ||||||
BlackRock TCP Capital Corp. | 2,910,000 | 2,973,399 | ||||||
4.125% 8/11/22 | 2,870,000 | 2,972,103 | ||||||
TPG Specialty Lending, Inc. | 3,575,000 | 3,601,332 | ||||||
|
| |||||||
12,185,967 | ||||||||
|
| |||||||
Iron & Steel — 0.2% |
| |||||||
Vale Overseas Ltd. | 1,250,000 | 1,467,250 | ||||||
6.875% 11/21/36 | 630,000 | 819,000 | ||||||
|
| |||||||
2,286,250 | ||||||||
|
| |||||||
Machinery – Diversified — 0.2% |
| |||||||
CNH Industrial Capital LLC | 2,280,000 | 2,339,600 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
47
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Media — 1.1% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | $ | 1,275,000 | $ | 1,345,125 | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 735,000 | 911,199 | ||||||
Comcast Corp. | 645,000 | 654,655 | ||||||
3.450% 2/01/50 | 565,000 | 579,232 | ||||||
3.969% 11/01/47 | 630,000 | 694,089 | ||||||
4.750% 3/01/44 | 880,000 | 1,071,017 | ||||||
6.950% 8/15/37 | 265,000 | 393,056 | ||||||
Discovery Communications LLC | 1,552,000 | 1,656,794 | ||||||
5.000% 9/20/37 | 995,000 | 1,124,535 | ||||||
Grupo Televisa SAB | 2,196,000 | 2,561,516 | ||||||
Time Warner Cable, Inc. | 985,000 | 1,244,547 | ||||||
|
| |||||||
12,235,765 | ||||||||
|
| |||||||
Mining — 1.0% |
| |||||||
Glencore Finance Canada Ltd. | 894,000 | 947,813 | ||||||
Glencore Funding LLC | 975,000 | 1,006,961 | ||||||
4.000% 4/16/25 (a) | 2,150,000 | 2,238,801 | ||||||
4.625% 4/29/24 (a) | 3,065,000 | 3,249,513 | ||||||
Kinross Gold Corp. | 470,000 | 492,325 | ||||||
5.125% 9/01/21 | 2,495,000 | 2,594,800 | ||||||
Teck Resources Ltd. | 850,000 | 948,906 | ||||||
|
| |||||||
11,479,119 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.0% |
| |||||||
General Electric Co. | 298,000 | 398,290 | ||||||
4.125% 10/09/42 | 113,000 | 116,575 | ||||||
|
| |||||||
514,865 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.2% |
| |||||||
Pitney Bowes, Inc. | 1,855,000 | 1,880,506 | ||||||
|
| |||||||
Oil & Gas — 2.6% |
| |||||||
Antero Resources Corp. | 5,459,000 | 5,197,992 | ||||||
Cenovus Energy, Inc. | 1,125,000 | 1,191,902 | ||||||
6.750% 11/15/39 | 550,000 | 700,738 | ||||||
Diamondback Energy, Inc. | 1,105,000 | 1,118,471 |
Principal Amount | Value | |||||||
Encana Corp. | $ | 545,000 | $ | 643,904 | ||||
EQT Corp. | 1,550,000 | 1,523,353 | ||||||
3.900% 10/01/27 (c) | 4,510,000 | 4,196,113 | ||||||
Marathon Petroleum Corp. | 510,000 | 542,681 | ||||||
6.500% 3/01/41 | 1,120,000 | 1,454,731 | ||||||
Newfield Exploration Co. | 1,650,000 | 1,789,613 | ||||||
5.625% 7/01/24 | 975,000 | 1,071,413 | ||||||
5.750% 1/30/22 | 1,904,000 | 2,024,080 | ||||||
Occidental Petroleum Corp. | 1,258,000 | 1,621,890 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. | 1,175,000 | 1,219,062 | ||||||
Petroleos Mexicanos | 665,000 | 661,675 | ||||||
6.375% 1/23/45 | 595,000 | 573,259 | ||||||
6.500% 3/13/27 | 585,000 | 621,106 | ||||||
6.625% 6/15/35 | 140,000 | 143,430 | ||||||
Saudi Arabian Oil Co. | 2,075,000 | 2,222,834 | ||||||
|
| |||||||
28,518,247 | ||||||||
|
| |||||||
Oil & Gas Services — 0.4% |
| |||||||
National Oilwell Varco, Inc. | 1,270,000 | 1,273,872 | ||||||
3.950% 12/01/42 | 1,506,000 | 1,387,833 | ||||||
Patterson-UTI Energy, Inc. | 1,680,000 | 1,636,733 | ||||||
|
| |||||||
4,298,438 | ||||||||
|
| |||||||
Packaging & Containers — 0.3% |
| |||||||
Amcor Finance USA, Inc. | 3,105,000 | 3,190,690 | ||||||
|
| |||||||
Pharmaceuticals — 1.6% |
| |||||||
AbbVie, Inc. | 1,045,000 | 1,098,355 | ||||||
4.700% 5/14/45 | 2,060,000 | 2,301,987 | ||||||
Allergan Funding SCS | 1,375,000 | 1,444,998 | ||||||
Becton Dickinson and Co. | 825,000 | 965,505 | ||||||
Bristol-Myers Squibb Co. | 1,230,000 | 1,467,775 | ||||||
Cigna Corp. | 880,000 | 1,021,453 | ||||||
CVS Health Corp. | 1,175,000 | 1,283,618 | ||||||
5.050% 3/25/48 | 1,255,000 | 1,487,208 | ||||||
6.125% 9/15/39 | 560,000 | 715,438 |
The accompanying notes are an integral part of the financial statements.
48
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
CVS Pass-Through Trust | $ | 1,086,935 | $ | 1,267,170 | ||||
7.507% 1/10/32 (a) | 933,511 | 1,154,499 | ||||||
McKesson Corp. | 550,000 | 674,991 | ||||||
Mylan NV | 2,230,000 | 2,324,828 | ||||||
Teva Pharmaceutical Finance Netherlands BV | 460,000 | 331,200 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 724,000 | 701,158 | ||||||
|
| |||||||
18,240,183 | ||||||||
|
| |||||||
Pipelines — 2.3% |
| |||||||
Cheniere Corpus Christi Holdings LLC | 463,000 | 472,823 | ||||||
Cheniere Energy Partners LP | 533,000 | 547,711 | ||||||
Energy Transfer Operating LP | 1,085,000 | 1,136,376 | ||||||
5.875% 1/15/24 | 1,150,000 | 1,273,211 | ||||||
6.125% 12/15/45 | 1,000,000 | 1,159,726 | ||||||
3 mo. USD LIBOR + 4.028% | 2,370,000 | 2,227,800 | ||||||
7.500% 10/15/20 | 1,125,000 | 1,169,133 | ||||||
EnLink Midstream Partners LP | 2,924,000 | 2,748,560 | ||||||
4.850% 7/15/26 | 951,000 | 891,563 | ||||||
Enterprise Products Operating LLC | 575,000 | 581,889 | ||||||
3 mo. USD LIBOR + 2.570% | 1,205,000 | 1,197,520 | ||||||
EQM Midstream Partners LP | 2,325,000 | 2,332,420 | ||||||
MPLX LP | 595,000 | 605,456 | ||||||
6.250% 10/15/22 (a) | 652,000 | 664,858 | ||||||
3 mo. USD LIBOR + 4.652% | 1,775,000 | 1,788,313 | ||||||
Plains All American Pipeline LP 3 mo. USD LIBOR + 4.110% | 2,345,000 | 2,186,712 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 1,642,000 | 1,749,849 | ||||||
4.700% 6/15/44 | 1,195,000 | 1,162,124 | ||||||
Sunoco Logistics Partners Operations LP | 525,000 | 558,770 | ||||||
Western Midstream Operating LP | 655,000 | 646,672 | ||||||
|
| |||||||
25,101,486 | ||||||||
|
|
Principal Amount | Value | |||||||
Private Equity — 0.6% |
| |||||||
Apollo Management Holdings LP | $ | 805,000 | $ | 816,004 | ||||
Carlyle Finance Subsidiary LLC | 1,100,000 | 1,097,305 | ||||||
Hercules Capital, Inc. | 2,910,000 | 2,933,678 | ||||||
KKR Group Finance Co. VI LLC | 1,260,000 | 1,343,083 | ||||||
|
| |||||||
6,190,070 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.7% |
| |||||||
Alexandria Real Estate Equities, Inc. | 845,000 | 835,065 | ||||||
American Tower Trust #1 | 1,910,000 | 1,996,707 | ||||||
Crown Castle International Corp. | 589,000 | 716,645 | ||||||
Healthcare Trust of America Holdings LP | 2,015,000 | 2,103,487 | ||||||
Mid-America Apartments LP | 725,000 | 791,224 | ||||||
Service Properties Trust | 760,000 | 790,123 | ||||||
Spirit Realty LP | 1,480,000 | 1,482,410 | ||||||
3.400% 1/15/30 | 515,000 | 517,710 | ||||||
4.000% 7/15/29 | 820,000 | 863,608 | ||||||
STORE Capital Corp. | 1,480,000 | 1,642,898 | ||||||
Tanger Properties LP | 1,448,000 | 1,490,869 | ||||||
UDR, Inc. | 805,000 | 823,413 | ||||||
VEREIT Operating Partnership LP | 2,790,000 | 2,741,753 | ||||||
4.625% 11/01/25 | 2,260,000 | 2,474,939 | ||||||
|
| |||||||
19,270,851 | ||||||||
|
| |||||||
Retail — 0.2% |
| |||||||
El Puerto de Liverpool SAB de CV | 2,620,000 | 2,695,351 | ||||||
|
| |||||||
Semiconductors — 0.1% |
| |||||||
Microchip Technology, Inc. | 985,000 | 1,007,340 | ||||||
|
| |||||||
Software — 0.3% |
| |||||||
Broadridge Financial Solutions, Inc. | 1,210,000 | 1,208,892 | ||||||
Microsoft Corp. | 2,064,000 | 2,584,531 | ||||||
|
| |||||||
3,793,423 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
49
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Telecommunications — 1.1% |
| |||||||
AT&T, Inc. | $ | 2,830,000 | $ | 3,202,832 | ||||
5.250% 3/01/37 | 648,000 | 774,220 | ||||||
6.250% 3/29/41 | 210,000 | 273,471 | ||||||
Crown Castle Towers LLC | 1,700,000 | 1,718,217 | ||||||
4.241% 7/15/48 (a) | 2,750,000 | 3,044,137 | ||||||
Embarq Corp. | 145,000 | 153,337 | ||||||
Qwest Corp | 725,000 | 780,615 | ||||||
Telefonica Emisiones SAU | 1,105,000 | 1,236,268 | ||||||
Verizon Communications, Inc. | 885,000 | 1,299,415 | ||||||
|
| |||||||
12,482,512 | ||||||||
|
| |||||||
Transportation — 0.2% |
| |||||||
Autoridad del Canal de Panama | 1,050,000 | 1,223,260 | ||||||
CSX Corp. | 650,000 | 788,794 | ||||||
Pacific National Finance Pty Ltd. | 610,000 | 619,163 | ||||||
|
| |||||||
2,631,217 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $369,883,768) | 389,653,045 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.5% |
| |||||||
JobsOhio Beverage System Series B | 1,950,000 | 2,285,517 | ||||||
New York City Water & Sewer System | 105,000 | 152,909 | ||||||
Orange County Local Transportation Authority BAB | 1,350,000 | 1,951,290 | ||||||
State of California BAB | 920,000 | 1,475,699 | ||||||
|
| |||||||
5,865,415 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $5,405,636) | 5,865,415 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 33.5% |
| |||||||
Automobile ABS — 1.9% |
| |||||||
Avis Budget Rental Car Funding AESOP LLC | 5,766,000 | 5,941,925 |
Principal Amount | Value | |||||||
Series 2019-1A, Class C, | $ | 1,271,000 | $ | 1,300,992 | ||||
Carmax Auto Owner Trust,Series 2019-3, Class D | 1,974,000 | 1,970,554 | ||||||
Carvana Auto Receivables Trust,Series 2019-4A, Class D | 1,625,000 | 1,621,704 | ||||||
Hertz Vehicle Financing LP | 2,293,000 | 2,281,529 | ||||||
Series 2018-1A, Class B, | 3,810,000 | 3,880,253 | ||||||
OneMain Direct Auto Receivables Trust,Series 2019-1A, Class B | 1,774,000 | 1,810,592 | ||||||
Santander Revolving Auto Loan Trust | 856,000 | 851,640 | ||||||
Series 2019-A, Class C, | 561,000 | 556,534 | ||||||
Series 2019-A, Class D, | 1,087,000 | 1,078,689 | ||||||
|
| |||||||
21,294,412 | ||||||||
|
| |||||||
Commercial MBS — 4.5% |
| |||||||
Aventura Mall Trust,Series 2018-AVM, Class C, | 4,270,000 | 4,541,683 | ||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class C, | 670,000 | 669,620 | ||||||
BANK | 441,000 | 475,866 | ||||||
Series 2019-BN16, | 665,833 | 738,264 | ||||||
Series 2019-BN16, Class B, | 547,420 | 600,790 | ||||||
BBCMS Mortgage Trust | 2,250,000 | 2,399,656 | ||||||
Series 2018-CHRS, Class C, | 1,610,000 | 1,702,463 | ||||||
Series 2018-CHRS, Class D, | 1,370,000 | 1,419,122 | ||||||
Bear Stearns Commercial Mortgage Securities,Series 2007-T26, Class AM, | 366,949 | 367,164 |
The accompanying notes are an integral part of the financial statements.
50
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
BHMS Mortgage Trust | $ | 4,450,000 | $ | 4,441,650 | ||||
Series 2018-ATLS, Class B, | 4,950,000 | 4,940,699 | ||||||
BX Commercial Mortgage Trust | 735,000 | 734,545 | ||||||
Series 2018-IND, Class E, | 1,876,000 | 1,881,241 | ||||||
Series 2019-XL, Class E, | 1,729,000 | 1,730,621 | ||||||
Series 2019-XL, Class F, | 2,088,000 | 2,089,306 | ||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, | 898,516 | 901,053 | ||||||
Commercial Mortgage Pass-Through Certificates | 1,060,000 | 1,023,675 | ||||||
Series 2014-UBS2, Class AM, | 1,375,000 | 1,453,034 | ||||||
Series 2015-CR23, Class C, | 1,000,000 | 1,045,988 | ||||||
Series 2014-LC17, Class C, | 2,908,000 | 3,057,453 | ||||||
CPT Mortgage Trust | 982,000 | 955,448 | ||||||
Series 2019-CPT, Class E, | 1,556,000 | 1,450,750 | ||||||
GCCFC Commercial Mortgage Trust,Series 2006-GG7, Class AM, | 479,803 | 484,132 | ||||||
GS Mortgage Securities Corp.,Series 2012-GC6, Class AS | 488,000 | 511,622 | ||||||
Jackson Park Trust, | 2,300,000 | 2,274,696 | ||||||
KNDL Mortgage Trust, | 1,505,000 | 1,504,099 |
Principal Amount | Value | |||||||
Morgan Stanley Capital I Trust | $ | 1,950,000 | $ | 2,152,720 | ||||
Series 2018-H3, Class B, | 760,000 | 836,414 | ||||||
Series 2011-C2, Class B, | 1,325,000 | 1,350,401 | ||||||
TIAA Seasoned Commercial Mortgage Trust, | 566 | 566 | ||||||
Velocity Commercial Capital Loan Trust, | 195,485 | 196,015 | ||||||
Wells Fargo Commercial Mortgage Trust | 1,450,000 | 1,611,035 | ||||||
Series 2018-C45, Class B, | 400,000 | 448,303 | ||||||
|
| |||||||
49,990,094 | ||||||||
|
| |||||||
Other ABS — 15.2% |
| |||||||
321 Henderson Receivables LLC, | 1,959,818 | 1,973,277 | ||||||
AASET Trust, | 1,797,406 | 1,809,542 | ||||||
AASET US Ltd., | 1,551,296 | 1,581,061 | ||||||
Adams Outdoor Advertising LP, | 1,957,362 | 2,031,033 | ||||||
AIMCO CLO, | 2,000,000 | 1,992,436 | ||||||
Allegro CLO X Ltd., | 2,200,000 | 2,203,601 | ||||||
Arbys Funding LLC, | 1,824,000 | 1,852,386 | ||||||
Ascentium Equipment Receivables Trust | 3,759,000 | 3,732,763 | ||||||
Series 2018-2A, Class D, | 2,473,000 | 2,531,020 |
The accompanying notes are an integral part of the financial statements.
51
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Series 2019-1A, Class E, | $ | 1,251,000 | $ | 1,280,606 | ||||
Assurant CLO Ltd., | 820,000 | 813,405 | ||||||
Atrium, | 1,190,000 | 1,184,490 | ||||||
Avery Point VII CLO Ltd., | 1,000,000 | 1,000,106 | ||||||
Ballyrock CLO2019-2 Ltd.,Series 2019-2A, Class C, | 400,000 | 402,683 | ||||||
Benefit Street Partners CLO X Ltd., | 500,000 | 489,936 | ||||||
Benefit Street Partners CLO XVIII Ltd., | 500,000 | 500,585 | ||||||
BRE Grand Islander Timeshare Issuer LLC, | 616,157 | 616,570 | ||||||
CAL Funding Ltd., | 1,330,000 | 1,349,062 | ||||||
Canyon Capital CLO Ltd., | 250,000 | 250,390 | ||||||
Capital Automotive REIT | 861,627 | 860,625 | ||||||
Series 2017-1A, Class A2, | 945,897 | 961,382 | ||||||
Carlyle Global Market Strategies CLO Ltd., | 330,000 | 318,916 | ||||||
Castlelake Aircraft Structured Trust | 1,458,428 | 1,472,283 | ||||||
Series 2018-1, Class A, | 1,440,464 | 1,464,277 |
Principal Amount | Value | |||||||
CBAM Ltd. | $ | 900,000 | $ | 902,564 | ||||
Series 2019-10A, Class B, | 1,900,000 | 1,905,831 | ||||||
CIFC Funding Ltd., | 2,330,000 | 2,324,326 | ||||||
Clear Creek CLO Ltd., | 2,040,000 | 2,035,020 | ||||||
Countrywide Asset-Backed Certificates, | 23,962 | 22,845 | ||||||
Cronos Containers Program Ltd., | 261,111 | 261,146 | ||||||
DB Master Finance LLC, | 1,550,210 | 1,631,239 | ||||||
Domino’s Pizza Master Issuer LLC | 1,100,000 | 1,104,600 | ||||||
Series 2017-1A, Class A23, | 764,400 | 789,252 | ||||||
Series 2015-1A, Class A2II, | 2,999,250 | 3,088,304 | ||||||
Drug Royalty II LP, | 24,272 | 24,266 | ||||||
Dryden 72 CLO Ltd., | 1,500,000 | 1,504,029 | ||||||
Eaton Vance CLO Ltd. | 1,700,000 | 1,696,724 | ||||||
Series 2019-1A, Class B, | 1,800,000 | 1,804,855 | ||||||
Elmwood CLO Ltd. | 2,900,000 | 2,909,332 | ||||||
Series 2019-3A, Class B, | 350,000 | 350,228 |
The accompanying notes are an integral part of the financial statements.
52
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
FCI Funding LLC, | $ | 426,119 | $ | 427,925 | ||||
Flatiron CLO Ltd. | 350,000 | 351,253 | ||||||
Series 2019-1A, Class C, | 250,000 | 250,298 | ||||||
Galaxy CLO Ltd., | 3,000,000 | 2,970,516 | ||||||
Global SC Finance IV Ltd., | 1,382,242 | 1,415,204 | ||||||
Global SC Finance SRL, | 229,167 | 228,315 | ||||||
Goldentree Loan Management US CLO Ltd., | 1,950,000 | 1,947,980 | ||||||
Goodgreen Trust | 3,026,721 | 3,000,769 | ||||||
Series 2016-1A, Class A, | 1,830,586 | 1,862,218 | ||||||
Series 2017-1A, Class A, | 863,374 | 889,892 | ||||||
Series 2019-1A, Class A, | 1,457,803 | 1,519,762 | ||||||
Harbor Park CLO Ltd., | 1,290,000 | 1,287,442 | ||||||
Helios Issuer LLC, | 1,543,111 | 1,608,421 | ||||||
Hero Funding Trust | 1,053,771 | 1,058,270 | ||||||
Series 2017-3A, Class A1, | 1,074,111 | 1,071,075 | ||||||
Series 2017-2A, Class A1, | 314,465 | 318,001 | ||||||
Series 2016-4A, Class A1, | 1,267,080 | 1,297,742 | ||||||
Series 2017-2A, Class A2, | 252,805 | 259,198 |
Principal Amount | Value | |||||||
Series 2018-1A, Class A2, | $ | 1,904,176 | $ | 1,981,053 | ||||
Highbridge Loan Management Ltd., | 1,200,000 | 1,167,426 | ||||||
Horizon Aircraft Finance Ltd. | 2,399,631 | 2,385,509 | ||||||
Series 2019-1, Class A, | 1,352,224 | 1,350,559 | ||||||
Series 2018-1, Class A, | 964,713 | 990,385 | ||||||
ICG US CLO Ltd., | 750,000 | 750,047 | ||||||
J.G. Wentworth LLC, | 1,465,458 | 1,552,572 | ||||||
KKR Financial CLO Ltd., | 2,400,000 | 2,406,084 | ||||||
KREF Ltd., | 1,670,000 | 1,671,043 | ||||||
Labrador Aviation Finance Ltd., | 2,305,938 | 2,347,754 | ||||||
MACH 1 Cayman Ltd., | 2,187,146 | 2,172,116 | ||||||
Madison Park Funding Ltd. | 1,665,000 | 1,649,754 | ||||||
Series 2018-29A, Class C, | 620,000 | 617,471 | ||||||
Mosaic Solar Loans LLC | 329,578 | 338,386 | ||||||
Series 2017-1A, Class A, | 352,634 | 366,367 | ||||||
MP CLO Ltd., | 1,750,000 | 1,742,183 | ||||||
MVW Owner Trust | 222,968 | 222,878 |
The accompanying notes are an integral part of the financial statements.
53
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Series 2015-1A, Class A, | $ | 306,799 | $ | 306,678 | ||||
NP SPE LLC, | 2,260,000 | 2,351,073 | ||||||
Octagon Investment Partners 42 Ltd., | 1,500,000 | 1,501,506 | ||||||
OHA Credit Funding Ltd. | 1,000,000 | 1,000,658 | ||||||
Series 2019-4A, Class C, | 500,000 | 500,385 | ||||||
OneMain Financial Issuance Trust, | 8,400,000 | 8,291,343 | ||||||
Oxford Finance Funding Trust, | 458,144 | 460,256 | ||||||
Pioneer Aircraft Finance Ltd., | 1,575,643 | 1,587,793 | ||||||
Planet Fitness Master Issuer LLC, | 2,322,000 | 2,300,430 | ||||||
PNMAC GMSR Issuer Trust, | 1,270,000 | 1,277,493 | ||||||
Rockford Tower CLO Ltd., | 1,500,000 | 1,501,899 | ||||||
RR 3 Ltd., | 2,450,000 | 2,429,197 | ||||||
Sierra Receivables Funding LLC | 93,391 | 93,750 | ||||||
Series 2018-3A, Class D, | 1,012,736 | 1,033,032 | ||||||
Steele Creek CLO Ltd. | 660,000 | 657,851 | ||||||
Series 2018-2A, Class C, | 1,170,000 | 1,130,504 |
Principal Amount | Value | |||||||
Store Master Funding | $ | 2,911,997 | $ | 2,877,456 | ||||
Series 2018-1A, Class A2, | 1,317,458 | 1,396,099 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | 3,985,600 | 3,912,809 | ||||||
Structured Receivables Finance LLC, | 171,803 | 172,875 | ||||||
Sunnova Helios Issuer LLC, | 460,690 | 481,799 | ||||||
SuttonPark Structured Settlements LLC, | 1,967,257 | 2,103,880 | ||||||
Taco Bell Funding LLC, | 1,128,600 | 1,214,558 | ||||||
TAL Advantage LLC, | 1,973,999 | 2,025,329 | ||||||
Textainer Marine Containers Ltd., | 518,773 | 523,640 | ||||||
Trinity Rail Leasing LP | 3,289,000 | 3,248,732 | ||||||
Series 2018-1A, Class A2, | 2,420,000 | 2,515,685 | ||||||
Trip Rail Master Funding LLC, | 327,345 | 327,396 | ||||||
Triton Container Finance LLC | 813,524 | 809,139 | ||||||
Series 2017-2A, Class A, | 2,691,430 | 2,690,898 | ||||||
Series 2018-2A, Class A, | 1,394,000 | 1,412,203 | ||||||
Vivint Solar Financing V LLC, | 2,640,172 | 2,767,570 | ||||||
VSE VOI Mortgage LLC, | 883,121 | 879,484 | ||||||
WAVE LLC | 3,303,794 | 3,323,765 |
The accompanying notes are an integral part of the financial statements.
54
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MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Series 2017-1A, Class C, | $ | 1,878,695 | $ | 1,887,459 | ||||
WAVE USA, Inc, | 4,006,968 | 3,964,525 | ||||||
Willis Engine Structured Trust IV, | 1,268,423 | 1,324,719 | ||||||
Wind River CLO Ltd. | 900,000 | 895,384 | ||||||
Series 2018-2A, Class B, | 1,150,000 | 1,145,674 | ||||||
|
| |||||||
168,827,790 | ||||||||
|
| |||||||
Student Loans ABS — 11.1% |
| |||||||
AccessLex Institute | 1,400,000 | 1,378,691 | ||||||
Series 2003-A, Class A3, | 64,249 | 64,184 | ||||||
Chase Education Loan Trust, | 5,960,955 | 5,756,590 | ||||||
College Avenue Student Loans LLC | 2,244,000 | 2,245,795 | ||||||
Series 2019-A, Class C, | 1,281,000 | 1,278,840 | ||||||
College Loan Corp. Trust I, | 900,000 | 712,855 | ||||||
Earnest Student Loan Program LLC, | 484,465 | 486,534 | ||||||
ECMC Group Student Loan Trust | 2,166,019 | 2,125,430 | ||||||
Series 2017-1A, Class A, | 2,258,229 | 2,258,226 | ||||||
EdLinc Student Loan Funding, | 2,384,304 | 2,350,933 |
Principal Amount | Value | |||||||
Education Services of America | $ | 1,200,000 | $ | 1,132,661 | ||||
Series 2015-1, Class B, | 1,100,000 | 1,049,445 | ||||||
Educational Funding of the South, Inc., | 625,000 | 646,695 | ||||||
EDvestinU Private Education Loan Issue No 1 LLC, | 1,614,092 | 1,670,462 | ||||||
Higher Education Funding I | 450,000 | 386,187 | ||||||
Series 2004-1, Class B1, 28 day ARS | 450,000 | 398,352 | ||||||
Laurel Road Prime Student Loan Trust, | 680,374 | 689,853 | ||||||
Navient Private Education Refi Loan Trust | 2,249,000 | 2,300,479 | ||||||
Series 2019-A, Class B, | 1,190,000 | 1,259,394 | ||||||
Series 2018-CA, Class B, | 1,530,000 | 1,571,325 | ||||||
Navient Student Loan Trust | 880,000 | 877,257 | ||||||
Series 2018-3A, Class A3, | 4,700,000 | 4,597,437 | ||||||
Series 2019-1A, Class A2, | 4,530,000 | 4,533,446 | ||||||
Series 2016-5A, Class A, | 3,299,502 | 3,338,298 | ||||||
Series 2016-6A, Class A3, | 7,050,000 | 7,144,022 | ||||||
Series 2015-3, Class B, | 940,000 | 946,557 | ||||||
Series 2016-2, Class A3, | 2,370,000 | 2,425,517 |
The accompanying notes are an integral part of the financial statements.
55
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Series 2019-BA, Class B, | $ | 2,950,000 | $ | 3,083,556 | ||||
Nelnet Private Education Loan Trust, | 545,070 | 550,390 | ||||||
Nelnet Student Loan Trust | 606,765 | 560,494 | ||||||
Series 2019-5, Class A, | 8,478,744 | 8,372,177 | ||||||
Series 2019-2A, Class A, | 1,951,557 | 1,951,259 | ||||||
Series 2005-4, Class A4A, 7 day ARS | 325,000 | 306,195 | ||||||
Series 2019-1A, Class B, | 3,250,000 | 3,221,152 | ||||||
Series 2019-5, Class B, | 2,150,000 | 2,093,123 | ||||||
SLC Student Loan Trust, | 4,000,000 | 3,722,957 | ||||||
SLM Student Loan Trust | 7,308 | 3,617,460 | ||||||
Series 2002-7, Class A11, 28 day ARS 1.513% FRN 3/15/28 | 118,000 | 118,000 | ||||||
Series 2005-3, Class B, | 863,470 | 797,595 | ||||||
Series 2006-5, Class B, | 2,019,162 | 1,882,472 | ||||||
Series 2005-6, Class B, | 2,106,197 | 1,968,472 | ||||||
Series 2003-14, Class A7, | 5,650,000 | 5,522,194 | ||||||
Series 2003-5, Class A7, 28 day ARS | 250,000 | 250,000 | ||||||
Series 2013-2, Class B, | 1,420,000 | 1,339,825 | ||||||
Series 2002-7, Class B, 28 day ARS | 3,950,000 | 3,948,662 |
Principal Amount | Value | |||||||
SoFi Alternative Trust, | $ | 6,781,899 | $ | 6,932,097 | ||||
SoFi Professional Loan Program LLC | 1,200 | 990,000 | ||||||
Series 2017-D, Class R1, | 4,688,500 | 2,340,171 | ||||||
Series 2018-A, Class R1, | 3,759,800 | 2,906,325 | ||||||
Series 2018-B, Class R1, | 3,324,300 | 1,981,548 | ||||||
Series 2018-D, Class R1, | 4,961,600 | 1,711,752 | ||||||
Series 2019-A, Class R1, | 6,724,700 | 2,088,196 | ||||||
Series 2017-C, Class C, | 990,000 | 1,036,833 | ||||||
South Carolina Student Loan Corp. | 1,800,000 | 1,776,392 | ||||||
Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500% | 3,050,000 | 3,073,827 | ||||||
South Texas Higher Education Authority, Inc.,Series 2012-1, Class A3, 3 mo. USD LIBOR + .850% 2.949% FRN 10/01/46 | 1,700,000 | 1,709,334 | ||||||
|
| |||||||
123,477,923 | ||||||||
|
| |||||||
WL Collateral CMO — 0.8% |
| |||||||
Bank of America Mortgage Securities,Series 2004-G, Class 2A7, | 22,040 | 21,744 | ||||||
Countrywide Home Loans, Inc. | 4,023 | 3,829 | ||||||
Series 2004-2, Class 1A1, | 17,921 | 16,776 | ||||||
Deephaven Residential Mortgage Trust,Series 2019-1A, Class A3, | 902,265 | 909,435 | ||||||
GSR Mortgage Loan Trust,Series 2004-9, Class 2A1, | 5,693 | 5,627 | ||||||
IndyMac Index Mortgage Loan Trust,Series 2004-AR4, Class 1A, | 36,651 | 35,370 | ||||||
JP Morgan Mortgage Trust,Series 2017-1, Class A11, | 2,719,565 | 2,766,733 |
The accompanying notes are an integral part of the financial statements.
56
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MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Merrill Lynch Mortgage Investors, Inc.Series 2004-A1, Class IA, | $ | 1,913 | $ | 1,821 | ||||
Series 2003-A4, Class IA, | 1,955 | 1,901 | ||||||
PSMC Trust,Series 2018-2, Class A1, | 3,047,081 | 3,058,874 | ||||||
Sequoia Mortgage Trust,Series 2019-1, Class A1, | 416,078 | 422,898 | ||||||
Structured Adjustable Rate Mortgage Loan Trust,Series 2004-2, Class 2A, | 20,596 | 20,075 | ||||||
Washington Mutual MortgagePass-Through Certificates,Series 2004-AR2, Class A, 12 mo. MTA + 1.400% | 52,881 | 51,748 | ||||||
Wells Fargo Mortgage Backed Securities Trust,Series 2019-1, Class A1, | 1,605,040 | 1,646,736 | ||||||
|
| |||||||
8,963,567 | ||||||||
|
| |||||||
TOTALNON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $370,797,040) | 372,553,786 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.7% |
| |||||||
Colombia Government International Bond | 2,080,000 | 2,691,520 | ||||||
Mexico Government International Bond | 3,727,000 | 4,118,335 | ||||||
6.750% 9/27/34 | 685,000 | 938,450 | ||||||
|
| |||||||
7,748,305 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $6,705,365) | 7,748,305 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 26.0% |
| |||||||
Collateralized Mortgage Obligations — 0.3% |
| |||||||
Federal Home Loan Mortgage Corp. | 1,000,146 | 1,110,082 | ||||||
Series 2693, Class Z, | 1,786,968 | 1,954,208 | ||||||
Series 2178, Class PB, | 38,475 | 42,477 | ||||||
|
| |||||||
3,106,767 | ||||||||
|
|
Principal Amount | Value | |||||||
Pass-Through Securities — 25.3% |
| |||||||
Federal Home Loan Mortgage Corp. | $ | 7,096,839 | $ | 7,160,463 | ||||
Pool #SB8020 2.500% 12/01/34 | 4,099,526 | 4,136,279 | ||||||
Pool #J13972 3.500% 1/01/26 | 35,485 | 36,799 | ||||||
Pool #C91344 3.500% 11/01/30 | 113,037 | 117,886 | ||||||
Pool #C91424 3.500% 1/01/32 | 76,357 | 79,728 | ||||||
Pool #C91239 4.500% 3/01/29 | 5,517 | 5,888 | ||||||
Pool #C91251 4.500% 6/01/29 | 35,948 | 38,370 | ||||||
Pool #ZA5946 4.500% 11/01/48 | 9,155,391 | 9,656,041 | ||||||
Pool #G05253 5.000% 2/01/39 | 177,924 | 197,063 | ||||||
Pool #C90939 5.500% 12/01/25 | 18,841 | 20,347 | ||||||
Pool #D97258 5.500% 4/01/27 | 11,855 | 12,810 | ||||||
Pool #C91026 5.500% 4/01/27 | 30,975 | 33,471 | ||||||
Pool #C91074 5.500% 8/01/27 | 3,361 | 3,632 | ||||||
Pool #D97417 5.500% 10/01/27 | 10,241 | 11,075 | ||||||
Pool #C91128 5.500% 12/01/27 | 1,678 | 1,815 | ||||||
Pool #C91148 5.500% 1/01/28 | 75,702 | 81,871 | ||||||
Pool #C91176 5.500% 5/01/28 | 26,679 | 28,878 | ||||||
Pool #C91217 5.500% 11/01/28 | 9,647 | 10,448 | ||||||
Pool #C01079 7.500% 10/01/30 | 1,128 | 1,313 | ||||||
Pool #C01135 7.500% 2/01/31 | 4,869 | 5,643 | ||||||
Federal National Mortgage Association | 13,290,448 | 13,409,598 | ||||||
Pool #MA3029 3.000% 6/01/32 | 3,788,728 | 3,900,398 | ||||||
Pool #MA3090 3.000% 8/01/32 | 1,600,631 | 1,646,808 | ||||||
Pool #AO8180 3.000% 9/01/42 | 30,714 | 31,569 | ||||||
Pool #AB7397 3.000% 12/01/42 | 159,405 | 163,991 | ||||||
Pool #AB7401 3.000% 12/01/42 | 144,808 | 148,974 | ||||||
Pool #AP8668 3.000% 12/01/42 | 177,392 | 182,495 | ||||||
Pool #AR1975 3.000% 12/01/42 | 40,325 | 41,485 | ||||||
Pool #AR0306 3.000% 1/01/43 | 11,283 | 11,608 | ||||||
Pool #AR5391 3.000% 1/01/43 | 97,503 | 100,308 | ||||||
Pool #AL3215 3.000% 2/01/43 | 132,851 | 136,673 | ||||||
Pool #AR4109 3.000% 2/01/43 | 140,502 | 144,544 | ||||||
Pool #AR4432 3.000% 3/01/43 | 53,023 | 54,548 | ||||||
Pool #AT0169 3.000% 3/01/43 | 228,477 | 235,050 | ||||||
Pool #AB8809 3.000% 3/01/43 | 70,870 | 72,909 | ||||||
Pool #MA1368 3.000% 3/01/43 | 241,036 | 247,970 | ||||||
Pool #AR2174 3.000% 4/01/43 | 256,424 | 263,801 | ||||||
Pool #AS1304 3.500% 12/01/28 | 1,180,090 | 1,230,145 | ||||||
Pool #AV1897 3.500% 12/01/28 | 207,781 | 216,594 | ||||||
Pool #AV2325 3.500% 12/01/28 | 616,217 | 642,354 | ||||||
Pool #BF0196 3.500% 2/01/41 | 1,203,590 | 1,260,504 | ||||||
Pool #MA1356 3.500% 2/01/43 | 8,988,551 | 9,452,912 | ||||||
Pool #CA1073 3.500% 1/01/48 | 12,133,578 | 12,593,578 | ||||||
Pool #BJ0686 4.000% 4/01/48 | 2,792,120 | 2,926,858 | ||||||
Pool #CA1951 4.000% 7/01/48 | 3,515,931 | 3,679,006 | ||||||
Pool #BN5342 4.000% 3/01/49 | 26,045,432 | 27,098,819 | ||||||
Pool #MA3638 4.000% 4/01/49 | 8,671,147 | 9,016,425 | ||||||
Pool #725692 1 year CMT + 2.138% 4.357% FRN 10/01/33 | 68,091 | 71,710 |
The accompanying notes are an integral part of the financial statements.
57
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Pool #888586 1 year CMT + 2.195% 4.370% FRN 10/01/34 | $ | 84,621 | $ | 89,118 | ||||
Pool #AA3980 4.500% 4/01/28 | 58,290 | 61,692 | ||||||
Pool #CA1952 4.500% 6/01/48 | 2,454,214 | 2,602,071 | ||||||
Pool #CA1909 4.500% 6/01/48 | 8,014,397 | 8,499,737 | ||||||
Pool #BK7877 4.500% 7/01/48 | 1,703,459 | 1,805,021 | ||||||
Pool #MA3537 4.500% 12/01/48 | 4,114,209 | 4,335,075 | ||||||
Pool #MA3564 4.500% 1/01/49 | 3,824,139 | 4,034,213 | ||||||
Pool #BN5241 4.500% 2/01/49 | 18,259,048 | 19,233,553 | ||||||
Pool #MA3639 4.500% 4/01/49 | 8,777,478 | 9,237,713 | ||||||
Pool #MA3688 4.500% 6/01/49 | 6,294,347 | 6,624,382 | ||||||
Pool #775539 12 mo. USD LIBOR + 1.636% 4.511% FRN 5/01/34 | 27,774 | 29,001 | ||||||
Pool #AD6437 5.000% 6/01/40 | 418,254 | 459,807 | ||||||
Pool #AD6996 5.000% 7/01/40 | 2,835,216 | 3,116,894 | ||||||
Pool #AL8173 5.000% 2/01/44 | 1,149,815 | 1,256,863 | ||||||
Pool #AD0836 5.500% 11/01/28 | 60,226 | 65,099 | ||||||
Pool #575667 7.000% 3/01/31 | 11,484 | 13,299 | ||||||
Pool #529453 7.500% 1/01/30 | 2,446 | 2,833 | ||||||
Pool #535996 7.500% 6/01/31 | 4,575 | 5,320 | ||||||
Pool #252926 8.000% 12/01/29 | 139 | 160 | ||||||
Pool #532819 8.000% 3/01/30 | 118 | 137 | ||||||
Pool #534703 8.000% 5/01/30 | 2,526 | 2,920 | ||||||
Pool #253437 8.000% 9/01/30 | 117 | 136 | ||||||
Pool #253481 8.000% 10/01/30 | 66 | 77 | ||||||
Pool #596656 8.000% 8/01/31 | 99 | 99 | ||||||
Pool #602008 8.000% 8/01/31 | 3,633 | 4,206 | ||||||
Pool #190317 8.000% 8/01/31 | 2,687 | 3,115 | ||||||
Pool #597220 8.000% 9/01/31 | 2,975 | 3,469 | ||||||
Government National Mortgage Association | 72 | 75 | ||||||
Pool #352022 7.000% 11/15/23 | 3,291 | 3,496 | ||||||
Pool #374440 7.000% 11/15/23 | 235 | 250 | ||||||
Pool #491089 7.000% 12/15/28 | 7,320 | 7,971 | ||||||
Pool #480539 7.000% 4/15/29 | 373 | 420 | ||||||
Pool #500928 7.000% 5/15/29 | 3,264 | 3,706 | ||||||
Pool #478658 7.000% 5/15/29 | 2,000 | 2,271 | ||||||
Pool #488634 7.000% 5/15/29 | 2,067 | 2,330 | ||||||
Pool #499410 7.000% 7/15/29 | 1,168 | 1,330 | ||||||
Pool #510083 7.000% 7/15/29 | 819 | 925 | ||||||
Pool #493723 7.000% 8/15/29 | 2,375 | 2,705 | ||||||
Pool #581417 7.000% 7/15/32 | 11,290 | 12,887 | ||||||
Government National Mortgage Association II | 3,210 | 3,262 | ||||||
Pool #080136 1 year CMT + 1.500% 4.125% FRN 11/20/27 | 723 | 738 | ||||||
Government National Mortgage Association II TBA | 64,500,000 | 66,480,350 | ||||||
Pool #232 4.000% 10/01/48 (e) | 37,975,000 | 39,310,057 |
Principal Amount | Value | |||||||
Uniform Mortgage-Backed Securities TBA | $ | 3,525,000 | $ | 3,711,715 | ||||
|
| |||||||
281,651,952 | ||||||||
|
| |||||||
Whole Loans — 0.4% |
| |||||||
Federal Home Loan Mortgage | 470,624 | 471,957 | ||||||
Series 2019-DNA3, Class M2, 1 mo. USD LIBOR + 2.050% | 855,000 | 858,684 | ||||||
Federal National Mortgage Association Connecticut Avenue SecuritiesSeries 2016-C06, Class 1M1, 1 mo. USD LIBOR + 1.300% 3.092% FRN 4/25/29 | 436,847 | 437,623 | ||||||
Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450% | 6,311 | 6,314 | ||||||
Series 2019-R01, Class 2M2, 1 mo. USD LIBOR + 2.450% | 2,166,000 | 2,189,214 | ||||||
|
| |||||||
3,963,792 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $287,239,169) | 288,722,511 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 1.7% |
| |||||||
U.S. Treasury Bonds & Notes — 1.7% |
| |||||||
U.S. Treasury Bond | 900,000 | 920,877 | ||||||
3.500% 2/15/39 (f) (h) | 5,200,000 | 6,242,079 | ||||||
U.S. Treasury Note | 1,600,000 | 1,587,001 | ||||||
1.625% 8/15/29 | 2,000,000 | 1,950,054 | ||||||
2.250% 8/15/49 (c) (h) | 7,900,000 | 7,685,224 | ||||||
|
| |||||||
18,385,235 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,861,830) | 18,385,235 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $1,056,892,808) | 1,082,928,297 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.7% (Cost $8,483,715) | 7,433,928 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
58
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 0.5% |
| |||||||
Diversified Financial Services — 0.5% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (g) | 5,804,480 | $ | 5,804,480 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $5,804,480) | 5,804,480 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,073,556,003) | 1,098,698,455 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 10.6% |
| |||||||
Commercial Paper — 10.6% |
| |||||||
Avangrid, Inc. | $ | 6,000,000 | 5,993,091 | |||||
Bemis Co., Inc. | 12,000,000 | 11,996,388 | ||||||
Diageo Capital PLC | 4,000,000 | 3,995,085 | ||||||
Duke Energy Corp. | 12,000,000 | 11,981,838 | ||||||
Dupont De Nemours, Inc. | 7,000,000 | 6,991,087 | ||||||
1.982% 1/27/20 (a) | 5,000,000 | 4,992,384 | ||||||
Entergy Corp. | 8,000,000 | 7,989,916 | ||||||
Exelon Corp. | 1,000,000 | 999,699 | ||||||
FMC Tech, Inc | 6,500,000 | 6,495,536 | ||||||
2.286% 1/31/20 (a) | 5,000,000 | 4,991,199 | ||||||
General Electric Co. | 3,000,000 | 2,987,718 | ||||||
2.358% 1/02/20 | 500,000 | 499,951 | ||||||
Public Service Enterprise Group | 3,000,000 | 2,995,460 | ||||||
Reckitt Benchiser Treasury Services PLC | 4,000,000 | 3,995,705 | ||||||
Telus Corp. | 5,000,000 | 4,998,495 | ||||||
Transcanada Pipelines Ltd. | 12,000,000 | 11,989,669 | ||||||
Viacomcbs, Inc. | 7,000,000 | 6,991,105 | ||||||
VW Credit, Inc. | 4,000,000 | 3,981,436 | ||||||
2.297% 1/14/20 (a) | 1,000,000 | 999,255 |
Principal Amount | Value | |||||||
Walgreens Boots Alliance, Inc. | $ | 8,000,000 | $ | 7,943,533 | ||||
2.307% 3/27/20 | 4,000,000 | 3,979,236 | ||||||
|
| |||||||
117,787,786 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $117,790,939) | 117,787,786 | |||||||
|
| |||||||
TOTAL INVESTMENTS —109.4% (Cost $1,191,346,942) (i) | 1,216,486,241 | |||||||
Other Assets/(Liabilities) — (9.4)% | (104,656,951 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,111,829,290 | ||||||
|
|
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) | Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $512,354,069 or 46.08% of net assets. |
(b) | Security is perpetual and has no stated maturity date. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $13,271,496 or 1.19% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $7,795,356 ofnon-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities.(Note 2). |
(d) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2019. |
The accompanying notes are an integral part of the financial statements.
59
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Notes to Portfolio of Investments (Continued)
(e) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis.(Note 2). |
(f) | A portion of this security is pledged/held as collateral for open derivatives.(Note 2). |
(g) | Represents investment of security lending cash collateral.(Note 2). |
(h) | A portion of this security is pledged/held as collateral for when-issued securities. (Note 2). |
(i) | See Note 6 for aggregate cost for federal tax purposes. |
(#) Interest Rate Swaptions Purchased
Paid by Fund | Received by Fund | |||||||||||||||||||||||||||||||||||||
Description | Counterparty | Expiration Date | Rate | Frequency | Rate | Frequency | Notional Amount | Value | Premium Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 | | Barclays Bank PLC* | | 12/13/32 | | 3-Month USD LIBOR BBA | | Quarterly | 2.44% | Semi-Annually | USD 16,360,000 | $ | 1,076,403 | $ | 817,874 | $ | 258,529 | |||||||||||||||||||||
10-Year Interest Rate Swap, 2/02/43 | | Credit Suisse International* | | 1/31/33 | | 3-Month USD LIBOR BBA | | Quarterly | 2.61% | Semi-Annually | USD 18,140,000 | 1,327,196 | 870,720 | 456,476 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
2,403,599 | 1,688,594 | 715,005 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 | | Barclays Bank PLC* | | 12/13/32 | 2.94% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD 66,610,000 | $ | 2,549,481 | $ | 3,330,035 | $ | (780,554 | ) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 2/02/43 | | Credit Suisse International* | | 1/31/33 | 3.11% | Semi-Annually | 3-Month USD LIBOR BBA | Quarterly | USD 72,340,000 | 2,480,848 | 3,465,086 | (984,238 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
5,030,329 | 6,795,121 | (1,764,792 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 7,433,928 | $ | 8,483,715 | $ | (1,049,787 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
Futures contracts
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Long | ||||||||||||||||
U.S. Treasury Ultra 10 Year | 3/20/20 | 79 | $ | 11,242,607 | $ | (127,060 | ) | |||||||||
U.S. Treasury Ultra Bond | 3/20/20 | 436 | 81,131,340 | (1,929,215 | ) | |||||||||||
U.S. Treasury Note 2 Year | 3/31/20 | 619 | 133,491,323 | (96,823 | ) | |||||||||||
U.S. Treasury Note 5 Year | 3/31/20 | 341 | 40,605,436 | (159,639 | ) | |||||||||||
|
| |||||||||||||||
$ | (2,312,737 | ) | ||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
60
Table of Contents
MML Managed Bond Fund – Portfolio of Investments(Continued)
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Short | ||||||||||||||||
90 Day Eurodollar | 3/16/20 | 11 | $ | (2,679,014 | ) | $ | (23,274 | ) | ||||||||
U.S. Treasury Long Bond | 3/20/20 | 160 | (25,426,981 | ) | 481,981 | |||||||||||
90 Day Eurodollar | 6/15/20 | 11 | (2,680,595 | ) | (22,930 | ) | ||||||||||
90 Day Eurodollar | 9/14/20 | 10 | (2,437,967 | ) | (21,158 | ) | ||||||||||
90 Day Eurodollar | 12/14/20 | 10 | (2,437,842 | ) | (21,658 | ) | ||||||||||
90 Day Eurodollar | 3/15/21 | 9 | (2,194,845 | ) | (20,055 | ) | ||||||||||
90 Day Eurodollar | 9/13/21 | 17 | (4,146,457 | ) | (37,031 | ) | ||||||||||
90 Day Eurodollar | 3/14/22 | 15 | (3,657,513 | ) | (31,925 | ) | ||||||||||
90 Day Eurodollar | 9/19/22 | 14 | (3,412,279 | ) | (29,271 | ) | ||||||||||
90 Day Eurodollar | 3/13/23 | 12 | (2,923,010 | ) | (24,940 | ) | ||||||||||
90 Day Eurodollar | 12/18/23 | 15 | (3,650,388 | ) | (31,175 | ) | ||||||||||
90 Day Eurodollar | 12/16/24 | 40 | (9,722,367 | ) | (82,133 | ) | ||||||||||
|
| |||||||||||||||
$ | 136,431 | |||||||||||||||
|
|
Currency Legend
USD | U.S. Dollar |
Country weightings, as a percentage of net assets, is as follows:
United States | 83.6 | % | ||
Cayman Islands | 7.0 | % | ||
Bermuda | 1.5 | % | ||
Canada | 1.3 | % | ||
United Kingdom | 1.2 | % | ||
Mexico | 1.2 | % | ||
Netherlands | 0.9 | % | ||
Luxembourg | 0.6 | % | ||
Norway | 0.3 | % | ||
Switzerland | 0.3 | % | ||
Colombia | 0.2 | % | ||
Germany | 0.2 | % | ||
Saudi Arabia | 0.2 | % | ||
Spain | 0.1 | % | ||
Panama | 0.1 | % | ||
Australia | 0.1 | % | ||
Ireland | 0.0 | % | ||
Barbados | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 98.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.2 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
61
Table of Contents
December 31, 2019
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 101.8% |
| |||||||
Discount Notes — 84.8% |
| |||||||
Federal Farm Credit Bank | $ | 230,000 | $ | 229,719 | ||||
1 mo. USD LIBOR - .080%, | 650,000 | 649,841 | ||||||
1 mo. USD LIBOR + .050% | 2,500,000 | 2,500,221 | ||||||
1.893%, 2/20/20, 2/20/20 (a) | 1,800,000 | 1,795,375 | ||||||
Federal Home Loan Bank | 2,300,000 | 2,299,540 | ||||||
1.522%, 1/16/20, 1/16/20 (a) | 5,600,000 | 5,596,500 | ||||||
1.522%, 1/22/20, 1/22/20 (a) | 1,800,000 | 1,798,425 | ||||||
1.563%, 1/06/20, 1/06/20 (a) | 1,630,000 | 1,629,651 | ||||||
1.565%, 2/26/20, 2/26/20 (a) | 1,900,000 | 1,895,448 | ||||||
SOFR + .030% | 5,300,000 | 5,299,749 | ||||||
SOFR + .030% | 7,000,000 | 7,000,000 | ||||||
1.575%, 2/14/20, 2/14/20 (a) | 2,000,000 | 1,996,211 | ||||||
1.579%, 1/23/20, 1/23/20 (a) | 2,200,000 | 2,197,909 | ||||||
SOFR + .040% | 2,000,000 | 2,000,000 | ||||||
1.584%, 1/16/20, 1/16/20 (a) | 400,000 | 399,740 | ||||||
1.584% 2/10/20, 2/10/20 (a) | 4,000,000 | 3,993,240 | ||||||
1.586%, 3/02/20, 3/02/20 (a) | 2,100,000 | 2,094,449 | ||||||
SOFR + .050% | 2,400,000 | 2,400,000 | ||||||
1.593%, 1/22/20, 1/22/20 (a) | 800,000 | 799,267 | ||||||
1.595%, 1/28/20, 1/28/20 (a) | 4,700,000 | 4,694,466 | ||||||
1.600%, 2/07/20, 2/07/20 (a) | 500,000 | 499,191 | ||||||
1.600%, 2/12/20, 2/12/20 (a) | 4,800,000 | 4,791,197 | ||||||
SOFR + .065%, | 4,000,000 | 4,000,272 | ||||||
SOFR + .065% | 5,000,000 | 5,000,000 | ||||||
1.610%, 1/15/20, 1/15/20 (a) | 2,800,000 | 2,798,274 | ||||||
1.613%, 3/06/20, 3/06/20 (a) | 3,500,000 | 3,489,984 | ||||||
1.615%, 1/15/20, 1/15/20 (a) | 1,500,000 | 1,499,072 | ||||||
1.616%, 1/23/20, 1/23/20 (a) | 2,500,000 | 2,497,571 | ||||||
1.618% 5/28/20, 5/28/20 (a) | 3,500,000 | 3,477,194 | ||||||
SOFR + .080% | 3,500,000 | 3,500,000 | ||||||
1.640% FRN, 1/07/20, 2/07/20 (a) (b) | 5,800,000 | 5,800,045 | ||||||
SOFR + .100% | 7,000,000 | 7,000,000 | ||||||
1 mo. USD LIBOR - .055% | 1,200,000 | 1,199,962 | ||||||
1 mo. USD LIBOR - .050% | 4,500,000 | 4,500,000 | ||||||
1.690%, 1/23/20, 1/23/20 (a) | 1,600,000 | 1,598,377 | ||||||
1.700%, 1/08/20, 1/08/20 (a) | 2,000,000 | 1,999,351 |
Principal Amount | Value | |||||||
1 mo. USD LIBOR - .060% | $ | 2,300,000 | $ | 2,300,099 | ||||
1.710%, 1/02/20, 1/02/20 (a) | 700,000 | 699,967 | ||||||
3 mo. USD LIBOR - .160% | 2,000,000 | 1,999,931 | ||||||
1.741%, 1/03/20, 1/03/20 (a) | 700,000 | 699,934 | ||||||
3 mo. USD LIBOR - .240% | 6,000,000 | 6,001,105 | ||||||
1 mo. USD LIBOR + .060% | 7,000,000 | 7,004,086 | ||||||
1.803%, 1/02/20, 1/02/20 (a) | 4,500,000 | 4,499,779 | ||||||
1.855%, 3/20/20, 3/20/20 (a) | 4,300,000 | 4,282,883 | ||||||
3 mo. USD LIBOR - .165% | 8,000,000 | 8,003,629 | ||||||
1 mo. USD LIBOR + .150% | 350,000 | 350,338 | ||||||
Federal National Mortgage Association | 5,000,000 | 4,995,417 | ||||||
1.623%, 1/22/20, 1/22/20 (a) | 1,600,000 | 1,598,509 | ||||||
SOFR + .160% | 1,000,000 | 1,000,126 | ||||||
|
| |||||||
148,356,044 | ||||||||
|
| |||||||
Repurchase Agreement — 8.6% |
| |||||||
HSBC Securities (USA) Inc.,Tri-Party Repurchase Agreement, dated 12/31/19, 1.540%, | 15,000,000 | 15,000,000 | ||||||
|
| |||||||
U.S. Treasury Bonds & Notes — 8.4% |
| |||||||
U.S. Treasury Bill | 1,300,000 | 1,297,542 | ||||||
0.000% 2/13/20 | 3,000,000 | 2,993,437 | ||||||
0.000% 4/09/20 | 2,200,000 | 2,190,447 | ||||||
U.S. Treasury Note | 2,300,000 | 2,297,352 | ||||||
1.500% 4/15/20 | 6,000,000 | 5,994,531 | ||||||
|
| |||||||
14,773,309 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $178,129,353) | 178,129,353 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.8% (Cost $178,129,353) (d) | 178,129,353 | |||||||
Other Assets/(Liabilities) — (1.8)% | (3,230,133 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 174,899,220 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
62
Table of Contents
MML U.S. Government Money Market Fund – Portfolio of Investments(Continued)
Abbreviation Legend
FRN | Floating Rate Note |
SOFR | Secured Overnight Financing Rate |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | The stated maturity dates reflect demand date and stated maturity date, respectively. |
(b) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2019. |
(c) | Maturity value of $15,001,283. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity dates ranging from 2/13/20 – 5/21/20, and an aggregate market value, including accrued interest, of $15,300,057. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
63
Table of Contents
MML Series Investment Fund II – Financial Statements
Statements of Assets and Liabilities
December 31, 2019
MML Blend Fund | MML Equity Fund | MML Managed Bond Fund | MML U.S. Government Money Market Fund | |||||||||||||
Assets: | �� | |||||||||||||||
Investments, at value(Note 2) (a) | $ | 736,832,165 | $ | 824,493,192 | $ | 1,098,698,455 | $ | - | ||||||||
Repurchase agreements, at value(Note 2) (b) | 1,216,675 | 3,646,060 | - | 15,000,000 | ||||||||||||
Other short-term investments, at value(Note 2) (c) | 28,930,979 | - | 117,787,786 | 163,129,353 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investments (d) | 766,979,819 | 828,139,252 | 1,216,486,241 | 178,129,353 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Cash | 22,417 | - | 1,585,823 | 80,983 | ||||||||||||
Receivables from: | ||||||||||||||||
Investments sold | - | 1,868,844 | - | - | ||||||||||||
Fund shares sold | 400,147 | 6,747 | 13,445,813 | 695,615 | ||||||||||||
Interest and dividends | 1,971,539 | 978,958 | 6,743,789 | 183,546 | ||||||||||||
Interest tax reclaim receivable | 2,346 | - | - | - | ||||||||||||
Foreign taxes withheld | - | 20,332 | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 769,376,268 | 831,014,133 | 1,238,261,666 | 179,089,497 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Payables for: | ||||||||||||||||
Investments purchased | 1,086,221 | 2,099,753 | 1,961,233 | 3,993,240 | ||||||||||||
Collateral held for open purchased options(Note 2) | 1,320,000 | - | 7,435,000 | - | ||||||||||||
Dividends(Note 2) | - | - | - | 17 | ||||||||||||
Investments purchased on a when-issued basis(Note 2) | 26,012,155 | - | 109,614,481 | - | ||||||||||||
Fund shares repurchased | 263,831 | 1,454,144 | 245,609 | 10,549 | ||||||||||||
Collateral held for securities on loan(Note 2) (e) | 3,221,530 | 348,975 | 5,804,480 | - | ||||||||||||
Trustees’ fees and expenses(Note 3) | 155,558 | 194,196 | 190,062 | 40,187 | ||||||||||||
Variation margin on open derivative instruments(Note 2) | 101,453 | - | 435,892 | - | ||||||||||||
Affiliates(Note 3): | ||||||||||||||||
Investment advisory fees | 263,458 | 290,987 | 378,385 | 73,220 | ||||||||||||
Service fees | 97,538 | 60,350 | 162,131 | - | ||||||||||||
Commitment and Contingent Liabilities(Note 9) | - | - | - | - | ||||||||||||
Accrued expense and other liabilities | 157,038 | 140,428 | 205,103 | 73,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 32,678,782 | 4,588,833 | 126,432,376 | 4,190,277 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 736,697,486 | $ | 826,425,300 | $ | 1,111,829,290 | $ | 174,899,220 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 547,299,586 | $ | 612,866,912 | $ | 1,099,061,660 | $ | 174,938,014 | ||||||||
Accumulated Gain (Loss) | 189,397,900 | 213,558,388 | 12,767,630 | (38,794 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets | $ | 736,697,486 | $ | 826,425,300 | $ | 1,111,829,290 | $ | 174,899,220 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Cost of investments: | $ | 577,251,191 | $ | 700,871,986 | $ | 1,073,556,003 | $ | - | ||||||||
(b) Cost of repurchase agreements: | $ | 1,216,675 | $ | 3,646,060 | $ | - | $ | 15,000,000 | ||||||||
(c) Cost of other short-term investments: | $ | 28,928,421 | $ | - | $ | 117,790,939 | $ | 163,129,353 | ||||||||
(d) Securities on loan with market value of: | $ | 5,987,801 | $ | 2,860,691 | $ | 13,271,496 | $ | - |
(e) | Non-cash collateral is not included. |
The accompanying notes are an integral part of the financial statements.
64
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Statements of Assets and Liabilities
December 31, 2019
MML Blend Fund | MML Equity Fund | MML Managed Bond Fund | MML U.S. Government Money Market Fund | |||||||||||||
Initial Class shares: | ||||||||||||||||
Net assets | $ | 574,827,484 | $ | 729,367,389 | $ | 846,138,497 | $ | 174,899,220 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding (a) | 25,066,744 | 25,959,857 | 66,962,982 | 174,900,825 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering price and redemption price per share | $ | 22.93 | $ | 28.10 | $ | 12.64 | $ | 1.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Service Class shares: | ||||||||||||||||
Net assets | $ | 161,870,002 | $ | 97,057,911 | $ | 265,690,793 | $ | - | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares outstanding (a) | 7,076,652 | 3,506,993 | 21,073,910 | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering price and redemption price per share | $ | 22.87 | $ | 27.68 | $ | 12.61 | $ | - | ||||||||
|
|
|
|
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
65
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
For the Year Ended December 31, 2019
MML Blend Fund | MML Equity Fund | MML Managed Bond Fund | MML U.S. Government Money Market Fund | |||||||||||||
Investment income (Note 2): |
| |||||||||||||||
Dividends (a) | $ | 9,056,930 | $ | 20,130,837 | $ | 346,443 | $ | - | ||||||||
Interest (b) | 9,730,427 | 105,355 | 42,756,296 | 3,904,807 | ||||||||||||
Securities lending net income | 19,795 | 4,611 | 17,967 | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 18,807,152 | 20,240,803 | 43,120,706 | 3,904,807 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses (Note 3): |
| |||||||||||||||
Investment advisory fees | 2,890,169 | 3,200,125 | 4,366,861 | 835,939 | ||||||||||||
Custody fees | 103,501 | 72,736 | 109,491 | 39,924 | ||||||||||||
Audit fees | 39,352 | 38,726 | 41,031 | 32,933 | ||||||||||||
Legal fees | 14,740 | 31,717 | 21,309 | 7,078 | ||||||||||||
Proxy fees | 1,363 | 1,363 | 1,363 | 1,363 | ||||||||||||
Shareholder reporting fees | 83,169 | 84,092 | 123,673 | 19,102 | ||||||||||||
Trustees’ fees | 32,649 | 36,697 | 52,963 | 8,141 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
3,164,943 | 3,465,456 | 4,716,691 | 944,480 | |||||||||||||
Distribution and Service fees: | ||||||||||||||||
Service Class | 351,587 | 230,011 | 645,617 | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 3,516,530 | 3,695,467 | 5,362,308 | 944,480 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 15,290,622 | 16,545,336 | 37,758,398 | 2,960,327 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investment transactions | 30,452,193 | 79,294,949 | 15,771,832 | 1,649 | ||||||||||||
Futures contracts | 3,623,164 | - | 15,083,757 | - | ||||||||||||
Swap agreements | (60,160 | ) | - | (367,995 | ) | - | ||||||||||
Foreign currency transactions | - | (1,078 | ) | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 34,015,197 | 79,293,871 | 30,487,594 | 1,649 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investment transactions | 85,689,358 | 83,074,054 | 41,574,265 | - | ||||||||||||
Futures contracts | (1,265,617 | ) | - | (6,085,001 | ) | - | ||||||||||
Swap agreements | 126,024 | - | 782,284 | - | ||||||||||||
Translation of assets and liabilities in foreign currencies | - | 183 | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) | 84,549,765 | 83,074,237 | 36,271,548 | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 118,564,962 | 162,368,108 | 66,759,142 | 1,649 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 133,855,584 | $ | 178,913,444 | $ | 104,517,540 | $ | 2,961,976 | ||||||||
|
|
|
|
|
|
|
| |||||||||
(a) Net of foreign withholding tax of: | $ | 271 | $ | 47,437 | $ | - | $ | - | ||||||||
(b) Net of foreign withholding tax of: | $ | 5,334 | $ | - | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
66
Table of Contents
THIS PAGE INTENTIONALLY LEFT BLANK
67
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Blend Fund | ||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 15,290,622 | $ | 14,538,552 | ||||
Net realized gain (loss) | 34,015,197 | 34,822,290 | ||||||
Net change in unrealized appreciation (depreciation) | 84,549,765 | (78,545,440 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 133,855,584 | (29,184,598 | ) | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | (40,979,710 | ) | (52,441,279 | ) | ||||
Service Class | (9,724,022 | ) | (8,800,849 | ) | ||||
|
|
|
| |||||
Total distributions | (50,703,732 | ) | (61,242,128 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | (18,577,665 | ) | (5,036,502 | ) | ||||
Service Class | 26,512,166 | 45,586,652 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 7,934,501 | 40,550,150 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 91,086,353 | (49,876,576 | ) | |||||
Net assets | ||||||||
Beginning of year | 645,611,133 | 695,487,709 | ||||||
|
|
|
| |||||
End of year | $ | 736,697,486 | $ | 645,611,133 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
68
Table of Contents
MML Equity Fund | MML Managed Bond Fund | MML U.S. Government Money Market Fund | ||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||||
$ | 16,545,336 | $ | 16,502,140 | $ | 37,758,398 | $ | 38,300,420 | $ | 2,960,327 | $ | 2,313,852 | |||||||||||
79,293,871 | 37,986,670 | 30,487,594 | (20,458,801 | ) | 1,649 | 360 | ||||||||||||||||
83,074,237 | (133,765,394 | ) | 36,271,548 | (25,917,413 | ) | - | - | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
178,913,444 | (79,276,584 | ) | 104,517,540 | (8,075,794 | ) | 2,961,976 | 2,314,212 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(50,723,440 | ) | (116,978,081 | ) | (31,524,049 | ) | (30,373,956 | ) | (2,960,404 | ) | (2,314,775 | ) | |||||||||||
(6,619,264 | ) | (14,830,448 | ) | (8,931,167 | ) | (8,910,347 | ) | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(57,342,704 | ) | (131,808,529 | ) | (40,455,216 | ) | (39,284,303 | ) | (2,960,404 | ) | (2,314,775 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(12,725,542 | ) | 47,524,177 | 18,148,687 | (138,678,104 | ) | (4,204,843 | ) | 29,832,220 | ||||||||||||||
(100,034 | ) | 12,148,379 | (3,868,313 | ) | (13,148,914 | ) | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(12,825,576 | ) | 59,672,556 | 14,280,374 | (151,827,018 | ) | (4,204,843 | ) | 29,832,220 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
108,745,164 | (151,412,557 | ) | 78,342,698 | (199,187,115 | ) | (4,203,271 | ) | 29,831,657 | ||||||||||||||
717,680,136 | 869,092,693 | 1,033,486,592 | 1,232,673,707 | 179,102,491 | 149,270,834 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 826,425,300 | $ | 717,680,136 | $ | 1,111,829,290 | $ | 1,033,486,592 | $ | 174,899,220 | $ | 179,102,491 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
69
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Blend Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 20.35 | $ | 0.49 | $ | 3.71 | $ | 4.20 | $ | (0.53 | ) | $ | (1.09 | ) | $ | (1.62 | ) | $ | 22.93 | 21.38% | $ | 574,827 | 0.45% | 2.24% | ||||||||||||||||||||||||
12/31/18 | 23.33 | 0.47 | (1.39 | ) | (0.92 | ) | (0.48 | ) | (1.58 | ) | (2.06 | ) | 20.35 | (4.34% | ) | 527,007 | 0.45% | 2.12% | ||||||||||||||||||||||||||||||
12/31/17 | 21.54 | 0.42 | 2.74 | 3.16 | (0.47 | ) | (0.90 | ) | (1.37 | ) | 23.33 | 15.25% | 607,368 | 0.45% | 1.91% | |||||||||||||||||||||||||||||||||
12/31/16 | 22.22 | 0.43 | 1.48 | 1.91 | (0.46 | ) | (2.13 | ) | (2.59 | ) | 21.54 | 9.42% | 581,972 | 0.46% | 2.03% | |||||||||||||||||||||||||||||||||
12/31/15 | 24.51 | 0.48 | (0.45 | ) | 0.03 | (0.50 | ) | (1.82 | ) | (2.32 | ) | 22.22 | 0.08% | 586,082 | 0.45% | 2.07% | ||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 20.29 | $ | 0.43 | $ | 3.71 | $ | 4.14 | $ | (0.47 | ) | $ | (1.09 | ) | $ | (1.56 | ) | $ | 22.87 | 21.08% | $ | 161,870 | 0.70% | 1.99% | ||||||||||||||||||||||||
12/31/18 | 23.27 | 0.42 | (1.40 | ) | (0.98 | ) | (0.42 | ) | (1.58 | ) | (2.00 | ) | 20.29 | (4.58% | ) | 118,604 | 0.70% | 1.89% | ||||||||||||||||||||||||||||||
12/31/17 | 21.50 | 0.37 | 2.72 | 3.09 | (0.42 | ) | (0.90 | ) | (1.32 | ) | 23.27 | 14.97% | 88,119 | 0.70% | 1.66% | |||||||||||||||||||||||||||||||||
12/31/16 | 22.18 | 0.37 | 1.48 | 1.85 | (0.40 | ) | (2.13 | ) | (2.53 | ) | 21.50 | 9.15% | 60,018 | 0.71% | 1.78% | |||||||||||||||||||||||||||||||||
12/31/15 | 24.48 | 0.42 | (0.46 | ) | (0.04 | ) | (0.44 | ) | (1.82 | ) | (2.26 | ) | 22.18 | (0.17% | ) | 47,555 | 0.70% | 1.83% |
Year ended December 31 | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Portfolio turnover rate | 132 | % | 86 | % | 134 | % | 175 | % | 209 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
70
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Equity Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 24.16 | $ | 0.57 | $ | 5.42 | $ | 5.99 | $ | (0.57 | ) | $ | (1.48 | ) | $ | (2.05 | ) | $ | 28.10 | 25.92% | $ | 729,367 | 0.44% | 2.14% | ||||||||||||||||||||||||
12/31/18 | 31.69 | 0.60 | (3.06 | ) | (2.46 | ) | (0.57 | ) | (4.50 | ) | (5.07 | ) | 24.16 | (9.99% | ) | 634,703 | 0.44% | 2.00% | ||||||||||||||||||||||||||||||
12/31/17 | 28.08 | 0.52 | 3.85 | 4.37 | (0.55 | ) | (0.21 | ) | (0.76 | ) | 31.69 | 15.79% | 774,278 | 0.43% | 1.73% | |||||||||||||||||||||||||||||||||
12/31/16 | 27.08 | 0.58 | 2.69 | 3.27 | (0.49 | ) | (1.78 | ) | (2.27 | ) | 28.08 | 12.59% | 727,540 | 0.44% | 2.15% | |||||||||||||||||||||||||||||||||
12/31/15 | 30.28 | 0.50 | (1.67 | ) | (1.17 | ) | (0.64 | ) | (1.39 | ) | (2.03 | ) | 27.08 | (3.43% | ) | 709,315 | 0.43% | 1.69% | ||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 23.82 | $ | 0.50 | $ | 5.34 | $ | 5.84 | $ | (0.50 | ) | $ | (1.48 | ) | $ | (1.98 | ) | $ | 27.68 | 25.61% | $ | 97,058 | 0.69% | 1.89% | ||||||||||||||||||||||||
12/31/18 | 31.31 | 0.52 | (3.01 | ) | (2.49 | ) | (0.50 | ) | (4.50 | ) | (5.00 | ) | 23.82 | (10.22% | ) | 82,977 | 0.69% | 1.75% | ||||||||||||||||||||||||||||||
12/31/17 | 27.77 | 0.44 | 3.80 | 4.24 | (0.49 | ) | (0.21 | ) | (0.70 | ) | 31.31 | 15.50% | 94,815 | 0.68% | 1.49% | |||||||||||||||||||||||||||||||||
12/31/16 | 26.81 | 0.50 | 2.67 | 3.17 | (0.43 | ) | (1.78 | ) | (2.21 | ) | 27.77 | 12.31% | 82,045 | 0.69% | 1.90% | |||||||||||||||||||||||||||||||||
12/31/15 | 30.01 | 0.42 | (1.65 | ) | (1.23 | ) | (0.58 | ) | (1.39 | ) | (1.97 | ) | 26.81 | (3.67% | ) | 69,098 | 0.68% | 1.45% |
Year ended December 31 | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Portfolio turnover rate | 113 | % | 41 | % | 70 | % | 47 | % | 39 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
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Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Managed Bond Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 11.93 | $ | 0.43 | $ | 0.74 | $ | 1.17 | $ | (0.46 | ) | $ | - | $ | (0.46 | ) | $ | 12.64 | 9.85% | $ | 846,138 | 0.42% | 3.43% | |||||||||||||||||||||||||
12/31/18 | 12.41 | 0.40 | (0.46 | ) | (0.06 | ) | (0.42 | ) | - | (0.42 | ) | 11.93 | (0.44% | ) | 778,603 | 0.42% | 3.34% | |||||||||||||||||||||||||||||||
12/31/17 | 12.24 | 0.35 | 0.22 | 0.57 | (0.40 | ) | - | (0.40 | ) | 12.41 | 4.69% | 953,592 | 0.40% | 2.78% | ||||||||||||||||||||||||||||||||||
12/31/16 | 12.31 | 0.33 | 0.02 | 0.35 | (0.36 | ) | (0.06 | ) | (0.42 | ) | 12.24 | 2.75% | 941,621 | 0.39% | 2.61% | |||||||||||||||||||||||||||||||||
12/31/15 | 12.82 | 0.33 | (0.43 | ) | (0.10 | ) | (0.36 | ) | (0.05 | ) | (0.41 | ) | 12.31 | (0.75% | ) | 976,932 | 0.39% | 2.59% | ||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 11.91 | $ | 0.40 | $ | 0.73 | $ | 1.13 | $ | (0.43 | ) | $ | - | $ | (0.43 | ) | $ | 12.61 | 9.57% | $ | 265,691 | 0.67% | 3.19% | |||||||||||||||||||||||||
12/31/18 | 12.39 | 0.37 | (0.46 | ) | (0.09 | ) | (0.39 | ) | - | (0.39 | ) | 11.91 | (0.69% | ) | 254,883 | 0.67% | 3.10% | |||||||||||||||||||||||||||||||
12/31/17 | 12.22 | 0.31 | 0.23 | 0.54 | (0.37 | ) | - | (0.37 | ) | 12.39 | 4.43% | 279,082 | 0.65% | 2.53% | ||||||||||||||||||||||||||||||||||
12/31/16 | 12.29 | 0.29 | 0.03 | 0.32 | (0.33 | ) | (0.06 | ) | (0.39 | ) | 12.22 | 2.49% | 260,735 | 0.64% | 2.36% | |||||||||||||||||||||||||||||||||
12/31/15 | 12.80 | 0.30 | (0.43 | ) | (0.13 | ) | (0.33 | ) | (0.05 | ) | (0.38 | ) | 12.29 | (1.00% | ) | 245,418 | 0.64% | 2.36% |
Year ended December 31 | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Portfolio turnover rate | 260 | % | 138 | % | 237 | % | 314 | % | 358 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
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Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML U. S. Government Money Market Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 1.00 | $ | 0.02 | $ | 0.00 | d | $ | 0.02 | $ | (0.02 | ) | $ | - | $ | (0.02 | ) | $ | 1.00 | 1.71% | $ | 174,899 | 0.54% | N/A | 1.69 | % | ||||||||||||||||||||||||||
12/31/18 | 1.00 | 0.01 | 0.00 | d | 0.01 | (0.01 | ) | - | (0.01 | ) | 1.00 | 1.32% | 179,102 | 0.54% | N/A | 1.35 | % | |||||||||||||||||||||||||||||||||||
12/31/17 | 1.00 | 0.00 | d | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | (0.00 | )d | 1.00 | 0.36% | 149,271 | 0.54% | N/A | 0.35 | % | ||||||||||||||||||||||||||||||||
12/31/16 | 1.00 | 0.00 | d | 0.00 | d | 0.00 | d | (0.00 | )d | - | (0.00 | )d | 1.00 | 0.11% | 166,136 | 0.54% | 0.40% | 0.00 | %e | |||||||||||||||||||||||||||||||||
12/31/15 | 1.00 | - | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | (0.00 | )d | 1.00 | 0.00% | e | 167,900 | 0.52% | 0.15% | - |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
e | Amount is less than 0.005%. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
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Table of Contents
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 anopen-end management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated February 8, 2005, which was amended and restated as of February 28, 2005 and December 15, 2011, as it may be further amended from time to time. The following are four series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Blend Fund (“Blend Fund”)
MML Equity Fund (“Equity Fund”)
MML Managed Bond Fund (“Managed Bond Fund”)
MML U.S. Government Money Market Fund (“U.S. Government Money Market Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, C.M. Life Insurance Company, and the MML Allocation Funds, which are “funds of funds” series of MML Series Investment Fund, anotheropen-end management investment company sponsored by MassMutual, are the record owners of all of the outstanding shares of the Funds.
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on
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Notes to Financial Statements(Continued)
the NASDAQ National Market System (“NASDAQ System”), or in the case ofover-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 asinstitutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of otheropen-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 Rule2a-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 Trustees, and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.
1 | The voting members of the Valuation Committee consist of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO, Secretary, and Assistant Secretaries) of the Trust, as well as such other members as the Trustees may from time to time designate. Thenon-voting members of the Valuation Committee consist of the CCO, Secretary, and Assistant Secretaries. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general. |
75
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Notes to Financial Statements(Continued)
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 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
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs, to the extent observable inputs are not available (including the Funds’ own assumptions in determining the fair value of investments)
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Notes to Financial Statements(Continued)
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 Levels.
In certain cases, the inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest Level input that is significant to the overall fair value measurement.
The U.S. Government Money Market Fund characterized all investments at Level 2, as of December 31, 2019. The Equity Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of December 31, 2019. For the Funds noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The following is the aggregate value by input level, as of December 31, 2019, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Blend Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 484,270,276 | $ | - | $ | - | $ | 484,270,276 | ||||||||
Preferred Stock | 533,000 | - | - | 533,000 | ||||||||||||
Corporate Debt | - | 88,557,464 | - | 88,557,464 | ||||||||||||
Municipal Obligations | - | 1,648,595 | - | 1,648,595 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 81,223,029 | - | 81,223,029 | ||||||||||||
Sovereign Debt Obligations | - | 1,932,000 | - | 1,932,000 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 65,935,074 | - | 65,935,074 | ||||||||||||
U.S. Treasury Obligations | - | 8,218,272 | - | 8,218,272 | ||||||||||||
Purchased Options | - | 1,215,941 | - | 1,215,941 | ||||||||||||
Rights | 76,984 | - | - | 76,984 | ||||||||||||
Mutual Funds | 3,221,530 | - | - | 3,221,530 | ||||||||||||
Short-Term Investments | - | 30,147,654 | - | 30,147,654 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 488,101,790 | $ | 278,878,029 | $ | - | $ | 766,979,819 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 141,582 | $ | - | $ | - | $ | 141,582 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (629,864 | ) | $ | - | $ | - | $ | (629,864 | ) | ||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements(Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Managed Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock | $ | 2,531,750 | $ | - | $ | - | $ | 2,531,750 | ||||||||
Corporate Debt | - | 389,653,045 | - | 389,653,045 | ||||||||||||
Municipal Obligations | - | 5,865,415 | - | 5,865,415 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 372,553,786 | - | 372,553,786 | ||||||||||||
Sovereign Debt Obligations | - | 7,748,305 | - | 7,748,305 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 288,722,511 | - | 288,722,511 | ||||||||||||
U.S. Treasury Obligations | - | 18,385,235 | - | 18,385,235 | ||||||||||||
Purchased Options | - | 7,433,928 | - | 7,433,928 | ||||||||||||
Mutual Funds | 5,804,480 | - | - | 5,804,480 | ||||||||||||
Short-Term Investments | - | 117,787,786 | - | 117,787,786 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 8,336,230 | $ | 1,208,150,011 | $ | - | $ | 1,216,486,241 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 481,981 | $ | - | $ | - | $ | 481,981 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (2,658,287 | ) | $ | - | $ | - | $ | (2,658,287 | ) | ||||||
|
|
|
|
|
|
|
|
For certain Fund(s) the Statement of Assets and Liabilities show any applicable Fund(s) liabilities for collateral held for open purchased options, investments purchased on a when-issued basis, and collateral held for securities on loan. These amounts approximate fair value and would be categorized at Level 2 for each applicable Fund as of December 31, 2019.
The Funds had no Level 3 transfers during the year ended December 31, 2019.
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 the derivatives’ 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.
At December 31, 2019, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Credit Risk | Equity Risk | Interest Rate Risk | Total | |||||||||||||
Blend Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 1,215,941 | $ | 1,215,941 | ||||||||
Futures Contracts^^ | - | - | 141,582 | 141,582 | ||||||||||||
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|
|
|
|
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| |||||||||
Total Value | $ | - | $ | - | $ | 1,357,523 | $ | 1,357,523 | ||||||||
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|
|
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|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | (629,864 | ) | $ | (629,864 | ) | ||||||
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|
|
|
|
|
| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 205,161 | $ | 205,161 | ||||||||
Futures Contracts | - | 351,900 | 3,271,264 | 3,623,164 | ||||||||||||
Swap Agreements | (35,210 | ) | - | (24,950 | ) | (60,160 | ) | |||||||||
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|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (35,210 | ) | $ | 351,900 | $ | 3,451,475 | $ | 3,768,165 | |||||||
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Credit Risk | Equity Risk | Interest Rate Risk | Total | |||||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (246,312 | ) | $ | (246,312 | ) | ||||||
Futures Contracts | - | - | (1,265,617 | ) | (1,265,617 | ) | ||||||||||
Swap Agreements | 126,024 | - | - | 126,024 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | 126,024 | $ | - | $ | (1,511,929 | ) | $ | (1,385,905 | ) | ||||||
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| |||||||||
Managed Bond Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 7,433,928 | $ | 7,433,928 | ||||||||
Futures Contracts^^ | - | - | 481,981 | 481,981 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | 7,915,909 | $ | 7,915,909 | ||||||||
|
|
|
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|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | (2,658,287 | ) | $ | (2,658,287 | ) | ||||||
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|
|
|
|
|
|
| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 1,252,306 | $ | 1,252,306 | ||||||||
Futures Contracts | - | - | 15,083,757 | 15,083,757 | ||||||||||||
Swap Agreements | (227,406 | ) | - | (140,589 | ) | (367,995 | ) | |||||||||
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|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (227,406 | ) | $ | - | $ | 16,195,474 | $ | 15,968,068 | |||||||
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|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (1,505,991 | ) | $ | (1,505,991 | ) | ||||||
Futures Contracts | - | - | (6,085,001 | ) | (6,085,001 | ) | ||||||||||
Swap Agreements | 782,284 | - | - | 782,284 | ||||||||||||
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|
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|
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| |||||||||
Total Change in Appreciation (Depreciation) | $ | 782,284 | $ | - | $ | (7,590,992 | ) | $ | (6,808,708 | ) | ||||||
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* | Statements of Assets and Liabilities location: Investments, at value. |
^^ | Cumulative appreciation (depreciation) on futures contracts is reported in “Futures Contracts” in each applicable Fund’s Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, or swap agreements, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, or swap agreements, as applicable. |
For the year ended December 31, 2019, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:
Number of Contracts, Notional Amounts, or Shares/Units† | ||||||||||||
Futures Contracts | Swap Agreements | Purchased Swaptions | ||||||||||
Blend Fund | 438 | $ | 1,348,571 | $ | 31,197,500 | |||||||
Managed Bond Fund | 1,780 | 8,265,714 | 190,700,000 |
† | Amount(s) disclosed represent average number of contracts for futures contracts, or notional amounts for swap agreements and purchased swaptions, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended December 31, 2019. |
The Portfolio of Investments included in a Fund’s financial statements shows the assets or liabilities of a Fund associated with individual derivatives transactions. The terms of many of those transactions contemplate that derivatives receivables and payables
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between the same two parties may be netted and that the parties will collateralize certain obligations. The following tables provide an illustration of the possible effect of netting provisions and of collateral (delivered or received) on a Fund’s derivatives exposure as of December 31, 2019. Netting arrangements vary among different counterparties, and the actual disposition of derivatives receivables and payables, and of collateral, in a bankruptcy or insolvency can be complicated and difficult to predict.
The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”) or similar agreement and net of the related collateral received by the Fund(s) as of December 31, 2019.
Asset Valuation Inputs
Counterparty | Derivative Assets Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Received** | Net Amount* | ||||||||||||
Blend Fund | ||||||||||||||||
Barclays Bank PLC | $ | 587,340 | $ | - | $ | (587,340 | ) | $ | - | |||||||
Credit Suisse International | 628,601 | - | (628,601 | ) | - | |||||||||||
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|
|
|
|
|
|
| |||||||||
$ | 1,215,941 | $ | - | $ | (1,215,941 | ) | $ | - | ||||||||
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|
|
|
|
| |||||||||
Managed Bond Fund | ||||||||||||||||
Barclays Bank PLC | $ | 3,625,884 | $ | - | $ | (3,585,000 | ) | $ | 40,884 | |||||||
Credit Suisse International | 3,808,044 | - | (3,808,044 | ) | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 7,433,928 | $ | - | $ | (7,393,044 | ) | $ | 40,884 | ||||||||
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|
|
|
|
|
* | Represents the net amount receivable from the counterparty in the event of default. |
** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
† | The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within an MNA or similar agreement. |
Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell,re-pledge, or use the collateral they receive.
Further details regarding the derivatives and other investments held by the Fund(s) during the year ended December 31, 2019, are discussed below.
Futures Contracts
A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts.A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed income security, during a specified future period at a specified price. A Fund may use index futures 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
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asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Swap Agreements
Swap agreements are typicallytwo-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
Interest Rate Swaps.When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
Credit Default Swaps.A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the 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 and 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,
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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 benon-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 aremarked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
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.
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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 putandcall 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 putandcall options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
OTC Options.OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.
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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 aso-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 benon-transferable, others may be tradedover-the-counter or on an exchange.
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 certaintri-party repurchase agreements is held at the Fund’s custodian orsub-custodian in a segregated account for the benefit of the Fund and the counterparty.
When-Issued, Delayed-Delivery, Forward Commitment, andTo-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, orto-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 asinstitutional-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 Blend Fund, Equity Fund, and Managed Bond Fund may lend their securities; however, lending cannot exceed 33% of the total assets of each Fund, taken at current value. Prior to May 1, 2019, the Managed Bond Fund’s lending could not exceed 10% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“Agent”). The Lending Agreement authorizes the Agent to lend portfolio securities held by a Fund to approved borrowers (each, a “Borrower”).
Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash (U.S. currency) and/or securities (U.S. Treasury and Agency obligations) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At December 31, 2019, 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.
The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. Income received by the Funds in securities lending transactions during the year ended December 31, 2019, is reflected as securities lending income on the Statement of Operations.
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Accounting for Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and realized capital gain distributions are recorded on theex-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 theex-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 gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among classes to which the expense relates based on relative net assets or another alternative method.
Foreign Securities
The Funds may invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
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Dividends and Distributions to Shareholders
Dividends from net investment income are declared and paid quarterly for the Blend Fund and Managed Bond Fund and annually for the Equity Fund and at other times as may be required to satisfy tax or regulatory requirements. Dividends from net investment income are declared daily and paid monthly for the U.S. Government Money Market Fund. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on theex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
3. | Advisory Fees and Other Transactions |
Investment Advisory Fees and Investment Subadvisers
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
0.50% on the first $100 million; |
0.45% on the next $200 million; |
0.40% on the next $200 million; and |
0.35% on any excess over $500 million |
MML Advisers has entered into investment subadvisory agreements with Barings LLC (“Barings”), a wholly-owned subsidiary of MM Asset Management Holding LLC, itself a wholly-owned subsidiary of MassMutual Holding LLC, a controlled subsidiary of MassMutual, on behalf of certain Funds. These agreements provide that Barings manage the investment and reinvestment of assets of these Funds. Barings receives a subadvisory fee from MML Advisers, based upon each Fund’s average daily net assets at the following annual rates:
Blend Fund | 0.13% (Equity Segment) 0.09% (Money Market and Bond Segments) | |
Managed Bond Fund | 0.10% | |
U.S. Government Money Market Fund | 0.05% |
Effective May 17, 2019, T. Rowe Price Associates, Inc. (‘‘T. Rowe’’) replaced OppenheimerFunds, Inc. (“OFI”), a wholly-owned subsidiary of Oppenheimer Acquisition Corp., itself an indirect majority-owned subsidiary of MassMutual Holding LLC, asco-subadviser to the Equity Fund. MML Advisers has entered into an investment subadvisory agreement with T. Rowe, pursuant to which T. Rowe serves as one of the subadvisers to the Equity Fund. This agreement provides that T. Rowe manage the investment and reinvestment of a portion of the assets of the Fund. T. Rowe receives a subadvisory fee from MML Advisers, based upon the average daily net assets of the portion of the Fund that T. Rowe manages.
Prior to May 17, 2019, MML Advisers entered into an investment subadvisory agreement with OFI pursuant to which OFI served as one of the subadvisers to the Equity Fund. This agreement provided that OFI manage the investment and reinvestment of a
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portion of the assets of the Fund. OFI received a subadvisory fee from MML Advisers, based upon the average daily net assets of the portion of the Fund that OFI managed, at the following annual rate:
Equity Fund | 0.23% |
MML Advisers has entered into an investment subadvisory agreement with the unaffiliated subadviser, Brandywine Global Investment, LLC (“Brandywine Global”), pursuant to which Brandywine Global serves as one of the subadvisers to the Equity Fund. This agreement provides that Brandywine Global manage the investment and reinvestment of a portion of the assets of the Fund. Brandywine Global receives a subadvisory fee from MassMutual based upon the average daily net assets of the portion of the Fund that Brandywine Global manages.
The Funds’ subadvisory fees are paid monthly by MML Advisers out of the advisory fees previously disclosed above.
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares, if available, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of aNon-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended December 31, 2019, were as follows:
Purchases | Sales | |||||||||||||||
Long-Term U.S. Government Securities | Other Long-Term Securities | Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||||||||
Blend Fund | $ | 553,207,256 | $ | 363,792,299 | $ | 557,873,291 | $ | 379,536,050 | ||||||||
Equity Fund | - | 872,555,922 | - | 917,785,436 | ||||||||||||
Managed Bond Fund | 2,494,837,199 | 392,074,336 | 2,478,519,758 | 414,028,867 |
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The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.
Purchases | Sales | |||||||
Equity Fund | $ | 43,451 | $ | 373,744 |
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Blend Fund Initial Class | ||||||||||||||||
Sold | 528,012 | $ | 11,433,592 | 625,785 | $ | 14,006,821 | ||||||||||
Issued as reinvestment of dividends | 1,915,243 | 40,979,710 | 2,429,485 | 52,441,279 | ||||||||||||
Redeemed | (3,276,700 | ) | (70,990,967 | ) | (3,190,937 | ) | (71,484,602 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (833,445 | ) | $ | (18,577,665 | ) | (135,667 | ) | $ | (5,036,502 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Blend Fund Service Class | ||||||||||||||||
Sold | 1,391,604 | $ | 30,119,588 | 2,039,495 | $ | 45,474,149 | ||||||||||
Issued as reinvestment of dividends | 455,839 | 9,724,022 | 408,906 | 8,800,849 | ||||||||||||
Redeemed | (614,951 | ) | (13,331,444 | ) | (390,358 | ) | (8,688,346 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,232,492 | $ | 26,512,166 | 2,058,043 | $ | 45,586,652 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Fund Initial Class | ||||||||||||||||
Sold | 532,126 | $ | 14,313,375 | 484,231 | $ | 14,394,766 | ||||||||||
Issued as reinvestment of dividends | 2,049,701 | 50,723,440 | 4,161,219 | 116,978,081 | ||||||||||||
Redeemed | (2,890,290 | ) | (77,762,357 | ) | (2,813,597 | ) | (83,848,670 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (308,463 | ) | $ | (12,725,542 | ) | 1,831,853 | $ | 47,524,177 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Fund Service Class | ||||||||||||||||
Sold | 292,000 | $ | 7,614,027 | 386,041 | $ | 10,944,880 | ||||||||||
Issued as reinvestment of dividends | 271,310 | 6,619,264 | 534,608 | 14,830,448 | ||||||||||||
Redeemed | (539,324 | ) | (14,333,325 | ) | (465,617 | ) | (13,626,949 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,986 | $ | (100,034 | ) | 455,032 | $ | 12,148,379 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Managed Bond Fund Initial Class | ||||||||||||||||
Sold | 14,936,199 | $ | 182,884,753 | 8,678,243 | $ | 105,617,099 | ||||||||||
Issued as reinvestment of dividends | 2,518,423 | 31,524,049 | 2,532,822 | 30,373,956 | ||||||||||||
Redeemed | (15,732,148 | ) | (196,260,115 | ) | (22,781,672 | ) | (274,669,159 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,722,474 | $ | 18,148,687 | (11,570,607 | ) | $ | (138,678,104 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Managed Bond Fund Service Class | ||||||||||||||||
Sold | 2,178,139 | $ | 27,236,884 | 2,464,470 | $ | 30,033,415 | ||||||||||
Issued as reinvestment of dividends | 715,422 | 8,931,167 | 744,727 | 8,910,347 | ||||||||||||
Redeemed | (3,220,012 | ) | (40,036,364 | ) | (4,332,865 | ) | (52,092,676 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (326,451 | ) | $ | (3,868,313 | ) | (1,123,668 | ) | $ | (13,148,914 | ) | ||||||
|
|
|
|
|
|
|
|
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Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
U.S. Government Money Market Fund Initial Class | ||||||||||||||||
Sold | 81,377,141 | $ | 81,377,141 | 126,020,751 | $ | 126,020,751 | ||||||||||
Issued as reinvestment of dividends | 2,960,388 | 2,960,388 | 2,314,774 | 2,314,774 | ||||||||||||
Redeemed | (88,542,372 | ) | (88,542,372 | ) | (98,503,306 | ) | (98,503,305 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,204,843 | ) | $ | (4,204,843 | ) | 29,832,219 | $ | 29,832,220 | ||||||||
|
|
|
|
|
|
|
|
6. Federal Income Tax Information
At December 31, 2019, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Blend Fund | $ | 609,092,331 | $ | 162,227,523 | $ | (4,340,035 | ) | $ | 157,887,488 | |||||||
Equity Fund | 711,084,386 | 123,560,133 | (6,505,267 | ) | 117,054,866 | |||||||||||
Managed Bond Fund | 1,191,628,486 | 32,850,484 | (7,992,729 | ) | 24,857,755 |
Note: The aggregate cost for investments for the U.S. Government Money Market Fund at December 31, 2019, is the same for financial reporting and federal income tax purposes.
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Underpre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization ofpre-enactment losses.
At December 31, 2019, for federal income tax purposes, there were no unused capital losses.
At December 31, 2019, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term Capital Loss Carryforward | Long term Capital Loss Carryforward | |||||||
Managed Bond Fund | $ | - | $ | 13,478,561 |
Net capital loss carryforwards for the Fund(s) shown in the above table are frompost-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
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Notes to Financial Statements(Continued)
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2019, was as follows:
Ordinary Income | Long Term Capital Gain | |||||||
Blend Fund | $ | 19,958,295 | $ | 30,745,437 | ||||
Equity Fund | 16,300,088 | 41,042,616 | ||||||
Managed Bond Fund | 40,455,216 | - | ||||||
U.S. Government Money Market Fund | 2,960,404 | - |
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2018, was as follows:
Ordinary Income | Long Term Capital Gain | |||||||
Blend Fund | $ | 25,569,926 | $ | 35,672,202 | ||||
Equity Fund | 14,740,597 | 117,067,932 | ||||||
Managed Bond Fund | 39,284,303 | - | ||||||
U.S. Government Money Market Fund | 2,314,775 | - |
Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2019, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses, deferred Trustee compensation, and other temporary basis adjustments.
At December 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Blend Fund | $ | 1,509,615 | $ | 30,150,817 | $ | (150,020 | ) | $ | 157,887,488 | |||||||
Equity Fund | 16,540,185 | 80,151,111 | (187,957 | ) | 117,055,049 | |||||||||||
Managed Bond Fund | 1,569,529 | (13,478,561 | ) | (181,093 | ) | 24,857,755 | ||||||||||
U.S. Government Money Market Fund | - | - | (38,794 | ) | - |
During the year ended December 31, 2019, the following amounts were reclassified due to permanent differences between book and tax accounting:
Paid-in Capital | Accumulated Net Realized Gain (Loss) on Investments | Undistributed Net Investment Income (Loss) | ||||||||||
Blend Fund | $ | - | $ | (673,115 | ) | $ | 673,115 | |||||
Equity Fund | - | 47,895 | (47,895 | ) | ||||||||
Managed Bond Fund | - | (2,326,895 | ) | 2,326,895 | ||||||||
U.S. Government Money Market Fund | (9,813 | ) | (2,009 | ) | 11,822 |
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Notes to Financial Statements(Continued)
The Funds did not have any unrecognized tax benefits at December 31, 2019, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended December 31, 2019, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
7. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
8. | New Accounting Pronouncements |
In 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 is effective for the fiscal year ended December 31, 2019. Management has implemented the applicable changes, and they did not have a material impact on the Funds’ financial statements.
In August 2018, FASB issued Accounting Standards Update2018-13 — Fair Value Measurement (Topic 820) Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU2018-13”). ASU2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy, and the valuation processes for Level 3 fair value measurements. ASU2018-13 requires that information is provided about the measurement uncertainty of Level 3 fair value measurements as of the reporting date. The amendment is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has evaluated the impact of ASU2018-13 and has early adopted the disclosure requirements and the impact, if any, is reflected within the Funds’ financial statements.
9. | Legal Proceedings |
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds. On April 5, 2012, the adversary proceeding was transferred to the Southern District of New York for consolidated pretrial proceedings. The action is now being prosecuted by the litigation trustee (“Trustee”) for the Tribune Litigation Trust.
The potential amount sought to be recovered from the Blend Fund is approximately $207,400, plus interest and the Official Committee’s court costs.
In addition, on June 2, 2011, the Blend Fund was named as a defendant in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds. On December 20, 2011, this action was transferred to the Southern District of New York for consolidated pretrial proceedings.
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Notes to Financial Statements(Continued)
The Fund cannot predict the outcome of these proceedings. Accordingly, the Fund has not accrued any amounts related to these proceedings. If the proceedings were to be decided in a manner adverse to the Fund, or if the Fund was to enter into a settlement agreement with the Trustee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Fund’s net asset value depending on the net assets of the applicable Fund at the time of such judgment or settlement.
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To the Board of Trustees of MML Series Investment Fund II and Shareholders of MML Blend Fund, MML Equity Fund, MML Managed Bond Fund, and MML U.S. Government Money Market Fund (collectively, the “Funds,” certain of the funds constituting MML Series Investment Fund II):
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of the Funds, including the portfolios of investments, as of December 31, 2019, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
February 24, 2020
We have served as the auditor of one or more MassMutual investment companies since 1995.
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The following table lists the Trust’s Trustees and Principal Officers; their address and year of birth; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during at least the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MML Series Investment Fund II, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.
Independent Trustees
Name, Address*, and | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Allan W. Blair Year of birth: 1948 | Trustee | Since 2012 | Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company). | 109 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
Nabil N. El-Hage Year of birth: 1958 | Trustee
Chairman | Since 2005
2006-2012 | Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC). | 109 | Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company). | |||||
Maria D. Furman Year of birth: 1954 | Trustee | Since 2005 | Retired. | 109 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
R. Alan Hunter, Jr. Year of birth: 1946 | Chairperson
Trustee | Since 2016
Since 2012 | Retired. | 109 | Director (2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MassMutual Select Funds (open-end investment company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
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Trustees and Principal Officers (Unaudited)(Continued)
Name, Address*, and | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
C. Ann Merrifield Year of birth: 1951 | Trustee | Since 2005 | Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company). | 109 | Director (2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson (2017-2018), Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
Susan B. Sweeney Year of birth: 1952 | Trustee | Since 2012 | Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company). | 111^ | Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
Interested Trustees
Name, Address*, and | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Teresa A. Hassara^^ Year of birth: 1962 | Trustee | Since 2017 | Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF. | 109 | Director (since 2017), MML Advisers; Trustee (since 2017), MassMutual Select Funds (open-end investment company); Trustee (since 2017), MML Series Investment Fund (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company). | |||||
Robert E. Joyal^^^ Year of birth: 1945 | Trustee | Since 2012 | Retired. | 111^ | Director (since 2018), Jefferies Financial Group Inc. (holding company); Director (2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technologies, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
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Trustees and Principal Officers (Unaudited)(Continued)
Principal Officers
Name, Address*, and | Position(s) | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Joseph Fallon Year of birth: 1975 | Vice President
Assistant Vice President | Since 2017
2015- | Investment Director (since 2014), MML Advisers; Head of Investment Consulting & Strategy (since 2017), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Select Funds (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company). | 109 | ||||
Andrew M. Goldberg Year of birth: 1966 | Vice President, Secretary (formerly known as “Clerk”), and Chief Legal
Assistant Clerk | Since 2008
2005- | Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company). | 109 | ||||
Renee Hitchcock Year of birth: 1970 | Chief Financial Officer and Treasurer
Assistant Treasurer | Since 2016
2007- | Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company). | 109 | ||||
Jill Nareau Robert Year of birth: 1972 | Vice President and Assistant Secretary
Assistant Secretary (formerly known as “Assistant Clerk”) | Since 2017
2008- | Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MassMutual Select Funds (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MML Series Investment Fund (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company). | 109 | ||||
Douglas Steele Year of birth: 1975 | Vice President | Since 2016 | Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company). | 109 |
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Trustees and Principal Officers (Unaudited)(Continued)
Name, Address*, and | Position(s) | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Philip S. Wellman Year of birth: 1964 | Vice President and Chief Compliance Officer | Since 2007 | Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds & RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company). | 109 | ||||
Eric H. Wietsma Year of birth: 1966 | President
Vice President | Since 2019
2006- | President (2013-2018, since 2019), Vice President (2018-2019), Director (since 2013), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (2010-2018), MassMutual; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); President (since 2019), Vice President (2006-2019), MML Series Investment Fund (open-end investment company); President (since 2008), Vice President (2006-2008), MassMutual Premier Funds (open-end investment company). | 109 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981. |
** | Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate. |
The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees. |
^ | Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers. |
^^ | Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual. |
^^^ | Mr. Joyal is an Interested Person through his position as a director of Jefferies Financial Group Inc., which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion. |
# | The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees. |
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For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2019, qualified for the dividends received deduction, as follows:
Dividends Received Deductions | ||||
Blend Fund | 51.25% | |||
Equity Fund | 100.00% | |||
Managed Bond Fund | 0.83% |
Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended December 31, 2019:
Qualified Dividend Income | ||||
Equity Fund | $ | 19,358,056 |
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Other Information (Unaudited)
A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
For periods ending on or after March 31, 2019, the Funds, except for the U.S. Government Money Market Fund, file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on FormN-PORT. The Funds’ FormsN-PORT are available on the SEC’s EDGAR database on its website at http://www.sec.gov. For periods ending prior to March 31, 2019, this information was filed on FormN-Q. The Funds’ FormsN-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov.
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Other Information (Unaudited)(Continued)
Fund ExpensesDecember 31, 2019
Expense Examples:
The following information is in regards to expenses for the six months ended December 31, 2019:
As a shareholder of the Funds, you incur ongoing costs, including advisory fees, distribution and/or service(12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2019.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Blend Fund | ||||||||||||||||||||||||
Initial Class | $ | 1,000 | 0.46 | % | $ | 1,080.60 | $ | 2.44 | $ | 1,023.10 | $ | 2.37 | ||||||||||||
Service Class | 1,000 | 0.71 | % | 1,079.30 | 3.76 | 1,021.90 | 3.66 | |||||||||||||||||
Equity Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.44 | % | 1,093.00 | 2.35 | 1,023.20 | 2.27 | |||||||||||||||||
Service Class | 1,000 | 0.69 | % | 1,091.60 | 3.68 | 1,022.00 | 3.55 | |||||||||||||||||
Managed Bond Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.42 | % | 1,028.00 | 2.17 | 1,023.30 | 2.17 | |||||||||||||||||
Service Class | 1,000 | 0.67 | % | 1,026.70 | 3.46 | 1,022.10 | 3.45 | |||||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.55 | % | 1,007.50 | 2.81 | 1,022.70 | 2.83 |
* | Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2019, multiplied by the average account value over the period, multiplied by 186 days in the period, divided by 365 days in the year, unless stated otherwise. The annualized expense ratio does not reflect expenses deducted under the variable life insurance or variable annuity contract through which the Funds are invested in. Inclusion of these expenses would increase the annualized expense ratios shown. |
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Underwriter:
MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, Connecticut 06082-1981 |
© 2020 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC | RS-48367-00 |
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MML Series Investment Fund II. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
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To Our Shareholders
Eric Wietsma
“MassMutual believes that retirement investors’ long-term financial security is crucial. In our view, the dynamics of the investment markets during 2019 validate, for those planning for retirement, the importance of maintaining a long-term perspective rather than reacting to current headlines.”
December 31, 2019
Markets remained strong overall
I am pleased to present you with the MML Series Investment Fund II Annual Report, covering the year ended December 31, 2019. During the period, U.S. stocks delivered one of their best years of returns, benefiting from an accommodative Federal Reserve Board (the “Fed”), investors’ belief that the U.S.-China trade war was on a path to resolution, and diminished investors’ concerns that the global economy was entering a period of recession.
Investor concerns of a global economic recession eased considerably during the year, aided by low unemployment, strong consumer spending, and renewed monetary stimulus by global central banks.
Bond investors were the beneficiaries of a falling yield environment fueled by Fed policy. Consequently, the Bloomberg Barclays U.S. Aggregate Bond Index, the Bloomberg Barclays U.S. Corporate Bond Index, and the Bloomberg Barclays U.S. Corporate High Yield Index all advanced strongly for the year.
In MassMutual’s view, the dynamics of the investment markets during 2019 validate the importance of retirement investors maintaining a long-term perspective rather than reacting to current headlines. We also believe that individuals who follow certain investment guidelines, such as the ones below, may enhance their retirement income.
Suggestions for retirement investors under any market conditions
Save as much as possible
While you can’t control – or predict the direction of – the investment markets at any given time, youcan control how often and how much you contribute to your retirement savings account. Contributing as much as possible and increasing contribution levels regularly is one way retirement investors can help themselves reach their retirement income goals,regardless of how the markets perform.
Invest continually
Financial professionals often advise their clients to stay in the market, regardless of short-term results.Here’s why:Individuals who can invest in all market conditions have the potential to be rewarded even during market downturns, when more favorable prices may enable them to accumulate larger positions. This has the potential to put them at an advantage when the markets turn around.
Invest for thelong run
Investing for retirement doesn’t happen overnight. Many people save and invest for retirement throughout their working years. It may help you to keep in mind that, although the financial markets will go up and down over time, taking a long-term approach to investing gives you more time to ride out market downturns as you work toward achieving your long-term investment goals.
Monitor your asset allocation regularly – and diversify*
The most common retirement plan investments – stocks, bonds, and short-term/money market investments – typically (although not always) behave differently from one another at any given time.
* | Diversification and asset allocation do not ensure a profit or protect against loss in a declining market, but can be sound investment strategies. |
(Continued)
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MML Series Investment Fund II – President’s Letter to Shareholders (Unaudited)(Continued)
Each of these asset classes contains an array ofsub-categories, such assmall-cap stocks, international stocks, and high-yield bonds. Many financial professionals believe that investors can reduce the risk of over-exposure to one or two poorly performing investment types by investing in a diverse mix of investment types andsub-categories.
Choose the investments you feel are right for you – and seek professional guidance
Many financial advisors believe that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.
If you work with a financial professional, you may wish to consider reaching out to him or her for assistance in helping you ensure:
• | you are saving enough for retirement based on your long-term needs; |
• | your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as your investment time horizon and risk tolerance; and |
• | you are taking the right steps to help reduce your longevity risk, which is the risk that your retirement savings could “run out” during your lifetime. |
We’re people protecting people
MassMutual believes that your long-term financial security is crucial. Our ongoing commitment is to help people financially protect their families and put themselves on the path to a more secure retirement. And that’s why we continually remind retirement investors of the importance of maintaining a long-term perspective on retirement planning. Our view is that planning isn’t about crunching numbers – it’s about those moments when it all pays off – and that the more you plan for life’s greatest moments, the more you can relax and enjoy them. Thank you for your continued confidence and trust in MassMutual.
Sincerely,
Eric Wietsma
President
© 2020 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA. All rights reserved. www.massmutual.com Underwriter: MML Distributors, LLC. (MMLD) Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 100 Bright Meadow Blvd., Enfield, CT 06082. MMLD is a wholly-owned subsidiary of MassMutual. Investment advisory services provided to the Funds by MML Investment Advisers, LLC (MML Advisers), a wholly-owned subsidiary of MassMutual. The information provided is the opinion of MML Advisers as of 1/1/20 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
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December 31, 2019
Market Highlights
• | During 2019, U.S. stocks delivered one of their best years of returns, benefiting from an accommodative Federal Reserve Board (the “Fed”), investors’ belief that the U.S.-China trade war was on a path to resolution, and diminished investors’ concerns that the global economy was entering a period of recession. |
• | Concerns of a global economic recession eased considerably during the year, aided by low unemployment, strong consumer spending, and renewed monetary stimulus by global central banks. |
• | Foreign stocks in both developed markets and emerging markets also performed well, though they trailed their U.S. counterparts for the period. |
• | U.S. bond investors benefited from falling interest rates, a stable U.S. dollar, and accommodative global central bank policy. |
Market Environment
U.S. equity investors benefited from a decrease in volatility in 2019 and expectations that a global recession would be avoided in the near term. U.S. stocks delivered positive returns in each of the four quarters of the year. The S&P 500® Index* (the “S&P 500”) and the Dow Jones Industrial AverageSM (the “Dow”) each posted strong positive results for the year, gaining 31% and 25% respectively.
In the first quarter of 2019, investors pushed aside concerns over slowing global economic growth and increased market volatility to push global stock prices to nearall-time highs. The market rally was fueled by the Fed’s decision to hold off on interest rate hikes in 2019 (and to instead lower rates), the end of the government shutdown (which ran from December 22, 2018 to January 25, 2019), and evidence that the trade war between the U.S. and China was on a path to resolution.
Markets continued to gain traction in the second quarter, as investors tamped down fears of a global economic slowdown, and continued to send global stock prices on an upward trajectory. The market rally was bolstered by expectations that the Fed would be cutting interest rates as early as July 2019 and the belief that the trade negotiations between the U.S. and China remained on track.
Volatility returned to the markets in the third quarter, as investor concerns that tradewar-related conflicts would spark a global economic slowdown flew in the face of strong consumption in the United States, a rebound in U.S. housing, and renewed monetary stimulus from a majority of the world’s central banks. The temporary inversion of the U.S. yield curve also troubled investors. Inversions of the yield curve, where short-term rates are higher than long-term rates, have historically signaled future economic contractions.
It was back to the races in the fourth quarter, with investors responding positively to the Fed’s move to lower the federal funds rate (i.e., the interest rate that banks and financial institutions charge each other for borrowing funds overnight), better-than-expected corporate earnings, the resurgence of the housing sector in the U.S., and progress being made in the U.S.-China trade war. Emerging-market stocks led global markets upward in the face of a weakening U.S. dollar.
At year end, the broad market S&P 500 ended up 31.49% and the Dow followed a similar pattern, advancing 25.34%. The technology-heavy NASDAQ Composite Index gained 36.69%, led by technology giant Apple, which appreciated 87% for the year.Small-cap stocks underperformed their larger peers and growth stocks continued to outperform their value counterparts during the period.
All sectors of the S&P 500 delivered positive results for the year, with the information technology sector being the clear winner, up 50.29%. The information technology, communication services, and financials sectors were the only areas of the market that outperformed the broad market, as represented by the S&P 500. The energy sector, while up, was the top laggard, up just 11.81% for the year.
* | Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment. |
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MML Series Investment Fund II – Economic and Market Overview (Unaudited)(Continued)
Developed international markets, as measured by the MSCI EAFE® Index, had a strong year, although they trailed their U.S. peers, and ended the year 22.01% higher. Emerging markets, as measured by the MSCI Emerging Markets Index, also had a strong year, with an advance of 18.42%. International stocks benefited from accommodative monetary policy, investors’ belief that the U.S.-China trade war was done escalating, and diminished concerns that the global economy was on the brink of a recession.
The Fed’s influence on markets was considerable in 2019. In the first quarter, it signaled that it was done raising interest rates over concerns that higher rates were impacting economic expansion. In the second quarter, Fed Chairperson Jerome Powell addressed fears of how the continuing U.S.-China trade war could hurt the U.S. economy and commented that the Fed would “act as appropriate to sustain the expansion.” This perceived willingness to cut interest rates was positive for risk assets and drove equities higher. In the second half of 2019, the Fed took action to sustain the economic expansion, cutting interest rates in July, September, and October.
Bond yields fell during the year, with the10-year U.S. Treasury bond falling below 1.50% in September. After starting the year at 2.69%, yields fell 0.77% to end 2019 at 1.92%. Since falling yields drive bond prices up, returns on the Bloomberg Barclays U.S. Aggregate Bond Index were strong for the year, with an 8.72% advance. Investment-grade corporate bonds also fared well in the falling yield environment. The Bloomberg Barclays U.S. Corporate Bond Index, which tracks investment-grade corporate bonds, ended the year with a gain of 14.54%. The Bloomberg Barclays U.S. Corporate High Yield Index also ended the year in positive territory, appreciating 14.32%.
As we enter 2020, we continue to see high valuations in the equity market, from a historical perspective. At MassMutual, we remain convinced that a broadly diversified portfolio aligned with a long-term strategy is the wisest course for those investors seeking retirement income. We remind you that it is important to maintain perspective and have realistic expectations about the future performance of your investment portfolio. As described in this report, financial markets can reverse suddenly, stumble along sideways, and reverse again. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to markets like these, taking into consideration how long you have to save and invest, as well as your financial goals and risk tolerance. Thank you for your confidence in MassMutual.
The information provided is the opinion of MML Investment Advisers, LLC as of 1/1/20 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.
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What is the investment approach of MML Asset Momentum Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing in asset classes the Fund’s subadviser considers to exhibit “bull market” characteristics. These “bull market” characteristics may include, for example, upward trending prices and relatively low volatility. The Fund expects that it will allocate its investments among the following asset classes: equity investments, debt investments, property investments, alternative investments, currency, and cash on deposit, excluding short term instruments. The Fund may invest in securities of issuers anywhere in the world, including emerging market countries. The Fund is nondiversified, which means that it may hold larger positions in a smaller number of issuers than a diversified fund. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Class II shares returned 37.93%, significantly outperforming the 31.49% return of the S&P 500® Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2019, U.S. stocks drove the Fund’s outperformance, with its positions in growth stocks generating the most significant gains. Fund holdings that were key contributors included payment processing company Mastercard, which gained 59% in value in 2019 on a 23% jump in payment volumes. Another standout was swimming pool distributor Pool Corporation, a Fund holding that gained 44% due to the strong housing market. The Fund’s overweight allocation to technology stocks, relative to the benchmark, also benefited performance, as it was the best-performing sector for the year.
On the downside, energy stocks continued to lag the overall market in 2019. One detractor from performance was oil refiner Marathon Petroleum, a Fund holding that underperformed the benchmark by 25.4%. In addition, entertainment company Fox Corporation was a drag on performance. The Fund holding faced cord-cutting operational headwinds, as households continued to cancel their paid TV subscriptions. In addition, the company cut its earnings estimates twice since March.
In the international market, stocks rose as they joined in the U.S. bull market. Fund holdings in developed markets outperformed the MSCI EAFE Index by double digits. In emerging markets, the Fund benefited from its investments in Brazil, Mexico, and India. Although the Fund’s emerging-market holdings slightly beat the MSCI Emerging Markets Index, those holdings detracted from performance because the return of the MSCI Emerging Markets Index was only 58% of the benchmark in 2019.
Bonds rallied following the Federal Reserve’s (the Fed) easing, and the Fund’s bond holdings benefited full-year performance.
The Fund uses derivative instruments to gain exposure to global assets and to hedge downside risk of securities. In 2019, this included exposure to currencies and global equities, which, in aggregate, contributed to performance for the year. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties.
Subadviser outlook
Fund management is positioning the Fund’s portfolio in anticipation that there could be further gains in stocks in 2020. In their view, U.S. stocks are in a secular bull market, with near-term tailwinds. Fund management believes that S&P 500 companies could have greater than 25% earnings per share (EPS) growth over next two years if tariffs are unwound. Fed easing has provided “green shoots” (i.e., a sign of economic recovery), with the majority of the benefits, in Fund management’s view, potentially coming in the next few quarters. U.S. corporations continue to repurchase stocks aggressively, given that the earnings yield is 2% above the cost of debt. Fund management believes that the current moderate economic growth could extend the business cycle and it believes that the U.S. equity market remains attractive relative to the historically low interest rates.
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MML Asset Momentum Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Asset Momentum Fund Portfolio Characteristics (% of Net Assets) on 12/31/19 | ||||
Mutual Funds | 52.0 | % | ||
U.S. Treasury Obligations | 23.6 | % | ||
Common Stock | 23.5 | % | ||
Purchased Options | 0.5 | % | ||
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Total Long-Term Investments | 99.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.4 | % | ||
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Net Assets | 100.0 | % | ||
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MML Asset Momentum Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - CLASS II
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||
Inception Date of Class | 1 Year | Since Inception 05/15/2015 | ||||
Class II | 05/15/2015 | 37.93% | 10.68% | |||
Service Class I | 05/15/2015 | 37.51% | 10.40% | |||
S&P 500 Index | 31.49% | 11.78% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Dynamic Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Dynamic Bond Fund, and who is the Fund’s subadviser?
The Fund seeks to maximize current income and total return by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in bonds, which may include securities issued or guaranteed by the U.S. Government, its agencies, instrumentalities, or sponsored corporations; corporate obligations (including foreign hybrid securities); mortgage-backed securities; asset-backed securities; foreign securities (corporate and government); emerging market securities (corporate and government); bank loans and assignments; and other securities bearing fixed or variable interest rates of any maturity. The Fund may invest a portion of its net assets in inverse floaters and interest-only and principal-only securities, which may experience high volatility in response to changes in interest rates. The Fund may invest in other investment companies, including otheropen-end orclosed-end investment companies, exchange-traded funds (ETFs), and domestic or foreign private investment vehicles, including investment companies sponsored or managed by the Fund’s subadviser and its affiliates. The Fund’s subadviser is DoubleLine Capital LP (DoubleLine).
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Class II shares returned 8.73%, slightly outperforming the 8.72% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”),which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2019, higher spread sectors (i.e., investment-grade corporate bonds and othernon-Treasury bonds) benefited from spread tightening throughout most of the year, while longer-duration bonds benefited from the decrease in yields across all portions of the U.S. Treasury curve, as2-year yields fell by 1.22% and10-year yields dropped 1.07%. Diversified exposure to higher spread sectors, most of which finished the year near12-month highs, was the primary driver of the Fund’s outperformance.
The 2019 investment environment proved particularly beneficial for fixed-rate corporate credit sectors, such as emerging-market debt, high-yield bonds, and investment-grade corporates, all of which outperformed the benchmark and experienced significant spread tightening over the year. (Spreads represent the difference in yields between comparable Treasury and corporate bonds. Tightening spreads often reflect rising corporate bond prices.) High yield was the best-performing sector of 2019 and achieved positive returns every month of the year except May. The strong performance of the sector can be attributed to significant spread tightening in B and BB rated credits, as investors reached for higher-yielding products in an environment of falling global yields. Investment-grade corporates, which had the longest duration of any sector in the Fund, had the second-best performance over the year and benefited the most from the decrease in U.S. Treasury yields. (Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the bond or portfolio when interest rates rise or fall.)
After posting lackluster returns through much of 2019, collateralized loan obligations (CLOs) came roaring back in November and December, returning about 6% during those two months, as investors regained confidence in the loan market and lower-rated issues saw significant spread tightening. While every sector of the Fund posted positive returns in 2019, the performance of safe-haven sectors such as agency residential mortgage-backed securities, U.S. Treasuries, and asset-backed securities lagged riskier sectors that were rewarded with spread tightening over the period. (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes.)
The Fund’s shorter-duration profile relative to the benchmark was the primary detractor from performance in 2019 as rates fell over the year. The decrease in rates was driven by inflation concerns and a Federal Reserve (the Fed) that pivoted from a path of higher policy rates and a smaller balance sheet, giving way to protective easing in the face of tighter financial conditions and weakening global growth.
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MML Dynamic Bond Fund – Portfolio Manager Report (Unaudited)(Continued)
Subadviser outlook
Low unemployment, an accommodative Fed, and strong consumer spending stimulated the economy in 2019 and Fund management believes that some of this momentum may extend into 2020. When the Fed cut the federal funds rate (i.e., the Fed’s overnight bank lending rate) in October, it provided forward guidance that the Federal Open Market Committee would need to see a substantial increase in inflation or significant deterioration in economic outlook to change from its current course. Consequently, Fund management expects muted rate movement at the short end of the U.S. Treasury curve in 2020. They also believe that rates at the intermediate to long end of the yield curve are biased upwards in 2020 due to global trade optimism and Fund management’s forecast for higher inflation – and that most spread products have limited upside potential after last year’s rally in credit. The result is that the Fund is shorter in duration and higher in credit quality relative to other points in the cycle.
MML Dynamic Bond Fund Portfolio Characteristics (% of Net Assets) on 12/31/19 | ||||
Corporate Debt | 28.4 | % | ||
U.S. Treasury Obligations | 25.0 | % | ||
Non-U.S. Government Agency Obligations | 23.1 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 19.5 | % | ||
Bank Loans | 2.5 | % | ||
Sovereign Debt Obligations | 0.6 | % | ||
Mutual Funds | 0.3 | % | ||
Municipal Obligations | 0.1 | % | ||
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Total Long-Term Investments | 99.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.5 | % | ||
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Net Assets | 100.0 | % | ||
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MML Dynamic Bond Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - CLASS II
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||
Inception Date of Class | 1 Year | Since Inception 05/15/2015 | ||||
Class II | 05/15/2015 | 8.73% | 3.53% | |||
Service Class I | 05/15/2015 | 8.53% | 3.29% | |||
Bloomberg Barclays U.S. Aggregate Bond Index | 8.72% | 3.20% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Equity Rotation Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Equity Rotation Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing primarily in common stocks of large- and medium-capitalization U.S. companies. The Fund’s subadviser does not typically invest in companies with market capitalizations, at the time of purchase, of less than $1 billion. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Class II shares returned 16.50%, substantially underperforming the 31.49% return of the S&P 500® Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
There were three distinct phases for factor investors in 2019. The first was a rally inlow-quality stocks as the market rebounded from thesell-off in 2018 and priced in a Federal Reserve Board rate cut. This was similar behavior to what Fund management believes can happen to the market at the end of a recession; the only difference was that there was no recession. The second phase was a rally in growth stocks, which were the leaders of 2018 that declined sharply in the fourth quarter of that year. Finally, value stocks ended 2019 strongly, as there were hints of a resolution of the trade war and the realization that value shares had become extraordinarily cheap.
During most of the year ended December 31, 2019, the Fund had an underweight allocation to the health care sector. Within health care and pharmaceuticals, Fund holdings hurt performance. There were several shifts in investors’ perceptions of health care stocks throughout the year, brought on by proposed changes in policy by U.S. presidential candidates. United Healthcare, a health care insurer, substantially underperformed the market early in the year, but rallied sharply later as universal health care proposals received less attention among the candidates. The Fund had an underweight stake in United Healthcare, which hurt performance.
Turning to the positive, the Fund had an overweight allocation to companies in the industrials sector. Industrials issues had become exceptionally low in price as investors shed the shares due to expectations of continued slow growth in manufacturing in the trade war environment. During the year, the Fund had an overweight stake in issuers like truck manufacturer Paccar, whose revenues were growing at a 14% rate even during the trade war, and whose shares were trading at a substantial discount to the market at 10 times earnings. Paccar rose 45% in 2019, and this helped performance.
The Fund is permitted to use derivative instruments. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both. The Fund had a small loss on its use of derivatives in 2019.
Subadviser outlook
From a historical perspective, Fund management believes value and cyclical shares are still quite cheap. In Fund management’s view, this makes the value component of the Fund attractive. Cyclicals are still suffering from the trade war and Fund management believes that economic activity in the U.S. and the rest of the world may need to accelerate in order for cyclicals to continue to outperform the market.
Growth stocks in the U.S. have had an unprecedented rally and Fund management believes they will need to continue to execute to justify their high valuations. Fund management believes many growth stocks are certainly capable of doing this as their services are world leading. Fund management believes that some of the largest growth stocks in the U.S. may face headwinds due to their industry dominance and antitrust considerations. At this point, they view that the most opportunity could lie in value stocks, but the Fund has exposure to several other styles as well.
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MML Equity Rotation Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Equity Rotation Fund | ||||
Apple, Inc. | 6.6 | % | ||
Microsoft Corp. | 5.9 | % | ||
Alphabet, Inc. Class A | 4.4 | % | ||
Citigroup, Inc. | 3.5 | % | ||
Johnson & Johnson | 3.5 | % | ||
Visa, Inc. Class A | 3.1 | % | ||
JP Morgan Chase & Co. | 3.0 | % | ||
Amazon.com, Inc. | 3.0 | % | ||
Bank of America Corp. | 2.7 | % | ||
Ally Financial, Inc. | 2.3 | % | ||
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38.0 | % | |||
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MML Equity Rotation Fund | ||||
Financial | 23.1 | % | ||
Technology | 22.5 | % | ||
Consumer,Non-cyclical | 16.4 | % | ||
Communications | 11.9 | % | ||
Consumer, Cyclical | 9.0 | % | ||
Industrial | 8.6 | % | ||
Basic Materials | 2.2 | % | ||
Energy | 1.7 | % | ||
Mutual Funds | 0.1 | % | ||
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Total Long-Term Investments | 95.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 4.5 | % | ||
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Net Assets | 100.0 | % | ||
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MML Equity Rotation Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - CLASS II
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||
Inception Date of Class | 1 Year | Since Inception 05/15/2015 | ||||
Class II | 05/15/2015 | 16.50% | 10.49% | |||
Service Class I | 05/15/2015 | 16.30% | 10.22% | |||
S&P 500 Index | 31.49% | 11.78% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML High Yield Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML High Yield Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities. The Fund invests primarily in lower rated U.S. debt securities (“junk” or “high yield” bonds), including securities in default. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in lower rated fixed income securities (rated below Baa3 by Moody’s, belowBBB- by Standard & Poor’s or the equivalent by any NRSRO (using the lower rating) or, if unrated, determined to be of below investment grade quality by the Fund’s subadviser. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Class II shares returned 12.25%, underperforming the 14.32% return of the Bloomberg Barclays U.S. Corporate High-Yield Bond Index(the “benchmark”), which measures the performance of U.S. dollar-denominated,non-investment grade, fixed-rate, taxable corporate bonds, including corporate bonds, fixed-rate bullet, putable, and callable bonds, SEC Rule 144A securities, original issue zeros,pay-in-kind bonds, fixed-rate andfixed-to-floating capital securities.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2019, the U.S. high yield market experienced strong performance, driven by a stable economic outlook, accommodative central bank policies, and a strong technical backdrop as investors searched for yield. However, riskier assets remained out of favor and higher-rated credits notably outperformed the lower end of the ratings spectrum. Overall, U.S. high-yield issuers reported stable corporate fundamentals throughout the year, notwithstanding pockets of stress in certain industries – such as energy and metals and mining – and defaults have remained below historical averages.
During 2019, the Fund outperformed relative to the benchmark acrossdouble-B andtriple-C ratings categories due to strong credit selection in each; however, an overweight allocation totriple-Cs, relative to the benchmark, and an underweight allocation todouble-Bs, on average, was a detractor. The Fund lagged the benchmark in thesingle-B category due to credit selection.
From an industry perspective, notable laggards included the basic materials and energy sectors, also due to credit selection. The drivers of the Fund’s positive relative performance were the capital goods and technology sectors as a result of credit selection in each.
Fund holdings that were the largest detractors from performance in 2019 were Pinnacle Operating, an agricultural input supply and distribution business in theMid-South; Jupiter Resources, a Western Canadian natural gas producer; and Fieldwood Energy, a private exploration and production company with operations focused in the Gulf of Mexico. Fund holdings that were top contributors to performance included Bausch Health Companies, a specialty pharmaceutical manufacturer; Veritas, an information management software provider offering backup and recovery appliances and storage management; and JBS USA, an American protein producer that mainly processes beef and pork.
Subadviser outlook
Fund management believes that the economic picture in the U.S. appears to be stable, with a historically low unemployment rate and strong consumer spending levels. Their view is that defaults are largely expected to remain manageable and concentrated in the traditionally more volatile sectors of the economy. Fund management will continue to monitor developments that could affect the Fund, including global trade, geopolitics, and the U.S. election season – any one of which in Fund management’s view has the potential to create bouts of volatility. Overall, however, Fund management is optimistic that the long-term trends appear to be favorable.
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MML High Yield Fund – Portfolio Manager Report (Unaudited)(Continued)
MML High Yield Fund Portfolio Characteristics (% of Net Assets) on 12/31/19 | ||||
Corporate Debt | 89.3 | % | ||
Bank Loans | 7.2 | % | ||
Mutual Funds | 6.8 | % | ||
Common Stock | 0.4 | % | ||
Preferred Stock | 0.0 | % | ||
Warrants | 0.0 | % | ||
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Total Long-Term Investments | 103.7 | % | ||
Other Assets and Liabilities | (3.7 | )% | ||
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Net Assets | 100.0 | % | ||
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MML High Yield Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - CLASS II
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||||
Inception Date of Class | 1 Year | 5 Years | Since Inception 05/03/2010 | |||||
Class II | 05/03/2010 | 12.25% | 6.21% | 7.44% | ||||
Service Class I | 05/03/2010 | 11.86% | 5.94% | 7.17% | ||||
Bloomberg Barclays U.S. Corporate High-Yield Bond Index | 14.32% | 6.13% | 7.08% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Inflation-Protected and Income Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve as high a total rate of real return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in inflation-indexed bonds and other income-producing securities. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Initial Class shares returned 8.31%, underperforming the 8.43% return of the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index(Series-L) (the “benchmark”), which measures the performance of rules-based, market value-weighted inflation-protected securities issued by the U.S. Treasury. It is a subset of the Global Inflation-Linked Index(Series-L).
How do inflation-indexed bonds protect against inflation?
Like many other fixed-income securities, inflation-indexed bonds pay income twice a year, based on a stated coupon rate. However, both the principal and the interest payment are adjusted for the level of inflation. The inflation rate – as measured by the Consumer Price Index for All Urban Consumers(CPI-U) – results in an adjustment to the principal amount of an inflation-protected security. The coupon rate is then applied to the adjusted principal amount to determine the interest payment. For example, assuming an inflation rate of 3%, a security with a par value of $1,000 and an annual coupon rate of 1.75%, the adjusted principal amount after one year would be $1,030 ($1,000 increased by 3%). The semi-annual interest payment would be calculated by multiplying $1,030 by 1.75% and dividing by 2 instead of using the original $1,000 par value to calculate the amount of interest.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
As of November, consumer prices, as measured by the U.S. Bureau of Labor Statistics, were up for the year 2019, as unadjusted Headline CPI came in at 2.1%, up from 1.9% at 2018 year end. (CPI measures changes in the price of a market basket of consumer goods and services. Core CPI does not include food and energy prices. Headline CPI includes food and energy.) While shelter costs and service prices continue to be major drivers of inflation, the Headlineyear-to-date increase was driven, in large part, by medical care prices. As of November, Core CPI increased to 2.3%, up from 2.2% at 2018 year end. Core CPI is running modestly above the 2% inflation objective of the Federal Open Market Committee (FOMC).
TIPS positioning in aggregate contributed to Fund performance during the period. The Fund’s underweight positioning in short-maturity inflation securities was offset by allocations to high-quality income-producing assets that earned higher yields than U.S. Treasuries.
In addition to TIPS, the Fund invested in high-quality income-producing securities, including asset-backed securities (ABS) and money market securities. The income earned by these asset classes contributed positively during the year. ABS contributed substantially to performance. Security selections in auto loans and student loans were the primary contributors within the ABS sector. High-quality commercial paper was the main driver of the Fund’s performance over the year. (Commercial paper is the commonly used name for short-term unsecured promissory notes sold by banks and corporations to meet short-term debt obligations.)
The Fund may use derivative instruments for yield curve and duration management, as well as for replicating cash bonds and gaining market exposure in order to implement manager views. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Overall these derivative positions modestly contributed to performance.
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MML Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited)(Continued)
Subadviser outlook
Given global central bank accommodations and less uncertainty regarding geopolitical issues, such as Brexit – i.e., the United Kingdom’s referendum to leave the European Union – and trade, Fund management believes that investors may anticipate more price stability and less seasonal inflationary weakness in 2020. Fund management believes inflation markets have priced in much of the recent price stability, improvement in wages, and consumer sentiment. However, they also view that such accommodative monetary policy and the potential for a range-bound interest rate environment could lend further support to inflation markets.
Despite recent weakness in energy markets and volatility in risk assets, Fund management ended 2018 constructive on inflation market performance as CPI and PCE edged higher to meet central bank objectives. (The “core” PCE price index is defined as personal consumption expenditures (PCE) prices, excluding food and energy prices. The core PCE price index measures the prices paid by consumers for goods and services without the volatility caused by movements in food and energy prices to reveal underlying inflation trends.) They believe inflation markets have priced in much of the recent weakness and softer sentiment. In 2020, Fund management expects seasonal strength in energy prices, continued stability in consumer fundamentals, and a more balanced Federal Reserve policy to lend support to inflation markets.
MML Inflation-Protected Portfolio Characteristics | ||||
U.S. Treasury Obligations | 86.9 | % | ||
Non-U.S. Government Agency Obligations | 49.0 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 1.4 | % | ||
Purchased Options | 0.5 | % | ||
Corporate Debt | 0.4 | % | ||
Municipal Obligations | 0.0 | % | ||
|
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Total Long-Term Investments | 138.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | (38.2 | )% | ||
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Net Assets | 100.0 | % | ||
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MML Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - INITIAL CLASS
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||||
Inception Date of Class | 1 Year | 5 Years | 10 Years | |||||
Initial Class | 08/30/2002 | 8.31% | 2.72% | 3.39% | ||||
Service Class | 08/15/2008 | 8.05% | 2.48% | 3.14% | ||||
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index(Series-L) | 8.43% | 2.62% | 3.36% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Short-Duration Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Short-Duration Bond Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high total rate of return primarily from current income while minimizing fluctuations in capital values by investing primarily in a diversified portfolio of short-term investment grade fixed income securities. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s,BBB- or higher by Standard & Poor’s or the equivalent by any NRSRO, or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Class II shares returned 4.45%, outperforming the 3.59% return of the Bloomberg Barclays U.S.1-3 Year Government Bond Index (the “benchmark”), which measures the performance of the U.S. Treasury and U.S. Agency Indexes with maturities of1-3 years, including Treasuries and U.S. agency debentures. It is a component of the U.S. Government/Credit Index and the U.S. Aggregate Index.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2019, U.S. Government bond yields fell sharply, in part due to the U.S. Federal Reserve Board’s (the Fed) easing of monetary policy. Credit spreads (i.e., the difference in yields between nearly identical bonds with comparable maturities but different quality ratings) also tightened, as the economy avoided recession. In the end, both factors contributed to healthy bond price appreciation for most investment-grade sectors. Shorter-maturity yields, where Fund holdings tend to be heavily focused, fell significantly, resulting in a meaningful decline in the overall Fund yield relative to 2018.
The Fund’s positioning in corporate bonds was a significant contributor to performance. The Fund had an overweight allocation to this sector, compared to the benchmark. Banking, leasing, and chemicals were the Fund industry holdings that were the top contributors to performance for the year. Secondary oil & gas producers, airlines, and aerospace were among the top detracting industry holdings. BBB quality positioning contributed to the Fund’s full-year performance. The Fund held an overweight allocation to this quality, on Fund management’s belief that BBB quality issuers have shown a willingness to take positive steps tode-lever to avoid downgrades to high yield. The Fund’s agency positions detracted, as a result of the Fund being underweight in the sector. (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes.)
The securitized sector was a positive contributor to Fund performance over the period, and the Fund held an overweight position in the sector. Asset-backed securities (ABS) were positive contributors to performance. The ABS sector continued to have a natural liquidity profile, and remained attractive compared to other asset classes. Commercial mortgage-backed securities and residential mortgage-backed securities both contributed positively to the Fund’s results for the year.
On the downside, the biggest detractor from the Fund’s relative performance was its positioning on duration – a measure of price sensitivity to changes in yields. At year end, the Fund’s duration was at 0.2 years, versus 1.9 years for the benchmark. The Fund’s position was held short for most of 2019, based on the Fund’s long-standing, rules-based approach to managing interest rate risk. Unfortunately, having a shorter duration than the benchmark in a year when market yields fell substantially resulted in a meaningful performance drag relative to the benchmark. Fortunately, excess returns from credit holdings in the Fund more than offset the drag from interest rate positioning in 2019.
The Fund uses derivative instruments on occasion for yield curve, duration, downside risk management, and to gain exposures. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Performance from derivatives added to performance in 2019.
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MML Short-Duration Bond Fund – Portfolio Manager Report (Unaudited)(Continued)
Subadviser outlook
To Fund management, it appears that the global growth outlook, though far from robust, is stabilizing after prompt policy support by global central banks – especially the Fed – helped alleviate recession fears. They believe that, after three rate cuts in 2019, the Fed is now likely on hold for a while as it monitors growth trends. In the view of Fund management, moving into 2020, modest positive growth could be supportive for risk assets, including corporate and securitized sectors. Still, Fund management believes security selection could be critical, as some sectors sport extended valuations – even as earnings have come down from prior healthy levels – and some corporate fundamentals remain stretched.
Despite modest weakness in 2019, Fund management believes that securitized sectors still represent good value, as they view that the U.S. consumer remains on solid ground amid strong employment and rising wages. Consequently, the Fund has maintained an overweight to the space.
Barring unexpected additional growth weakness, Fund management believes that U.S. government yields will likely be range bound in 2020, and that higher rates will only manifest alongside a sharppick-up in inflation expectations. Neither seemed likely to Fund management at year end.
MML Short-Duration Bond Fund Portfolio Characteristics | ||||
Non-U.S. Government Agency Obligations | 54.7 | % | ||
Corporate Debt | 37.1 | % | ||
U.S. Treasury Obligations | 2.5 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 1.9 | % | ||
Purchased Options | 0.7 | % | ||
Mutual Funds | 0.4 | % | ||
Municipal Obligations | 0.2 | % | ||
|
| |||
Total Long-Term Investments | 97.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
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MML Short-Duration Bond Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - CLASS II
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||||
Inception Date of Class | 1 Year | 5 Years | Since Inception 05/03/2010 | |||||
Class II | 05/03/2010 | 4.45% | 2.44% | 2.49% | ||||
Service Class I | 05/03/2010 | 4.17% | 2.19% | 2.24% | ||||
Bloomberg Barclays U.S.1-3 Year Government Bond Index | 3.59% | 1.40% | 1.19% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Small Cap Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Small Cap Equity Fund, and who is the Fund’s subadviser?
The Fund seeks capital appreciation by investing primarily in common stocks of small-capitalization U.S. companies that the Fund’s subadviser believes have favorable business trends or prospects based on fundamental analysis. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000® Index. The Fund’s subadviser is Invesco Advisers, Inc. (Invesco), which replaced OppenheimerFunds, Inc. effective May 24, 2019.
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Initial Class shares returned 26.46%, outperforming the 25.52% return of the Russell 2000 Index (the “benchmark), which measures the performance of thesmall-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2019, stock selection within the information technology, industrials, and communication services sectors was the primary driver of the Fund’s outperformance. Underperforming sectors included consumer discretionary, health care, and consumer staples, where stock selection detracted from the Fund’s full-year results.
From a Fund holding perspective, top contributors to the Fund’s relative performance during the year included Generac, CACI International, and MKS Instruments. Generac, a manufacturer of backup power generation products, experienced an uptick in its stock price, as investors continued to remain optimistic on the company’s future growth prospects in California as PG&E’s new rolling blackout policies created robust interest for Generac’s home standby generators. (Fund management trimmed the Fund’s position in the stock for risk management purposes.) CACI International is an information solutions and services company that supports national defense and government-related customers. Defensive names in general have been strong in the uncertain macroeconomic backdrop and spending in this area has remained robust. The company also delivered organic growth and margin expansion. At MKS Instruments – a global provider of instruments, subsystems and process control solutions that measure, monitor, deliver, analyze, power, and control critical parameters of advanced manufacturing processes – business activity stabilized despite concerns with the U.S.-China trade dispute and soft pricing in memory markets.
On the downside, Fund holdings that were top detractors from the Fund’s relative performance included Houghton Mifflin Harcourt, Nu Skin Enterprises, and Spirit Airlines. Publisher Houghton Mifflin Harcourt underperformed, as Florida, one of its larger markets, pushed back the implementation of a key textbook scheduled for introduction in 2019. Nu Skin’s sales in China (30% of sales) slowed down materially in 2019. Nu Skin is an American multi-level marketing (MLM) company that develops and sells personal care products. Chinese regulators imposed marketing constraints on all MLM companies in response to a consumer’s death due to improper treatment of an illness resulting from the improper marketing of product efficacy by one multi-level marketing company, unaffiliated with Nu Skin. Given the lack of visibility into the easing of such regulatory constraints, the Fund exited the position. Spirit Airlines faced headwinds during the year, including a spike in costs driven by poor execution from stretching the airline’s network too thin, runway construction at its main hub in Fort Lauderdale, and Hurricane Dorian.
Subadviser outlook
In the short term, Fund management expects the U.S. economy to continue to show economic growth, albeit at slower rates than in 2018 and early 2019 – driven by favorable consumer confidence, falling regulatory hurdles, and technological innovation. In their view, however, there are several warning signs on the horizon, including less synchronized global growth, further weakening transport volumes, poor Institute for Supply Management (ISM) purchasing managers’ surveys, and a recent flattening/inversion of the yield curve, implying a slowing economy. Although Fund management would not be surprised by a recession in 2020, it is not their base case assumption.
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MML Small Cap Equity Fund – Portfolio Manager Report (Unaudited)(Continued)
Fund management continues to maintain discipline around valuation and focus on companies with competitive advantages and skilled management teams that, in Fund management’s view, areout-executing their peers. Firms they seek for the Fund’s portfolio are those that offer high returns on invested capital, consistently strong pricing power, and/or rising market shares. During times of economic volatility, Fund management views that such companies frequently widen their lead over weaker competitors.
MML Small Cap Equity Fund Largest Holdings | ||||
Zynga, Inc. Class A | 2.3 | % | ||
ASGN, Inc. | 2.3 | % | ||
MKS Instruments, Inc. | 2.2 | % | ||
CACI International, Inc. Class A | 2.1 | % | ||
Korn Ferry | 2.1 | % | ||
WSFS Financial Corp. | 2.0 | % | ||
j2 Global, Inc. | 2.0 | % | ||
Matador Resources Co. | 2.0 | % | ||
Four Corners Property Trust, Inc. | 1.8 | % | ||
Generac Holdings, Inc. | 1.7 | % | ||
|
| |||
20.5 | % | |||
|
|
MML Small Cap Equity Fund Sector Table | ||||
Financial | 21.7 | % | ||
Consumer,Non-cyclical | 21.6 | % | ||
Industrial | 15.2 | % | ||
Technology | 14.2 | % | ||
Consumer, Cyclical | 12.7 | % | ||
Energy | 4.9 | % | ||
Mutual Funds | 3.6 | % | ||
Basic Materials | 3.5 | % | ||
Utilities | 3.3 | % | ||
Communications | 2.5 | % | ||
|
| |||
Total Long-Term Investments | 103.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | (3.2 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
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MML Small Cap Equity Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - INITIAL CLASS
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||||
Inception Date of Class | 1 Year | 5 Years | 10 Years | |||||
Initial Class | 06/01/1998 | 26.46% | 7.70% | 12.60% | ||||
Service Class | 08/15/2008 | 26.15% | 7.43% | 12.32% | ||||
Russell 2000 Index | 25.52% | 8.23% | 11.83% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Special Situations Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Special Situations Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing primarily in common stocks of U.S. companies that are involved in “special situations.” A special situation might include, for example, a recently announcedspin-off or divestiture, a change in dividend policy, involvement in a merger or acquisition transaction, a change in management, a significant change in ownership, or changes due to bankruptcy or insolvency process. The Fund may invest in companies of any market capitalization. The Fund will typically invest primarily in common stocks. When the Fund’s subadviser determines that there are an insufficient number of companies involved (or likely to be involved) in special situations, it may invest in any equity securities it considers to be consistent with the Fund’s objective of growth of capital over the long term. It may also invest in exchange-traded funds (ETFs) providing broad equity exposures or in derivatives, including swaps, futures contracts, and options, to gain broad exposures to equity markets. The Fund isnon-diversified, which means that it may hold larger positions in a smaller number of stocks than a diversified fund. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Class II shares returned 23.68%, significantly underperforming the 31.49% return of the S&P 500® Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Fund invests in many spinoffs, because when a company spins off a division into a separate company, it tends to unlock value in the shares. The pace of corporations spinning off divisions continued to slow in 2019. There were a total of 29 spinoffs in the past two years, compared to an average of 29 spinoffs per year in each of the previous four years.
Of the 31 companies that were spun off in the past three years that had a full year of returns, the average return for 2019 was 7.5% per Fund holding. There were 11 Fund holdings that had returns in 2019 of over 25%. Special situation investing is similar to growth stock investing – there are often big winners, but the median historical return is far below the average since the big losers dwarf the winners.
For the year ended December 31, 2019, Fund holding Covetrus, an animal health company that was spun off from Henry Schein, merged with Vets First Choice, an animal health prescription management software company. The combined company declined 29.6% in 2019, which detracted from the Fund’s performance.
Boosting the Fund’s returns for the year was Arcosa, an infrastructure construction maker that was spun off from Trinity Industries. Arcosa makes storage tanks, guardrails, windmill posts, and other goods that are purchased for large infrastructure projects. One of the largest Fund holdings, Arcosa rose 49.5% in 2019, which contributed to performance.
The Fund also owned Versum Materials, which sells gas and chemical delivery systems to the semiconductor industry. Versum was spun off from Air Products. Merck FGaA, a German chemical company, bought Versum in October. The shares were up 55% for the year, which also helped to drive the Fund’s full-year performance.
The Fund is permitted to use derivative instruments. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both. The Fund had a small loss from the use of derivative securities in 2019.
Subadviser outlook
The Fund owns many spinoffs, which tend to be small andmid-sized companies in the industrials sector. The trade war hurt the prospects of these companies because they are reliant on overseas sales, or they use the global supply chain for intermediate goods in their manufacturing processes. There have been positive developments in the trade war, which has benefited the Fund’s holdings. Consequently, Fund management expects the prospects of the Fund’s holdings to continue to improve if more good news on the trade front is forthcoming.
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MML Special Situations Fund – Portfolio Manager Report (Unaudited)(Continued)
MML Special Situations Fund Largest Holdings (% of Net Assets) on 12/31/19 | ||||
Keysight Technologies, Inc. | 9.5 | % | ||
Hewlett Packard Enterprise Co. | 8.3 | % | ||
Arcosa, Inc. | 8.1 | % | ||
PayPal Holdings, Inc. | 6.8 | % | ||
Zoetis, Inc. | 5.0 | % | ||
West Pharmaceutical Services, Inc. | 4.8 | % | ||
Dow, Inc. | 4.1 | % | ||
Allegion PLC | 3.8 | % | ||
Liberty Latin America Ltd. Class A | 3.7 | % | ||
Oshkosh Corp. | 3.1 | % | ||
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| |||
57.2 | % | |||
|
|
MML Special Situations Fund Sector Table (% of Net Assets) on 12/31/19 | ||||
Industrial | 30.8 | % | ||
Consumer,Non-cyclical | 22.9 | % | ||
Technology | 10.7 | % | ||
Basic Materials | 10.5 | % | ||
Communications | 10.2 | % | ||
Consumer, Cyclical | 6.7 | % | ||
Financial | 4.9 | % | ||
Energy | 2.1 | % | ||
|
| |||
Total Long-Term Investments | 98.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.2 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
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|
27
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MML Special Situations Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - CLASS II
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||
Inception Date of Class | 1 Year | Since Inception 05/15/2015 | ||||
Class II | 05/15/2015 | 23.68% | 6.97% | |||
Service Class I | 05/15/2015 | 23.50% | 6.72% | |||
S&P 500 Index | 31.49% | 11.78% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Strategic Emerging Markets Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth by investing mainly in common stocks of issuers in developing and emerging markets throughout the world and, at times, it may invest up to 100% of its total assets in foreign securities. Under normal market conditions, the Fund will invest at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities of issuers whose principal activities are in a developing (or emerging) market, i.e., are in a developing market or are economically tied to a developing market country. The Fund will invest in at least three developing markets. The Fund focuses on companies with above-average earnings growth. In general, countries may be considered developing or emerging markets if they are included in any one of the MSCI emerging markets indices, classified as a developing or emerging market, or classified under a similar or corresponding classification, by organizations such as the World Bank and the International Monetary Fund, or have economies, industries, and stock markets with similar characteristics. The Fund’s subadviser is Invesco Advisers, Inc. (Invesco), which replaced OppenheimerFunds, Inc. effective May 24, 2019.
How did the Fund perform during the 12 months ended December 31, 2019?
The Fund’s Service Class I Shares returned 25.18%, outperforming, by a wide margin, the 18.42% return of the MSCI® Emerging Markets Index (the “benchmark”), which measures the performance of the large and mid cap segments of emerging market equity securities.
For a discussion on the economic and market environment during the12-month period ended December 31, 2019, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended December 31, 2019, stock selection and an overweight allocation to the consumer discretionary sector, relative to the benchmark, as well as stock selection in the financials and health care sectors were the primary drivers of the Fund’s outperformance. Detracting from the Fund’s full-year performance was an underweight stake in the information technology sector and the Fund’s exposure to the consumer staples and real estate sectors. In terms of countries, stock selection in China was the main contributor to the Fund’s outperformance. Stock selection in France, which is not in the benchmark, and Argentina also contributed. Detractors from performance included stock selection in the U.K., which is not in the benchmark, as well as Chile. An underweight to Taiwan also hampered the Fund’s full-year returns.
From a Fund holding perspective, top performers for the year included Alibaba Group Holding Ltd. (consumer discretionary; China), Taiwan Semiconductor Manufacturing Co. Ltd. (TSMC) (information technology; Taiwan), and Kering SA (consumer discretionary; France). Alibaba is the long-standing leader in the Chinese ecommerce market. In 2019, the company’s sales increased 25% year-over-year, driven by 500 million participants, including international customers. TSMC is the world’s preeminent semiconductor foundry. The company has madein-house design and innovation a priority while placing a large emphasis on customer service, allowing them to capture 56% of the overall market. The company continues to deliver solid revenue growth on the back of strong demand in themid-range smartphone segment, increased graphic chip demand for AI (artificial intelligence), and its HPC (high power computing) division. Kering, domiciled in France, is the third-largest luxury group in the world. Over the last few years, Kering successfully transitioned to a focused luxury goods group with a significant focus on reaching millennial and Chinese consumers. The company has been able to create real competitive differentiation and tap into the evolving trends in the luxury market, without affecting heritage and classic buyers.
Fund holdings that were top detractors from the Fund’s full-year performance included S.A.C.I Falabella (consumer discretionary; Chile), Zee Entertainment Enterprises Ltd. (communication services; India), and Glencore plc (materials; U.K.). Falabella is apan-Latin American retailer that operates across various segments, including food retail, department stores, home improvement stores, and financial services. Falabella’s main revenue source is Chile, where a state of emergency was declared by President Sebastian Pinera after violent protests broke out across the country at the end of October. Chileans have been protesting issues relating to the increased cost of living, which directly impact retail sales across the country. As a result of the violence, many of Falabella’s retail locations were closed, which was detrimental to the company’s share price. Zee Entertainment is a global media conglomerate with a presence in 173 countries that broadcasts entertainment in 19 languages to an audience of approximately 1.3 billion people. While Zee continues to expand and innovate, this was largely overshadowed in 2019 by a share overhang caused by the need for the company’s promoter, Essel Group, to unwind the majority of its stake in Zee, including
29
Table of Contents
MML Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited)(Continued)
selling a stake to Invesco Oppenheimer Developing Markets Fund. While this has largely been accomplished, Fund management believes it may take some time for investors to refocus on the long-term fundamentals of the company. Glencore is one of the world’s leading producers and marketers of commodities and one of the most diversified. In 2019, base metals continued to face headwinds from the U.S.-China trade war, leading to an environment of uncertainty that has created a drag on global growth.
Subadviser outlook
Fund management continues to believe that emerging markets (EM) should be an increasingly core allocation for global investors. EM now represents a meaningful portion of global gross domestic product (GDP) and is the largest contributor to global growth. Fund management believes most investors are still under-allocated to the asset class and, especially for those who invest through passive vehicles, to the areas of EM that exhibit the most attractive growth characteristics.
As we enter 2020, Fund management’s approach to investing and the positioning of the Fund remain unchanged. They seek to make long-term investments in extraordinary companies that have massive competitive advantages and real options that manifest themselves over many years. The Fund has exposure to sectors and industries where Fund management sees dynamic change and potential for real value to be extracted – includinge-commerce, cloud computing, internet services, health care, travel, and education.
MML Strategic Emerging Markets Fund (% of Net Assets) on 12/31/19 | ||||
Alibaba Group Holding Ltd. Sponsored ADR | 7.0 | % | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 5.4 | % | ||
Kering SA | 5.2 | % | ||
Tencent Holdings Ltd. | 5.0 | % | ||
Novatek PJSC Sponsored GDR Registered | 4.7 | % | ||
Housing Development Finance Corp. Ltd. | 4.6 | % | ||
AIA Group Ltd. | 3.5 | % | ||
Kotak Mahindra Bank Ltd. | 2.9 | % | ||
Huazhu Group Ltd. ADR | 2.9 | % | ||
Fomento Economico Mexicano SAB de CV | 2.7 | % | ||
|
| |||
43.9 | % | |||
|
|
MML Strategic Emerging Markets Fund Sector Table (% of Net Assets) on 12/31/19 | ||||
Financial | 27.3 | % | ||
Consumer, Cyclical | 18.7 | % | ||
Communications | 15.8 | % | ||
Consumer,Non-cyclical | 14.3 | % | ||
Technology | 7.5 | % | ||
Energy | 5.2 | % | ||
Industrial | 4.4 | % | ||
Basic Materials | 4.3 | % | ||
Mutual Funds | 0.8 | % | ||
|
| |||
Total Long-Term Investments | 98.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.7 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
30
Table of Contents
MML Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited)(Continued)
GROWTH OF $10,000 INVESTMENT - SERVICE CLASS I
The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.
Average Annual Total Returns(for the periods ended 12/31/2019) | ||||||||
Inception Date of Class | 1 Year | 5 Years | 10 Years | |||||
Class II | 05/01/2009 | 25.53% | 6.12% | 2.33% | ||||
Service Class I | 08/27/2008 | 25.18% | 5.88% | 2.08% | ||||
MSCI Emerging Markets Index | 18.42% | 5.61% | 3.68% |
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance results in the graph and table reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.
Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.
Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
31
Table of Contents
December 31, 2019
Number of Shares | Value | |||||||
EQUITIES — 23.5% |
| |||||||
COMMON STOCK — 23.5% |
| |||||||
Communications — 2.2% |
| |||||||
Internet — 0.9% |
| |||||||
Rightmove PLC | 35,000 | $ | 294,330 | |||||
|
| |||||||
Media — 0.9% |
| |||||||
Fox Corp. Class A | 8,000 | 296,560 | ||||||
|
| |||||||
Telecommunications — 0.4% |
| |||||||
NTT DOCOMO, Inc. | 5,600 | 156,494 | ||||||
|
| |||||||
747,384 | ||||||||
|
| |||||||
Consumer, Cyclical — 3.2% |
| |||||||
Distribution & Wholesale — 3.2% |
| |||||||
Pool Corp. | 5,100 | 1,083,138 | ||||||
|
| |||||||
Consumer,Non-cyclical — 2.4% |
| |||||||
Health Care – Products — 0.7% |
| |||||||
Advanced Medical Solutions Group PLC | 54,682 | 215,371 | ||||||
|
| |||||||
Health Care – Services — 1.0% |
| |||||||
Fresenius SE & Co. KGaA | 5,900 | 333,032 | ||||||
|
| |||||||
Household Products & Wares — 0.7% |
| |||||||
Henkel AG & Co. KGaA | 2,000 | 188,323 | ||||||
Portmeirion Group PLC | 5,600 | 59,547 | ||||||
|
| |||||||
247,870 | ||||||||
|
| |||||||
796,273 | ||||||||
|
| |||||||
Energy — 1.8% |
| |||||||
Oil & Gas — 1.8% |
| |||||||
Marathon Petroleum Corp. | 10,000 | 602,500 | ||||||
|
| |||||||
Financial — 5.9% |
| |||||||
Diversified Financial Services — 5.9% |
| |||||||
Mastercard, Inc. Class A | 5,300 | 1,582,527 | ||||||
Visa, Inc. Class A | 2,200 | 413,380 | ||||||
|
| |||||||
1,995,907 | ||||||||
|
| |||||||
Industrial — 4.3% |
| |||||||
Building Materials — 0.3% |
| |||||||
Breedon Group PLC (a) | 88,437 | 97,315 | ||||||
|
| |||||||
Electronics — 1.5% |
| |||||||
Halma PLC | 17,600 | 494,096 | ||||||
|
| |||||||
Hand & Machine Tools — 0.5% |
| |||||||
Schindler Holding AG | 700 | 178,104 | ||||||
|
| |||||||
Machinery – Diversified — 2.0% |
| |||||||
Keyence Corp. | 800 | 283,162 | ||||||
Roper Technologies, Inc. | 1,100 | 389,653 | ||||||
|
| |||||||
672,815 | ||||||||
|
| |||||||
1,442,330 | ||||||||
|
| |||||||
Technology — 3.7% |
| |||||||
Computers — 2.8% |
| |||||||
Fortinet, Inc. (a) | 8,800 | 939,488 | ||||||
|
|
Number of Shares | Value | |||||||
Software — 0.9% |
| |||||||
EMIS Group PLC | 11,800 | $ | 173,406 | |||||
Nexus AG | 3,400 | 132,174 | ||||||
|
| |||||||
305,580 | ||||||||
|
| |||||||
1,245,068 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $5,569,154) | 7,912,600 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $5,569,154) | 7,912,600 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 23.6% |
| |||||||
U.S. TREASURY OBLIGATIONS — 23.6% |
| |||||||
U.S. Treasury Bonds & Notes — 23.6% |
| |||||||
U.S. Treasury Note | $ | 8,000,000 | 7,963,109 | |||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,955,781) | 7,963,109 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $7,955,781) | 7,963,109 | |||||||
|
| |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 52.0% |
| |||||||
Diversified Financial Services — 52.0% |
| |||||||
iShares MSCI Brazil Capped Index Fund (b) | 36,000 | 1,708,200 | ||||||
iShares MSCI India ETF | 6,600 | 231,990 | ||||||
iShares MSCI Mexico ETF | 17,000 | 765,510 | ||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 4,612,565 | 4,612,565 | ||||||
Vanguard Short-Term Bond ETF (b) | 82,000 | 6,610,020 | ||||||
Vanguard Total Stock Market ETF (b) | 22,200 | 3,632,364 | ||||||
|
| |||||||
17,560,649 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $16,357,044) | 17,560,649 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.5% (Cost $64,000) | 160,000 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $29,945,979) | 33,596,358 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
32
Table of Contents
MML Asset Momentum Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 17.2% |
| |||||||
Repurchase Agreement — 17.2% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (e) | $ | 5,798,441 | $ | 5,798,441 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,798,441) | 5,798,441 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 116.8% (Cost $35,744,420) (f) | 39,394,799 | |||||||
Other Assets/(Liabilities) — (16.8)% | (5,660,408 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 33,734,391 | ||||||
|
|
Abbreviation Legend
ETF | Exchange-Traded Fund |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $4,517,367 or 13.39% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments.(Note 2). |
(c) | Represents investment of security lending cash collateral.(Note 2). |
(d) | A portion of this security is pledged/held as collateral for open derivatives.(Note 2). |
(e) | Maturity value of $5,798,698. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $5,918,120. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
(#) Exchange-Traded Options Purchased
Description | Expiration Date | Exercise Price | No. of Contracts | Notional Amount | Value | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
Alerian MLP ETF | 1/17/20 | 8.00 | 3,200 | USD 2,560,000 | $ | 160,000 | $ | 64,000 | $ | 96,000 | ||||||||||||||||||
|
|
|
|
|
|
Forward contracts
Counterparty | Settlement Date | Currency Purchased | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||||||
HSBC Bank USA* | 3/05/20 | AUD | 1,960,000 | NZD | 2,041,921 | $ | 1,731 | |||||||||||||
|
|
* | Contracts are subject to a Master Netting Agreement. |
Futures contracts
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Long | ||||||||||||||||
Nasdaq 100 E Mini Index | 3/20/20 | 32 | $ | 5,395,799 | $ | 205,641 | ||||||||||
S&P 500 E Mini Index | 3/20/20 | 111 | 17,460,602 | 472,003 | ||||||||||||
|
| |||||||||||||||
$ | 677,644 | |||||||||||||||
|
|
Currency Legend
AUD | Australian Dollar |
NZD | New Zealand Dollar |
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
33
Table of Contents
December 31, 2019
Principal Amount | Value | |||||||
BONDS & NOTES — 99.2% |
| |||||||
BANK LOANS — 2.5% |
| |||||||
Advertising — 0.0% |
| |||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, 1 mo. LIBOR + 3.500% | $ | 9,975 | $ | 10,021 | ||||
|
| |||||||
Aerospace & Defense — 0.1% |
| |||||||
TransDigm, Inc., 2018 Term Loan F, 1 mo. LIBOR + 2.500% | 171,738 | 172,203 | ||||||
WP CPP Holdings LLC, 2018 Term Loan, 3 mo. LIBOR + 3.750% | 100,000 | 99,125 | ||||||
|
| |||||||
271,328 | ||||||||
|
| |||||||
Airlines — 0.1% |
| |||||||
American Airlines, Inc., 2017 Incremental Term Loan, 1 mo. LIBOR + 2.000% 3.740% VRN 12/14/23 | 204,853 | 205,451 | ||||||
Kestrel Bidco Inc., Term Loan B, | 95,000 | 95,764 | ||||||
|
| |||||||
301,215 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.0% |
| |||||||
Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.500% | 39,900 | 39,975 | ||||||
|
| |||||||
Biotechnology — 0.0% |
| |||||||
Aldevron LLC, 2019 Term Loan B, | 130,000 | 131,300 | ||||||
|
| |||||||
Chemicals — 0.1% |
| |||||||
Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, 3 mo. LIBOR + 1.750% | 317,243 | 317,684 | ||||||
GrafTech Finance, Inc., 2018 Term Loan B, 3 mo. LIBOR + 3.500% | 44,562 | 44,395 | ||||||
|
| |||||||
362,079 | ||||||||
|
| |||||||
Commercial Services — 0.1% |
| |||||||
AlixPartners LLP, 2017 Term Loan B, 1 mo. LIBOR + 2.750% | 194,500 | 195,412 | ||||||
Allied Universal Holdco LLC | 100,090 | 100,591 | ||||||
2019 Delayed Draw Term Loan, | 9,910 | 9,959 |
Principal Amount | Value | |||||||
Trans Union LLC, 2019 Term Loan B5, 1 mo. LIBOR + 1.750% | $ | 192,250 | $ | 192,906 | ||||
|
| |||||||
498,868 | ||||||||
|
| |||||||
Computers — 0.1% |
| |||||||
Dell International LLC, 2019 Term Loan B, 1 mo. LIBOR + 2.000% | 205,097 | 206,354 | ||||||
Tempo Acquisition LLC, Term Loan, 1 mo. LIBOR + 2.750% | 156,347 | 157,162 | ||||||
|
| |||||||
363,516 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.2% |
| |||||||
American Tire Distributors Holdings, Inc, 2015 Term Loan, 3 mo. LIBOR + 7.500% | 3,420 | 3,035 | ||||||
American Tire Distributors Holdings, Inc., 2015 Term Loan, 1 mo. LIBOR + 7.500% | 26,505 | 23,523 | ||||||
HD Supply, Inc., Term Loan B5, 1 mo. LIBOR + 1.750% | 322,550 | 324,402 | ||||||
IAA, Inc., Term Loan B, 1 mo. LIBOR + 2.250% | 305,550 | 307,842 | ||||||
|
| |||||||
658,802 | ||||||||
|
| |||||||
Diversified Financial Services — 0.0% |
| |||||||
Deerfield Dakota Holding LLC, 2018 Term Loan B, 3 mo. LIBOR + 3.250% | 39,898 | 39,727 | ||||||
|
| |||||||
Electric — 0.1% |
| |||||||
Calpine Corp., Term Loan B9, 3 mo. LIBOR + 2.250% | 314,672 | 316,261 | ||||||
Vistra Operations Co. LLC, 1st Lien Term Loan B3, 1 mo. LIBOR + 1.750% | 207,131 | 208,260 | ||||||
|
| |||||||
524,521 | ||||||||
|
| |||||||
Electronics — 0.0% |
| |||||||
Vertafore, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.250% | 104,736 | 103,402 | ||||||
|
| |||||||
Entertainment — 0.1% |
| |||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.000% | 199,441 | 199,975 | ||||||
|
| |||||||
Environmental Controls — 0.1% |
| |||||||
Filtration Group Corp., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.000% | 202,996 | 203,617 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
34
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Financial Services — 0.0% |
| |||||||
Blackhawk Network Holdings, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.000% | $ | 126,343 | $ | 126,211 | ||||
|
| |||||||
Foods — 0.1% |
| |||||||
Hearthside Food Solutions LLC, 2018 Term Loan B, 3 mo. LIBOR + 3.687% | 24,937 | 24,637 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc., 2019 Term Loan B, 1 mo. LIBOR + 2.000% | 204,309 | 205,501 | ||||||
US Foods, Inc., 2019 Term Loan B, | 199,500 | 200,186 | ||||||
|
| |||||||
430,324 | ||||||||
|
| |||||||
Health Care – Services — 0.1% |
| |||||||
Catalent Pharma Solutions, Inc., Term | 99,499 | 99,778 | ||||||
Gentiva Health Services, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.750% | 199,590 | 200,465 | ||||||
Jaguar Holding Co. II, 2018 Term Loan, 1 mo. LIBOR + 2.500% | 99,479 | 99,943 | ||||||
|
| |||||||
400,186 | ||||||||
|
| |||||||
Holding Company – Diversified — 0.0% |
| |||||||
Travelport Finance (Luxembourg) S.a.r.l., 2019 Term Loan, 3 mo. LIBOR + 5.000% | 34,913 | 32,539 | ||||||
|
| |||||||
Household Products — 0.0% |
| |||||||
Diamond (BC) B.V., USD Term Loan, 3 mo. LIBOR + 3.000% | 34,911 | 34,108 | ||||||
|
| |||||||
Insurance — 0.1% |
| |||||||
Acrisure LLC, 2017 Term Loan B, 3 mo. LIBOR + 4.250% | 124,364 | 124,519 | ||||||
AssuredPartners, Inc., 2017 1st LienAdd-On Term Loan, 1 mo. LIBOR + 3.500% | 154,128 | 154,475 | ||||||
Sedgwick Claims Management Services, Inc., 2019 Term Loan B, 1 mo. LIBOR + 4.000% | 34,825 | 35,108 | ||||||
|
| |||||||
314,102 | ||||||||
|
|
Principal Amount | Value | |||||||
Internet — 0.0% |
| |||||||
ION Trading Technologies S.a.r.l., | $ | 19,949 | $ | 19,101 | ||||
Uber Technologies, Inc., Term Loan, | 59,848 | 59,677 | ||||||
|
| |||||||
78,778 | ||||||||
|
| |||||||
Investment Companies — 0.1% |
| |||||||
RPI Finance Trust, Term Loan B6, | 196,001 | 197,503 | ||||||
UFC Holdings LLC, 2019 Term Loan, | 199,292 | 200,454 | ||||||
|
| |||||||
397,957 | ||||||||
|
| |||||||
Lodging — 0.1% |
| |||||||
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 1 mo. LIBOR + 2.750% | 159,593 | 159,759 | ||||||
Hilton Worldwide Finance LLC, 2019 Term Loan B2, 1 mo. LIBOR + 1.750% | 100,000 | 100,625 | ||||||
|
| |||||||
260,384 | ||||||||
|
| |||||||
Media — 0.2% |
| |||||||
Cengage Learning, Inc., 2016 Term Loan B, 3 mo. LIBOR + 4.25.000% | 44,884 | 42,752 | ||||||
CSC Holdings LLC, 2019 Term Loan B5, 1 mo. LIBOR + 2.500% | 204,230 | 204,909 | ||||||
E.W. Scripps Co.(The), Incremental, Term Loan B1, 1 mo. LIBOR + 2.750% | 309,378 | 310,346 | ||||||
Gray Television, Inc., 2018 Term Loan C, 1 mo. LIBOR + 2.500% | 181,651 | 182,674 | ||||||
|
| |||||||
740,681 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% |
| |||||||
Berry Global, Inc., USD Term Loan U, 3 mo. LIBOR + 2.500% | 205,318 | 205,660 | ||||||
Flex Acquisition Co., Inc., 1st Lien Term Loan, 3 mo. LIBOR + 3.000% | 50,000 | 49,521 | ||||||
|
| |||||||
255,181 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
35
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Pipelines — 0.0% |
| |||||||
Buckeye Partners LP, 2019 Term Loan B, 1 mo. LIBOR + 2.750% | $ | 70,000 | $ | 70,554 | ||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.1% |
| |||||||
ESH Hospitality, Inc., 2019 Term Loan B, 1 mo. LIBOR + 2.000% | 51,025 | 51,427 | ||||||
Iron Mountain, Inc., 2018 Term Loan B, 1 mo. LIBOR + 1.750% | 184,366 | 183,732 | ||||||
VICI Properties 1 LLC, Replacement Term Loan B, 1 mo. LIBOR + 2.000% | 205,923 | 206,774 | ||||||
|
| |||||||
441,933 | ||||||||
|
| |||||||
Retail — 0.1% |
| |||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, 1 mo. LIBOR + 1.750% | 190,000 | 190,188 | ||||||
EG America LLC, 2018 USD Term Loan, 3 mo. LIBOR + 4.000% | 24,937 | 24,796 | ||||||
IRB Holding Corp, 1st Lien Term Loan, 3 mo. LIBOR + 3.250% | 144,266 | 145,028 | ||||||
PetSmart, Inc., Consenting Term Loan, 1 mo. LIBOR + 4.000% | 60,000 | 59,281 | ||||||
|
| |||||||
419,293 | ||||||||
|
| |||||||
Software — 0.3% |
| |||||||
Almonde, Inc. | 82,297 | 81,611 | ||||||
USD 1st Lien Term Loan, 2 mo. LIBOR + 3.500% | 12,703 | 12,598 | ||||||
Ascend Learning LLC, 2017 Term Loan B, | 104,466 | 105,054 | ||||||
Change Healthcare Holdings LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.500% | 98,543 | 98,805 | ||||||
DCert Buyer, Inc., 2019 Term Loan B, | 80,000 | 80,180 | ||||||
Hyland Software, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.500% | 199,495 | 200,368 | ||||||
Informatica LLC, 2018 USD Term Loan, 1 mo. LIBOR + 3.250% | 69,629 | 69,865 |
Principal Amount | Value | |||||||
Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, 3 mo. LIBOR + 3.500% | $ | 99,744 | $ | 99,807 | ||||
Sophia, L.P., 2017 Term Loan B, | 199,597 | 199,954 | ||||||
SS&C Technologies, Inc., 2018 Term Loan B5, 1 mo. LIBOR + 2.250% | 257,799 | 259,385 | ||||||
|
| |||||||
1,207,627 | ||||||||
|
| |||||||
Telecommunications — 0.2% |
| |||||||
Avaya, Inc., 2018 Term Loan B, | 35,000 | 34,282 | ||||||
Level 3 Financing, Inc., 2019 Term | 209,996 | 210,653 | ||||||
MLN US HoldCo LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.500% | 19,950 | 18,803 | ||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, 1 mo. LIBOR + 2.750% | 204,201 | 205,152 | ||||||
Sprint Communications, Inc., 1st Lien Term Loan B, 1 mo. LIBOR + 2.500% | 209,234 | 207,194 | ||||||
Virgin Media Bristol LLC, USD Term Loan N, 1 mo. LIBOR + 2.500% | 100,000 | 100,563 | ||||||
|
| |||||||
776,647 | ||||||||
|
| |||||||
Transportation — 0.0% |
| |||||||
Genesee & Wyoming, Inc., Term Loan, | 75,000 | 75,643 | ||||||
|
| |||||||
TOTAL BANK LOANS (Cost $9,841,886) | 9,770,494 | |||||||
|
| |||||||
CORPORATE DEBT — 28.4% |
| |||||||
Advertising — 0.1% |
| |||||||
The Interpublic Group of Cos., Inc. | 445,000 | 546,177 | ||||||
|
| |||||||
Aerospace & Defense — 0.2% |
| |||||||
Bombardier, Inc. | 120,000 | 119,964 | ||||||
Lockheed Martin Corp. | 420,000 | 534,059 | ||||||
TransDigm, Inc. | 100,000 | 101,123 | ||||||
6.250% 3/15/26 (b) | 150,000 | 162,391 | ||||||
6.375% 6/15/26 | 60,000 | 63,637 | ||||||
|
| |||||||
981,174 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
36
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Agriculture — 0.6% |
| |||||||
Altria Group, Inc. | $ | 475,000 | $ | 529,466 | ||||
BAT Capital Corp. | 795,000 | 804,269 | ||||||
Imperial Brands Finance PLC | 265,000 | 266,549 | ||||||
JBS Investments II GmbH | 600,000 | 632,700 | ||||||
|
| |||||||
2,232,984 | ||||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
Delta Air Lines, Inc. | 520,000 | 539,580 | ||||||
Guanay Finance Ltd. | 168,376 | 170,271 | ||||||
Latam Finance Ltd. | 200,000 | 211,302 | ||||||
7.000% 3/01/26 (b) | 300,000 | 324,753 | ||||||
|
| |||||||
1,245,906 | ||||||||
|
| |||||||
Auto Manufacturers — 0.4% |
| |||||||
Ford Motor Co. | 115,000 | 136,673 | ||||||
General Motors Co. 3 mo. USD | 210,000 | 210,305 | ||||||
General Motors Financial Co., Inc. | 575,000 | 571,562 | ||||||
Volkswagen Group of America Finance LLC | 700,000 | 745,992 | ||||||
|
| |||||||
1,664,532 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.0% |
| |||||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. | 115,000 | 123,913 | ||||||
|
| |||||||
Banks — 4.5% |
| |||||||
Banco Bilbao Vizcaya Argentaria Colombia SA | 150,000 | 160,314 | ||||||
Banco Bradesco SA/Cayman Islands | 200,000 | 210,702 | ||||||
Banco de Reservas de la Republica Dominicana | 200,000 | 210,252 | ||||||
Banco do Brasil SA 10 year CMT + 4.398% | 500,000 | 507,380 | ||||||
Banco Macro SA 5 year USD Swap + 5.463% | 500,000 | 405,000 |
Principal Amount | Value | |||||||
Banco Mercantil del Norte SA/Grand Cayman | $ | 200,000 | $ | 206,752 | ||||
5 year CMT + 5.035% | 200,000 | 209,002 | ||||||
10 year CMT + 5.353% | 600,000 | 641,256 | ||||||
Banco Santander SA 3 mo. USD | 400,000 | 402,524 | ||||||
Bancolombia SA 5 year CMT + 2.929% | 400,000 | 408,600 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + 1.210% | 435,000 | 477,573 | ||||||
Bank of Montreal 5 year USD | 370,000 | 385,891 | ||||||
Bank of New Zealand | 530,000 | 554,077 | ||||||
Barclays PLC 3 mo. USD | 425,000 | 429,854 | ||||||
BBVA Bancomer SA 5 year CMT + 2.650% | 1,000,000 | 1,008,760 | ||||||
BDO Unibank, Inc. | 300,000 | 302,353 | ||||||
BNP Paribas SA | 395,000 | 410,261 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 1.100% | 750,000 | 759,949 | ||||||
Commonwealth Bank of Australia | 505,000 | 547,570 | ||||||
Credit Agricole SA | 535,000 | 559,665 | ||||||
Credit Suisse Group AG 3 mo. USD LIBOR + 1.240% | 430,000 | 435,148 | ||||||
DBS Group Holdings Ltd. 5 year USD Swap + 2.390% | 600,000 | 603,750 | ||||||
Gilex Holding Sarl | 150,000 | 161,064 | ||||||
8.500% 5/02/23 (b) | 150,000 | 161,064 | ||||||
HSBC Holdings PLC 3 mo. USD LIBOR + 1.380% | 835,000 | 845,539 | ||||||
Industrial Senior Trust | 100,000 | 104,501 |
The accompanying notes are an integral part of the financial statements.
37
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Lloyds Banking Group PLC 3 mo. USD LIBOR + 1.205% | $ | 400,000 | $ | 417,954 | ||||
Macquarie Group Ltd. | 260,000 | 265,720 | ||||||
3 mo. USD LIBOR + 1.330% | 280,000 | 294,274 | ||||||
Malayan Banking Bhd 5 year USD Swap + 2.542% | 600,000 | 609,960 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 495,000 | 496,255 | ||||||
Morgan Stanley 3 mo. USD LIBOR + 1.340% | 505,000 | 536,973 | ||||||
Royal Bank of Scotland Group PLC | 285,000 | 291,971 | ||||||
Scotiabank Peru SAA 3 mo. USD | 100,000 | 103,251 | ||||||
Sumitomo Mitsui Financial Group, Inc. 3 mo. USD LIBOR + .740% | 815,000 | 818,781 | ||||||
The Bank of Nova Scotia | 390,000 | 408,661 | ||||||
The Goldman Sachs Group, Inc. | 665,000 | 671,914 | ||||||
Union Bank of the Philippines | 400,000 | 409,489 | ||||||
United Overseas Bank Ltd. 5 year USD Swap + 1.794% | 500,000 | 508,653 | ||||||
Wells Fargo & Co. | 265,000 | 266,842 | ||||||
3 mo. USD LIBOR + 1.170% | 245,000 | 254,228 | ||||||
Westpac Banking Corp. 3 mo. USD LIBOR + .720% | 535,000 | 538,566 | ||||||
|
| |||||||
18,002,293 | ||||||||
|
| |||||||
Beverages — 0.2% |
| |||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 160,000 | 189,780 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 290,000 | 331,877 | ||||||
Constellation Brands, Inc. | 135,000 | 136,549 |
Principal Amount | Value | |||||||
Cott Holdings, Inc. | $ | 45,000 | $ | 47,025 | ||||
|
| |||||||
705,231 | ||||||||
|
| |||||||
Building Materials — 0.1% |
| |||||||
Builders FirstSource, Inc. | 148,000 | 153,920 | ||||||
Owens Corning | 275,000 | 266,028 | ||||||
|
| |||||||
419,948 | ||||||||
|
| |||||||
Chemicals — 0.5% |
| |||||||
DuPont de Nemours, Inc. | 435,000 | 536,738 | ||||||
Nutrien Ltd. | 455,000 | 501,359 | ||||||
Sociedad Quimica y Minera de Chile SA | 200,000 | 209,800 | ||||||
Syngenta Finance NV | 600,000 | 625,562 | ||||||
UPL Corp. Ltd. | 200,000 | 200,708 | ||||||
|
| |||||||
2,074,167 | ||||||||
|
| |||||||
Coal — 0.1% |
| |||||||
Peabody Energy Corp. | 130,000 | 126,750 | ||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. | 150,000 | 144,250 | ||||||
|
| |||||||
271,000 | ||||||||
|
| |||||||
Commercial Services — 0.3% |
| |||||||
Adani Ports & Special Economic Zone Ltd. | 200,000 | 204,822 | ||||||
ENA Norte Trust | 118,213 | 122,056 | ||||||
Garda World Security Corp., 2017 Term Loan, | 135,000 | 140,400 | ||||||
MPH Acquisition Holdings LLC | 160,000 | 154,800 | ||||||
Refinitiv US Holdings, Inc. | 210,000 | 229,162 | ||||||
United Rentals North America, Inc. | 60,000 | 64,578 | ||||||
6.500% 12/15/26 | 190,000 | 208,822 | ||||||
Verscend Escrow Corp. | 237,000 | 259,219 | ||||||
|
| |||||||
1,383,859 | ||||||||
|
| |||||||
Computers — 0.1% |
| |||||||
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. | 205,000 | 211,663 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
38
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Distribution & Wholesale — 0.0% |
| |||||||
Performance Food Group, Inc. | $ | 115,000 | $ | 122,906 | ||||
|
| |||||||
Diversified Financial Services — 2.1% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 450,000 | 463,963 | ||||||
Air Lease Corp. | 470,000 | 484,041 | ||||||
Allied Universal Holdco LLC | 140,000 | 150,458 | ||||||
Allied Universal Holdco LLC / Allied Universal Finance Corp. | 60,000 | 64,096 | ||||||
American Express Co. | 540,000 | 546,451 | ||||||
Avolon Holdings Funding Ltd. | 330,000 | 343,893 | ||||||
5.250% 5/15/24 (b) | 155,000 | 169,195 | ||||||
Banco BTG Pactual SA 5 year CMT + 5.257% | 400,000 | 423,504 | ||||||
BOC Aviation Ltd. 3 mo. USD LIBOR + 1.125% | 565,000 | 567,701 | ||||||
Capital One Financial Corp. 3 mo. USD LIBOR + .720% | 140,000 | 140,140 | ||||||
Credito Real SAB de CV SOFOM ER 5 year CMT + 7.026% | 200,000 | 210,252 | ||||||
Discover Financial Services | 570,000 | 614,234 | ||||||
Docuformas SAPI de CV | 200,000 | 202,752 | ||||||
Global Aircraft Leasing Co. Ltd. | 155,000 | 161,735 | ||||||
Interoceanica IV Finance Ltd. | 799,880 | 729,155 | ||||||
Nationstar Mortgage Holdings, Inc. | 125,000 | 132,315 | ||||||
NFP Corp. | 240,000 | 240,600 | ||||||
SPARC EM SPC Panama Metro Line 2 SP | 443,885 | 426,134 | ||||||
0.010% 12/05/22 (b) | 380,473 | 365,257 | ||||||
Springleaf Finance Corp. | 55,000 | 57,409 | ||||||
6.625% 1/15/28 | 120,000 | 135,456 | ||||||
SURA Asset Management SA | 200,000 | 215,002 | ||||||
Synchrony Financial | 500,000 | 525,536 |
Principal Amount | Value | |||||||
The Charles Schwab Corp. | $ | 465,000 | $ | 490,657 | ||||
Unifin Financiera SAB de CV 5 year CMT + 6.308% | 600,000 | 551,256 | ||||||
|
| |||||||
8,411,192 | ||||||||
|
| |||||||
Electric — 3.8% |
| |||||||
AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It | 500,000 | 530,630 | ||||||
AES Gener SA | 200,000 | 205,000 | ||||||
5 year CMT + 4.917% | 200,000 | 205,000 | ||||||
5 year USD Swap + 4.644% | 400,000 | 420,095 | ||||||
American Electric Power Co., Inc. | 313,000 | 318,980 | ||||||
Calpine Corp. | 55,000 | 55,488 | ||||||
5.125% 3/15/28 (b) | 100,000 | 102,070 | ||||||
5.250% 6/01/26 (b) | 170,000 | 177,013 | ||||||
Cometa Energia SA de CV | 581,400 | 632,273 | ||||||
DTE Energy Co. | 500,000 | 529,376 | ||||||
Duke Energy Corp. | 90,000 | 93,100 | ||||||
3.950% 8/15/47 | 240,000 | 254,236 | ||||||
Duke Energy Florida LLC | 1,000,000 | 1,045,770 | ||||||
Duke Energy Progress, Inc. | 315,000 | 356,129 | ||||||
Empresa de Transmision Electrica SA | 200,000 | 227,502 | ||||||
Empresa Electrica Angamos SA | 165,200 | 170,139 | ||||||
Empresa Electrica Guacolda SA | 400,000 | 364,041 | ||||||
Energuate Trust | 200,000 | 206,500 | ||||||
Engie Energia Chile SA | 200,000 | 212,173 | ||||||
Eversource Energy | 1,000,000 | 1,014,956 | ||||||
Exelon Corp. | 750,000 | 783,637 | ||||||
Georgia Power Co. | 540,000 | 540,069 | ||||||
Inkia Energy Ltd. | 400,000 | 417,004 |
The accompanying notes are an integral part of the financial statements.
39
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
LLPL Capital Pte Ltd. | $ | 296,460 | $ | 344,694 | ||||
Minejesa Capital BV | 600,000 | 621,017 | ||||||
Monongahela Power Co. | 210,000 | 271,698 | ||||||
NextEra Energy Capital Holdings, Inc. | 280,000 | 297,499 | ||||||
Oncor Electric Delivery Co. LLC | 535,000 | 522,931 | ||||||
Orazul Energy Egenor SCA | 200,000 | 205,750 | ||||||
Pampa Energia SA | 250,000 | 213,077 | ||||||
9.125% 4/15/29 (b) | 150,000 | 129,375 | ||||||
PSEG Power LLC | 340,000 | 356,852 | ||||||
Sierra Pacific Power Co. | 1,000,000 | 1,005,630 | ||||||
Southern California Edison Co. | 260,000 | 273,742 | ||||||
Star Energy Geothermal Wayang Windu Ltd. | 552,000 | 584,016 | ||||||
Stoneway Capital Corp. | 309,954 | 196,046 | ||||||
Transelec SA | 250,000 | 255,940 | ||||||
Xcel Energy, Inc. | 1,000,000 | 1,044,362 | ||||||
|
| |||||||
15,183,810 | ||||||||
|
| |||||||
Electronics — 0.1% |
| |||||||
Arrow Electronics, Inc. | 290,000 | 297,164 | ||||||
|
| |||||||
Engineering & Construction — 0.3% |
| |||||||
AECOM | 160,000 | 172,000 | ||||||
Aeropuerto Internacional de Tocumen SA | 200,000 | 235,252 | ||||||
Sydney Airport Finance Co. Pty Ltd. | 300,000 | 310,178 | ||||||
3.625% 4/28/26 (b) | 300,000 | 314,463 | ||||||
|
| |||||||
1,031,893 | ||||||||
|
| |||||||
Entertainment — 0.1% |
| |||||||
Caesars Resort Collection LLC/CRC Finco, Inc. | 130,000 | 134,550 | ||||||
Eldorado Resorts, Inc. | 125,000 | 131,250 | ||||||
Lions Gate Capital Holdings LLC | 160,000 | 167,203 |
Principal Amount | Value | |||||||
Scientific Games International, Inc. | $ | 60,000 | $ | 65,100 | ||||
|
| |||||||
498,103 | ||||||||
|
| |||||||
Environmental Controls — 0.3% |
| |||||||
GFL Environmental, Inc. | 125,000 | 131,423 | ||||||
8.500% 5/01/27 (b) | 85,000 | 93,500 | ||||||
Tervita Corp. | 260,000 | 261,625 | ||||||
Waste Management, Inc. | 455,000 | 509,828 | ||||||
|
| |||||||
996,376 | ||||||||
|
| |||||||
Food Services — 0.0% |
| |||||||
Aramark Services, Inc. | 190,000 | 198,075 | ||||||
|
| |||||||
Foods — 1.1% |
| |||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertson’s LLC | 95,000 | 94,886 | ||||||
5.875% 2/15/28 (b) | 100,000 | 106,250 | ||||||
B&G Foods, Inc. | 175,000 | 179,958 | ||||||
5.250% 9/15/27 | 90,000 | 90,900 | ||||||
Grupo Bimbo SAB de CV 5 year CMT + 3.280% | 200,000 | 212,000 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. | 20,000 | 20,700 | ||||||
5.875% 7/15/24 (b) | 30,000 | 30,870 | ||||||
6.500% 4/15/29 (b) | 125,000 | 138,910 | ||||||
6.750% 2/15/28 (b) | 146,000 | 161,331 | ||||||
The Kroger Co. | 490,000 | 503,920 | ||||||
MARB BondCo PLC | 400,000 | 424,652 | ||||||
7.000% 3/15/24 (b) | 200,000 | 208,500 | ||||||
Minerva Luxembourg SA | 600,000 | 630,006 | ||||||
6.500% 9/20/26 (b) | 400,000 | 425,504 | ||||||
NBM US Holdings, Inc. | 200,000 | 216,602 | ||||||
Pilgrim’s Pride Corp. | 205,000 | 221,656 | ||||||
Post Holdings, Inc. | 185,000 | 193,788 | ||||||
5.500% 12/15/29 (b) | 60,000 | 63,978 | ||||||
Smithfield Foods, Inc. | 515,000 | 529,784 | ||||||
|
| |||||||
4,454,195 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
40
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Forest Products & Paper — 0.1% |
| |||||||
Inversiones CMPC SA | $ | 200,000 | $ | 211,995 | ||||
|
| |||||||
Gas — 0.1% |
| |||||||
The Brooklyn Union Gas Co. | 385,000 | 442,843 | ||||||
|
| |||||||
Hand & Machine Tools — 0.0% |
| |||||||
Colfax Corp. | 125,000 | 132,813 | ||||||
6.375% 2/15/26 (b) | 55,000 | 59,950 | ||||||
|
| |||||||
192,763 | ||||||||
|
| |||||||
Health Care – Products — 0.1% |
| |||||||
Avantor, Inc. | 220,000 | 245,857 | ||||||
|
| |||||||
Health Care – Services — 0.4% |
| |||||||
Anthem, Inc. | 270,000 | 269,683 | ||||||
Centene Corp. | 50,000 | 51,437 | ||||||
4.625% 12/15/29 (b) | 40,000 | 42,054 | ||||||
Eagle Holding Co. II LLC | 105,000 | 106,615 | ||||||
HCA, Inc. | 270,000 | 286,491 | ||||||
5.375% 9/01/26 | 125,000 | 139,219 | ||||||
Select Medical Corp. | 265,000 | 286,868 | ||||||
Tenet Healthcare Corp. | 155,000 | 163,719 | ||||||
WellCare Health Plans, Inc. | 155,000 | 165,075 | ||||||
West Street Merger Sub, Inc. | 60,000 | 59,850 | ||||||
|
| |||||||
1,571,011 | ||||||||
|
| |||||||
Home Furnishing — 0.1% |
| |||||||
Controladora Mabe SA de CV | 200,000 | 220,000 | ||||||
Tempur Sealy International, Inc. | 238,000 | 250,792 | ||||||
|
| |||||||
470,792 | ||||||||
|
| |||||||
Household Products & Wares — 0.0% |
| |||||||
Kronos Acquisition Holdings, Inc. | 70,000 | 66,850 | ||||||
|
| |||||||
Insurance — 0.7% |
| |||||||
Alliant Holdings Intermediate LLC / Alliant HoldingsCo-Issuer | 65,000 | 69,612 | ||||||
Athene Global Funding | 550,000 | 559,627 |
Principal Amount | Value | |||||||
AXA Equitable Holdings, Inc. | $ | 490,000 | $ | 513,513 | ||||
GTCR AP Finance, Inc. | 80,000 | 83,200 | ||||||
Liberty Mutual Group, Inc. | 775,000 | 806,122 | ||||||
Prudential Financial, Inc. | 185,000 | 199,217 | ||||||
Willis North America, Inc. | 475,000 | 523,820 | ||||||
|
| |||||||
2,755,111 | ||||||||
|
| |||||||
Internet — 0.1% |
| |||||||
Expedia, Inc. Co. | 275,000 | 281,291 | ||||||
Uber Technologies, Inc. | 90,000 | 92,335 | ||||||
|
| |||||||
373,626 | ||||||||
|
| |||||||
Iron & Steel — 0.1% |
| |||||||
CSN Islands XII Corp. | 200,000 | 183,752 | ||||||
CSN Resources SA | 200,000 | 213,002 | ||||||
|
| |||||||
396,754 | ||||||||
|
| |||||||
Leisure Time — 0.1% |
| |||||||
Royal Caribbean Cruises Ltd. | 245,000 | 252,129 | ||||||
Viking Cruises Ltd. | 195,000 | 208,406 | ||||||
|
| |||||||
460,535 | ||||||||
|
| |||||||
Lodging — 0.2% |
| |||||||
Gohl Capital Ltd. | 600,000 | 629,184 | ||||||
|
| |||||||
Machinery – Diversified — 0.1% |
| |||||||
John Deere Capital Corp. | 260,000 | 274,088 | ||||||
|
| |||||||
Media — 0.8% |
| |||||||
Cable Onda SA | 200,000 | 210,600 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 105,000 | 106,893 | ||||||
5.000% 2/01/28 (b) | 45,000 | 47,220 | ||||||
5.750% 2/15/26 (b) | 160,000 | 168,803 | ||||||
Cengage Learning, Inc. | 75,000 | 64,875 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 475,000 | 523,059 |
The accompanying notes are an integral part of the financial statements.
41
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Comcast Corp. | $ | 480,000 | $ | 523,878 | ||||
CSC Holdings LLC | 190,000 | 204,725 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. | 125,000 | 126,444 | ||||||
DISH DBS Corp. | 75,000 | 76,641 | ||||||
Gray Escrow, Inc. | 245,000 | 272,256 | ||||||
iHeartCommunications, Inc. | 100,000 | 104,630 | ||||||
6.375% 5/01/26 | 45,000 | 48,825 | ||||||
8.375% 5/01/27 | 25,000 | 27,625 | ||||||
Nexstar Broadcasting, Inc. | 65,000 | 68,497 | ||||||
Sirius XM Radio, Inc. | 150,000 | 159,328 | ||||||
5.500% 7/01/29 (b) | 80,000 | 86,499 | ||||||
VTR Finance BV | 200,000 | 204,500 | ||||||
6.875% 1/15/24 (b) (d) | 200,000 | 204,500 | ||||||
|
| |||||||
3,229,798 | ||||||||
|
| |||||||
Mining — 0.6% |
| |||||||
Anglo American Capital PLC | 585,000 | 626,984 | ||||||
Freeport-McMoRan, Inc. | 500,000 | 523,750 | ||||||
5.450% 3/15/43 | 450,000 | 465,750 | ||||||
Vedanta Resources Finance II PLC | 200,000 | 198,600 | ||||||
Vedanta Resources Ltd. | 800,000 | 728,377 | ||||||
|
| |||||||
2,543,461 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.1% |
| |||||||
Gates Global LLC / Gates Global Co. | 80,000 | 81,377 | ||||||
General Electric Co. | 225,000 | 273,501 | ||||||
|
| |||||||
354,878 | ||||||||
|
| |||||||
Oil & Gas — 2.2% |
| |||||||
Bharat Petroleum Corp. Ltd. | 200,000 | 207,690 | ||||||
Canacol Energy Ltd. | 200,000 | 210,802 | ||||||
7.250% 5/03/25 (b) | 400,000 | 421,604 | ||||||
Cenovus Energy, Inc. | 260,000 | 302,189 | ||||||
CNOOC Finance 2015 USA LLC | 570,000 | 592,698 |
Principal Amount | Value | |||||||
CNOOC Finance USA LLC | $ | 400,000 | $ | 417,832 | ||||
Cosan Overseas Ltd. | 500,000 | 519,380 | ||||||
Delek & Avner Tamar Bond Ltd. | 100,000 | 104,321 | ||||||
5.412% 12/30/25 (b) | 100,000 | 105,456 | ||||||
Diamondback Energy, Inc. | 120,000 | 121,401 | ||||||
Geopark Ltd. | 600,000 | 625,506 | ||||||
Gran Tierra Energy International Holdings Ltd. | 400,000 | 360,000 | ||||||
Gulfport Energy Corp. | 145,000 | 92,075 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co. | 100,000 | 95,000 | ||||||
Indian Oil Corp. Ltd. | 600,000 | 652,284 | ||||||
Indigo Natural Resources LLC | 50,000 | 47,000 | ||||||
Marathon Petroleum Corp. | 480,000 | 543,763 | ||||||
MEG Energy Corp. | 50,000 | 50,313 | ||||||
Oasis Petroleum, Inc. | 100,000 | 96,250 | ||||||
ONGC Videsh Vankorneft Pte Ltd. | 600,000 | 614,496 | ||||||
Parkland Fuel Corp. | 115,000 | 123,666 | ||||||
Parsley Energy LLC/Parsley Finance Corp. | 85,000 | 89,888 | ||||||
Petrobras Global Finance BV | 100,000 | 112,800 | ||||||
6.900% 3/19/49 | 100,000 | 117,300 | ||||||
7.250% 3/17/44 | 100,000 | 121,300 | ||||||
QEP Resources, Inc. | 165,000 | 160,916 | ||||||
Reliance Holding USA, Inc. | 600,000 | 634,968 | ||||||
Sinopec Capital 2013 Ltd. | 500,000 | 509,182 | ||||||
Sunoco LP / Sunoco Finance Corp. | 130,000 | 134,875 | ||||||
6.000% 4/15/27 | 90,000 | 96,075 | ||||||
Transocean Guardian Ltd. | 75,650 | 77,352 | ||||||
Transocean Poseidon Ltd. | 150,000 | 159,000 | ||||||
Transocean, Inc. | 75,000 | 73,500 |
The accompanying notes are an integral part of the financial statements.
42
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
YPF Sociedad Anonima | $ | 250,000 | $ | 222,500 | ||||
|
| |||||||
8,813,382 | ||||||||
|
| |||||||
Oil & Gas Services — 0.1% |
| |||||||
USA Compression Partners LP / USA Compression Finance Corp. | 245,000 | 255,192 | ||||||
|
| |||||||
Packaging & Containers — 0.3% |
| |||||||
Berry Global, Inc. | 160,000 | 171,600 | ||||||
Flex Acquisition Co., Inc. | 125,000 | 125,938 | ||||||
Packaging Corp. of America | 240,000 | 251,318 | ||||||
WRKCo, Inc. | 530,000 | 559,079 | ||||||
|
| |||||||
1,107,935 | ||||||||
|
| |||||||
Pharmaceuticals — 1.1% |
| |||||||
AbbVie, Inc. | 480,000 | 536,385 | ||||||
AstraZeneca PLC | 365,000 | 514,822 | ||||||
Bausch Health Cos., Inc. | 80,000 | 82,111 | ||||||
5.250% 1/30/30 (b) | 80,000 | 82,960 | ||||||
5.750% 8/15/27 (b) | 35,000 | 37,975 | ||||||
7.000% 1/15/28 (b) | 115,000 | 126,937 | ||||||
7.250% 5/30/29 (b) | 115,000 | 131,388 | ||||||
Becton Dickinson and Co. | 760,000 | 772,656 | ||||||
Bristol-Myers Squibb Co. | 595,000 | 710,021 | ||||||
Cigna Corp. | 270,000 | 271,487 | ||||||
4.900% 12/15/48 | 215,000 | 256,817 | ||||||
CVS Health Corp. | 250,000 | 296,257 | ||||||
Shire Acquisitions Investments Ireland DAC | 530,000 | 540,079 | ||||||
|
| |||||||
4,359,895 | ||||||||
|
| |||||||
Pipelines — 1.2% |
| |||||||
AI Candelaria Spain SLU | 250,000 | 280,312 | ||||||
7.500% 12/15/28 (b) | 250,000 | 280,313 | ||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. | 54,000 | 47,486 | ||||||
Cheniere Energy Partners LP | 205,000 | 213,628 | ||||||
5.625% 10/01/26 | 95,000 | 100,463 |
Principal Amount | Value | |||||||
Enable Midstream Partners LP | $ | 295,000 | $ | 294,639 | ||||
Energy Transfer Operating LP | 470,000 | 508,991 | ||||||
Fermaca Enterprises S de RL de CV | 218,669 | 237,805 | ||||||
GNL Quintero SA | 550,000 | 583,693 | ||||||
Hess Midstream Operations LP | 125,000 | 126,563 | ||||||
Kinder Morgan Energy Partners LP | 400,000 | 529,951 | ||||||
ONEOK, Inc. | 140,000 | 142,259 | ||||||
Sabine Pass Liquefaction LLC | 470,000 | 517,371 | ||||||
Sunoco Logistics Partners Operations LP | 750,000 | 779,170 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 240,000 | 246,600 | ||||||
|
| |||||||
4,889,244 | ||||||||
|
| |||||||
Real Estate — 0.1% |
| |||||||
Radiant Access Ltd. | 200,000 | 199,611 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.6% |
| |||||||
Alexandria Real Estate Equities, Inc. | 320,000 | 340,965 | ||||||
American Tower Corp. | 470,000 | 493,828 | ||||||
4.400% 2/15/26 | 950,000 | 1,036,710 | ||||||
Boston Properties LP | 535,000 | 559,042 | ||||||
Crown Castle International Corp. | 510,000 | 539,741 | ||||||
3.700% 6/15/26 | 700,000 | 740,004 | ||||||
4.000% 3/01/27 | 225,000 | 242,961 | ||||||
Digital Realty Trust LP | 250,000 | 264,934 | ||||||
ESH Hospitality, Inc. | 65,000 | 65,813 | ||||||
5.250% 5/01/25 (b) | 240,000 | 248,100 | ||||||
Essex Portfolio LP | 260,000 | 263,145 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 185,000 | 195,441 | ||||||
Public Storage | 445,000 | 472,812 | ||||||
Simon Property Group LP | 270,000 | 265,810 |
The accompanying notes are an integral part of the financial statements.
43
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Welltower, Inc. | $ | 460,000 | $ | 485,529 | ||||
|
| |||||||
6,214,835 | ||||||||
|
| |||||||
Retail — 0.5% |
| |||||||
1011778 BC ULC/New Red Finance, Inc. | 155,000 | 160,038 | ||||||
Beacon Roofing Supply, Inc. | 165,000 | 165,825 | ||||||
Carvana Co. | 80,000 | 84,350 | ||||||
Dollar Tree, Inc. | 500,000 | 534,943 | ||||||
Golden Nugget, Inc. | 215,000 | 222,525 | ||||||
The Home Depot, Inc. | 220,000 | 248,980 | ||||||
McDonald’s Corp. | 235,000 | 267,212 | ||||||
PetSmart, Inc. | 84,000 | 85,575 | ||||||
7.125% 3/15/23 (b) | 90,000 | 88,200 | ||||||
Staples, Inc. | 140,000 | 145,250 | ||||||
|
| |||||||
2,002,898 | ||||||||
|
| |||||||
Semiconductors — 0.2% |
| |||||||
Marvell Technology Group Ltd. | 485,000 | 512,192 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc. | 265,000 | 281,119 | ||||||
|
| |||||||
793,311 | ||||||||
|
| |||||||
Software — 0.1% |
| |||||||
CDK Global, Inc. | 50,000 | 53,625 | ||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho | 155,000 | 167,594 | ||||||
The Dun & Bradstreet Corp. | 115,000 | 126,931 | ||||||
|
| |||||||
348,150 | ||||||||
|
| |||||||
Telecommunications — 1.5% |
| |||||||
AT&T, Inc. | 650,000 | 776,610 | ||||||
C&W Senior Financing DAC | 700,000 | 748,531 | ||||||
CenturyLink, Inc. | 105,000 | 106,851 | ||||||
Cincinnati Bell, Inc. | 95,000 | 99,631 |
Principal Amount | Value | |||||||
Colombia Telecomunicacio SA | $ | 200,000 | $ | 202,002 | ||||
CommScope, Inc. | 90,000 | 93,825 | ||||||
6.000% 3/01/26 (b) | 25,000 | 26,594 | ||||||
Comunicaciones Celulares SA Via Comcel Trust | 200,000 | 205,002 | ||||||
Corning, Inc. | 260,000 | 266,810 | ||||||
Digicel Group Two Ltd. | 507,159 | 77,392 | ||||||
Empresa Nacional de Telecomunicaciones SA | 300,000 | 317,582 | ||||||
Frontier Communications Corp. | 105,000 | 109,725 | ||||||
Gogo Intermediate Holdings LLC / Gogo Finance Co., Inc. | 145,000 | 153,156 | ||||||
GTT Communications, Inc. | 80,000 | 60,377 | ||||||
Intelsat Jackson Holdings SA | 140,000 | 127,516 | ||||||
Millicom International Cellular SA | 200,000 | 209,702 | ||||||
6.250% 3/25/29 (b) | 200,000 | 220,658 | ||||||
6.625% 10/15/26 (b) | 200,000 | 221,460 | ||||||
Network i2i Ltd. 5 year CMT + 4.277% | 200,000 | 197,600 | ||||||
Sprint Capital Corp. | 130,000 | 140,075 | ||||||
Sprint Corp. | 165,000 | 177,994 | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | 255,000 | 270,040 | ||||||
Telesat Canada/telesat L | 40,000 | 41,700 | ||||||
Telfon Celuar Del Paragu SA | 200,000 | 213,750 | ||||||
Verizon Communications, Inc. | 175,000 | 198,197 | ||||||
4.400% 11/01/34 | 485,000 | 562,239 | ||||||
|
| |||||||
5,825,019 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% |
| |||||||
Hasbro, Inc. | 510,000 | 507,951 | ||||||
|
| |||||||
Transportation — 0.5% |
| |||||||
CSX Corp. | 500,000 | 523,771 |
The accompanying notes are an integral part of the financial statements.
44
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Empresa de Transporte de Pasajeros Metro SA | $ | 750,000 | $ | 851,258 | ||||
FedEx Corp. | 255,000 | 268,550 | ||||||
Fideicomiso PA Pacifico Tres | 200,000 | 230,250 | ||||||
JSL Europe SA | 200,000 | 215,702 | ||||||
|
| |||||||
2,089,531 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% |
| |||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 275,000 | 294,912 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $107,320,440) | 112,977,973 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.1% |
| |||||||
Missouri Highway & Transportation Commission | 135,000 | 150,646 | ||||||
State of California BAB | 190,000 | 304,764 | ||||||
|
| |||||||
455,410 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $428,519) | 455,410 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 23.1% |
| |||||||
Automobile ABS — 0.1% |
| |||||||
GLS Auto Receivables Trust,Series 2018-2A, Class B | 500,000 | 504,665 | ||||||
|
| |||||||
Commercial MBS — 6.4% |
| |||||||
Barclays Commercial Mortgage Trust,Series 2019-C3, Class B | 335,000 | 358,105 | ||||||
BFLD 2019-DPLO, | 491,000 | 490,080 | ||||||
BX Trust 2019-OC11, | 391,000 | 378,050 | ||||||
CFCRE Commercial Mortgage Trust,Series 2016-C3, Class XA, | 5,649,579 | 295,592 | ||||||
CHT Mortgage Trust | 378,000 | 378,359 |
Principal Amount | Value | |||||||
Series 2017-CSMO, Class F, 1 mo. USD LIBOR + 3.741% | $ | 754,000 | $ | 754,952 | ||||
Citigroup Commercial Mortgage Trust | 5,214,016 | 172,307 | ||||||
Series 2016-GC36, Class D, | 281,000 | 242,369 | ||||||
Series 2015-GC31, Class C, | 700,000 | 715,049 | ||||||
Series 2017-C4, Class B, | 340,000 | 356,715 | ||||||
Series 2015-GC35, Class C, | 413,000 | 430,569 | ||||||
COMM Mortgage Trust | 404,000 | 398,430 | ||||||
Series 2012-CR4, Class D, | 738,000 | 339,048 | ||||||
Series 2015-LC23, Class C, | 470,000 | 502,270 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2016-CR28, Class C, | 465,000 | 487,850 | ||||||
CSAIL Commercial Mortgage Trust | 8,415,925 | 300,306 | ||||||
Series 2019-C16, Class AS, | 334,000 | 348,938 | ||||||
Series 2019-C16, Class B, | 334,000 | 348,095 | ||||||
Series 2015-C4, Class C, | 427,000 | 454,439 | ||||||
Series 2018-C14, Class C, | 405,000 | 442,360 | ||||||
DBGS Mortgage Trust,Series 2018-5BP, Class F, 1 mo. USD LIBOR + 2.450% | 550,000 | 548,016 | ||||||
Fontainebleau Miami Beach Trust | 262,000 | 261,207 | ||||||
Series 2019-FBLU, Class F, | 262,000 | 256,759 | ||||||
Series 2019-FBLU, Class G, | 262,000 | 252,843 | ||||||
GS Mortgage Securities Trust | 7,957,931 | 314,350 | ||||||
Series 2013-GC10, Class XA, | 4,711,059 | 182,620 | ||||||
Series 2017-GS6, Class B, | 510,000 | 539,911 |
The accompanying notes are an integral part of the financial statements.
45
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Series 2014-GC26, Class D, | $ | 1,258,000 | $ | 1,098,058 | ||||
GSCG Trust, Series 2019-600C, Class E, | 497,000 | 500,995 | ||||||
HPLY Trust,Series 2019-HIT, Class F, 1 mo. USD LIBOR + 3.150% | 468,524 | 470,249 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | 5,215,693 | 195,695 | ||||||
Series 2016-JP2, Class B, | 174,000 | 177,372 | ||||||
Series 2016-JP2, Class C, | 134,000 | 135,416 | ||||||
JPMBB Commercial Mortgage Securities Trust | 9,591,757 | 234,061 | ||||||
Series 2015-C29, Class XA, | 10,544,132 | 242,634 | ||||||
Series 2014-C25, Class XA, | 4,357,248 | 150,195 | ||||||
Series 2015-C28, Class XA, | 7,612,049 | 277,618 | ||||||
Series 2015-C27, Class D, | 704,000 | 686,597 | ||||||
Series 2015-C29, Class C, | 325,000 | 333,534 | ||||||
Series 2015-C33, Class C, | 527,000 | 552,393 | ||||||
Series 2015-C32, Class C, | 87,000 | 91,093 | ||||||
Series 2016-C1, Class C, | 466,000 | 493,263 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | 504,000 | 466,452 | ||||||
Series 2014-C19, Class C, | 650,000 | 669,257 | ||||||
Series 2015-C23, Class C, | 650,000 | 672,276 | ||||||
Series 2015-C27, Class C, | 351,000 | 362,053 | ||||||
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class XA, | 6,327,640 | 273,337 | ||||||
MSCG Trust | 733,000 | 735,734 |
Principal Amount | Value | |||||||
Series 2016-SNR, Class C, | $ | 458,150 | $ | 467,106 | ||||
Natixis Commercial Mortgage Securities Trust,Series 2018-FL1, Class C, 1 mo. USD LIBOR + 2.200% | 368,000 | 366,068 | ||||||
SG Commercial Mortgage Securities Trust,Series 2016-C5, Class XA, | 3,860,759 | 338,792 | ||||||
UBS Commercial Mortgage Trust | 340,000 | 359,394 | ||||||
Series 2017-C7, Class C, | 510,000 | 538,436 | ||||||
Wells Fargo Commercial Mortgage Trust | 10,756,743 | 322,757 | ||||||
Series 2015-P2, Class XA, | 5,364,514 | 218,043 | ||||||
Series 2015-C31, Class XA, | 6,410,831 | 311,201 | ||||||
Series 2019-C51, Class AS, | 500,000 | 523,728 | ||||||
Series 2019-C51, Class B, | 500,000 | 526,546 | ||||||
Series 2014-LC16, Class D, | 169,000 | 131,555 | ||||||
Series 2019-C50, Class B, | 409,000 | 438,519 | ||||||
Series 2019-C50, Class C, | 409,000 | 435,152 | ||||||
Series 2015-NXS4, Class C, | 421,000 | 449,375 | ||||||
Series 2015-C31, Class C, | 468,000 | 495,892 | ||||||
Series 2018-C46, Class C, | 270,000 | 294,542 | ||||||
|
| |||||||
25,584,977 | ||||||||
|
| |||||||
Home Equity ABS — 0.7% |
| |||||||
GSAA Home Equity Trust,Series 2007-10, Class A2A | 4,152,707 | 2,913,214 | ||||||
|
| |||||||
Other ABS — 8.7% |
| |||||||
AASET US Ltd.,Series 2018-1A, Class A | 748,749 | 750,785 | ||||||
ALM R Ltd.,Series 2013-7RA, Class CR, 3 mo. USD LIBOR + 4.040% | 1,000,000 | 1,000,241 |
The accompanying notes are an integral part of the financial statements.
46
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Anchorage Capital CLO 13 LLC,Series 2019-13A, Class B, | $ | 500,000 | $ | 500,565 | ||||
Blackbird Capital Aircraft Lease Securitization Ltd., | 817,708 | 848,760 | ||||||
BlueMountain CLO Ltd. | 1,000,000 | 924,612 | ||||||
Series 2013-1A, Class CR, | 1,000,000 | 1,000,200 | ||||||
CAL Funding Ltd., | 408,333 | 409,615 | ||||||
CLI Funding LLC, | 306,538 | 305,910 | ||||||
Series 2019-1A, Class A | 470,587 | 471,737 | ||||||
Dryden 40 Senior Loan Fund,Series 2015-40A, Class DR, | 500,000 | 495,192 | ||||||
Gilbert Park CLO Ltd. | 500,000 | 491,972 | ||||||
Series 2017-1A, Class E, | 1,000,000 | 982,691 | ||||||
Global SC Finance Ltd., | 498,840 | 519,767 | ||||||
Global SC Finance SRL, | 325,417 | 324,207 | ||||||
Grippen Park CLO Ltd., | 1,000,000 | 991,245 | ||||||
Helios Issuer LLC,Series 2017-1A, Class A | 220,444 | 229,774 | ||||||
Hero Funding Trust, | 253,416 | 264,740 | ||||||
Highbridge Loan Management Ltd.,Series 13A-18, Class D, | 500,000 | 485,836 |
Principal Amount | Value | |||||||
Invitation Homes Trust | $ | 1,145,000 | $ | 1,144,881 | ||||
Series 2018-SFR1, Class D, | 750,000 | 749,922 | ||||||
JOL Air Ltd.,Series 2019-1, Class A | 468,493 | 474,151 | ||||||
LCM LP, Series 19A, Class D, | 1,000,000 | 993,743 | ||||||
MACH 1 Cayman Ltd.,Series 2019-1, Class A | 493,490 | 490,098 | ||||||
Madison Park Funding Ltd. | 500,000 | 489,653 | ||||||
Series 2014-15A, Class DR, | 1,000,000 | 987,789 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class A2C, | 2,100,514 | 2,033,299 | ||||||
Mosaic Solar Loans LLC | 733,438 | 759,625 | ||||||
Series 2017-1A, Class A, | 463,992 | 482,062 | ||||||
Newark BSL CLO 1 Ltd., | 1,000,000 | 1,000,164 | ||||||
Newark BSL CLO 2 Ltd., | 500,000 | 500,004 | ||||||
Oak Hill Credit Partners Ltd.,Series 2018-1A, Class D, | 500,000 | 496,479 | ||||||
Octagon Investment Partners Ltd. | 1,000,000 | 997,602 | ||||||
Series 2017-1A, Class D, | 500,000 | 487,531 | ||||||
Octagon Investment Partners XXII Ltd.,Series 2014-1A, Class ERR, | 1,000,000 | 916,788 |
The accompanying notes are an integral part of the financial statements.
47
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Primose Funding LLC,Series 2019-1A, Class A2 | $ | 1,000,000 | $ | 1,012,190 | ||||
SERVPRO Master Issuer LLC,Series 2019-1A, Class A2 | 500,000 | 500,114 | ||||||
Sprite Ltd.,Series 2017-1, Class A | 342,238 | 349,741 | ||||||
START Ireland,Series 2019-1, Class A | 473,214 | 479,323 | ||||||
Sunrun Atlas Issuer2019-2 LLC,Series 2019-2, Class A | 750,000 | 744,860 | ||||||
Symphony CLO Ltd.,Series 2015-16A, Class DR, 3 mo. USD LIBOR + 3.050% | 500,000 | 496,859 | ||||||
TAL Advantage LLC | 158,333 | 157,566 | ||||||
Series 2014-1A, Class A, | 286,667 | 285,136 | ||||||
Textainer Marine Containers Ltd.,Series 2019-1A, Class A | 473,333 | 477,773 | ||||||
Thacher Park CLO Ltd., | 1,000,000 | 1,000,560 | ||||||
Thunderbolt Aircraft Lease Ltd. | 455,357 | 461,745 | ||||||
Series 2017-A, Class A, | 963,800 | 983,471 | ||||||
Trip Rail Master Funding LLC,Series 2017-1A, Class A1 | 259,798 | 259,838 | ||||||
Triton Container Finance LLC,Series 2018-1A, Class A | 412,500 | 412,185 | ||||||
Vantage Data Centers Issuer LLC,Series 2018-1A, Class A2 ) | 736,250 | 759,223 | ||||||
Westcott Park CLO Ltd., | 500,000 | 498,393 | ||||||
Willis Engine Structured Trust IV,Series 2018-A, Class A, | 845,615 | 883,146 |
Principal Amount | Value | |||||||
Wind River CLO Ltd., | $ | 1,000,000 | $ | 1,000,019 | ||||
|
| |||||||
34,763,782 | ||||||||
|
| |||||||
Student Loans ABS — 0.3% |
| |||||||
College Ave Student Loans LLC,Series 2018-A, Class A1, | 429,762 | 427,271 | ||||||
SoFi Professional Loan Program LLC | 350,000 | 367,799 | ||||||
Series 2018-B, Class BFX, | 500,000 | 529,797 | ||||||
|
| |||||||
1,324,867 | ||||||||
|
| |||||||
WL Collateral CMO — 6.4% |
| |||||||
CIM Trust,Series 2017-6, Class A1, | 2,017,468 | 2,015,327 | ||||||
Citigroup Mortgage Loan Trust,Series 2007-AR5, Class 1A2A, | 1,738,664 | 1,687,555 | ||||||
CitiMortgage Alternative Loan Trust,Series 2006-A1, Class 1A5 | 2,369,439 | 2,297,415 | ||||||
Countrywide Alternative Loan Trust | 2,217,052 | 1,649,587 | ||||||
Series 2006-36T2, Class 2A1, 6.250% 12/25/36 | 3,686,654 | 2,382,683 | ||||||
Countrywide Home Loans Mortgage Pass-Through Trust | 1,404,614 | 1,260,314 | ||||||
Series 2007-14, Class A6, | 1,687,790 | 1,386,171 | ||||||
HarborView Mortgage Loan Trust,Series 2006-11, Class A1A, | 1,150,296 | 1,100,438 | ||||||
IndyMac INDX Mortgage Loan Trust,Series 2007-AR5, Class 2A1, | 2,625,893 | 2,447,578 | ||||||
Lehman XS Trust,Series 2007-12N, Class 1A3A, 1 mo. LIBOR + .200% | 3,109,953 | 2,959,116 | ||||||
Morgan Stanley Mortgage Loan Trust,Series 2005-3AR, Class 2A1, | 481,549 | 439,939 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust,Series 2006-AR1, Class 2A1, | 2,721,138 | 2,444,308 |
The accompanying notes are an integral part of the financial statements.
48
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
RBSSP Resecuritization Trust,Series 2009-5, Class 2A3, | $ | 1,044,856 | $ | 824,619 | ||||
RFMSI Trust, | 389,669 | 376,189 | ||||||
Structured Adjustable Rate Mortgage Loan Trust,Series 2008-1, Class A2, | 1,117,287 | 1,031,488 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust,Series 2006-4, Class 3A5, | 1,138,807 | 1,003,521 | ||||||
|
| |||||||
25,306,248 | ||||||||
|
| |||||||
WL Collateral PAC — 0.5% |
| |||||||
Countrywide Alternative Loan Trust, Series 2006-19CB, Class A15 | 1,998,112 | 1,754,098 | ||||||
|
| |||||||
TOTALNON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $94,297,569) | 92,151,851 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.6% |
| |||||||
Banco Nacional de Desenvolvimento Economico e Social | 200,000 | 212,252 | ||||||
Export Import Bank of Thailand, | 200,000 | 200,879 | ||||||
Mexico Government International Bond | 535,000 | 555,865 | ||||||
4.150% 3/28/27 | 343,000 | 367,525 | ||||||
Perusahaan Penerbit SBSN Indonesia | 400,000 | 415,840 | ||||||
4.150% 3/29/27 (b) | 400,000 | 429,288 | ||||||
4.150% 3/29/27 (b) | 200,000 | 214,644 | ||||||
|
| |||||||
2,396,293 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $2,314,038) | 2,396,293 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 19.5% |
| |||||||
Collateralized Mortgage Obligations — 10.6% |
| |||||||
Federal Home Loan Mortgage Corp. | 2,943,413 | 2,955,188 | ||||||
Federal Home Loan Mortgage Corp. REMICS | 4,368,837 | 4,428,747 |
Principal Amount | Value | |||||||
Series 4481, Class B, | $ | 5,642,272 | $ | 5,820,496 | ||||
Series 4483, Class CA, | 5,252,170 | 5,419,683 | ||||||
Series 4750, Class PA, | 2,338,501 | 2,368,898 | ||||||
Federal Home Loan Mortgage Corp. SCRT | 2,854,248 | 2,913,129 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | 2,997,403 | 3,047,345 | ||||||
Series 358, Class 300, | 2,588,634 | 2,631,604 | ||||||
Federal National Mortgage Association REMICS | 3,316,879 | 2,822,722 | ||||||
Series 2015-9, Class HA, | 717,284 | 738,713 | ||||||
Government National Mortgage Association | 3,361,835 | 3,540,317 | ||||||
Series 2015-92, Class CZ, | 5,349,188 | 5,623,613 | ||||||
|
| |||||||
42,310,455 | ||||||||
|
| |||||||
Pass-Through Securities — 8.9% |
| |||||||
Federal Home Loan Mortgage Corp. | 3,000,000 | 2,958,600 | ||||||
Pool #G08520 2.500% 1/01/43 | 1,138,100 | 1,135,653 | ||||||
Pool #SB0048 3.000% 8/01/34 | 2,855,596 | 2,938,870 | ||||||
Pool #G08658 3.000% 8/01/45 | 3,181,862 | 3,262,427 | ||||||
Pool #SD0035 3.000% 4/01/47 | 2,880,344 | 2,951,503 | ||||||
Pool #G08632 3.500% 3/01/45 | 2,330,315 | 2,441,984 | ||||||
Pool #G61645 4.000% 10/01/48 | 2,145,864 | 2,242,104 | ||||||
Federal National Mortgage Association | 3,000,000 | 3,000,000 | ||||||
Pool #AL9238 3.000% 10/01/41 | 3,420,754 | 3,503,125 | ||||||
Pool #MA2248 3.000% 4/01/45 | 2,216,347 | 2,252,401 | ||||||
Pool #AS7661 3.000% 8/01/46 | 1,465,810 | 1,487,822 | ||||||
Pool #MA2711 3.000% 8/01/46 | 4,936,265 | 5,010,394 | ||||||
Pool #AX2501 4.000% 10/01/44 | 1,845,551 | 1,962,871 | ||||||
|
| |||||||
35,147,754 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $75,130,101) | 77,458,209 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
49
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
U.S. TREASURY OBLIGATIONS — 25.0% |
| |||||||
U.S. Treasury Bonds & Notes — 25.0% |
| |||||||
U.S. Treasury Bond | $ | 420,000 | $ | 449,163 | ||||
2.750% 11/15/47 | 7,260,000 | 7,805,020 | ||||||
3.125% 2/15/43 | 3,280,000 | 3,726,803 | ||||||
3.625% 8/15/43 | 2,670,000 | 3,281,335 | ||||||
3.750% 11/15/43 | 2,630,000 | 3,295,369 | ||||||
U.S. Treasury Inflation Index | 5,155,266 | 5,184,939 | ||||||
0.875% 1/15/29 | 2,007,647 | 2,131,914 | ||||||
U.S. Treasury Note | 3,020,000 | 3,020,395 | ||||||
1.750% 11/30/21 | 8,120,000 | 8,144,734 | ||||||
2.125% 9/30/24 | 5,250,000 | 5,354,734 | ||||||
2.250% 10/31/24 | 5,790,000 | 5,941,083 | ||||||
2.250% 8/15/27 | 5,790,000 | 5,954,779 | ||||||
2.250% 11/15/27 | 5,160,000 | 5,307,385 | ||||||
2.375% 5/15/27 | 5,990,000 | 6,212,948 | ||||||
2.375% 5/15/29 | 2,750,000 | 2,860,377 | ||||||
2.500% 1/15/22 | 2,760,000 | 2,810,147 | ||||||
2.500% 3/31/23 | 5,000,000 | 5,138,646 | ||||||
2.625% 2/28/23 | 4,610,000 | 4,752,766 | ||||||
2.625% 1/31/26 | 605,000 | 634,558 | ||||||
2.750% 4/30/23 | 4,900,000 | 5,077,612 | ||||||
2.750% 2/28/25 | 2,700,000 | 2,839,479 | ||||||
2.875% 10/15/21 | 4,500,000 | 4,600,896 | ||||||
3.000% 9/30/25 | 4,560,000 | 4,870,249 | ||||||
|
| |||||||
99,395,331 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $96,384,019) | 99,395,331 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $385,716,572) | 394,605,561 | |||||||
|
| |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 0.3% |
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (g) | 1,196,038 | 1,196,038 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,196,038) | 1,196,038 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $386,912,610) | 395,801,599 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 1.7% |
| |||||||
Repurchase Agreement — 1.7% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (h) | $ | 6,851,445 | $ | 6,851,445 | ||||
|
| |||||||
U.S. Treasury Bill — 0.0% |
| |||||||
U.S. Treasury Bill | 140,000 | 138,195 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,989,600) | 6,989,640 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.2% (Cost $393,902,210) (i) | 402,791,239 | |||||||
Other Assets/(Liabilities) — (1.2)% | (4,620,353 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 398,170,886 | ||||||
|
|
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 |
PO | Principal Only |
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) | All or a portion of the security represents unsettled loan commitments at December 31, 2019 where the rate will be determined at time of settlement. |
(b) | Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $105,915,573 or 26.60% of net assets. |
(c) | Security is perpetual and has no stated maturity date. |
(d) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $4,675,241 or 1.17% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $3,574,933 ofnon-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities.(Note 2). |
(e) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or |
The accompanying notes are an integral part of the financial statements.
50
Table of Contents
MML Dynamic Bond Fund – Portfolio of Investments(Continued)
Notes to Portfolio of Investments (continued)
agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2019. |
(f) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis.(Note 2). |
(g) | Represents investment of security lending cash collateral.(Note 2). |
(h) | Maturity value of $6,851,749. Collateralized by U.S. Government Agency obligations with rates ranging from 0.125% – 1.500%, maturity dates ranging from 4/15/20 – 8/31/21, and an aggregate market value, including accrued interest, of $6,991,447. |
(i) | See Note 6 for aggregate cost for federal tax purposes. |
Currency Legend
USD | U.S. Dollar |
Country weightings, as a percentage of net assets, is as follows:
United States | 80.9 | % | ||
Cayman Islands | 5.8 | % | ||
Mexico | 1.3 | % | ||
United Kingdom | 1.3 | % | ||
Canada | 1.1 | % | ||
Chile | 1.0 | % | ||
Bermuda | 0.8 | % | ||
Singapore | 0.7 | % | ||
Luxembourg | 0.7 | % | ||
Netherlands | 0.6 | % | ||
Australia | 0.6 | % | ||
Ireland | 0.4 | % | ||
Brazil | 0.3 | % | ||
Japan | 0.3 | % | ||
British Virgin Islands | 0.3 | % | ||
Malaysia | 0.3 | % | ||
Colombia | 0.3 | % | ||
India | 0.3 | % | ||
Indonesia | 0.3 | % | ||
Argentina | 0.2 | % | ||
France | 0.2 | % | ||
Spain | 0.2 | % | ||
Panama | 0.2 | % | ||
Philippines | 0.2 | % | ||
Austria | 0.2 | % | ||
New Zealand | 0.1 | % | ||
Switzerland | 0.1 | % | ||
Mauritius | 0.1 | % | ||
Barbados | 0.1 | % | ||
Peru | 0.1 | % | ||
Liberia | 0.1 | % | ||
Paraguay | 0.1 | % | ||
Dominican Republic | 0.1 | % | ||
Israel | 0.1 | % | ||
Thailand | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 99.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
51
Table of Contents
December 31, 2019
Number of Shares | Value | |||||||
EQUITIES — 95.4% | ||||||||
COMMON STOCK — 95.4% | ||||||||
Basic Materials — 2.2% | ||||||||
Chemicals — 1.3% | ||||||||
Celanese Corp. | 1,840 | $ | 226,541 | |||||
Eastman Chemical Co. | 300 | 23,778 | ||||||
Ecolab, Inc. | 565 | 109,039 | ||||||
LyondellBasell Industries NV Class A | 153 | 14,456 | ||||||
Olin Corp. | 2,900 | 50,025 | ||||||
|
| |||||||
423,839 | ||||||||
|
| |||||||
Forest Products & Paper — 0.2% | ||||||||
Domtar Corp. | 1,500 | 57,360 | ||||||
|
| |||||||
Iron & Steel — 0.7% | ||||||||
Reliance Steel & Aluminum Co. | 2,100 | 251,496 | ||||||
|
| |||||||
732,695 | ||||||||
|
| |||||||
Communications — 11.9% | ||||||||
Internet — 8.8% | ||||||||
Alphabet, Inc. Class A (a) | 1,106 | 1,481,365 | ||||||
Alphabet, Inc. Class C (a) | 124 | 165,790 | ||||||
Amazon.com, Inc. (a) | 539 | 995,986 | ||||||
Expedia Group, Inc. | 2,504 | 270,783 | ||||||
Netflix, Inc. (a) | 87 | 28,151 | ||||||
|
| |||||||
2,942,075 | ||||||||
|
| |||||||
Media — 0.2% | ||||||||
Comcast Corp. Class A | 1,501 | 67,500 | ||||||
Discovery, Inc. Class A (a) (b) | 560 | 18,334 | ||||||
|
| |||||||
85,834 | ||||||||
|
| |||||||
Telecommunications — 2.9% | ||||||||
AT&T, Inc. | 15,068 | 588,857 | ||||||
CenturyLink, Inc. | 1,874 | 24,756 | ||||||
Cisco Systems, Inc. | 3,696 | 177,260 | ||||||
Verizon Communications, Inc. | 2,818 | 173,025 | ||||||
|
| |||||||
963,898 | ||||||||
|
| |||||||
3,991,807 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.0% | ||||||||
Airlines — 0.1% | ||||||||
American Airlines Group, Inc. (b) | 932 | 26,730 | ||||||
|
| |||||||
Auto Manufacturers — 2.5% | ||||||||
Cummins, Inc. | 1,580 | 282,757 | ||||||
Ford Motor Co. | 2,980 | 27,714 | ||||||
PACCAR, Inc. | 5,908 | 467,323 | ||||||
Wabash National Corp. | 3,800 | 55,822 | ||||||
|
| |||||||
833,616 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.8% | ||||||||
Magna International, Inc. | 5,300 | 290,652 | ||||||
|
| |||||||
Distribution & Wholesale — 0.6% | ||||||||
Copart, Inc. (a) | 2,300 | 209,162 | ||||||
|
|
Number of Shares | Value | |||||||
Home Builders — 0.9% | ||||||||
Thor Industries, Inc. | 800 | $ | 59,432 | |||||
Toll Brothers, Inc. | 5,926 | 234,136 | ||||||
|
| |||||||
293,568 | ||||||||
|
| |||||||
Leisure Time — 0.1% | ||||||||
Carnival Corp. | 527 | 26,787 | ||||||
|
| |||||||
Lodging — 0.1% | ||||||||
Hilton Worldwide Holdings, Inc. | 243 | 26,951 | ||||||
|
| |||||||
Retail — 3.9% | ||||||||
Costco Wholesale Corp. | 110 | 32,331 | ||||||
Genuine Parts Co. | 1,028 | 109,204 | ||||||
The Home Depot, Inc. | 930 | 203,093 | ||||||
Lowe’s Cos., Inc. | 326 | 39,042 | ||||||
McDonald’s Corp. | 1,586 | 313,410 | ||||||
The Michaels Cos., Inc. (a) | 5,800 | 46,922 | ||||||
Starbucks Corp. | 5,300 | 465,976 | ||||||
Tractor Supply Co. | 656 | 61,297 | ||||||
Yum! Brands, Inc. | 388 | 39,083 | ||||||
|
| |||||||
1,310,358 | ||||||||
|
| |||||||
3,017,824 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 16.4% | ||||||||
Biotechnology — 0.2% | ||||||||
Amgen, Inc. | 174 | 41,946 | ||||||
Biogen, Inc. (a) | 100 | 29,673 | ||||||
|
| |||||||
71,619 | ||||||||
|
| |||||||
Commercial Services — 3.5% | ||||||||
Automatic Data Processing, Inc. | 225 | 38,363 | ||||||
Cintas Corp. | 960 | 258,317 | ||||||
Global Payments, Inc. | 1,279 | 233,494 | ||||||
IHS Markit Ltd. (a) | 204 | 15,371 | ||||||
ManpowerGroup, Inc. | 2,155 | 209,250 | ||||||
PayPal Holdings, Inc. (a) | 980 | 106,007 | ||||||
S&P Global, Inc. | 594 | 162,192 | ||||||
TrueBlue, Inc. (a) | 2,400 | 57,744 | ||||||
Verisk Analytics, Inc. | 588 | 87,812 | ||||||
|
| |||||||
1,168,550 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.7% | ||||||||
Colgate-Palmolive Co. | 248 | 17,072 | ||||||
The Procter & Gamble Co. | 4,504 | 562,550 | ||||||
|
| |||||||
579,622 | ||||||||
|
| |||||||
Foods — 0.2% | ||||||||
The J.M. Smucker Co. | 500 | 52,065 | ||||||
|
| |||||||
Health Care – Products — 2.8% | ||||||||
Abbott Laboratories | 1,352 | 117,435 | ||||||
Danaher Corp. | 967 | 148,415 | ||||||
Edwards Lifesciences Corp. (a) | 1,350 | 314,942 | ||||||
Medtronic PLC | 132 | 14,975 | ||||||
Stryker Corp. | 1,260 | 264,524 |
The accompanying notes are an integral part of the financial statements.
52
Table of Contents
MML Equity Rotation Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Thermo Fisher Scientific, Inc. | 191 | $ | 62,050 | |||||
|
| |||||||
922,341 | ||||||||
|
| |||||||
Health Care – Services — 0.9% | ||||||||
HCA Healthcare, Inc. | 107 | 15,816 | ||||||
Laboratory Corp. of America Holdings (a) | 120 | 20,300 | ||||||
Quest Diagnostics, Inc. | 595 | 63,540 | ||||||
UnitedHealth Group, Inc. | 561 | 164,923 | ||||||
WellCare Health Plans, Inc. (a) | 93 | 30,709 | ||||||
|
| |||||||
295,288 | ||||||||
|
| |||||||
Household Products & Wares — 0.1% | ||||||||
Quanex Building Products Corp. | 2,900 | 49,532 | ||||||
|
| |||||||
Pharmaceuticals — 7.0% | ||||||||
AbbVie, Inc. | 2,361 | 209,043 | ||||||
Allergan PLC | 400 | 76,468 | ||||||
Bristol-Myers Squibb Co. | 993 | 63,741 | ||||||
Cigna Corp. | 300 | 61,347 | ||||||
CVS Health Corp. | 884 | 65,672 | ||||||
Johnson & Johnson | 7,930 | 1,156,749 | ||||||
McKesson Corp. | 2,870 | 396,978 | ||||||
Merck & Co., Inc. | 1,927 | 175,261 | ||||||
Mylan NV (a) | 1,618 | 32,522 | ||||||
Pfizer, Inc. | 2,745 | 107,549 | ||||||
|
| |||||||
2,345,330 | ||||||||
|
| |||||||
5,484,347 | ||||||||
|
| |||||||
Energy — 1.7% | ||||||||
Oil & Gas — 1.6% | ||||||||
Chevron Corp. | 1,929 | 232,464 | ||||||
Cimarex Energy Co. | 490 | 25,720 | ||||||
Concho Resources, Inc. | 385 | 33,714 | ||||||
Exxon Mobil Corp. | 1,878 | 131,047 | ||||||
Occidental Petroleum Corp. | 514 | 21,182 | ||||||
Phillips 66 | 948 | 105,617 | ||||||
|
| |||||||
549,744 | ||||||||
|
| |||||||
Pipelines — 0.1% | ||||||||
Kinder Morgan, Inc. | 1,993 | 42,192 | ||||||
|
| |||||||
591,936 | ||||||||
|
| |||||||
Financial — 23.1% | ||||||||
Banks — 13.2% | ||||||||
Bank of America Corp. | 25,300 | 891,066 | ||||||
CIT Group, Inc. | 600 | 27,378 | ||||||
Citigroup, Inc. | 14,700 | 1,174,383 | ||||||
JP Morgan Chase & Co. | 7,200 | 1,003,680 | ||||||
KeyCorp | 33,500 | 678,040 | ||||||
Regions Financial Corp. | 37,500 | 643,500 | ||||||
|
| |||||||
4,418,047 | ||||||||
|
| |||||||
Diversified Financial Services — 8.0% | ||||||||
AerCap Holdings NV (a) | 2,000 | 122,940 | ||||||
Ally Financial, Inc. | 25,000 | 764,000 |
Number of Shares | Value | |||||||
Capital One Financial Corp. | 504 | $ | 51,867 | |||||
Discover Financial Services | 400 | 33,928 | ||||||
Mastercard, Inc. Class A | 1,155 | 344,871 | ||||||
SEI Investments Co. | 2,300 | 150,604 | ||||||
Synchrony Financial | 5,400 | 194,454 | ||||||
Visa, Inc. Class A | 5,460 | 1,025,934 | ||||||
|
| |||||||
2,688,598 | ||||||||
|
| |||||||
Insurance — 1.9% | ||||||||
Aflac, Inc. | 3,600 | 190,440 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 1,900 | 430,350 | ||||||
|
| |||||||
620,790 | ||||||||
|
| |||||||
7,727,435 | ||||||||
|
| |||||||
Industrial — 8.6% | ||||||||
Aerospace & Defense — 2.2% | ||||||||
Barnes Group, Inc. | 900 | 55,764 | ||||||
Lockheed Martin Corp. | 1,440 | 560,707 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 172 | 12,535 | ||||||
United Technologies Corp. | 635 | 95,098 | ||||||
|
| |||||||
724,104 | ||||||||
|
| |||||||
Building Materials — 0.2% | ||||||||
Patrick Industries, Inc. | 1,100 | 57,673 | ||||||
|
| |||||||
Electrical Components & Equipment — 0.0% |
| |||||||
AMETEK, Inc. | 140 | 13,964 | ||||||
|
| |||||||
Electronics — 2.5% | ||||||||
Allegion PLC | 3,295 | 410,359 | ||||||
Amphenol Corp. Class A | 237 | 25,650 | ||||||
Garmin Ltd. | 212 | 20,683 | ||||||
Honeywell International, Inc. | 1,320 | 233,640 | ||||||
TE Connectivity Ltd. | 838 | 80,314 | ||||||
TTM Technologies, Inc. (a) | 4,400 | 66,220 | ||||||
|
| |||||||
836,866 | ||||||||
|
| |||||||
Engineering & Construction — 0.2% | ||||||||
Arcosa, Inc. | 1,400 | 62,370 | ||||||
|
| |||||||
Environmental Controls — 0.5% |
| |||||||
Republic Services, Inc. | 754 | 67,581 | ||||||
Waste Management, Inc. | 895 | 101,994 | ||||||
|
| |||||||
169,575 | ||||||||
|
| |||||||
Machinery – Diversified — 1.1% | ||||||||
AGCO Corp. | 4,400 | 339,900 | ||||||
Dover Corp. | 307 | 35,385 | ||||||
|
| |||||||
375,285 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.7% |
| |||||||
3M Co. | 158 | 27,874 | ||||||
Eaton Corp. PLC | 1,193 | 113,001 | ||||||
General Electric Co. | 2,143 | 23,916 | ||||||
Ingersoll-Rand PLC | 476 | 63,270 | ||||||
Parker-Hannifin Corp. | 73 | 15,025 | ||||||
|
| |||||||
243,086 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
53
Table of Contents
MML Equity Rotation Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Transportation — 1.2% | ||||||||
Kansas City Southern | 280 | $ | 42,885 | |||||
Norfolk Southern Corp. | 1,800 | 349,434 | ||||||
|
| |||||||
392,319 | ||||||||
|
| |||||||
2,875,242 | ||||||||
|
| |||||||
Technology — 22.5% | ||||||||
Computers — 8.3% | ||||||||
Accenture PLC Class A | 158 | 33,270 | ||||||
Apple, Inc. | 7,520 | 2,208,248 | ||||||
Cognizant Technology Solutions Corp. Class A | 709 | 43,972 | ||||||
HP, Inc. | 803 | 16,502 | ||||||
International Business Machines Corp. | 1,246 | 167,014 | ||||||
Seagate Technology PLC | 5,006 | 297,857 | ||||||
|
| |||||||
2,766,863 | ||||||||
|
| |||||||
Semiconductors — 7.0% | ||||||||
Advanced Micro Devices, Inc. (a) | 751 | 34,441 | ||||||
ASML Holding NV | 810 | 239,711 | ||||||
Broadcom, Inc. | 1,793 | 566,624 | ||||||
Intel Corp. | 8,914 | 533,503 | ||||||
Lam Research Corp. | 1,040 | 304,096 | ||||||
Micron Technology, Inc. (a) | 9,400 | 505,532 | ||||||
Texas Instruments, Inc. | 176 | 22,579 | ||||||
Xilinx, Inc. | 1,510 | 147,633 | ||||||
|
| |||||||
2,354,119 | ||||||||
|
| |||||||
Software — 7.2% |
| |||||||
ANSYS, Inc. (a) | 281 | 72,332 | ||||||
Citrix Systems, Inc. | 259 | 28,723 | ||||||
j2 Global, Inc. | 500 | 46,855 | ||||||
Microsoft Corp. | 12,606 | 1,987,966 | ||||||
MSCI, Inc. | 760 | 196,217 | ||||||
Oracle Corp. | 421 | 22,305 | ||||||
Paychex, Inc. | 641 | 54,523 | ||||||
|
| |||||||
2,408,921 | ||||||||
|
| |||||||
7,529,903 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $27,379,562) | 31,951,189 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $27,379,562) | 31,951,189 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Consumer,Non-cyclical — 0.0% | ||||||||
Pharmaceuticals — 0.0% | ||||||||
Bristol-Myers Squibb Co., Expires 03/31/21 (a) | 993 | 2,989 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $2,115) | 2,989 | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 0.1% | ||||||||
Diversified Financial Services — 0.1% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 18,559 | $ | 18,559 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $18,559) | 18,559 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $27,400,236) | 31,972,737 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 4.7% |
| |||||||
Repurchase Agreement — 4.7% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (d) | $ | 1,577,624 | 1,577,624 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,577,624) | 1,577,624 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $28,977,860) (e) | 33,550,361 | |||||||
Other Assets/(Liabilities) — (0.2)% | (59,555 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 33,490,806 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $44,581 or 0.13% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $26,659 ofnon-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities.(Note 2). |
(c) | Represents investment of security lending cash collateral.(Note 2). |
(d) | Maturity value of $1,577,694. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $1,609,358. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
54
Table of Contents
December 31, 2019
Number of Shares | Value | |||||||
EQUITIES — 0.4% |
| |||||||
COMMON STOCK — 0.4% |
| |||||||
Basic Materials — 0.0% |
| |||||||
Forest Products & Paper — 0.0% |
| |||||||
Appvion Inc. (Escrow Shares) (a) (b) (c) | 2,157,000 | $ | - | |||||
|
| |||||||
Energy — 0.4% |
| |||||||
Oil & Gas — 0.4% |
| |||||||
Fieldwood Energy LLC Common Equity (c) | 13,011 | 236,371 | ||||||
Fieldwood Energy LLC Restricted Common Equity (c) | 3,193 | 58,007 | ||||||
Jupiter Resources, Inc. (c) | 191,606 | 191,606 | ||||||
|
| |||||||
485,984 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $3,475,087) | 485,984 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% |
| |||||||
Consumer,Non-cyclical — 0.0% |
| |||||||
Agriculture — 0.0% |
| |||||||
Pinnacle Agriculture Holdings LLC (a) (b) (c) | 1,144,535 | - | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $733,962) | - | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $4,209,049) | 485,984 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 96.5% |
| |||||||
BANK LOANS — 7.2% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
TransDigm, Inc., 2018 Term Loan F, 1 mo. LIBOR + 2.500% | $ | 610,783 | 612,438 | |||||
Veritas Bermuda Ltd., USD Repriced Term Loan B, 1 mo. LIBOR + 4.500% | 742,366 | 713,266 | ||||||
|
| |||||||
1,325,704 | ||||||||
|
| |||||||
Electronics — 0.7% |
| |||||||
Vertafore, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.250% | 940,500 | 928,527 | ||||||
|
| |||||||
Health Care – Services — 0.5% |
| |||||||
Banff Merger Sub, Inc., 2018 USD Term Loan B, 1 mo. LIBOR + 4.250% | 676,264 | 667,919 | ||||||
|
|
Principal Amount | Value | |||||||
Oil & Gas — 0.8% |
| |||||||
Fieldwood Energy LLC | $ | 1,074,554 | $ | 894,266 | ||||
Exit 2nd Lien Term Loan, 3 mo. LIBOR + 7.250% | 387,384 | 214,998 | ||||||
|
| |||||||
1,109,264 | ||||||||
|
| |||||||
Packaging & Containers — 2.7% |
| |||||||
BWAY Holding Co., 2017 Term Loan B, 3 mo. LIBOR + 3.250% | 1,338,183 | 1,332,335 | ||||||
Consolidated Energy Finance, SA, Term Loan B, 3 mo. LIBOR + 2.500% | 890,263 | 872,458 | ||||||
Flex Acquisition Co., Inc., 1st Lien Term Loan, 3 mo. LIBOR + 3.000% | 735,570 | 728,524 | ||||||
Reynolds Group Holdings, Inc., USD 2017 Term Loan, 1 mo. LIBOR + 2.750% | 529,497 | 530,742 | ||||||
Trident TPI Holdings, Inc., 2017 USD Term Loan B1, | 162,969 | 158,021 | ||||||
|
| |||||||
3,622,080 | ||||||||
|
| |||||||
Software — 0.5% |
| |||||||
Almonde, Inc., USD 1st Lien Term Loan, 6 mo. LIBOR + 3.500% | 747,986 | 741,755 | ||||||
|
| |||||||
Telecommunications — 1.0% |
| |||||||
CenturyLink, Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.750% | 1,329,896 | 1,334,551 | ||||||
|
| |||||||
TOTAL BANK LOANS (Cost $9,637,435) | 9,729,800 | |||||||
|
| |||||||
CORPORATE DEBT — 89.3% |
| |||||||
Advertising — 0.3% |
| |||||||
Terrier Media Buyer, Inc. | 371,000 | 392,333 | ||||||
|
| |||||||
Aerospace & Defense — 3.2% |
| |||||||
Signature Aviation US Holdings, Inc. | 383,000 | 377,753 | ||||||
TransDigm, Inc. | 1,215,000 | 1,228,644 | ||||||
6.375% 6/15/26 | 654,000 | 693,639 |
The accompanying notes are an integral part of the financial statements.
55
Table of Contents
MML High Yield Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Triumph Group, Inc. | $ | 305,000 | $ | 303,475 | ||||
6.250% 9/15/24 (e) | 306,000 | 321,683 | ||||||
7.750% 8/15/25 | 1,243,000 | �� | 1,296,076 | |||||
|
| |||||||
4,221,270 | ||||||||
|
| |||||||
Agriculture — 0.8% |
| |||||||
JBS Investments II GmbH | 390,000 | 424,254 | ||||||
Pinnacle Operating Corp. | 1,667,522 | 616,983 | ||||||
|
| |||||||
1,041,237 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
American Airlines Group, Inc. | 547,000 | 572,299 | ||||||
|
| |||||||
Auto Manufacturers — 0.7% |
| |||||||
Allison Transmission, Inc. | 589,000 | 611,087 | ||||||
5.875% 6/01/29 (e) | 270,000 | 295,650 | ||||||
|
| |||||||
906,737 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.2% |
| |||||||
Dana, Inc. | 174,000 | 179,220 | ||||||
The Goodyear Tire & Rubber Co. | 43,000 | 44,505 | ||||||
|
| |||||||
223,725 | ||||||||
|
| |||||||
Building Materials — 1.8% |
| |||||||
James Hardie International Finance DAC | 126,000 | 130,725 | ||||||
5.000% 1/15/28 (e) | 485,000 | 509,250 | ||||||
PGT Escrow Issuer, Inc. | 368,000 | 394,220 | ||||||
Standard Industries, Inc. | 1,345,000 | 1,378,625 | ||||||
|
| |||||||
2,412,820 | ||||||||
|
| |||||||
Chemicals — 2.4% |
| |||||||
CF Industries, Inc. | 63,000 | 65,678 | ||||||
5.375% 3/15/44 | 240,000 | 261,600 | ||||||
Consolidated Energy Finance SA | 655,000 | 625,525 | ||||||
CVR Partners LP/CVR Nitrogen Finance Corp. | 650,000 | 678,977 | ||||||
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA | 1,225,000 | 1,281,656 | ||||||
Univar Solutions USA, Inc. | 254,000 | 265,120 | ||||||
|
| |||||||
3,178,556 | ||||||||
|
|
Principal Amount | Value | |||||||
Coal — 2.5% |
| |||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. | $ | 532,000 | $ | 484,120 | ||||
Peabody Energy Corp. | 1,383,000 | 1,348,425 | ||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. | 1,013,000 | 974,172 | ||||||
Warrior Met Coal, Inc. | 534,000 | 542,010 | ||||||
|
| |||||||
3,348,727 | ||||||||
|
| |||||||
Commercial Services — 1.8% |
| |||||||
Korn Ferry | 162,000 | 162,810 | ||||||
Nielsen Finance LLC/Nielsen Finance Co. | 574,000 | 576,152 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 534,000 | 560,033 | ||||||
Service Corp. International | 360,000 | 382,500 | ||||||
The Hertz Corp. | 687,000 | 687,000 | ||||||
|
| |||||||
2,368,495 | ||||||||
|
| |||||||
Computers — 1.1% |
| |||||||
Banff Merger Sub, Inc. | 466,000 | 471,825 | ||||||
Dell International LLC/EMC Corp. | 904,000 | 953,720 | ||||||
Western Digital Corp. | 104,000 | 108,420 | ||||||
|
| |||||||
1,533,965 | ||||||||
|
| |||||||
Diversified Financial Services — 3.7% |
| |||||||
Alliance Data Systems Corp. | 570,000 | 568,575 | ||||||
Ally Financial, Inc. | 415,000 | 434,713 | ||||||
Global Aircraft Leasing Co. Ltd. | 1,829,000 | 1,908,470 | ||||||
LPL Holdings, Inc. | 433,000 | 441,660 | ||||||
5.750% 9/15/25 (e) | 1,134,000 | 1,186,447 | ||||||
Springleaf Finance Corp. | 426,000 | 444,659 | ||||||
|
| |||||||
4,984,524 | ||||||||
|
| |||||||
Electric — 2.6% |
| |||||||
Calpine Corp. | 631,000 | 636,597 |
The accompanying notes are an integral part of the financial statements.
56
Table of Contents
MML High Yield Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
NRG Energy, Inc. | $ | 374,000 | $ | 404,388 | ||||
6.625% 1/15/27 | 702,000 | 761,670 | ||||||
Vistra Operations Co. LLC | 470,000 | 476,118 | ||||||
4.300% 7/15/29 (e) | 568,000 | 579,467 | ||||||
5.000% 7/31/27 (e) | 550,000 | 574,739 | ||||||
|
| |||||||
3,432,979 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.3% |
| |||||||
Energizer Holdings, Inc. | 387,000 | 432,492 | ||||||
|
| |||||||
Entertainment — 0.2% |
| |||||||
Live Nation Entertainment, Inc. | 281,000 | 290,835 | ||||||
|
| |||||||
Environmental Controls — 0.1% |
| |||||||
Clean Harbors, Inc. | 136,000 | 143,140 | ||||||
|
| |||||||
Foods — 4.4% |
| |||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertson’s LLC | 255,000 | 270,937 | ||||||
7.500% 3/15/26 (e) | 362,000 | 406,345 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. | 646,000 | 664,734 | ||||||
6.500% 4/15/29 (e) | 1,094,000 | 1,215,740 | ||||||
6.750% 2/15/28 (e) | 824,000 | 910,528 | ||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | 826,000 | 887,207 | ||||||
Pilgrim’s Pride Corp. | 247,000 | 255,307 | ||||||
5.875% 9/30/27 (e) | 398,000 | 430,337 | ||||||
Post Holdings, Inc. | 309,000 | 323,677 | ||||||
Simmons Foods, Inc. | 189,000 | 203,648 | ||||||
Smithfield Foods, Inc. | 264,000 | 292,806 | ||||||
|
| |||||||
5,861,266 | ||||||||
|
| |||||||
Hand & Machine Tools — 1.0% |
| |||||||
Apex Tool Group LLC/BC Mountain Finance, Inc. | 1,138,000 | 1,021,355 | ||||||
Colfax Corp. | 168,000 | 178,500 | ||||||
6.375% 2/15/26 (e) | 178,000 | 194,020 | ||||||
|
| |||||||
1,393,875 | ||||||||
|
| |||||||
Health Care – Products — 3.1% |
| |||||||
Avanos Medical, Inc. | 1,300,000 | 1,317,875 |
Principal Amount | Value | |||||||
Avantor, Inc. | $ | 71,000 | $ | 75,702 | ||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA | 2,784,000 | 2,766,600 | ||||||
|
| |||||||
4,160,177 | ||||||||
|
| |||||||
Health Care – Services — 5.4% |
| |||||||
Catalent Pharma Solutions, Inc. | 156,000 | 163,410 | ||||||
Centene Corp. | 402,000 | 413,558 | ||||||
4.625% 12/15/29 (e) | 918,000 | 965,139 | ||||||
5.375% 6/01/26 (e) | 52,000 | 55,185 | ||||||
Envision Healthcare Corp. | 1,158,000 | 717,960 | ||||||
HCA, Inc. | 1,138,000 | 1,294,054 | ||||||
RegionalCare Hospital Partners Holdings, Inc. | 972,000 | 1,027,890 | ||||||
Tenet Healthcare Corp. | 400,000 | 409,500 | ||||||
4.625% 9/01/24 (e) | 323,000 | 336,760 | ||||||
4.875% 1/01/26 (e) | 750,000 | 785,550 | ||||||
5.125% 11/01/27 (e) | 500,000 | 528,125 | ||||||
8.125% 4/01/22 | 340,000 | 376,125 | ||||||
WellCare Health Plans, Inc. | 206,000 | 214,240 | ||||||
|
| |||||||
7,287,496 | ||||||||
|
| |||||||
Home Builders — 1.0% |
| |||||||
Brookfield Residential Properties, Inc. | 491,000 | 510,640 | ||||||
Mattamy Group Corp. | 764,000 | 815,570 | ||||||
|
| |||||||
1,326,210 | ||||||||
|
| |||||||
Housewares — 0.8% |
| |||||||
Newell Brands, Inc. | 337,000 | 351,408 | ||||||
The ScottsMiracle-Gro Co. | 716,000 | 731,895 | ||||||
|
| |||||||
1,083,303 | ||||||||
|
| |||||||
Insurance — 1.9% |
| |||||||
Acrisure LLC/Acrisure Finance, Inc. | 691,000 | 666,815 | ||||||
8.125% 2/15/24 (e) | 509,000 | 553,537 | ||||||
CNO Financial Group, Inc. | 1,216,000 | 1,357,360 | ||||||
|
| |||||||
2,577,712 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
57
Table of Contents
MML High Yield Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Internet — 1.3% |
| |||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc. | $ | 127,000 | $ | 133,667 | ||||
Netflix, Inc. | 321,000 | 326,016 | ||||||
5.375% 11/15/29 (e) | 523,000 | 556,985 | ||||||
5.875% 11/15/28 | 595,000 | 659,593 | ||||||
|
| |||||||
1,676,261 | ||||||||
|
| |||||||
Investment Companies — 0.6% |
| |||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 761,000 | 798,099 | ||||||
|
| |||||||
Leisure Time — 1.7% |
| |||||||
Brunswick Corp. | 285,000 | 324,542 | ||||||
7.125% 8/01/27 | 569,000 | 668,352 | ||||||
Carlson Travel, Inc. | 296,000 | 301,920 | ||||||
9.500% 12/15/24 (e) | 988,000 | 983,060 | ||||||
|
| |||||||
2,277,874 | ||||||||
|
| |||||||
Lodging — 1.1% |
| |||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 385,000 | 409,062 | ||||||
5.500% 3/01/25 (e) | 740,000 | 791,800 | ||||||
Wynn Macau Ltd. | 268,000 | 273,497 | ||||||
|
| |||||||
1,474,359 | ||||||||
|
| |||||||
Media — 12.5% |
| |||||||
Altice Financing SA | 600,000 | 610,500 | ||||||
Altice Finco SA | 627,000 | 646,424 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 945,000 | 962,038 | ||||||
5.375% 6/01/29 (e) | 1,500,000 | 1,605,000 | ||||||
5.750% 2/15/26 (e) | 550,000 | 580,261 | ||||||
5.875% 5/01/27 (e) | 822,000 | 869,265 | ||||||
Clear Channel Worldwide Holdings, Inc. | 391,000 | 407,148 | ||||||
9.250% 2/15/24 (e) | 213,000 | 235,898 | ||||||
CSC Holdings LLC | 767,000 | 818,772 | ||||||
7.500% 4/01/28 (e) | 565,000 | 638,450 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. | 568,000 | 574,562 | ||||||
DISH DBS Corp. | 207,000 | 212,351 | ||||||
7.750% 7/01/26 | 681,000 | 721,445 |
Principal Amount | Value | |||||||
DISH Network Corp., Convertible, | $ | 212,000 | $ | 203,923 | ||||
GCI LLC | 250,000 | 270,625 | ||||||
6.875% 4/15/25 | 1,300,000 | 1,358,500 | ||||||
LCPR Senior Secured Financing DAC | 314,000 | 332,840 | ||||||
Midcontinent Communications / Midcontinent Finance Corp. | 205,000 | 216,788 | ||||||
Neptune Finco Corp. | 50,000 | 53,188 | ||||||
Nexstar Broadcasting, Inc. | 680,000 | 716,584 | ||||||
Scripps Escrow, Inc. | 160,000 | 167,600 | ||||||
Sirius XM Radio, Inc. | 671,000 | 704,550 | ||||||
5.375% 4/15/25 (e) | 522,000 | 539,372 | ||||||
5.375% 7/15/26 (e) | 167,000 | 177,385 | ||||||
5.500% 7/01/29 (e) | 981,000 | 1,060,696 | ||||||
Virgin Media Secured Finance PLC | 1,308,000 | 1,384,845 | ||||||
Ziggo BV | 153,000 | 157,943 | ||||||
5.500% 1/15/27 (e) | 489,000 | 519,563 | ||||||
|
| |||||||
16,746,516 | ||||||||
|
| |||||||
Mining — 4.7% |
| |||||||
Compass Minerals International, Inc. | 294,000 | 292,897 | ||||||
6.750% 12/01/27 (e) | 350,000 | 371,875 | ||||||
First Quantum Minerals Ltd. | 659,000 | 682,250 | ||||||
7.500% 4/01/25 (e) | 647,000 | 661,557 | ||||||
Hecla Mining Co. | 1,271,000 | 1,266,869 | ||||||
Kinross Gold Corp. | 640,000 | 670,400 | ||||||
5.950% 3/15/24 | 441,000 | 489,510 | ||||||
6.875% 9/01/41 | 476,000 | 552,755 | ||||||
New Gold, Inc. | 657,000 | 653,921 | ||||||
Northwest Acquisitions ULC/Dominion Finco, Inc. | 884,000 | 663,000 | ||||||
|
| |||||||
6,305,034 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.0% |
| |||||||
Amsted Industries, Inc. | 617,000 | 654,020 | ||||||
Gates Global LLC / Gates Global Co. | 700,000 | 712,047 | ||||||
|
| |||||||
1,366,067 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
58
Table of Contents
MML High Yield Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Office Equipment/Supplies — 0.5% |
| |||||||
Xerox Corp. | $ | 662,000 | $ | 685,997 | ||||
|
| |||||||
Oil & Gas — 4.2% |
| |||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. | 618,000 | 618,000 | ||||||
7.750% 4/15/23 | 204,000 | 203,490 | ||||||
11.000% 4/15/25 (e) (f) | 221,000 | 240,337 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co. | 163,000 | 154,850 | ||||||
Jonah Energy LLC/Jonah Energy Finance Corp. | 745,000 | 219,775 | ||||||
Laredo Petroleum, Inc. | 711,000 | 689,670 | ||||||
Neptune Energy Bondco PLC | 594,000 | 593,632 | ||||||
Oasis Petroleum, Inc. | 100,000 | 77,625 | ||||||
6.875% 1/15/23 (f) | 332,000 | 324,530 | ||||||
Parkland Fuel Corp. | 247,000 | 265,614 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. | 47,000 | 48,763 | ||||||
SM Energy Co. | 80,000 | 78,628 | ||||||
6.750% 9/15/26 | 690,000 | 676,200 | ||||||
Tullow Oil PLC | 1,364,000 | 1,231,010 | ||||||
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp. | 103,000 | 50,470 | ||||||
Whiting Petroleum Corp. | 292,000 | 198,992 | ||||||
|
| |||||||
5,671,586 | ||||||||
|
| |||||||
Oil & Gas Services — 0.5% |
| |||||||
Welltec A/S | 696,000 | 689,040 | ||||||
|
| |||||||
Packaging & Containers — 1.2% |
| |||||||
Mauser Packaging Solutions Holding Co. | 781,000 | 771,237 | ||||||
Silgan Holdings, Inc. | 422,000 | 422,127 | ||||||
Trident TPI Holdings, Inc. | 386,000 | 389,860 | ||||||
|
| |||||||
1,583,224 | ||||||||
|
|
Principal Amount | Value | |||||||
Pharmaceuticals — 1.8% |
| |||||||
Bausch Health Americas, Inc. | $ | 250,000 | $ | 284,700 | ||||
9.250% 4/01/26 (e) | 600,000 | 689,160 | ||||||
Bausch Health Cos., Inc. | 193,000 | 198,094 | ||||||
5.250% 1/30/30 (e) | 194,000 | 201,178 | ||||||
5.500% 3/01/23 (e) | 187,000 | 187,935 | ||||||
5.875% 5/15/23 (e) | 75,000 | 75,656 | ||||||
6.125% 4/15/25 (e) | 75,000 | 77,492 | ||||||
Par Pharmaceutical, Inc. | 629,000 | 625,855 | ||||||
|
| |||||||
2,340,070 | ||||||||
|
| |||||||
Pipelines — 1.3% |
| |||||||
Cheniere Energy Partners LP | 271,000 | 278,480 | ||||||
5.625% 10/01/26 | 725,000 | 766,687 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 765,000 | 757,350 | ||||||
|
| |||||||
1,802,517 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.7% |
| |||||||
ESH Hospitality, Inc. | 388,000 | 392,850 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 539,000 | 571,340 | ||||||
RHP Hotel Properties LP/RHP Finance Corp. | 789,000 | 804,780 | ||||||
Ryman Hospitality Properties, Inc. | 425,000 | 438,812 | ||||||
|
| |||||||
2,207,782 | ||||||||
|
| |||||||
Retail — 1.2% |
| |||||||
Golden Nugget, Inc. | 151,000 | 161,476 | ||||||
KGA Escrow LLC | 403,000 | 426,172 | ||||||
Penske Automotive Group, Inc. | 1,000,000 | 1,047,500 | ||||||
|
| |||||||
1,635,148 | ||||||||
|
| |||||||
Software — 4.6% |
| |||||||
RP Crown Parent LLC | 191,000 | 198,401 | ||||||
SS&C Technologies, Inc. | 960,000 | 1,024,800 | ||||||
TIBCO Software, Inc. | 2,877,000 | 2,981,435 | ||||||
Veritas US, Inc./Veritas Bermuda Ltd. | 2,167,000 | 2,004,475 | ||||||
|
| |||||||
6,209,111 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
59
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MML High Yield Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Storage/Warehousing — 0.8% |
| |||||||
LBC Tank Terminals Holding Netherlands BV | $ | 1,111,000 | $ | 1,123,499 | ||||
|
| |||||||
Telecommunications — 5.4% |
| |||||||
CenturyLink, Inc. | 526,000 | 535,273 | ||||||
6.750% 12/01/23 | 500,000 | 558,125 | ||||||
CommScope Technologies Finance LLC | 129,000 | 129,146 | ||||||
CommScope, Inc. | 162,000 | 172,328 | ||||||
8.250% 3/01/27 (e) | 374,000 | 393,635 | ||||||
Intelsat Jackson Holdings SA | 564,000 | 513,708 | ||||||
9.750% 7/15/25 (e) | 132,000 | 122,100 | ||||||
Sprint Corp. | 745,000 | 787,837 | ||||||
7.625% 3/01/26 | 386,000 | 425,681 | ||||||
7.875% 9/15/23 | 1,386,000 | 1,529,215 | ||||||
T-Mobile USA, Inc. | 453,000 | 467,723 | ||||||
6.500% 1/15/26 | 679,000 | 728,031 | ||||||
Telecom Italia SpA | 586,000 | 629,950 | ||||||
ViaSat, Inc. | 197,000 | 210,790 | ||||||
|
| |||||||
7,203,542 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.6% |
| |||||||
Mattel, Inc. | 516,000 | 554,597 | ||||||
5.875% 12/15/27 (e) | 224,000 | 236,040 | ||||||
|
| |||||||
790,637 | ||||||||
|
| |||||||
Transportation — 2.9% |
| |||||||
The Kenan Advantage Group, Inc. | 3,200,000 | 3,129,344 | ||||||
XPO Logistics, Inc. | 716,000 | 777,827 | ||||||
|
| |||||||
3,907,171 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $117,885,900) | 119,667,707 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $127,523,335) | 129,397,507 | |||||||
|
|
Number of Shares | Value | |||||||
WARRANTS — 0.0% |
| |||||||
Basic Materials — 0.0% Forest Products & Paper — 0.0% |
| |||||||
Appvion Holding Corp. Tranche A (a) (b) (c) | 2,106 | $ | 527 | |||||
Appvion Holding Corp. Tranche B (a) (b) (c) | 2,106 | 263 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $0) | 790 | |||||||
|
| |||||||
MUTUAL FUNDS — 6.8% |
| |||||||
Diversified Financial Services — 6.8% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (g) | 9,065,018 | 9,065,018 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $9,065,018) | 9,065,018 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $140,797,402) | 138,949,299 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.7% (Cost $140,797,402) (h) | 138,949,299 | |||||||
Other Assets/(Liabilities) — (3.7)% | (4,894,137 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 134,055,162 | ||||||
|
|
Abbreviation Legend
STEP | Step Up Bond |
VRN | Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Investment was valued using significant unobservable inputs. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2019, these securities amounted to a value of $790 or 0.00% of net assets. |
(c) | Non-income producing security. |
(d) | All or a portion of the security represents unsettled loan commitments at December 31, 2019 where the rate will be determined at time of settlement. |
(e) | Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $89,398,487 or 66.69% of net assets. |
The accompanying notes are an integral part of the financial statements.
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Table of Contents
MML High Yield Fund – Portfolio of Investments(Continued)
Notes to Portfolio of Investments (Continued)
(f) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $9,287,655 or 6.93% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $709,919 ofnon-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities.(Note 2). |
(g) | Represents investment of security lending cash collateral.(Note 2). |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 88.4 | % | ||
Canada | 6.1 | % | ||
United Kingdom | 2.4 | % | ||
Luxembourg | 1.9 | % | ||
Cayman Islands | 1.6 | % | ||
Netherlands | 1.3 | % | ||
Ireland | 0.7 | % | ||
Denmark | 0.5 | % | ||
Italy | 0.5 | % | ||
Austria | �� | 0.3 | % | |
|
| |||
Total Long-Term Investments | 103.7 | % | ||
Other Assets and Liabilities | (3.7 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
61
Table of Contents
December 31, 2019
Principal Amount | Value | |||||||
BONDS & NOTES — 137.7% |
| |||||||
CORPORATE DEBT — 0.4% |
| |||||||
Pharmaceuticals — 0.4% |
| |||||||
Becton Dickinson and Co. 3 mo. USD LIBOR + .875% | $ | 1,545,000 | $ | 1,545,759 | ||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $1,549,800) | 1,545,759 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.0% |
| |||||||
Louisiana State Public Facilities Authority,Series 2011-A, Class A2, 3 mo. USD LIBOR + 0.900% | 52,331 | 52,380 | ||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $52,331) | 52,380 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 49.0% |
| |||||||
Auto Floor Plan ABS — 0.8% |
| |||||||
Navistar Financial Dealer Note Master Owner Trust II,Series 2019-1, Class B, 1 mo. USD LIBOR + .750% | 1,400,000 | 1,399,999 | ||||||
NextGear Floorplan Master Owner Trust | 470,000 | 471,175 | ||||||
Series 2018-1A, Class A1, 1 mo. USD LIBOR + .640% | 850,000 | 851,900 | ||||||
|
| |||||||
2,723,074 | ||||||||
|
| |||||||
Automobile ABS — 5.1% |
| |||||||
American Credit Acceptance Receivables Trust | 671,328 | 672,186 | ||||||
Series 2018-4, Class A, 3.380% 12/13/21 (a) | 324,568 | 324,854 | ||||||
Series 2019-1, Class C, 3.500% 4/14/25 (a) | 1,300,000 | 1,317,809 | ||||||
Avis Budget Rental Car Funding AESOP LLC,Series 2019-1A, Class C | 388,000 | 397,156 | ||||||
Chesapeake Funding II LLC,Series 2018-1A, Class A2, 1 mo. USD LIBOR + .450% | 695,481 | 695,907 | ||||||
CPS Auto Trust | 87,567 | 87,616 |
Principal Amount | Value | |||||||
Series 2019-A, Class A, 3.180% 6/15/22 (a) | $ | 193,602 | $ | 194,279 | ||||
Series 2018-C, Class B, 3.430% 7/15/22 (a) | 260,000 | 261,247 | ||||||
Drive Auto Receivables Trust | 19,927 | 19,925 | ||||||
Series 2019-1, Class C, 3.780% 4/15/25 | 963,000 | 978,844 | ||||||
Exeter Automobile Receivables Trust | 700,991 | 702,229 | ||||||
Series 2018-1A, Class B, 2.750% 4/15/22 (a) | 112,350 | 112,393 | ||||||
Series 2016-3A, Class B, 2.840% 8/16/21 (a) | 5,935 | 5,934 | ||||||
Series 2018-3A, Class A, 2.900% 1/18/22 (a) | 21,130 | 21,133 | ||||||
Series 2017-1A, Class B, 3.000% 12/15/21 (a) | 71,031 | 71,062 | ||||||
Series 2018-4A, Class A, 3.050% 12/15/21 (a) | 101,494 | 101,547 | ||||||
Series 2019-1A, Class B, 3.450% 2/15/23 (a) | 435,000 | 438,399 | ||||||
First Investors Auto Owner Trust,Series 2018-1A, Class A1 | 99,558 | 99,603 | ||||||
Flagship Credit Auto Trust | 346,007 | 345,841 | ||||||
Series 2018-1, Class A, 2.590% 6/15/22 (a) | 498,809 | 499,221 | ||||||
Series 2016-4, Class C, 2.710% 11/15/22 (a) | 680,000 | 680,673 | ||||||
Series 2017-1, Class B, 2.830% 3/15/23 (a) | 380,259 | 380,482 | ||||||
Series 2018-2, Class A, 2.970% 10/17/22 (a) | 1,168,739 | 1,172,664 | ||||||
Hertz Fleet Lease Funding LP,Series 2018-1, Class A1, 1 mo. USD LIBOR + .500% | 2,076,517 | 2,078,329 | ||||||
Hertz Vehicle Financing II LP | 890,000 | 891,925 | ||||||
Series 2017-1A, Class B, 3.560% 10/25/21 (a) | 730,000 | 734,288 | ||||||
Series 2016-2A, Class D, 5.970% 3/25/22 (a) | 3,300,000 | 3,373,829 | ||||||
OneMain Direct Auto Receivables Trust,Series 2017-2A, Class A | 54,555 | 54,550 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Oscar US Funding Trust IX LLC,Series 2018-2A, Class A2B, 1 mo. USD LIBOR + .470% | $ | 487,245 | $ | 487,405 | ||||
Oscar US Funding Trust VI,Series 2017-1A, Class A3 | 139,605 | 139,765 | ||||||
Oscar US Funding Trust VIII LLC,Series 2018-1A, Class A2A | 71,572 | 71,628 | ||||||
Tesla Auto Lease Trust,Series 2018-A, Class B | 2,156 | 2,156 | ||||||
Toyota Auto Receivables Owner Trust,Series 2018-C, Class A2B, 1 mo. USD LIBOR + .120% | 845,598 | 845,413 | ||||||
Westlake Automobile Receivables Trust,Series 2018-2A, Class A2A | 155,168 | 155,244 | ||||||
|
| |||||||
18,415,536 | ||||||||
|
| |||||||
Commercial MBS — 2.1% |
| |||||||
BHMS Mortgage Trust, | 1,700,000 | 1,696,806 | ||||||
BX Commercial Mortgage Trust | 1,582,000 | 1,586,419 | ||||||
Series 2019-XL, Class F, 1 mo. USD LIBOR + 2.000% | 1,750,000 | 1,751,094 | ||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, 1 mo. USD LIBOR + 1.750% | 308,865 | 309,737 | ||||||
GCCFC Commercial Mortgage Trust,Series 2006-GG7, Class AM, | 154,775 | 156,172 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp.,Series 2018-LAQ, Class A, 1 mo. USD LIBOR + 1.000% | 1,617,427 | 1,616,411 | ||||||
KNDL Mortgage Trust, | 476,000 | 475,715 | ||||||
VMC Finance LLC,Series 2018-FL1, Class A, 1 mo. USD LIBOR + .820% | 24,830 | 24,768 | ||||||
|
| |||||||
7,617,122 | ||||||||
|
|
Principal Amount | Value | |||||||
Credit Card ABS — 0.3% |
| |||||||
Citibank Credit Card Issuance Trust,Series 2017-A6, Class A6, 1 mo. LIBOR + .770% | $ | 1,100,000 | $ | 1,091,794 | ||||
|
| |||||||
Home Equity ABS — 0.1% |
| |||||||
Asset Backed Securities Corp. Home Equity Loan Trust,Series 2006-HE3, Class A4, 1 mo. USD LIBOR + .170% | 360,389 | 358,911 | ||||||
|
| |||||||
Other ABS — 15.3% |
| |||||||
321 Henderson Receivables I LLC | 368,061 | 364,115 | ||||||
Series 2006-2A, Class A1, 1 mo. USD LIBOR + .200% | 1,347,503 | 1,319,517 | ||||||
Series 2006-4A, Class A1, 1 mo. USD LIBOR + .200% | 202,262 | 200,382 | ||||||
Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200% | 609,403 | 587,568 | ||||||
321 Henderson Receivables II LLC,Series 2006-3A, Class A1, 1 mo. USD LIBOR + .200% | 139,496 | 136,611 | ||||||
AASET Trust,Series 2017-1A, Class A | 173,221 | 174,641 | ||||||
AASET US Ltd.,Series 2018-2A, Class A | 1,650,507 | 1,682,176 | ||||||
AIMCO CLO,Series 2015-AA, Class AR, 3 mo. USD LIBOR + .850% | 2,450,000 | 2,449,980 | ||||||
Arbor Realty Commercial Real Estate Notes,Series 2018-FL1, Class A, 1 mo. USD LIBOR + 1.150% | 780,000 | 780,487 | ||||||
Avant Loans Funding Trust | 2,416,336 | 2,418,285 | ||||||
Series 2018-B, Class A, | 244,946 | 245,406 | ||||||
Series 2019-A, Class A, | 461,986 | 463,852 | ||||||
Avery Point IV CLO Ltd.,Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.100% | 1,171,600 | 1,171,963 |
The accompanying notes are an integral part of the financial statements.
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MML Inflation-Protected and Income Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
BCC Funding XIV LLC,Series 2018-1A, Class A2 | $ | 437,890 | $ | 439,379 | ||||
Carlyle Global Market Strategies CLO Ltd.,Series 2013-2A, Class AR, 3 mo. USD LIBOR + .890% | 2,000,000 | 1,991,034 | ||||||
Cazenovia Creek Funding LLC,Series 2015-1A, Class A | 1,662 | 1,659 | ||||||
CCG Receivables Trust,Series 2018-2, Class A2 | 728,287 | 733,981 | ||||||
CIFC Funding II Ltd.,Series 2015-2A, Class AR, 3 mo. USD LIBOR + .780% | 2,145,106 | 2,145,153 | ||||||
Countrywide Asset-Backed Certificates,Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460% | 11,119 | 10,600 | ||||||
Drug Royalty II LP,Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850% | 24,879 | 24,891 | ||||||
Elara HGV Timeshare Issuer LLC,Series 2014-A, Class B, | 170,943 | 169,459 | ||||||
FCI Funding LLC,Series 2019-1A, Class A | 264,361 | 265,481 | ||||||
First Franklin Mortgage Loan Trust,Series 2005-FF9, Class A4, 1 mo. USD LIBOR + .360% | 1,520,107 | 1,516,612 | ||||||
Hilton Grand Vacations Trust,Series 2014-AA, Class A | 61,471 | 61,278 | ||||||
KREF Ltd. | 2,000,000 | 1,999,994 | ||||||
Series 2018-FL1, Class D, 1 mo. USD LIBOR + 2.550% | 2,450,000 | 2,459,181 | ||||||
LCM Ltd., 3 mo. USD LIBOR + 1.240% | 1,300,000 | 1,300,302 | ||||||
Lendmark Funding Trust,Series 2018-1A, Class A | 630,000 | 638,521 | ||||||
Marlette Funding Trust | 125,664 | 125,726 |
Principal Amount | Value | |||||||
Series 2019-2A, Class A, | $ | 367,330 | $ | 369,674 | ||||
Series 2018-3A, Class A, | 256,027 | 256,659 | ||||||
Series 2019-1A, Class A, | 244,172 | 245,906 | ||||||
Series 2019-2A, Class B, | 385,000 | 390,676 | ||||||
MVW Owner Trust,Series 2017-1A, Class A | 98,106 | 98,067 | ||||||
Neuberger Berman CLO XX Ltd.,Series 2015-20A, Class AR, 3 mo. USD LIBOR + .800% | 2,450,000 | 2,448,655 | ||||||
NP SPE II LLC,Series 2019-1A, Class A1 | 394,929 | 394,257 | ||||||
OCP CLO Ltd.,Series 2015-10A, Class A1R, 3 mo. USD LIBOR + .820% | 2,450,000 | 2,447,868 | ||||||
Orange Lake Timeshare Trust,Series 2016-A, Class A | 238,846 | 239,138 | ||||||
Oxford Finance Funding Trust,Series 2016-1A, Class A | 163,623 | 164,377 | ||||||
PNMAC GMSR Issuer Trust,Series 2018-GT1, Class A, 1 mo. USD LIBOR + 2.850% | 440,000 | 442,596 | ||||||
Saxon Asset Securities Trust,Series 2006-2, Class A3C, 1 mo. USD LIBOR + .150% | 1,964,545 | 1,948,434 | ||||||
Securitized Equipment Receivable | 400,000 | 400,405 | ||||||
4.200% 10/11/24 | 430,000 | 431,298 | ||||||
Sierra Receivables Funding LLC | 275,534 | 275,422 | ||||||
Series 2019-3A, Class C, | 3,306,638 | 3,294,484 | ||||||
Series 2015-2A, Class B, | 800,151 | 801,083 | ||||||
Series 2015-3A, Class B, | 26,683 | 26,786 | ||||||
Series 2019-1A, Class C, | 686,770 | 702,065 | ||||||
Series 2019-3A, Class D, | 846,686 | 843,621 | ||||||
Series 2019-1A, Class D, | 621,363 | 632,328 |
The accompanying notes are an integral part of the financial statements.
64
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MML Inflation-Protected and Income Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
SoFi Consumer Loan Program LLC | $ | 98,179 | $ | 98,345 | ||||
Series 2016-5, Class A, | 547,251 | 549,523 | ||||||
SoFi Consumer Loan Program Trust | 126,915 | 127,182 | ||||||
Series 2018-3, Class A1, | 285,812 | 286,288 | ||||||
Series 2016-1A, Class A, | 418,093 | 421,022 | ||||||
Series 2017-2, Class A, | 295,688 | 296,842 | ||||||
Springleaf Funding Trust,Series 2016-AA, Class A | 385,179 | 385,321 | ||||||
Structured Asset Securities Corp. | 1,409,542 | 1,383,798 | ||||||
Textainer Marine Containers VII Ltd.,Series 2018-1A, Class A | 1,212,300 | 1,219,249 | ||||||
TLF National Tax Lien Trust,Series 2017-1A, Class A | 665,191 | 666,743 | ||||||
Trafigura Securitisation Finance PLC | 2,950,000 | 2,951,413 | ||||||
Series 2017-1A, Class B, | 2,330,000 | 2,333,544 | ||||||
Trip Rail Master Funding LLC,Series 2017-1A, Class A1 | 166,271 | 166,296 | ||||||
Upstart Securitization Trust,Series 2019-1, Class A | 203,221 | 203,604 | ||||||
Westgate Resorts LLC | 356,891 | 358,159 | ||||||
Series 2018-1A, Class A, | 478,615 | 483,957 | ||||||
|
| |||||||
54,663,319 | ||||||||
|
| |||||||
Student Loans ABS — 16.7% |
| |||||||
Academic Loan Funding Trust,Series 2013-1A, Class A, | 1,779,791 | 1,778,813 |
Principal Amount | Value | |||||||
Access Group, Inc., | $ | 615,132 | $ | 590,388 | ||||
AccessLex Institute, | 19,469 | 19,450 | ||||||
Brazos Higher Education Authority, Inc. | 1,007,535 | 990,069 | ||||||
Series 2006-2, Class B2, | 1,200,000 | 1,175,785 | ||||||
Chase Education Loan Trust,Series 2007-A, Class A4, | 3,576,573 | 3,453,954 | ||||||
College Loan Corp. Trust I, | 455,696 | 424,809 | ||||||
Commonbond Student Loan Trust,Series 2018-CGS, Class C | 162,527 | 163,919 | ||||||
DRB Prime Student Loan Trust | 1,769,784 | 1,771,145 | ||||||
Series 2016-A, Class A1, | 267,438 | 271,696 | ||||||
Earnest Student Loan Program LLC,Series 2016-B, Class A1, | 171,903 | 172,958 | ||||||
ECMC Group Student Loan Trust | 3,132,156 | 3,073,482 | ||||||
Series 2017-1A, Class A, | 1,394,789 | 1,394,787 | ||||||
Series 2016-1A, Class A, | 950,170 | 954,981 | ||||||
EdLinc Student Loan Funding Trust,Series 2017-A, Class A, | 815,683 | 804,267 |
The accompanying notes are an integral part of the financial statements.
65
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MML Inflation-Protected and Income Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Edsouth Indenture | $ | 405,970 | $ | 403,964 | ||||
No.10 LLC, | 1,000,000 | 1,008,433 | ||||||
ELFI Graduate Loan Program LLC,Series 2018-A, Class A1, | 552,709 | 552,873 | ||||||
GCO Education Loan Funding Trust,Series 2006-1, Class A9L, | 569,043 | 568,829 | ||||||
Goal Capital Funding Trust,Series 2010-1, Class A, | 287,045 | 287,962 | ||||||
JP Morgan Student Loan Trust,Series 2007-A, Class B, | 510,540 | 483,544 | ||||||
KeyCorp Student Loan Trust,Series 2000-A, Class A2, | 150,197 | 149,050 | ||||||
Navient Private Education Loan Trust,Series 2015-AA, Class A2B, | 435,630 | 438,561 | ||||||
Navient Student Loan Trust | 1,120,000 | 1,102,496 | ||||||
Series 2018-A, Class A1, | 647,396 | 647,996 | ||||||
Series 2016-3A, Class A2, | 255,081 | 255,518 | ||||||
Series 2019-2A, Class A2, | 3,387,000 | 3,415,343 | ||||||
Series 2016-5A, Class A, | 2,087,035 | 2,111,574 | ||||||
Series 2016-6A, Class A3, | 2,200,000 | 2,229,340 | ||||||
Series 2019-3A, Class B, | 2,900,000 | 2,899,995 |
Principal Amount | Value | |||||||
Nelnet Private Education Loan Trust,Series 2016-A, Class A1A, | $ | 377,308 | $ | 375,565 | ||||
Nelnet Student Loan Trust | 854,830 | 838,969 | ||||||
Series 2006-2, Class B, | 733,845 | 672,867 | ||||||
Series 2004-3, Class B, | 1,150,706 | 1,064,280 | ||||||
Series 2006-3, Class B, | 326,398 | 301,507 | ||||||
Series 2018-1A, Class A2, | 1,781,513 | 1,747,580 | ||||||
Series 2014-2A, Class B, | 375,000 | 373,114 | ||||||
North Carolina State Education Assistance Authority, | 1,809,732 | 1,814,190 | ||||||
SLC Student Loan Trust | 1,239,342 | 1,157,489 | ||||||
Series 2005-2, Class B, | 1,866,630 | 1,731,858 | ||||||
SLM Private Education Loan Trust, | 125,096 | 125,644 | ||||||
SLM Student Loan Trust | 90,000 | 90,000 | ||||||
Series 2007-4, Class B1, | 600,061 | 593,467 | ||||||
Series 2005-5, Class A4, | 494,289 | 490,648 | ||||||
Series 2006-10, Class A6, | 850,000 | 798,948 |
The accompanying notes are an integral part of the financial statements.
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MML Inflation-Protected and Income Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Series 2006-4, Class B, | $ | 363,880 | $ | 338,584 | ||||
Series 2006-5, Class B, | 391,121 | 364,644 | ||||||
Series 2006-2, Class B, | 427,086 | 399,336 | ||||||
Series 2006-10, Class B, | 868,800 | 786,020 | ||||||
Series 2003-14, Class A6, | 293,794 | 293,382 | ||||||
Series 2005-8, Class B, | 391,017 | 362,854 | ||||||
Series 2004-8, Class B, | 428,647 | 402,294 | ||||||
Series 2004-3, Class B, | 298,149 | 278,970 | ||||||
Series 2003-14, Class A7, | 2,550,000 | 2,492,318 | ||||||
Series 2003-11, Class B, | 437,476 | 409,631 | ||||||
Series 2003-5, Class A7, | 550,000 | 550,000 | ||||||
SMB Private Education Loan Trust | 297,082 | 297,049 | ||||||
Series 2019-B, Class A1, | 424,072 | 424,011 | ||||||
Series 2018-B, Class A2B, | 1,500,000 | 1,492,433 | ||||||
Series 2019-A, Class A2B, | 1,639,000 | 1,637,028 | ||||||
Series 2014-A, Class A2A, | 265,719 | 266,577 | ||||||
SoFi Alternative Trust, | 2,164,436 | 2,212,371 |
Principal Amount | Value | |||||||
SoFi Professional Loan Program LLC | $ | 203,371 | $ | 203,264 | ||||
Series 2017-A, Class A1, | 326,310 | 326,626 | ||||||
Series 2015-A, Class A1, | 65,721 | 65,768 | ||||||
Series 2016-A, Class A1, | 261,518 | 265,221 | ||||||
|
| |||||||
59,640,488 | ||||||||
|
| |||||||
WL Collateral CMO — 8.6% |
| |||||||
Angel Oak Mortgage Trust, | 1,732,330 | 1,740,104 | ||||||
Banc of America Funding, | 1,858,082 | 1,831,451 | ||||||
BRAVO Residential Funding Trust 2019-NQM1, | 1,121,663 | 1,114,718 | ||||||
CIM Trust, Series 2019-INV3, Class A11, 1 mo. USD LIBOR + 1.000% | 4,604,997 | 4,595,236 | ||||||
Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class A3, | 1,340,760 | 1,336,370 | ||||||
Deephaven Residential Mortgage Trust | 402,513 | 401,053 | ||||||
Series 2018-1A, Class A2, | 402,513 | 401,047 | ||||||
Series 2018-2A, Class A1, | 1,189,511 | 1,189,436 | ||||||
Series 2019-1A, Class A3, | 305,522 | 307,950 | ||||||
Series 2018-4A, Class A3, | 1,907,971 | 1,914,051 | ||||||
JP Morgan Mortgage Trust | 535,908 | 544,156 | ||||||
Series 2018-3, Class A5, | 810,895 | 822,868 | ||||||
Series 2017-6, Class A5, | 758,554 | 769,755 | ||||||
New Residential Mortgage Loan Trust, Series 2019-NQM1, Class A3, | 1,300,992 | 1,321,304 |
The accompanying notes are an integral part of the financial statements.
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MML Inflation-Protected and Income Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates,Series 2005-4, Class 1APT, 1 mo. USD LIBOR + .310% | $ | 1,519,841 | $ | 1,519,158 | ||||
PSMC Trust,Series 2018-1, Class A3, | 770,163 | 782,017 | ||||||
Sequoia Mortgage Trust | 678,936 | 687,264 | ||||||
Series 2018-CH1, Class A10, | 429,221 | 437,231 | ||||||
Series 2018-CH2, Class A12, | 1,369,489 | 1,379,296 | ||||||
Series 2018-CH3, Class A11, | 386,525 | 393,783 | ||||||
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3, | 1,070,651 | 1,063,499 | ||||||
Verus Securitization Trust | 1,004,796 | 1,007,838 | ||||||
Series 2019-1, Class A3, | 5,168,579 | 5,202,953 | ||||||
|
| |||||||
30,762,538 | ||||||||
|
| |||||||
TOTALNON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $172,478,999) | 175,272,782 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 1.4% |
| |||||||
Pass-Through Securities — 0.1% |
| |||||||
Federal Home Loan Mortgage Corp. | 236,717 | 249,300 | ||||||
|
| |||||||
Whole Loans — 1.3% |
| |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2018-HQA1, Class M1, 1 mo. USD LIBOR + .700% | 1,179,420 | 1,179,419 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities | 965,505 | 965,504 |
Principal Amount | Value | |||||||
Series 2018-C03, Class 1M1, 1 mo. USD LIBOR + .680% | $ | 988,933 | $ | 989,195 | ||||
Series 2018-C05, Class 1M1, 1 mo. USD LIBOR + .720% | 1,586,840 | 1,587,515 | ||||||
Series 2016-C06, Class 1M1, 1 mo. USD LIBOR + 1.300% | 157,896 | 158,177 | ||||||
Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450% | 2,162 | 2,163 | ||||||
|
| |||||||
4,881,973 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $5,123,677) | 5,131,273 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 86.9% |
| |||||||
U.S. Treasury Bonds & Notes — 86.9% |
| |||||||
U.S. Treasury Inflation Index | 8,486,042 | 8,473,515 | ||||||
0.125% 7/15/22 (c) | 12,308,890 | 12,360,294 | ||||||
0.125% 1/15/23 (c) | 19,699,046 | 19,697,083 | ||||||
0.125% 7/15/24 (c) | 17,881,545 | 17,988,008 | ||||||
0.125% 10/15/24 | 7,321,681 | 7,363,824 | ||||||
0.125% 7/15/26 (c) | 11,808,830 | 11,846,078 | ||||||
0.250% 1/15/25 (c) | 19,555,920 | 19,729,646 | ||||||
0.250% 7/15/29 | 6,840,732 | 6,907,113 | ||||||
0.375% 7/15/25 (c) | 16,569,630 | 16,907,149 | ||||||
0.375% 1/15/27 | 5,938,936 | 6,029,045 | ||||||
0.375% 7/15/27 (c) | 18,461,723 | 18,831,548 | ||||||
0.500% 4/15/24 | 8,402,088 | 8,537,923 | ||||||
0.500% 1/15/28 (c) | 12,857,687 | 13,189,940 | ||||||
0.625% 4/15/23 (c) | 19,812,926 | 20,119,553 | ||||||
0.625% 1/15/26 | 5,875,112 | 6,055,145 | ||||||
0.625% 2/15/43 (c) | 6,491,650 | 6,564,784 | ||||||
0.750% 7/15/28 (c) | 10,943,370 | 11,512,641 | ||||||
0.750% 2/15/45 (c) | 8,742,160 | 9,065,717 | ||||||
0.875% 1/15/29 (c) | 8,035,682 | 8,533,068 | ||||||
0.875% 2/15/47 (c) | 6,396,060 | 6,853,634 | ||||||
1.000% 2/15/48 (c) | 7,565,448 | 8,370,946 | ||||||
1.000% 2/15/49 (c) | 4,243,873 | 4,715,565 | ||||||
1.375% 2/15/44 (c) | 6,762,796 | 7,974,899 | ||||||
1.750% 1/15/28 (c) | 6,755,705 | 7,589,187 | ||||||
2.000% 1/15/26 (c) | 5,186,040 | 5,764,524 | ||||||
2.125% 2/15/41 (c) | 4,700,240 | 6,190,642 | ||||||
2.375% 1/15/25 (c) | 8,190,900 | 9,128,645 | ||||||
2.375% 1/15/27 (c) | 4,083,264 | 4,713,076 | ||||||
3.375% 4/15/32 (c) | 2,899,460 | 3,980,654 | ||||||
3.625% 4/15/28 (c) | 4,772,970 | 6,105,499 |
The accompanying notes are an integral part of the financial statements.
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MML Inflation-Protected and Income Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
3.875% 4/15/29 (c) | $ | 7,012,589 | $ | 9,356,692 | ||||
|
| |||||||
310,456,037 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $300,523,546) | 310,456,037 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $479,728,353) | 492,458,231 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.5% (Cost $2,179,298) | 1,908,090 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $481,907,651) | 494,366,321 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 33.1% |
| |||||||
Commercial Paper — 33.0% |
| |||||||
Avangrid, Inc. | 6,000,000 | 5,993,091 | ||||||
Bemis Co., Inc. | 6,000,000 | 5,990,919 | ||||||
Boeing Co. | 7,000,000 | 6,973,341 | ||||||
Centerpoint Energy, Inc. | 3,000,000 | 2,998,034 | ||||||
Diageo Capital PLC | 6,000,000 | 5,992,628 | ||||||
Duke Energy Corp. | 6,000,000 | 5,990,919 | ||||||
Dupont De Nemours, Inc. | 2,000,000 | 1,999,398 | ||||||
1.982% 1/27/20 (a) | 5,000,000 | 4,992,384 | ||||||
Entergy Corp. | 2,000,000 | 1,997,596 | ||||||
1.997% 2/18/20 (a) | 4,000,000 | 3,988,578 | ||||||
Erac USA Finance LLC | 1,000,000 | 999,139 | ||||||
Exelon Corp. | 4,000,000 | 3,998,796 | ||||||
FMC Tech, Inc. | 1,000,000 | 999,646 | ||||||
2.084% 1/10/20 (a) | 1,000,000 | 999,483 | ||||||
2.286% 1/31/20 (a) | 4,000,000 | 3,992,960 | ||||||
General Electric Co. | 4,000,000 | 3,981,683 | ||||||
Mondelez International, Inc. | 6,000,000 | 5,993,091 | ||||||
National Grid USA | 3,500,000 | 3,491,693 |
Principal Amount | Value | |||||||
Parker-Hannifin Corp. | $ | 5,000,000 | $ | 4,978,201 | ||||
2.041% 3/10/20 (a) | 2,000,000 | 1,992,716 | ||||||
Public Service Enterprise Group, Inc. | 6,000,000 | 5,993,091 | ||||||
Reckitt Benckiser Treasury Services PLC | 1,000,000 | 993,768 | ||||||
2.492% 3/13/20 (a) | 6,000,000 | 5,977,163 | ||||||
Sempra Energy Holding | 2,500,000 | 2,499,632 | ||||||
Telus Corp. | 5,000,000 | 4,989,986 | ||||||
Transcanada Pipelines Ltd. | 6,000,000 | 5,990,919 | ||||||
VW Credit, Inc. | 6,000,000 | 5,989,800 | ||||||
Walgreens Boots Alliance, Inc. | 1,000,000 | 998,486 | ||||||
2.340% 2/24/20 | 6,000,000 | 5,980,567 | ||||||
|
| |||||||
117,757,708 | ||||||||
|
| |||||||
Repurchase Agreement — 0.1% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated | 266,735 | 266,735 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $118,019,589) | 118,024,443 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 171.3% (Cost $599,927,240) (e) | 612,390,764 | |||||||
Other Assets/(Liabilities) — (71.3)% | (254,893,306 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 357,497,458 | ||||||
|
|
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 |
The accompanying notes are an integral part of the financial statements.
69
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MML Inflation-Protected and Income Fund – Portfolio of Investments(Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $249,848,465 or 69.89% of net assets. |
(b) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2019. |
(c) | A portion of this security is pledged/held as collateral for open derivatives, and/or reverse repurchase agreements.(Note 2). |
(d) | Maturity value of $266,747. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $272,511. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 131.1 | % | ||
Cayman Islands | 5.4 | % | ||
Ireland | 1.5 | % | ||
Japan | 0.2 | % | ||
|
| |||
Total Long-Term Investments | 138.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | (38.2 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
(#) Interest Rate Swaptions Purchased
Paid by Fund | Received by Fund | |||||||||||||||||||||||||||||||||||
Description | Counterparty | Expiration Date | Rate | Frequency | Rate | Frequency | Notional Amount | Value | Premium Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 | | Barclays Bank PLC | * | 12/13/32 | 3-Month USD LIBOR BBA | Quarterly | 2.44% | Semi-Annually | USD 5,620,000 | $ | 369,767 | $ | 280,957 | $ | 88,810 | |||||||||||||||||||||
10-Year Interest Rate Swap, 2/02/43 | | Credit Suisse International | * | 1/31/33 | 3-Month USD LIBOR BBA | Quarterly | 2.61% | Semi-Annually | USD 3,155,000 | 230,832 | 151,440 | 79,392 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
600,599 | 432,397 | 168,202 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 | | Barclays Bank PLC | * | 12/13/32 | 2.94% | | Semi- Annually | 3-Month USD LIBOR BBA | Quarterly | USD 22,880,000 | $ | 875,726 | $ | 1,143,840 | $ | (268,114 | ) | |||||||||||||||||||
10-Year Interest Rate Swap, 2/02/43 | | Credit Suisse International | * | 1/31/33 | 3.11% | | Semi- Annually | 3-Month USD LIBOR BBA | Quarterly | USD 12,590,000 | 431,765 | 603,061 | (171,296 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
1,307,491 | 1,746,901 | (439,410 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | 1,908,090 | $ | 2,179,298 | $ | (271,208 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
The accompanying notes are an integral part of the financial statements.
70
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MML Inflation-Protected and Income Fund – Portfolio of Investments(Continued)
Futures contracts
Expiration Date | Number of Contracts | Notional Amount | Value/Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Long | ||||||||||||||||
U.S. Treasury Long Bond | 3/20/20 | 68 | $ | 10,807,340 | $ | (205,715 | ) | |||||||||
U.S. Treasury Note 2 Year | 3/31/20 | 56 | 12,083,836 | (15,836 | ) | |||||||||||
|
| |||||||||||||||
$ | (221,551 | ) | ||||||||||||||
|
| |||||||||||||||
Short | ||||||||||||||||
U.S. Treasury Ultra 10 Year | 3/20/20 | 52 | $ | (7,399,216 | ) | $ | 82,653 | |||||||||
U.S. Treasury Ultra Bond | 3/20/20 | 22 | (4,067,177 | ) | 70,739 | |||||||||||
U.S. Treasury Note 5 Year | 3/31/20 | 79 | (9,396,665 | ) | 26,524 | |||||||||||
|
| |||||||||||||||
$ | 179,916 | |||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | Termination Date | Notional Amount | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Rate/Reference | Frequency | Rate/Reference | Frequency | |||||||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 2.775% | Semi-Annually | 7/02/20 | USD 24,300,000 | $112,984 | $ | - | $ | 112,984 | ||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 2.988% | Semi-Annually | 12/04/21 | USD 10,160,000 | 250,390 | - | 250,390 | ||||||||||||||||
|
|
|
|
| ||||||||||||||||||||
$363,374 | $ | - | $ | 363,374 | ||||||||||||||||||||
|
|
|
|
|
OTC Interest Rate Swaps
Paid by the Fund | Received by the Fund | Counterparty | Termination Date | Notional | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Rate/Reference | Frequency | Rate/Reference | Frequency | |||||||||||||||||||||||
2.314% | Maturity | U.S. Consumer Price Index | Maturity | Bank of America N.A.* | 10/01/20 | USD 12,000,000 | $ | (123,124 | ) | $ | - | $ | (123,124 | ) | ||||||||||||
1.570% | Maturity | U.S. Consumer Price Index | Maturity | Bank of America N.A.* | 1/10/21 | USD 12,900,000 | 51,638 | - | 51,638 | |||||||||||||||||
1.740% | Maturity | U.S. Consumer Price Index | Maturity | Bank of America N.A.* | 8/02/22 | USD 1,000,000 | 1,324 | - | 1,324 | |||||||||||||||||
1.633% | Maturity | U.S. Consumer Price Index | Maturity | Goldman Sachs International* | 11/06/21 | USD 10,000,000 | 41,797 | - | 41,797 | |||||||||||||||||
1.643% | Maturity | U.S. Consumer Price Index | Maturity | Goldman Sachs International* | 12/09/21 | USD 40,000,000 | 147,884 | - | 147,884 | |||||||||||||||||
1.669% | Maturity | U.S. Consumer Price Index | Maturity | Goldman Sachs International* | 11/08/22 | USD 15,900,000 | 78,006 | - | 78,006 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 197,525 | $ | - | $ | 197,525 | |||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
The accompanying notes are an integral part of the financial statements.
71
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MML Inflation-Protected and Income Fund – Portfolio of Investments(Continued)
Reverse Repurchase agreements
Description | Value | Value Including Accrued Interest | ||||||
Agreement with BNP Paribas SA, dated 11/15/19, 2.150%, to be repurchased on demand until 2/13/20 at value plus accrued interest. | $ | 62,699,000 | $ | 62,874,993 | ||||
Agreement with CIBC, dated 11/15/19, 1.950%, to be repurchased on demand until 1/15/20 at value plus accrued interest. | 47,250,950 | 47,371,243 | ||||||
Agreement with Daiwa Securities, dated 11/13/19, 1.920%, to be repurchased on demand until 1/10/20 at value plus accrued interest. | 53,363,750 | 53,503,207 | ||||||
Agreement with HSBC Bank USA, dated 11/13/19, 1.850%, to be repurchased on demand until 2/13/20 at value plus accrued interest. | 45,417,500 | 45,531,864 | ||||||
Agreement with HSBC Bank USA, dated 11/19/19, 1.900%, to be repurchased on demand until 2/19/20 at value plus accrued interest. | 13,561,029 | 13,591,805 | ||||||
Agreement with Morgan Stanley & Co. LLC, dated 11/15/19, 1.880%, to be repurchased on demand until 2/14/20 at value plus accrued interest. | 37,305,000 | 37,396,563 | ||||||
|
|
|
| |||||
$ | 259,597,229 | $ | 260,269,675 | |||||
|
|
|
|
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
72
Table of Contents
December 31, 2019
Principal Amount | Value | |||||||
BONDS & NOTES — 96.4% |
| |||||||
CORPORATE DEBT — 37.1% |
| |||||||
Advertising — 0.1% |
| |||||||
The Interpublic Group of Cos., Inc. | $ | 200,000 | $ | 205,570 | ||||
|
| |||||||
Agriculture — 1.3% |
| |||||||
BAT Capital Corp. | 415,000 | 424,494 | ||||||
Bunge Ltd. Finance Corp. | 930,000 | 941,601 | ||||||
Imperial Brands Finance PLC | 400,000 | 404,002 | ||||||
3.500% 2/11/23 (a) | 387,000 | 396,127 | ||||||
Reynolds American, Inc. | 540,000 | 562,103 | ||||||
|
| |||||||
2,728,327 | ||||||||
|
| |||||||
Airlines — 0.0% |
| |||||||
American Airlines Pass-Through Trust,Series 2014-1, Class B, | 22,307 | 22,959 | ||||||
|
| |||||||
Auto Manufacturers — 1.2% |
| |||||||
Ford Motor Credit Co. LLC | 405,000 | 403,112 | ||||||
3 mo. USD LIBOR + 1.235% | 275,000 | 270,400 | ||||||
3.350% 11/01/22 | 365,000 | 368,714 | ||||||
General Motors Financial Co., Inc. | 970,000 | 991,443 | ||||||
Hyundai Capital America | 320,000 | 323,566 | ||||||
Nissan Motor Acceptance Corp. | 200,000 | 198,499 | ||||||
|
| |||||||
2,555,734 | ||||||||
|
| |||||||
Banks — 7.0% |
| |||||||
Banco Santander SA | 600,000 | 616,397 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + .930% | 2,110,000 | 2,143,749 | ||||||
Barclays Bank PLC | 504,000 | 560,258 | ||||||
Barclays PLC 3 mo. USD LIBOR + 1.380% | 485,000 | 490,539 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + .722% | 1,195,000 | 1,218,415 | ||||||
Credit Suisse AG | 930,000 | 1,035,787 |
Principal Amount | Value | |||||||
Discover Bank | $ | 673,000 | $ | 694,078 | ||||
4.200% 8/08/23 | 310,000 | 329,566 | ||||||
First Horizon National Corp. | 520,000 | 525,717 | ||||||
The Goldman Sachs Group, Inc. | 2,115,000 | 2,174,465 | ||||||
HSBC Holdings PLC | 495,000 | 525,268 | ||||||
JP Morgan Chase & Co. | 1,145,000 | 1,202,276 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 820,000 | 832,149 | ||||||
Morgan Stanley | 1,090,000 | 1,141,459 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 520,000 | 521,329 | ||||||
Synchrony Bank | 470,000 | 479,220 | ||||||
|
| |||||||
14,490,672 | ||||||||
|
| |||||||
Beverages — 1.1% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. | 1,075,000 | 1,132,887 | ||||||
Bacardi Ltd. | 83,000 | 89,515 | ||||||
Keurig Dr Pepper, Inc. | 625,000 | 659,188 | ||||||
Molson Coors Brewing Co. | 230,000 | 230,202 | ||||||
3.500% 5/01/22 | 197,000 | 202,534 | ||||||
|
| |||||||
2,314,326 | ||||||||
|
| |||||||
Building Materials — 0.5% |
| |||||||
Martin Marietta Materials, Inc. | 295,000 | 295,342 | ||||||
Masco Corp. | 170,000 | 172,532 | ||||||
Standard Industries, Inc. | 560,000 | 569,100 | ||||||
|
| |||||||
1,036,974 | ||||||||
|
| |||||||
Chemicals — 1.4% |
| |||||||
DuPont de Nemours, Inc. | 480,000 | 513,575 | ||||||
Huntsman International LLC | 960,000 | 1,025,437 | ||||||
RPM International, Inc. | 8,000 | 8,203 | ||||||
The Sherwin-Williams Co. | 241,000 | 245,219 |
The accompanying notes are an integral part of the financial statements.
73
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MML Short-Duration Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Syngenta Finance NV | $ | 440,000 | $ | 441,384 | ||||
4.441% 4/24/23 (a) | 570,000 | 595,288 | ||||||
|
| |||||||
2,829,106 | ||||||||
|
| |||||||
Computers — 1.0% |
| |||||||
Dell International LLC/EMC Corp. | 414,000 | 433,758 | ||||||
Genpact Luxembourg Sarl | 335,000 | 336,554 | ||||||
3.700% STEP 4/01/22 | 635,000 | 644,242 | ||||||
Leidos Holdings, Inc. | 635,000 | 643,217 | ||||||
|
| |||||||
2,057,771 | ||||||||
|
| |||||||
Diversified Financial Services — 2.7% |
| |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 845,000 | 852,604 | ||||||
Aircastle Ltd. | 1,010,000 | 1,080,277 | ||||||
Ameriprise Financial, Inc. | 165,000 | 168,782 | ||||||
3.700% 10/15/24 | 115,000 | 122,851 | ||||||
4.000% 10/15/23 | 105,000 | 112,549 | ||||||
Antares Holdings LP | 473,000 | 497,658 | ||||||
Brookfield Finance, Inc. | 580,000 | 622,095 | ||||||
LeasePlan Corp. NV | 280,000 | 279,905 | ||||||
Park Aerospace Holdings Ltd. | 1,250,000 | 1,331,750 | ||||||
Synchrony Financial | 605,000 | 612,476 | ||||||
|
| |||||||
5,680,947 | ||||||||
|
| |||||||
Electric — 1.0% |
| |||||||
Ameren Corp. | 345,000 | 346,539 | ||||||
2.700% 11/15/20 | 455,000 | 457,437 | ||||||
EDP Finance BV | 252,000 | 251,727 | ||||||
Enel Finance International NV | 285,000 | 288,682 | ||||||
Entergy Texas, Inc. | 95,000 | 95,060 | ||||||
Puget Energy, Inc. | 260,000 | 276,126 | ||||||
6.500% 12/15/20 | 255,000 | 265,224 | ||||||
|
| |||||||
1,980,795 | ||||||||
|
| |||||||
Electronics — 0.4% |
| |||||||
The ADT Security Corp. | 490,000 | 516,950 |
Principal Amount | Value | |||||||
FLIR Systems, Inc. | $ | 230,000 | $ | 231,869 | ||||
|
| |||||||
748,819 | ||||||||
|
| |||||||
Foods — 0.3% |
| |||||||
McCormick & Co., Inc. | 570,000 | 579,072 | ||||||
|
| |||||||
Household Products & Wares — 0.5% |
| |||||||
Church & Dwight Co., Inc. | 901,000 | 917,933 | ||||||
|
| |||||||
Housewares — 0.3% |
| |||||||
Newell Brands, Inc. | 659,000 | 684,840 | ||||||
|
| |||||||
Insurance — 2.8% |
| |||||||
American International Group, Inc. | 490,000 | 524,470 | ||||||
AmTrust Financial Services, Inc. | 585,000 | 597,427 | ||||||
Athene Global Funding | 1,020,000 | 1,030,379 | ||||||
CNA Financial Corp. | 443,000 | 468,282 | ||||||
Enstar Group Ltd. | 685,000 | 710,276 | ||||||
Jackson National Life Global Funding | 745,000 | 755,506 | ||||||
Lincoln National Corp. | 122,000 | 129,907 | ||||||
6.250% 2/15/20 | 340,000 | 341,569 | ||||||
Reinsurance Group of America, Inc. | 400,000 | 415,480 | ||||||
Trinity Acquisition PLC | 600,000 | 611,537 | ||||||
Willis Towers Watson PLC | 190,000 | 198,042 | ||||||
|
| |||||||
5,782,875 | ||||||||
|
| |||||||
Investment Companies — 1.3% |
| |||||||
Ares Capital Corp. | 953,000 | 997,978 | ||||||
BlackRock TCP Capital Corp. | 360,000 | 367,843 | ||||||
4.125% 8/11/22 | 675,000 | 699,014 | ||||||
TPG Specialty Lending, Inc. | 655,000 | 659,824 | ||||||
|
| |||||||
2,724,659 | ||||||||
|
| |||||||
Iron & Steel — 0.1% |
| |||||||
Steel Dynamics, Inc. | 250,000 | 251,603 | ||||||
|
| |||||||
Lodging — 0.5% |
| |||||||
Las Vegas Sands Corp. | 1,025,000 | 1,055,346 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
74
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MML Short-Duration Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Machinery – Diversified — 0.3% |
| |||||||
CNH Industrial Capital LLC | $ | 635,000 | $ | 651,599 | ||||
|
| |||||||
Media — 0.7% |
| |||||||
Discovery Communications LLC | 435,000 | 443,353 | ||||||
Sirius XM Radio, Inc. | 1,047,000 | 1,069,249 | ||||||
|
| |||||||
1,512,602 | ||||||||
|
| |||||||
Mining — 1.1% |
| |||||||
Glencore Finance Canada Ltd. | 254,000 | 265,945 | ||||||
Glencore Funding LLC | 360,000 | 375,157 | ||||||
Kinross Gold Corp. | 370,000 | 384,800 | ||||||
5.950% 3/15/24 | 550,000 | 610,500 | ||||||
Newcrest Finance Pty Ltd. | 565,000 | 589,074 | ||||||
|
| |||||||
2,225,476 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.2% |
| |||||||
Pitney Bowes, Inc. | 495,000 | 501,806 | ||||||
|
| |||||||
Oil & Gas — 0.9% |
| |||||||
Antero Resources Corp. | 436,000 | 415,154 | ||||||
Continental Resources, Inc. | 390,000 | 392,797 | ||||||
Diamondback Energy, Inc. | 550,000 | 556,422 | ||||||
EQT Corp. | 565,000 | 555,287 | ||||||
|
| |||||||
1,919,660 | ||||||||
|
| |||||||
Packaging & Containers — 0.4% |
| |||||||
Graphic Packaging International LLC | 759,000 | 777,026 | ||||||
|
| |||||||
Pharmaceuticals — 2.5% |
| |||||||
AbbVie, Inc. | 515,000 | 517,603 | ||||||
Allergan Funding SCS | 495,000 | 520,199 | ||||||
Becton Dickinson and Co. 3 mo. USD LIBOR + .875% | 489,000 | 489,240 | ||||||
Bristol-Myers Squibb Co. | 200,000 | 213,115 | ||||||
Cardinal Health, Inc. 3 mo. USD LIBOR + .770% | 790,000 | 793,420 |
Principal Amount | Value | |||||||
Cigna Corp. | $ | 745,000 | $ | 754,526 | ||||
4.000% 2/15/22 (a) | 316,000 | 326,277 | ||||||
CVS Health Corp. | 175,000 | 176,493 | ||||||
3.700% 3/09/23 | 305,000 | 317,912 | ||||||
Mylan, Inc. | 525,000 | 532,752 | ||||||
Shire Acquisitions Investments Ireland DAC | 360,000 | 366,846 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 240,000 | 232,428 | ||||||
|
| |||||||
5,240,811 | ||||||||
�� |
|
| ||||||
Pipelines — 1.7% |
| |||||||
Energy Transfer Operating LP | 960,000 | 1,008,097 | ||||||
EnLink Midstream Partners LP | 490,000 | 475,349 | ||||||
EQM Midstream Partners LP | 505,000 | 506,612 | ||||||
MPLX LP 3 mo. USD LIBOR + 1.100% | 1,050,000 | 1,054,195 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 384,000 | 397,688 | ||||||
|
| |||||||
3,441,941 | ||||||||
|
| |||||||
Private Equity — 0.3% |
| |||||||
Hercules Capital, Inc. | 610,000 | 614,963 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.6% |
| |||||||
CubeSmart LP | 313,000 | 333,296 | ||||||
Essex Portfolio LP | 130,000 | 136,492 | ||||||
3.875% 5/01/24 | 170,000 | 179,733 | ||||||
SBA Tower Trust | 1,450,000 | 1,464,780 | ||||||
Service Properties Trust | 73,000 | 75,021 | ||||||
Tanger Properties LP | 510,000 | 525,099 | ||||||
VEREIT Operating Partnership LP | 570,000 | 615,878 | ||||||
|
| |||||||
3,330,299 | ||||||||
|
| |||||||
Retail — 1.7% |
| |||||||
Advance Auto Parts, Inc. | 306,000 | 328,001 | ||||||
Dollar Tree, Inc. | 940,000 | 979,526 |
The accompanying notes are an integral part of the financial statements.
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MML Short-Duration Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
O’Reilly Automotive, Inc. | $ | 123,000 | $ | 127,965 | ||||
3.850% 6/15/23 | 873,000 | 913,464 | ||||||
QVC, Inc. | 1,060,000 | 1,094,185 | ||||||
|
| |||||||
3,443,141 | ||||||||
|
| |||||||
Semiconductors — 0.6% |
| |||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 490,000 | 497,249 | ||||||
Microchip Technology, Inc. | 390,000 | 398,845 | ||||||
NXP BV/NXP Funding LLC | 370,000 | 379,357 | ||||||
|
| |||||||
1,275,451 | ||||||||
|
| |||||||
Telecommunications — 0.8% |
| |||||||
Qwest Corp | 485,000 | 522,204 | ||||||
Sprint Communications, Inc. | 330,000 | 377,025 | ||||||
Telefonaktiebolaget LM Ericsson | 770,000 | 800,323 | ||||||
|
| |||||||
1,699,552 | ||||||||
|
| |||||||
Transportation — 0.3% |
| |||||||
Ryder System, Inc. | 175,000 | 180,494 | ||||||
3.750% 6/09/23 | 482,000 | 503,643 | ||||||
|
| |||||||
684,137 | ||||||||
|
| |||||||
Trucking & Leasing — 0.5% |
| |||||||
DAE Funding LLC | 205,000 | 206,281 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 860,000 | 914,773 | ||||||
|
| |||||||
1,121,054 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $75,008,618) | 77,087,846 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.2% |
| |||||||
Louisiana State Public Facilities Authority,Series 2011-A, Class A2, | 22,095 | 22,116 | ||||||
Pennsylvania Higher Education Assistance Agency,Series 2006-2, Class B, 28 day ARS | 450,000 | 444,384 | ||||||
|
| |||||||
466,500 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $465,908) | 466,500 | |||||||
|
|
Principal Amount | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 54.7% |
| |||||||
Auto Floor Plan ABS — 0.4% |
| |||||||
Navistar Financial Dealer Note Master Owner Trust II | $ | 236,000 | $ | 236,163 | ||||
Series 2018-1, Class C, 1 mo. USD LIBOR + 1.050% | 160,000 | 160,137 | ||||||
Series 2019-1, Class D, 1 mo. USD LIBOR + 1.450% | 214,000 | 214,000 | ||||||
Series 2018-1, Class D, 1 mo. USD LIBOR + 1.550% | 230,000 | 230,214 | ||||||
|
| |||||||
840,514 | ||||||||
|
| |||||||
Automobile ABS — 8.5% |
| |||||||
American Credit Acceptance Receivables Trust | 356,499 | 356,954 | ||||||
Series 2019-1, Class C, | 675,000 | 684,247 | ||||||
AmeriCredit Automobile Receivables Trust,Series 2019-3, Class D | 588,000 | 586,113 | ||||||
Avis Budget Rental Car Funding AESOP LLC | 1,600,000 | 1,581,140 | ||||||
Series 2019-3A, Class C, | 1,083,000 | 1,070,786 | ||||||
Series 2019-1A, Class C, | 233,000 | 238,498 | ||||||
Series 2018-1A, Class C, | 500,000 | 522,835 | ||||||
Canadian Pacer Auto Receivables Trust, | 180,000 | 183,953 | ||||||
Carmax Auto Owner Trust2019-4, | 560,000 | 556,366 | ||||||
Carvana Auto Receivables Trust, | 719,000 | 717,541 | ||||||
Drive Auto Receivables Trust | 550,000 | 548,569 | ||||||
Series 2019-1, Class C, | 525,000 | 533,638 |
The accompanying notes are an integral part of the financial statements.
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MML Short-Duration Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
DT Auto Owner Trust,Series 2019-1A, Class C | $ | 100,000 | $ | 101,685 | ||||
Exeter Automobile Receivables Trust | 400,000 | 402,688 | ||||||
Series 2018-2A, Class B, | 128,736 | 128,940 | ||||||
Series 2019-1A, Class B, | 165,000 | 166,289 | ||||||
First Investors Auto Owner Trust, | 340,000 | 341,405 | ||||||
Flagship Credit Auto Trust | 82,828 | 82,828 | ||||||
Series 2018-1, Class A, | 177,354 | 177,501 | ||||||
Series 2017-1, Class B, | 177,166 | 177,270 | ||||||
Series 2017-4, Class C, | 650,000 | 655,353 | ||||||
Series 2018-1, Class B, | 1,250,000 | 1,257,863 | ||||||
GLS Auto Receivables Trust, | 109,593 | 110,031 | ||||||
Hertz Fleet Lease Funding LP, | 649,000 | 653,390 | ||||||
Hertz Vehicle Financing LLC, | 330,000 | 343,996 | ||||||
Hertz Vehicle Financing LP | 410,000 | 407,949 | ||||||
Series 2017-1A, Class B, | 910,000 | 915,345 | ||||||
Series 2018-1A, Class B, | 770,000 | 784,198 | ||||||
Series 2017-2A, Class B, | 450,000 | 465,619 | ||||||
Series 2016-2A, Class C, | 1,800,000 | 1,838,950 | ||||||
Oscar US Funding X LLC, | 500,000 | 512,470 | ||||||
Santander Revolving Auto Loan Trust | 170,000 | 169,134 | ||||||
Series 2019-A, Class C, | 101,000 | 100,196 | ||||||
Series 2019-A, Class D, | 215,000 | 213,356 | ||||||
|
| |||||||
17,587,096 | ||||||||
|
|
Principal Amount | Value | |||||||
Commercial MBS — 3.6% |
| |||||||
BAMLL Commercial Mortgage Securities Trust | $ | 130,000 | $ | 129,926 | ||||
Series 2019-BPR, Class DMP, | 450,000 | 443,343 | ||||||
Series 2019-BPR, Class CMP, | 370,000 | 377,414 | ||||||
BHMS Mortgage Trust | 770,000 | 768,555 | ||||||
Series 2018-ATLS, Class B, 1 mo. USD LIBOR + 1.500% | 950,000 | 948,215 | ||||||
BX Commercial Mortgage Trust | 728,000 | 730,034 | ||||||
Series 2019-XL, Class E, 1 mo. USD LIBOR + 1.800% | 316,000 | 316,296 | ||||||
Series 2019-XL, Class F, 1 mo. USD LIBOR + 2.000% | 386,000 | 386,241 | ||||||
CAMB Commercial Mortgage Trust, | 545,194 | 547,073 | ||||||
Commercial Mortgage Trust | 97,636 | 97,801 | ||||||
Series 2015-DC1, Class AM, | 480,000 | 499,739 | ||||||
Series 2015-DC1, Class B, | 333,000 | 347,094 | ||||||
Credit Suisse Mortgage Capital Certificates, | 200,000 | 200,125 | ||||||
GCCFC Commercial Mortgage Trust, | 61,910 | 62,469 | ||||||
Hudson Yards Mortgage Trust, | 700,000 | 683,230 | ||||||
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, 1 mo. USD LIBOR + 1.800% | 251,000 | 250,850 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust,Series 2013-C7, Class B | 250,000 | 257,391 |
The accompanying notes are an integral part of the financial statements.
77
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MML Short-Duration Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Morgan Stanley Capital I Trust, | $ | 400,000 | $ | 410,029 | ||||
MSCG Trust, Series 2018-SELF, Class C, | 90,000 | 90,056 | ||||||
TIAA Seasoned Commercial Mortgage Trust,Series 2007-C4, Class AJ, | 116 | 116 | ||||||
Velocity Commercial Capital Loan Trust, | 40,297 | 40,407 | ||||||
VMC Finance LLC,Series 2018-FL1, Class A, 1 mo. USD LIBOR + .820% | 7,671 | 7,652 | ||||||
|
| |||||||
7,594,056 | ||||||||
|
| |||||||
Home Equity ABS — 0.0% |
| |||||||
Credit Suisse Seasoned Loan Trust, | 75,293 | 75,158 | ||||||
|
| |||||||
Other ABS — 23.5% |
| |||||||
321 Henderson Receivables I LLC | 45,300 | 44,814 | ||||||
Series 2010-3A, Class A, | 185,256 | 193,000 | ||||||
AASET Trust,Series 2017-1A, Class A | 154,988 | 156,257 | ||||||
AASET US Ltd.,Series 2018-2A, Class A | 667,418 | 680,224 | ||||||
Adams Outdoor Advertising LP, | 393,440 | 408,248 | ||||||
American Tower Trust #1, Series 13, Class 2A | 500,000 | 507,208 | ||||||
Arbys Funding LLC,Series 2015-1A, Class A2 | 288,000 | 292,482 | ||||||
Ascentium Equipment Receivables Trust | 164,000 | 166,580 | ||||||
Series 2018-2A, Class B, | 709,000 | 730,422 | ||||||
Series 2019-2A, Class E, | 669,000 | 664,331 | ||||||
Series 2018-2A, Class E, | 940,000 | 972,892 | ||||||
Avant Loans Funding Trust, | 255,308 | 256,339 |
Principal Amount | Value | |||||||
Bain Capital Credit CLO Ltd., | $ | 750,000 | $ | 750,706 | ||||
Benefit Street Partners CLO X Ltd., | 500,000 | 499,104 | ||||||
BRE Grand Islander Timeshare Issuer LLC | 121,432 | 121,514 | ||||||
Series 2019-A, Class B, | 329,311 | 336,099 | ||||||
CAL Funding Ltd.,Series 2018-2A, Class A | 253,750 | 257,387 | ||||||
Capital Automotive REIT | 245,933 | 247,140 | ||||||
Series 2017-1A, Class A2, | 614,833 | 624,898 | ||||||
Castlelake Aircraft Structured Trust, | 311,679 | 316,832 | ||||||
Cazenovia Creek Funding LLC, | 363 | 362 | ||||||
Cbam Clo Management Cbam 2018 6a A1r 144a, 3 mo. USD LIBOR + 1.270% | 500,000 | 499,967 | ||||||
CIFC Funding Ltd. | 500,000 | 499,008 | ||||||
Series 2015-4A, Class A2R, 3 mo. USD LIBOR + 1.850% | 300,000 | 300,395 | ||||||
CLI Funding VI LLC,Series 2017-1A, Class A | 434,120 | 431,492 | ||||||
Countrywide Asset-Backed Certificates, | 4,584 | 4,370 | ||||||
DB Master Finance LLC | 274,620 | 277,847 | ||||||
Series 2019-1A, Class A2II, | 324,370 | 330,767 | ||||||
Denali Capital CLO X LLC, | 350,000 | 350,003 | ||||||
Diamond Resorts Owner Trust | 556,915 | 556,314 |
The accompanying notes are an integral part of the financial statements.
78
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MML Short-Duration Bond Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
Series 2016-1, Class A, | $ | 240,165 | $ | 241,068 | ||||
Series 2018-1, Class A, | 196,603 | 201,146 | ||||||
Domino’s Pizza Master Issuer LLC | 343,000 | 343,203 | ||||||
Series 2018-1A, Class A2I, | 355,500 | 363,527 | ||||||
Drug Royalty II LP,Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850% | 8,495 | 8,500 | ||||||
Elara HGV Timeshare Issuer LLC | 134,834 | 135,152 | ||||||
Series 2016-A, Class A, | 248,210 | 248,207 | ||||||
Series 2017-A, Class B, | 399,509 | 397,639 | ||||||
Series 2014-A, Class B, | 39,809 | 39,463 | ||||||
Series 2019-A, Class C, | 823,418 | 819,623 | ||||||
Elmwood CLO Ltd.,Series 2019-2A, Class A, 3 mo. USD LIBOR + 1.450% | 350,000 | 351,126 | ||||||
FCI Funding LLC,Series 2019-1A, Class A | 143,959 | 144,569 | ||||||
Galaxy CLO Ltd.,Series 2015-20A, Class AR, 3 mo. USD LIBOR + 1.000% | 600,000 | 594,103 | ||||||
Global SC Finance II SRL,Series 2013-1A, Class A | 98,333 | 98,563 | ||||||
Global SC Finance IV Ltd.,Series 2017-1A, Class A | 246,562 | 252,442 | ||||||
Goodgreen Trust | 624,687 | 619,331 | ||||||
Series 2016-1A, Class A, | 335,509 | 341,307 | ||||||
Series 2019-1A, Class A, | 314,356 | 327,717 | ||||||
Series 2018-1A, Class A, | 286,703 | 299,120 | ||||||
Hero Funding Trust | 210,743 | 210,148 | ||||||
Series 2016-4A, Class A1, | 210,335 | 215,425 | ||||||
Series 2015-1A, Class A, | 453,172 | 465,620 | ||||||
Series 2018-1A, Class A2, | 379,376 | 394,693 |
Principal Amount | Value | |||||||
Hilton Grand Vacations Trust, | $ | 157,215 | $ | 157,884 | ||||
Horizon Aircraft Finance Ltd., | 546,064 | 560,595 | ||||||
KDAC Aircraft Finance Ltd., | 198,217 | 200,361 | ||||||
KREF Ltd.,Series 2018-FL1, Class AS, | 1,150,000 | 1,149,997 | ||||||
Lendmark Funding Trust, | 350,000 | 354,734 | ||||||
MACH 1 Cayman Ltd.,Series 2019-1, Class A | 396,766 | 394,039 | ||||||
Madison Park Funding Ltd., | 1,000,000 | 996,834 | ||||||
Madison Park Funding XXIII Ltd., | 500,000 | 500,025 | ||||||
Mariner Finance Issuance Trust, | 903,000 | 920,317 | ||||||
Marlette Funding Trust | 127,046 | 127,857 | ||||||
Series 2019-2A, Class B, | 146,000 | 148,152 | ||||||
Mosaic Solar Loans LLC | 264,038 | 273,465 | ||||||
Series 2017-1A, Class A, | 69,599 | 72,309 | ||||||
MVW Owner Trust,Series 2013-1A, Class A | 40,272 | 40,259 | ||||||
Neuberger Berman CLO XX Ltd., | 600,000 | 594,280 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed | 344,000 | 343,966 | ||||||
Series 2019-T4, Class DT4, | 714,000 | 712,200 | ||||||
Series 2019-T3, Class DT3, | 600,000 | 599,024 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Series 2019-T2, Class DT2, | $ | 220,000 | $ | 218,302 | ||||
NP SPE II LLC | 232,709 | 232,313 | ||||||
Series 2017-1A, Class A1, | 147,919 | 149,363 | ||||||
OCP CLO Ltd.,Series 2015-8A, Class A2AR, 3 mo. USD LIBOR + 1.450% | 650,000 | 650,205 | ||||||
OneMain Financial Issuance Trust | 1,500,000 | 1,480,597 | ||||||
Series 2019-2A, Class C, | 600,000 | 591,056 | ||||||
Orange Lake Timeshare Trust | 467,600 | 468,172 | ||||||
Series 2016-A, Class B, | 191,749 | 190,114 | ||||||
Series 2019-A, Class D, | 641,112 | 652,157 | ||||||
Oxford Finance Funding Trust, | 65,449 | 65,751 | ||||||
PNMAC GMSR Issuer Trust, | 250,000 | 251,475 | ||||||
Recette Clo Ltd.,Series 2015-1A, Class CR, 3 mo. USD LIBOR + 1.700% | 250,000 | 250,006 | ||||||
Riserva Clo Ltd.,Series 2016-3A, Class BR, 3 mo. USD LIBOR + 1.700% | 750,000 | 749,646 | ||||||
Rockford Tower CLO Ltd., | 1,000,000 | 998,281 | ||||||
RR 3 Ltd.,Series 2018-3A, Class A1R2, | 400,000 | 396,604 | ||||||
RR 6 Ltd.,Series 2019-6A, Class A2, | 250,000 | 250,099 | ||||||
SBA Tower Trust,Series 2014-2A, Class C, | 430,000 | 447,663 | ||||||
Securitized Equipment Receivable | 270,000 | 270,273 | ||||||
4.200% 10/11/24 | 310,000 | 310,936 |
Principal Amount | Value | |||||||
Sierra Receivables Funding LLC | $ | 34,688 | $ | 34,688 | ||||
Series 2016-2A, Class B, | 123,816 | 124,420 | ||||||
Series 2017-1A, Class A, | 206,701 | 208,637 | ||||||
Series 2019-3A, Class C, | 512,296 | 510,413 | ||||||
Series 2015-3A, Class B, | 13,342 | 13,393 | ||||||
Series 2019-2A, Class C, | 87,851 | 88,370 | ||||||
Series 2018-1A, Class B, | 445,305 | 454,578 | ||||||
Series 2019-1A, Class D, | 392,440 | 399,365 | ||||||
SoFi Consumer Loan Program Trust | 49,263 | 49,367 | ||||||
Series 2018-3, Class A1, | 46,924 | 47,002 | ||||||
Series 2016-1A, Class A, | 247,149 | 248,880 | ||||||
Series 2017-2, Class A, | 137,529 | 138,066 | ||||||
Series 2019-3, Class D, | 772,000 | 783,152 | ||||||
Store Master FundingI-VII,Series 2018-1A, Class A3 | 516,967 | 543,415 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | 291,629 | 286,303 | ||||||
Taco Bell Funding LLC,Series 2018-1A, Class A2I | 990,000 | 1,013,070 | ||||||
TAL Advantage LLC | 265,833 | 266,083 | ||||||
Series 2017-1A, Class A, | 364,206 | 373,677 | ||||||
TLF National Tax Lien Trust, | 511,470 | 512,664 | ||||||
Trafigura Securitisation Finance PLC | 610,000 | 608,418 | ||||||
Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700% | 260,000 | 260,395 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Series 2018-1A, Class B, | $ | 920,000 | $ | 939,750 | ||||
Treman Park CLO Ltd., | 1,000,000 | 1,000,143 | ||||||
Trinity Rail Leasing LP | 509,530 | 513,863 | ||||||
Series 2019-1A, Class A, | 664,420 | 681,176 | ||||||
Trip Rail Master Funding LLC | 93,527 | 93,542 | ||||||
Series 2011-1A, Class A2, | 668,991 | 691,742 | ||||||
Triton Container Finance LLC | 816,060 | 815,899 | ||||||
Series 2018-2A, Class A, | 467,500 | 473,605 | ||||||
VSE VOI Mortgage LLC | 268,909 | 267,801 | ||||||
Series 2018-A, Class C, | 202,136 | 207,866 | ||||||
Welk Resorts LLC | 46,113 | 45,814 | ||||||
Series 2017-AA, Class B, | 152,194 | 151,082 | ||||||
Westgate Resorts LLC | 133,834 | 134,309 | ||||||
Series 2018-1A, Class A, | 257,256 | 260,127 | ||||||
Willis Engine Structured Trust IV,Series 2018-A, Class A, | 244,289 | 255,131 | ||||||
|
| |||||||
48,854,211 | ||||||||
|
| |||||||
Student Loans ABS — 11.4% |
| |||||||
Access Group, Inc.,Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500% | 140,000 | 132,016 | ||||||
AccessLex Institute | 600,000 | 590,868 | ||||||
Series 2003-A, Class A3, | 9,735 | 9,725 |
Principal Amount | Value | |||||||
College Avenue Student Loans LLC | $ | 515,714 | $ | 512,725 | ||||
Series 2017-A, Class A1, FRN, 1 mo. USD LIBOR + 1.650% | 433,984 | 435,871 | ||||||
College Loan Corp. Trust I,Series 2005-2, Class B, 3 mo. USD LIBOR + .490% | 182,278 | 169,924 | ||||||
Commonbond Student Loan Trust | 622,000 | 617,837 | ||||||
Series 2018-AGS, Class C, | 103,710 | 105,885 | ||||||
Series 2018-BGS, Class C, | 104,520 | 107,246 | ||||||
Series 2018-CGS, Class C, | 102,275 | 103,151 | ||||||
Series 2017-AGS, Class C, | 118,655 | 122,078 | ||||||
Credit Suisse ABS Repackaging Trust,Series 2013-A, Class B | 65,565 | 63,516 | ||||||
DRB Prime Student Loan Trust, | 327,187 | 327,439 | ||||||
Earnest Student Loan Program LLC | 161,632 | 161,983 | ||||||
Series 2016-D, Class A2, | 143,868 | 144,092 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050% | 70,035 | 70,464 | ||||||
ECMC Group Student Loan Trust | 433,204 | 425,086 | ||||||
Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200% | 963,068 | 963,067 | ||||||
EdLinc Student Loan Funding, | 439,214 | 433,067 | ||||||
Educational Funding of the South, Inc.,Series 2011-1, Class A2, 3 mo. USD LIBOR + .650% | 397,730 | 393,866 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
ELFI Graduate Loan Program LLC | $ | 320,928 | $ | 321,023 | ||||
Series 2018-A, Class B, | 250,000 | 256,971 | ||||||
Higher Education Funding I,Series 2004-1, Class B1, 28 day ARS | 950,000 | 840,965 | ||||||
Laurel Road Prime Student Loan Trust | 319,000 | 320,549 | ||||||
Series 2017-B, Class CFX, | 213,742 | 214,093 | ||||||
Series 2018-B, Class BFX, | 237,342 | 241,849 | ||||||
Navient Student Loan Trust | 170,000 | 169,470 | ||||||
Series 2018-1A, Class A3, 1 mo. USD LIBOR + .720% | 850,000 | 836,716 | ||||||
Series 2018-A, Class A1, | 112,242 | 112,346 | ||||||
Series 2019-1A, Class A2, 1 mo. USD LIBOR + .900% | 400,000 | 400,304 | ||||||
Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150% | 750,000 | 754,833 | ||||||
Series 2016-7A, Class A, 1 mo. USD LIBOR + 1.150% | 743,174 | 743,871 | ||||||
Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250% | 596,296 | 603,307 | ||||||
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% | 560,000 | 567,468 | ||||||
Series 2019-A, Class A2A, | 291,000 | 297,441 | ||||||
Nelnet Private Education Loan Trust | 149,725 | 149,034 | ||||||
Series 2016-A, Class A1B, | 107,816 | 108,868 | ||||||
Nelnet Student Loan Trust | 600,000 | 598,255 |
Principal Amount | Value | |||||||
Series 2014-1A, Class B, 1 mo. USD LIBOR + 1.500% | $ | 270,000 | $ | 259,254 | ||||
Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500% | 130,000 | 127,695 | ||||||
SLC Student Loan Trust,Series 2005-1, Class B, 3 mo. USD LIBOR + .200% | 324,948 | 305,326 | ||||||
SLM Student Loan Trust | 1,396 | 691,020 | ||||||
Series 2005-5, Class A4, 3 mo. USD LIBOR + .140% | 197,716 | 196,259 | ||||||
Series 2006-10, Class A6, 3 mo. USD LIBOR + .150% | 940,000 | 883,542 | ||||||
Series 2006-7, Class B, 3 mo. USD LIBOR + .200% | 983,002 | 904,381 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% | 391,121 | 364,644 | ||||||
Series 2006-10, Class B, 3 mo. USD LIBOR + .220% | 618,381 | 559,461 | ||||||
Series 2005-6, Class B, 3 mo. USD LIBOR + .290% | 532,092 | 497,298 | ||||||
Series 2003-14, Class A6, 3 mo. USD LIBOR + .300% | 110,173 | 110,018 | ||||||
Series 2005-9, Class B, 3 mo. USD LIBOR + .300% | 396,443 | 371,158 | ||||||
Series 2005-8, Class B, 3 mo. USD LIBOR + .310% | 157,306 | 145,976 | ||||||
Series 2003-14, Class A7, 3 mo. USD LIBOR + .600% | 400,000 | 390,952 | ||||||
Series 2003-5, Class A7, | 50,000 | 50,000 | ||||||
Series 2013-4, Class B, 1 mo. USD LIBOR + 1.500% | 120,000 | 116,240 | ||||||
SMB Private Education Loan Trust | 500,000 | 498,690 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Series 2019-A, Class A2B, 1 mo. USD LIBOR + .870% | $ | 504,000 | $ | 503,394 | ||||
Series 2019-B, Class A2B, 1 mo. USD LIBOR + 1.000% | 500,000 | 500,834 | ||||||
Series 2016-C, Class A2B, 1 mo. USD LIBOR + 1.100% | 204,145 | 205,798 | ||||||
Series 2014-A, Class A2B, 1 mo. USD LIBOR + 1.150% | 236,780 | 237,902 | ||||||
Series 2016-B, Class A2B, 1 mo. USD LIBOR + 1.450% | 89,563 | 90,749 | ||||||
SoFi Professional Loan Program LLC | 200 | 165,000 | ||||||
Series 2017-D, Class R1, 0.000%9/25/40 (a) | 1,000,000 | 499,130 | ||||||
Series 2018-A, Class R1, 0.000%2/25/42 (a) | 1,000,000 | 773,000 | ||||||
Series 2018-D, Class R1, 0.000%2/25/48 (a) | 956,000 | 329,820 | ||||||
Series 2019-A, Class R1, 0.000%6/15/48 (a) | 1,314,800 | 408,280 | ||||||
Series 2016-D, Class A1, 1 mo. USD LIBOR + .950% | 41,674 | 41,859 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200% | 69,062 | 69,482 | ||||||
|
| |||||||
23,724,431 | ||||||||
|
| |||||||
WL Collateral CMO — 7.3% |
| |||||||
Angel Oak Mortgage Trust | 376,594 | 378,283 | ||||||
Series 2019-6, Class M1, | 800,000 | 803,263 | ||||||
Bank of America Mortgage Securities,Series 2004-G, Class 2A7, | 4,198 | 4,142 | ||||||
CIM Trust, Series 2019-INV3, Class A11, 1 mo. USD LIBOR + 1.000% | 1,726,874 | 1,723,214 | ||||||
Citigroup Mortgage Loan Trust | 604,795 | 602,814 | ||||||
Series 2019-IMC1, Class M1, | 391,000 | 388,827 |
Principal Amount | Value | |||||||
Countrywide Home Loans, Inc. | $ | 755 | $ | 719 | ||||
Series 2004-2, Class 1A1, | 3,414 | 3,195 | ||||||
Deephaven Residential Mortgage Trust | 230,950 | 230,109 | ||||||
Series 2019-4A, Class M1, | 550,000 | 548,679 | ||||||
Series 2018-2A, Class A3, | 456,801 | 456,756 | ||||||
Series 2018-3A, Class A3, | 390,230 | 392,056 | ||||||
Series 2018-4A, Class A3, | 547,658 | 549,404 | ||||||
GSR Mortgage Loan Trust,Series 2004-9, Class 2A1, | 1,086 | 1,073 | ||||||
IndyMac Index Mortgage Loan Trust,Series 2004-AR4, Class 1A, | 6,910 | 6,668 | ||||||
JP Morgan Mortgage Trust | 311,173 | 315,962 | ||||||
Series 2018-3, Class A5, | 479,165 | 486,240 | ||||||
Series 2018-4, Class A15, | 386,884 | 390,428 | ||||||
Series 2017-6, Class A5, | 422,911 | 429,155 | ||||||
Merrill Lynch Mortgage Investors, Inc. | 360 | 342 | ||||||
Series 2003-A4, Class IA, | 371 | 361 | ||||||
New Residential Mortgage Loan Trust | 261,855 | 269,924 | ||||||
Series 2019-NQM2, Class A3, | 193,709 | 196,358 | ||||||
Series 2019-NQM1, Class A3, | 547,786 | 556,339 | ||||||
PSMC Trust | 473,947 | 481,241 | ||||||
Series 2018-2, Class A3, | 462,037 | 469,148 | ||||||
Sequoia Mortgage Trust | 285,516 | 285,282 | ||||||
Series 2018-3, Class A4, | 522,781 | 529,193 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Series 2018-5, Class A4, | $ | 389,456 | $ | 395,328 | ||||
Series 2018-CH1, Class A10, | 214,610 | 218,615 | ||||||
Series 2018-CH2, Class A12, | 537,055 | 540,900 | ||||||
Series 2018-CH3, Class A11, | 284,808 | 290,155 | ||||||
Series 2018-7, Class A4, | 105,938 | 106,426 | ||||||
Series 2019-1, Class A4, | 81,893 | 82,970 | ||||||
ShellpointCo-Originator Trust, | 578,497 | 587,085 | ||||||
Starwood Mortgage Residential Trust, | 620,458 | 616,314 | ||||||
Structured Adjustable Rate Mortgage Loan Trust,Series 2004-2, Class 2A, | 3,934 | 3,835 | ||||||
TIAA Bank Mortgage Loan Trust, | 225,545 | 228,471 | ||||||
Verus Securitization Trust | 430,000 | 426,110 | ||||||
Series 2019-INV2, Class A3, | 913,450 | 916,216 | ||||||
Series 2019-INV3, Class M1, | 265,000 | 265,027 | ||||||
Washington Mutual Mortgage Pass-Through Certificates,Series 2004-AR2, Class A, | 10,073 | 9,857 | ||||||
|
| |||||||
15,186,484 | ||||||||
|
| |||||||
TOTALNON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $113,897,802) | 113,861,950 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 1.9% |
| |||||||
Collateralized Mortgage Obligations — 0.5% |
| |||||||
Federal Home Loan Mortgage Corp. | 289,444 | 292,601 | ||||||
Federal National Mortgage Association | 504,401 | 509,959 | ||||||
Series 2015-63, Class KA, | 219,046 | 222,605 |
Principal Amount | Value | |||||||
Government National Mortgage Association (c) | $ | 98,421 | $ | 103,181 | ||||
|
| |||||||
1,128,346 | ||||||||
|
| |||||||
Pass-Through Securities — 0.0% | ||||||||
Federal Home Loan Mortgage Corp. | 216 | 251 | ||||||
Pool #C01135 7.500% 2/01/31 | 918 | 1,064 | ||||||
Federal National Mortgage Association | 12,945 | 13,633 | ||||||
Pool #888586 1 year CMT + 2.195% | 16,008 | 16,859 | ||||||
Pool #775539 12 mo. USD LIBOR + 1.636% | 5,290 | 5,524 | ||||||
Pool #575667 7.000% 3/01/31 | 2,187 | 2,533 | ||||||
Pool #529453 7.500% 1/01/30 | 466 | 540 | ||||||
Pool #535996 7.500% 6/01/31 | 869 | 1,011 | ||||||
Pool #252926 8.000% 12/01/29 | 21 | 24 | ||||||
Pool #532819 8.000% 3/01/30 | 28 | 32 | ||||||
Pool #534703 8.000% 5/01/30 | 470 | 543 | ||||||
Pool #253437 8.000% 9/01/30 | 24 | 28 | ||||||
Pool #253481 8.000% 10/01/30 | 10 | 12 | ||||||
Pool #190317 8.000% 8/01/31 | 502 | 582 | ||||||
Pool #602008 8.000% 8/01/31 | 691 | 800 | ||||||
Pool #596656 8.000% 8/01/31 | 19 | 19 | ||||||
Pool #597220 8.000% 9/01/31 | 579 | 675 | ||||||
Government National Mortgage Association | 44 | 46 | ||||||
Pool #352022 7.000% 11/15/23 | 663 | 704 | ||||||
Pool #491089 7.000% 12/15/28 | 1,411 | 1,536 | ||||||
Pool #500928 7.000% 5/15/29 | 605 | 687 | ||||||
Pool #478658 7.000% 5/15/29 | 381 | 433 | ||||||
Pool #510083 7.000% 7/15/29 | 156 | 176 | ||||||
Pool #499410 7.000% 7/15/29 | 223 | 253 | ||||||
Pool #493723 7.000% 8/15/29 | 446 | 508 | ||||||
Pool #581417 7.000% 7/15/32 | 2,151 | 2,455 | ||||||
Government National Mortgage Association II | 614 | 624 | ||||||
Pool #080136 1 year CMT + 1.500% | 133 | 135 | ||||||
|
| |||||||
51,687 | ||||||||
|
| |||||||
Whole Loans — 1.4% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2019-DNA3, Class M2, | 299,000 | 300,288 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Federal National Mortgage Association Connecticut Avenue Securities | $ | 630,000 | $ | 633,323 | ||||
Series 2019-R02, Class 1M2, | 1,550,000 | 1,560,609 | ||||||
Series 2019-R01, Class 2M2, | 300,000 | 303,215 | ||||||
|
| |||||||
2,797,435 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $3,974,653) | 3,977,468 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 2.5% |
| |||||||
U.S. Treasury Bonds & Notes — 2.5% |
| |||||||
U.S. Treasury Note | 4,720,000 | 5,268,457 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,399,606) | 5,268,457 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $198,746,587) | 200,662,221 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.7% (Cost $1,677,708) | 1,470,122 | |||||||
|
| |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 0.4% |
| |||||||
Diversified Financial Services — 0.4% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 827,725 | 827,725 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $827,725) | 827,725 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $201,252,020) | 202,960,068 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 2.7% |
| |||||||
Commercial Paper — 2.7% |
| |||||||
Duke Energy Corp. | $ | 2,000,000 | $ | 1,996,973 | ||||
General Electric Co. | 1,000,000 | 997,131 | ||||||
Public Service Enterprise Group, Inc. | 1,500,000 | 1,498,273 | ||||||
Viacomcbs, Inc. | 1,000,000 | 998,158 | ||||||
|
| |||||||
5,490,535 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,490,772) | 5,490,535 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $206,742,792) (f) | 208,450,603 | |||||||
Other Assets/(Liabilities) — (0.2)% | (441,015 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 208,009,588 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
STEP | Step Up Bond |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $127,284,811 or 61.19% of net assets. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $811,209 or 0.39% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2). |
The accompanying notes are an integral part of the financial statements.
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Notes to Portfolio of Investments (Continued)
(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 December 31, 2019. |
(d) | A portion of this security is pledged/held as collateral for open derivatives.(Note 2). |
(e) | Represents investment of security lending cash collateral.(Note 2). |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
(#) Interest Rate Swaptions Purchased
Paid by Fund | Received by Fund | |||||||||||||||||||||||||||||||||||||
Description | Counterparty | Expiration Date | Rate | Frequency | Rate | Frequency | Notional Amount | Value | Premium Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, terminates 12/15/42 | | Barclays Bank PLC | * | 12/13/32 | | 3-Month USD LIBOR BBA | | Quarterly | 2.44% | | Semi- Annually | USD 3,170,000 | $ | 208,570 | $ | 158,476 | $ | 50,094 | ||||||||||||||||||||
10-Year Interest Rate Swap, terminates 2/02/43 | | Credit Suisse International | * | 1/31/33 | | 3-Month USD LIBOR BBA | | Quarterly | 2.61% | | Semi- Annually | USD 3,655,000 | 267,415 | 175,440 | 91,975 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
475,985 | 333,916 | 142,069 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, terminates 12/15/42 | | Barclays Bank PLC | * | 12/13/32 | 2.94% | | Semi- Annually | 3-Month USD LIBOR BBA | Quarterly | USD 12,910,000 | $ | 494,127 | $ | 645,410 | $ | (151,283 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, terminates 2/02/43 | | Credit Suisse International | * | 1/31/33 | 3.11% | | Semi- Annually | 3-Month USD LIBOR BBA | Quarterly | USD 14,580,000 | 500,010 | 698,382 | (198,372 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
994,137 | 1,343,792 | (349,655 | ) | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 1,470,122 | $ | 1,677,708 | $ | (207,586 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
Futures contracts
Expiration Date | Number of Contracts | Notional Amount | Value/Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Long | ||||||||||||||||
U.S. Treasury Note 10 Year | 3/20/20 | 163 | $ | 21,166,336 | $ | (233,570 | ) | |||||||||
|
|
|
| |||||||||||||
Short | ||||||||||||||||
90 Day Eurodollar | 3/16/20 | 2 | $ | (487,093 | ) | $ | (4,232 | ) | ||||||||
U.S. Treasury Ultra 10 Year | 3/20/20 | 71 | (10,108,950 | ) | 119,028 | |||||||||||
U.S. Treasury Note 2 Year | 3/31/20 | 201 | (43,348,489 | ) | 32,989 | |||||||||||
U.S. Treasury Note 5 Year | 3/31/20 | 589 | (70,206,493 | ) | 345,571 | |||||||||||
90 Day Eurodollar | 6/15/20 | 2 | (487,381 | ) | (4,169 | ) | ||||||||||
90 Day Eurodollar | 9/14/20 | 2 | (487,593 | ) | (4,232 | ) |
The accompanying notes are an integral part of the financial statements.
86
Table of Contents
MML Short-Duration Bond Fund – Portfolio of Investments(Continued)
Expiration Date | Number of Contracts | Notional Amount | Value/Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Short (Continued) | ||||||||||||||||
90 Day Eurodollar | 12/14/20 | 2 | $ | (487,568 | ) | $ | (4,332 | ) | ||||||||
90 Day Eurodollar | 3/15/21 | 2 | (487,743 | ) | (4,457 | ) | ||||||||||
90 Day Eurodollar | 9/13/21 | 3 | (731,728 | ) | (6,535 | ) | ||||||||||
90 Day Eurodollar | 3/14/22 | 3 | (731,503 | ) | (6,385 | ) | ||||||||||
90 Day Eurodollar | 9/19/22 | 3 | (731,203 | ) | (6,272 | ) | ||||||||||
90 Day Eurodollar | 3/13/23 | 2 | (487,168 | ) | (4,157 | ) | ||||||||||
90 Day Eurodollar | 12/18/23 | 3 | (730,078 | ) | (6,235 | ) | ||||||||||
90 Day Eurodollar | 12/16/24 | 7 | (1,701,416 | ) | (14,372 | ) | ||||||||||
|
| |||||||||||||||
$ | 432,210 | |||||||||||||||
|
|
Currency Legend
USD | U.S. Dollar |
Country weightings, as a percentage of net assets, is as follows:
United States | 81.4 | % | ||
Cayman Islands | 7.1 | % | ||
Ireland | 1.6 | % | ||
United Kingdom | 1.4 | % | ||
Netherlands | 1.2 | % | ||
Bermuda | 1.0 | % | ||
Japan | 0.9 | % | ||
Luxembourg | 0.7 | % | ||
Canada | 0.7 | % | ||
Switzerland | 0.5 | % | ||
Sweden | 0.4 | % | ||
Spain | 0.3 | % | ||
Australia | 0.3 | % | ||
Barbados | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 97.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
87
Table of Contents
December 31, 2019
Number of Shares | Value | |||||||
EQUITIES — 99.6% |
| |||||||
COMMON STOCK — 99.6% |
| |||||||
Basic Materials — 3.5% |
| |||||||
Iron & Steel — 0.7% |
| |||||||
Allegheny Technologies, Inc. (a) (b) | 41,057 | $ | 848,237 | |||||
|
| |||||||
Mining — 2.8% |
| |||||||
Compass Minerals International, Inc. (b) | 20,715 | 1,262,786 | ||||||
Kaiser Aluminum Corp. | 17,805 | 1,974,397 | ||||||
|
| |||||||
3,237,183 | ||||||||
|
| |||||||
4,085,420 | ||||||||
|
| |||||||
Communications — 2.5% |
| |||||||
Internet — 1.6% |
| |||||||
Etsy, Inc. (a) | 13,274 | 588,038 | ||||||
Q2 Holdings, Inc. (a) | 15,736 | 1,275,875 | ||||||
|
| |||||||
1,863,913 | ||||||||
|
| |||||||
Media — 0.9% |
| |||||||
Houghton Mifflin Harcourt Co. (a) | 173,084 | 1,081,775 | ||||||
|
| |||||||
2,945,688 | ||||||||
|
| |||||||
Consumer, Cyclical — 12.7% |
| |||||||
Airlines — 1.0% |
| |||||||
Spirit Airlines, Inc. (a) | 27,787 | 1,120,094 | ||||||
|
| |||||||
Auto Manufacturers — 0.6% |
| |||||||
Navistar International Corp. (a) | 26,330 | 761,990 | ||||||
|
| |||||||
Auto Parts & Equipment — 2.7% |
| |||||||
Dorman Products, Inc. (a) | 16,786 | 1,271,036 | ||||||
Visteon Corp. (a) (b) | 21,671 | 1,876,492 | ||||||
|
| |||||||
3,147,528 | ||||||||
|
| |||||||
Entertainment — 0.5% |
| |||||||
Cedar Fair LP (c) | 10,595 | 587,387 | ||||||
|
| |||||||
Retail — 7.9% |
| |||||||
AutoNation, Inc. (a) | 27,794 | 1,351,622 | ||||||
BJ’s Wholesale Club Holdings, Inc. (a) (b) | 64,219 | 1,460,340 | ||||||
Jack in the Box, Inc. | 18,280 | 1,426,388 | ||||||
Suburban Propane Partners LP (c) | 86,329 | 1,886,289 | ||||||
Texas Roadhouse, Inc. | 30,732 | 1,730,826 | ||||||
The Wendy’s Co. | 64,356 | 1,429,347 | ||||||
|
| |||||||
9,284,812 | ||||||||
|
| |||||||
14,901,811 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 21.6% |
| |||||||
Biotechnology — 1.0% |
| |||||||
Emergent BioSolutions, Inc. (a) | 21,786 | 1,175,355 | ||||||
|
| |||||||
Commercial Services — 6.6% |
| |||||||
ASGN, Inc. (a) | 37,616 | 2,669,608 | ||||||
Korn Ferry | 57,280 | 2,428,672 | ||||||
Monro, Inc. (b) | 23,456 | 1,834,259 |
Number of Shares | Value | |||||||
Paylocity Holding Corp. (a) (b) | 7,221 | $ | 872,441 | |||||
|
| |||||||
7,804,980 | ||||||||
|
| |||||||
Foods — 0.8% |
| |||||||
BellRing Brands, Inc. Class A (a) | 42,226 | 898,992 | ||||||
|
| |||||||
Health Care – Products — 6.4% |
| |||||||
Adaptive Biotechnologies Corp. (a) | 8,024 | 240,078 | ||||||
AtriCure, Inc. (a) | 22,440 | 729,524 | ||||||
Inspire Medical Systems, Inc. (a) | 19,347 | 1,435,741 | ||||||
Intersect ENT, Inc. (a) | 26,510 | 660,099 | ||||||
Quidel Corp. (a) | 17,707 | 1,328,556 | ||||||
Repligen Corp. (a) | 18,369 | 1,699,133 | ||||||
Tandem Diabetes Care, Inc. (a) (b) | 22,913 | 1,365,844 | ||||||
|
| |||||||
7,458,975 | ||||||||
|
| |||||||
Health Care – Services — 3.7% |
| |||||||
Addus HomeCare Corp. (a) | 13,775 | 1,339,205 | ||||||
LHC Group, Inc. (a) | 11,659 | 1,606,144 | ||||||
Teladoc Health, Inc. (a) (b) | 17,151 | 1,435,882 | ||||||
|
| |||||||
4,381,231 | ||||||||
|
| |||||||
Household Products & Wares — 1.5% |
| |||||||
Acco Brands Corp. | 185,304 | 1,734,445 | ||||||
|
| |||||||
Pharmaceuticals — 1.6% |
| |||||||
Axsome Therapeutics, Inc. (a) (b) | 5,013 | 518,143 | ||||||
G1 Therapeutics, Inc. (a) (b) | 12,676 | 335,027 | ||||||
TherapeuticsMD, Inc. (a) (b) | 127,340 | 308,163 | ||||||
uniQure NV (a) (b) | 10,020 | 718,033 | ||||||
|
| |||||||
1,879,366 | ||||||||
|
| |||||||
25,333,344 | ||||||||
|
| |||||||
Energy — 4.9% |
| |||||||
Energy – Alternate Sources — 1.4% |
| |||||||
Renewable Energy Group, Inc. (a) (b) | 62,276 | 1,678,338 | ||||||
|
| |||||||
Oil & Gas — 2.3% |
| |||||||
Matador Resources Co. (a) | 127,421 | 2,289,755 | ||||||
Range Resources Corp. (b) | 72,110 | 349,734 | ||||||
|
| |||||||
2,639,489 | ||||||||
|
| |||||||
Pipelines — 1.2% |
| |||||||
Noble Midstream Partners LP (c) | 52,719 | 1,400,217 | ||||||
|
| |||||||
5,718,044 | ||||||||
|
| |||||||
Financial — 21.7% |
| |||||||
Banks — 5.1% |
| |||||||
The Bank of NT Butterfield & Son Ltd. | 39,469 | 1,461,142 | ||||||
BankUnited, Inc. | 17,279 | 631,720 | ||||||
Cathay General Bancorp | 24,446 | 930,170 | ||||||
CrossFirst Bankshares, Inc. (a) | 30,973 | 446,631 | ||||||
Heritage Financial Corp. | 35,595 | 1,007,339 | ||||||
IBERIABANK Corp. | 19,833 | 1,484,104 | ||||||
|
| |||||||
5,961,106 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
88
Table of Contents
MML Small Cap Equity Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Diversified Financial Services — 2.9% |
| |||||||
Federated Investors, Inc. Class B | 27,570 | $ | 898,506 | |||||
Focus Financial Partners, Inc. Class A (a) (b) | 26,872 | 791,918 | ||||||
Stifel Financial Corp. | 29,008 | 1,759,335 | ||||||
|
| |||||||
3,449,759 | ||||||||
|
| |||||||
Insurance — 1.4% |
| |||||||
ProAssurance Corp. | 30,335 | 1,096,307 | ||||||
ProSight Global, Inc. (a) | 33,532 | 540,871 | ||||||
|
| |||||||
1,637,178 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 6.8% |
| |||||||
Brandywine Realty Trust | 103,992 | 1,637,874 | ||||||
DiamondRock Hospitality Co. (b) | 164,025 | 1,817,397 | ||||||
EPR Properties | 15,090 | 1,065,958 | ||||||
Four Corners Property Trust, Inc. | 75,456 | 2,127,105 | ||||||
National Storage Affiliates Trust | 39,338 | 1,322,543 | ||||||
|
| |||||||
7,970,877 | ||||||||
|
| |||||||
Savings & Loans — 5.5% |
| |||||||
Berkshire Hills Bancorp, Inc. | 30,380 | 998,894 | ||||||
OceanFirst Financial Corp. | 42,600 | 1,088,004 | ||||||
Pacific Premier Bancorp, Inc. | 26,214 | 854,707 | ||||||
Sterling Bancorp | 55,944 | 1,179,300 | ||||||
WSFS Financial Corp. | 53,535 | 2,355,005 | ||||||
|
| |||||||
6,475,910 | ||||||||
|
| |||||||
25,494,830 | ||||||||
|
| |||||||
Industrial — 15.2% |
| |||||||
Building Materials — 2.7% |
| |||||||
Masonite International Corp. (a) | 19,521 | 1,409,612 | ||||||
Summit Materials, Inc. Class A (a) | 75,860 | 1,813,054 | ||||||
|
| |||||||
3,222,666 | ||||||||
|
| |||||||
Electrical Components & Equipment — 3.5% |
| |||||||
Energizer Holdings, Inc. (b) | 31,270 | 1,570,380 | ||||||
EnerSys | 6,728 | 503,456 | ||||||
Generac Holdings, Inc. (a) | 19,988 | 2,010,593 | ||||||
|
| |||||||
4,084,429 | ||||||||
|
| |||||||
Electronics — 1.1% |
| |||||||
Atkore International Group, Inc. (a) | 30,789 | 1,245,723 | ||||||
|
| |||||||
Engineering & Construction — 2.9% |
| |||||||
Comfort Systems USA, Inc. | 10,864 | 541,570 | ||||||
KBR, Inc. | 59,010 | 1,799,805 | ||||||
TopBuild Corp. (a) | 10,074 | 1,038,428 | ||||||
|
| |||||||
3,379,803 | ||||||||
|
| |||||||
Environmental Controls — 0.8% |
| |||||||
Evoqua Water Technologies Corp. (a) | 48,574 | 920,477 | ||||||
|
| |||||||
Machinery – Diversified — 0.5% |
| |||||||
Chart Industries, Inc. (a) | 9,643 | 650,806 | ||||||
|
| |||||||
Metal Fabricate & Hardware — 1.9% |
| |||||||
Mayville Engineering Co., Inc. (a) | 34,830 | 326,706 |
Number of Shares | Value | |||||||
Rexnord Corp. (a) | 56,931 | $ | 1,857,089 | |||||
|
| |||||||
2,183,795 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.9% |
| |||||||
EnPro Industries, Inc. | 15,860 | 1,060,717 | ||||||
|
| |||||||
Transportation — 0.4% |
| |||||||
CryoPort, Inc. (a) (b) | 27,490 | 452,485 | ||||||
|
| |||||||
Trucking & Leasing — 0.5% |
| |||||||
The Greenbrier Cos., Inc. | 19,680 | 638,222 | ||||||
|
| |||||||
17,839,123 | ||||||||
|
| |||||||
Technology — 14.2% |
| |||||||
Computers — 3.2% |
| |||||||
CACI International, Inc. Class A (a) | 9,859 | 2,464,651 | ||||||
Perspecta, Inc. | 47,782 | 1,263,356 | ||||||
|
| |||||||
3,728,007 | ||||||||
|
| |||||||
Semiconductors — 4.9% |
| |||||||
Brooks Automation, Inc. | 39,467 | 1,656,035 | ||||||
MKS Instruments, Inc. | 23,022 | 2,532,650 | ||||||
Semtech Corp. (a) | 30,681 | 1,623,025 | ||||||
|
| |||||||
5,811,710 | ||||||||
|
| |||||||
Software — 6.1% |
| |||||||
Bottomline Technologies de, Inc. (a) | 27,631 | 1,481,022 | ||||||
Envestnet, Inc. (a) | 10,166 | 707,859 | ||||||
j2 Global, Inc. (b) | 24,771 | 2,321,290 | ||||||
Zynga, Inc. Class A (a) | 438,483 | 2,683,516 | ||||||
|
| |||||||
7,193,687 | ||||||||
|
| |||||||
16,733,404 | ||||||||
|
| |||||||
Utilities — 3.3% |
| |||||||
Electric — 1.7% |
| |||||||
Avista Corp. | 41,782 | 2,009,297 | ||||||
|
| |||||||
Gas — 1.6% |
| |||||||
South Jersey Industries, Inc. (b) | 57,694 | 1,902,748 | ||||||
|
| |||||||
3,912,045 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $91,351,694) | 116,963,709 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $91,351,694) | 116,963,709 | |||||||
|
| |||||||
MUTUAL FUNDS — 3.6% |
| |||||||
Diversified Financial Services — 3.6% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 4,281,922 | 4,281,922 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $4,281,922) | 4,281,922 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $95,633,616) | 121,245,631 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
89
Table of Contents
MML Small Cap Equity Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 0.7% |
| |||||||
Repurchase Agreement — 0.7% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated | $ | 787,225 | $ | 787,225 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $787,225) | 787,225 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.9% (Cost $96,420,841) (f) | 122,032,856 | |||||||
Other Assets/(Liabilities) — (3.9)% | (4,626,018 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 117,406,838 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $18,149,807 or 15.46% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $14,343,792 ofnon-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities.(Note 2). |
(c) | Security is a Master Limited Partnership. |
(d) | Represents investment of security lending cash collateral.(Note 2). |
(e) | Maturity value of $787,260. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $807,250. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
90
Table of Contents
December 31, 2019
Number of Shares | Value | |||||||
EQUITIES — 98.8% |
| |||||||
COMMON STOCK — 98.8% |
| |||||||
Basic Materials — 10.5% |
| |||||||
Chemicals — 10.5% |
| |||||||
The Chemours Co. | 43,100 | $ | 779,679 | |||||
Dow, Inc. (a) | 21,000 | 1,149,330 | ||||||
DuPont de Nemours, Inc. | 6,600 | 423,720 | ||||||
Ingevity Corp. (a) | 6,639 | 580,116 | ||||||
Rayonier Advanced Materials, Inc. | 4,600 | 17,664 | ||||||
|
| |||||||
2,950,509 | ||||||||
|
| |||||||
Communications — 10.2% |
| |||||||
Media — 10.2% |
| |||||||
Altice USA, Inc. Class A (a) | 23,956 | 654,957 | ||||||
Cable One, Inc. | 500 | 744,235 | ||||||
Liberty Broadband Corp. Class A (a) | 3,500 | 435,960 | ||||||
Liberty Latin America Ltd. Class A (a) | 54,100 | 1,044,130 | ||||||
|
| |||||||
2,879,282 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.7% |
| |||||||
Apparel — 2.8% |
| |||||||
Kontoor Brands, Inc. (a) (b) | 18,900 | 793,611 | ||||||
|
| |||||||
Distribution & Wholesale — 1.8% |
| |||||||
IAA, Inc. (a) | 10,300 | 484,718 | ||||||
Resideo Technologies, Inc. (a) | 510 | 6,084 | ||||||
|
| |||||||
490,802 | ||||||||
|
| |||||||
Home Furnishing — 1.4% |
| |||||||
Hamilton Beach Brands Holding Co. Class A | 21,200 | 404,920 | ||||||
|
| |||||||
Leisure Time — 0.3% |
| |||||||
Brunswick Corp. | 1,500 | 89,970 | ||||||
|
| |||||||
Retail — 0.4% |
| |||||||
J Alexander’s Holdings, Inc. (a) | 11,500 | 109,940 | ||||||
|
| |||||||
1,889,243 | ||||||||
|
| |||||||
Consumer,Non-cyclical — 22.9% |
| |||||||
Biotechnology — 0.7% |
| |||||||
Corteva, Inc. (a) | 6,600 | 195,096 | ||||||
|
| |||||||
Commercial Services — 6.8% |
| |||||||
PayPal Holdings, Inc. (a) | 17,774 | 1,922,614 | ||||||
|
| |||||||
Foods — 1.9% |
| |||||||
Lamb Weston Holdings, Inc. | 6,300 | 541,989 | ||||||
|
| |||||||
Health Care – Products — 8.5% |
| |||||||
Danaher Corp. | 5,400 | 828,792 | ||||||
Varex Imaging Corp. (a) | 7,500 | 223,575 | ||||||
West Pharmaceutical Services, Inc. | 8,920 | 1,340,944 | ||||||
|
| |||||||
2,393,311 | ||||||||
|
| |||||||
Pharmaceuticals — 5.0% |
| |||||||
Zoetis, Inc. | 10,538 | 1,394,704 | ||||||
|
| |||||||
6,447,714 | ||||||||
|
|
Number of Shares | Value | |||||||
Energy — 2.1% |
| |||||||
Oil & Gas — 2.1% |
| |||||||
Murphy USA, Inc. (a) | 5,000 | $ | 585,000 | |||||
|
| |||||||
Financial — 4.9% |
| |||||||
Banks — 0.5% |
| |||||||
City Holding Co. | 1,809 | 148,248 | ||||||
|
| |||||||
Diversified Financial Services — 1.2% |
| |||||||
Synchrony Financial | 9,540 | 343,535 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 3.2% |
| |||||||
Four Corners Property Trust, Inc. | 10,300 | 290,357 | ||||||
Gaming and Leisure Properties, Inc. | 13,900 | 598,395 | ||||||
|
| |||||||
888,752 | ||||||||
|
| |||||||
1,380,535 | ||||||||
|
| |||||||
Industrial — 30.8% |
| |||||||
Electronics — 16.9% |
| |||||||
Allegion PLC | 8,500 | 1,058,590 | ||||||
Fortive Corp. | 5,900 | 450,701 | ||||||
Honeywell International, Inc. | 3,060 | 541,620 | ||||||
Keysight Technologies, Inc. (a) | 25,949 | 2,663,146 | ||||||
nVent Electric PLC | 2,340 | 59,857 | ||||||
|
| |||||||
4,773,914 | ||||||||
|
| |||||||
Engineering & Construction — 9.4% |
| |||||||
Arcosa, Inc. | 51,488 | 2,293,791 | ||||||
Jacobs Engineering Group, Inc. | 4,100 | 368,303 | ||||||
|
| |||||||
2,662,094 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 3.1% |
| |||||||
Oshkosh Corp. | 9,202 | 870,969 | ||||||
|
| |||||||
Machinery – Diversified — 1.4% |
| |||||||
Welbilt, Inc. (a) | 24,400 | 380,884 | ||||||
|
| |||||||
8,687,861 | ||||||||
|
| |||||||
Technology — 10.7% |
| |||||||
Computers — 10.7% |
| |||||||
Hewlett Packard Enterprise Co. | 147,300 | 2,336,178 | ||||||
Perspecta, Inc. | 25,437 | 672,554 | ||||||
|
| |||||||
3,008,732 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $22,429,350) | 27,828,876 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $22,429,350) | 27,828,876 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $22,429,350) | 27,828,876 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
91
Table of Contents
MML Special Situations Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 1.4% |
| |||||||
Repurchase Agreement — 1.4% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (c) | $ | 389,562 | $ | 389,562 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $389,562) | 389,562 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $22,818,912) (d) | 28,218,438 | |||||||
Other Assets/(Liabilities) — (0.2)% | (51,550 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 28,166,888 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $54,671 or 0.19% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $56,225 ofnon-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities.(Note 2). |
(c) | Maturity value of $389,579. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $401,054. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
92
Table of Contents
December 31, 2019
Number of Shares | Value | |||||||
EQUITIES — 97.5% |
| |||||||
COMMON STOCK — 94.2% |
| |||||||
Bermuda — 2.9% |
| |||||||
Credicorp Ltd. | 12,753 | $ | 2,718,047 | |||||
Jardine Strategic Holdings Ltd. | 46,089 | 1,413,118 | ||||||
|
| |||||||
4,131,165 | ||||||||
|
| |||||||
Brazil — 3.4% |
| |||||||
Atacadao SA | 241,300 | 1,403,825 | ||||||
B3 SA — Brasil Bolsa Balcao | 130,265 | 1,391,986 | ||||||
Itau Unibanco Holding SA Sponsored ADR | 70,685 | 646,768 | ||||||
Vale SA Sponsored ADR | 102,002 | 1,346,426 | ||||||
|
| |||||||
4,789,005 | ||||||||
|
| |||||||
Cayman Islands — 22.3% |
| |||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) | 47,317 | 10,035,936 | ||||||
Baozun, Inc. ADR (a) (b) | 18,531 | 613,747 | ||||||
Budweiser Brewing Co. APAC Ltd. (a) (c) | 732,300 | 2,472,515 | ||||||
Huazhu Group Ltd. ADR (b) | 101,451 | 4,065,142 | ||||||
Hutchison China MediTech Ltd. ADR (a) | 11,467 | 287,478 | ||||||
Innovent Biologics, Inc. (a) (c) | 240,500 | 820,383 | ||||||
Meituan Dianping Class B (a) | 114,800 | 1,503,394 | ||||||
OneConnect Financial Technology Co. Ltd. (a) (b) | 44,585 | 447,187 | ||||||
Pagseguro Digital Ltd. (a) (b) | 14,177 | 484,286 | ||||||
StoneCo Ltd. Class A (a) (b) | 16,433 | 655,512 | ||||||
Tencent Holdings Ltd. | 146,109 | 7,048,085 | ||||||
Wuxi Biologics Cayman, Inc. (a) (c) | 55,500 | 703,933 | ||||||
ZTO Express Cayman, Inc. ADR | 112,417 | 2,624,937 | ||||||
|
| |||||||
31,762,535 | ||||||||
|
| |||||||
Chile — 0.9% |
| |||||||
SACI Falabella | 295,980 | 1,276,456 | ||||||
|
| |||||||
China — 4.8% |
| |||||||
China International Capital Corp. Ltd. Class H (c) | 318,000 | 614,933 | ||||||
Jiangsu Hengrui Medicine Co. Ltd. Class A | 258,960 | 3,256,390 | ||||||
Ping An Insurance Group Co. of China Ltd. Class A | 187,562 | 2,302,207 | ||||||
Shanghai Junshi Bioscience Class H (a) (c) | 25,800 | 88,209 | ||||||
Sinopharm Group Co. Ltd. Class H | 178,168 | 651,670 | ||||||
|
| |||||||
6,913,409 | ||||||||
|
| |||||||
Colombia — 0.6% |
| |||||||
Grupo Aval Acciones y Valores SA ADR | 92,836 | 809,530 | ||||||
|
|
Number of Shares | Value | |||||||
Egypt — 0.6% |
| |||||||
Commercial International Bank Egypt SAE | 157,113 | $ | 812,485 | |||||
|
| |||||||
France — 5.7% |
| |||||||
Kering SA | 11,173 | 7,360,453 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 1,579 | 735,389 | ||||||
|
| |||||||
8,095,842 | ||||||||
|
| |||||||
Hong Kong — 5.3% |
| |||||||
AIA Group Ltd. | 475,200 | 4,999,891 | ||||||
Hang Lung Properties Ltd. | 85,000 | 185,822 | ||||||
Hansoh Pharmaceutical Group Co. Ltd. (a) (c) | 88,000 | 292,881 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 64,559 | 2,092,457 | ||||||
|
| |||||||
7,571,051 | ||||||||
|
| |||||||
India — 10.7% |
| |||||||
Cholamandalam Investment and Finance Co. Ltd. | 89,241 | 382,140 | ||||||
Housing Development Finance Corp. Ltd. | 191,745 | 6,494,627 | ||||||
Kotak Mahindra Bank Ltd. | 174,943 | 4,127,661 | ||||||
Oberoi Realty Ltd. | 49,105 | 365,822 | ||||||
Tata Consultancy Services Ltd. | 87,071 | 2,639,972 | ||||||
Zee Entertainment Enterprises Ltd. | 315,798 | 1,293,355 | ||||||
|
| |||||||
15,303,577 | ||||||||
|
| |||||||
Indonesia — 1.0% |
| |||||||
Bank Central Asia Tbk PT | 270,300 | 649,361 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 353,897 | 485,605 | ||||||
Semen Indonesia Persero Tbk PT | 318,800 | 275,060 | ||||||
|
| |||||||
1,410,026 | ||||||||
|
| |||||||
Italy — 2.0% |
| |||||||
Moncler SpA | 23,773 | 1,069,264 | ||||||
PRADA SpA | 420,400 | 1,740,530 | ||||||
|
| |||||||
2,809,794 | ||||||||
|
| |||||||
Mexico — 7.1% |
| |||||||
Alsea SAB de CV (a) | 254,574 | 670,920 | ||||||
Fomento Economico Mexicano SAB de CV | 406,542 | 3,834,385 | ||||||
Fomento Economico Mexicano SAB de CV Sponsored ADR | 10,603 | 1,002,090 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 41,389 | 775,440 | ||||||
Grupo Financiero Banorte SAB de CV Class O | 90,149 | 503,299 | ||||||
Grupo Financiero Inbursa SAB de CV Class O | 713,473 | 875,450 | ||||||
Grupo Mexico SAB de CV Series B | 795,130 | 2,185,951 |
The accompanying notes are an integral part of the financial statements.
93
Table of Contents
MML Strategic Emerging Markets Fund – Portfolio of Investments(Continued)
Number of Shares | Value | |||||||
Wal-Mart de Mexico SAB de CV | 76,433 | $ | 219,425 | |||||
|
| |||||||
10,066,960 | ||||||||
|
| |||||||
Netherlands — 1.1% |
| |||||||
Steinhoff International Holdings NV (a) (b) | 125,656 | 7,531 | ||||||
Yandex NV Class A (a) | 35,830 | 1,558,247 | ||||||
|
| |||||||
1,565,778 | ||||||||
|
| |||||||
Philippines — 2.2% |
| |||||||
Ayala Land, Inc. | 965,600 | 865,952 | ||||||
SM Investments Corp. | 91,575 | 1,884,978 | ||||||
SM Prime Holdings, Inc. | 421,712 | 349,777 | ||||||
|
| |||||||
3,100,707 | ||||||||
|
| |||||||
Republic of Korea — 2.6% |
| |||||||
Amorepacific Corp. | 4,966 | 856,418 | ||||||
AMOREPACIFIC Group | 4,882 | 348,731 | ||||||
LG Household & Health Care Ltd. | 501 | 545,771 | ||||||
Samsung Biologics Co. Ltd. (a) (c) | 5,224 | 1,948,212 | ||||||
|
| |||||||
3,699,132 | ||||||||
|
| |||||||
Russia — 7.6% |
| |||||||
LUKOIL PJSC Sponsored ADR | 4 | 395 | ||||||
LUKOIL PJSC Sponsored ADR | 8,421 | 836,561 | ||||||
MMC Norilsk Nickel PJSC | 30 | 915 | ||||||
MMC Norilsk Nickel PJSC | 1,015 | 312,803 | ||||||
MMC Norilsk Nickel PJSC ADR (Russia) | 17,279 | 528,476 | ||||||
Novatek PJSC Sponsored GDR Registered | 33 | 6,699 | ||||||
Novatek PJSC Sponsored GDR Registered | 32,633 | 6,626,811 | ||||||
Polyus PJSC GDR (c) (d) | 4,342 | 246,191 | ||||||
Sberbank of Russia PJSC | 549,744 | 2,256,378 | ||||||
|
| |||||||
10,815,229 | ||||||||
|
| |||||||
South Africa — 2.3% |
| |||||||
FirstRand Ltd. | 666,311 | 2,996,653 | ||||||
Shoprite Holdings Ltd. | 37,961 | 341,747 | ||||||
|
| |||||||
3,338,400 | ||||||||
|
| |||||||
Taiwan — 5.3% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 688,000 | 7,619,236 | ||||||
|
| |||||||
Thailand — 0.4% |
| |||||||
Siam Commercial Bank PCL | 148,400 | 604,425 | ||||||
|
| |||||||
Turkey — 1.3% |
| |||||||
Akbank T.A.S. (a) | 786,481 | 1,072,976 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS | 124,437 | 482,978 | ||||||
BIM Birlesik Magazalar AS | 42,978 | 337,304 | ||||||
|
| |||||||
1,893,258 | ||||||||
|
| |||||||
United Kingdom — 1.1% |
| |||||||
Glencore PLC | 489,260 | 1,529,879 | ||||||
|
|
Number of Shares | Value | |||||||
United States — 3.0% |
| |||||||
MercadoLibre, Inc. (a) | 717 | $ | 410,081 | |||||
Yum China Holdings, Inc. | 79,551 | 3,819,244 | ||||||
|
| |||||||
4,229,325 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $108,025,560) | 134,147,204 | |||||||
|
| |||||||
PREFERRED STOCK — 3.3% |
| |||||||
Brazil — 1.7% |
| |||||||
Lojas Americanas SA 0.350% | 372,500 | 2,405,916 | ||||||
|
| |||||||
India — 0.1% |
| |||||||
Zee Entertainment Enterprises Ltd. 6.000% | 503,840 | 38,400 | ||||||
|
| |||||||
Singapore — 1.5% |
| |||||||
Grab Holdings, Inc. | 350,542 | 2,160,355 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,957,539) | 4,604,671 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $111,983,099) | 138,751,875 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.8% |
| |||||||
United States — 0.8% |
| |||||||
State Street Navigator Securities Lending Prime Portfolio (g) | 1,081,882 | 1,081,882 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,081,882) | 1,081,882 | |||||||
|
| |||||||
RIGHTS — 0.0% |
| |||||||
Brazil — 0.0% |
| |||||||
Lojas Americanas SA, Expires 01/8/20 (a) (d) | 3,595 | 8,401 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $0) | 8,401 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $113,064,981) | 139,842,158 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
94
Table of Contents
MML Strategic Emerging Markets Fund – Portfolio of Investments(Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 2.2% |
| |||||||
Repurchase Agreement — 2.2% |
| |||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/19, 0.800%, due 1/02/20 (h) | $ | 3,177,619 | $ | 3,177,619 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,177,619) | 3,177,619 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.5% (Cost $116,242,600) (i) | 143,019,777 | |||||||
Other Assets/(Liabilities) — (0.5)% | (654,344 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 142,365,433 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
PJSC | Public Joint Stock Company |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2019, was $5,364,766 or 3.77% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The fund received $4,475,911 ofnon-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities.(Note 2). |
(c) | Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At December 31, 2019, the aggregate market value of these securities amounted to $7,187,257 or 5.05% of net assets. |
(d) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2019, these securities amounted to a value of $2,414,947 or 1.70% of net assets. |
(e) | Restricted security. Certain securities are restricted as to resale. At December 31, 2019, these securities amounted to a value of $2,160,355 or 1.52% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(f) | Investment was valued using significant unobservable inputs. |
(g) | Represents investment of security lending cash collateral.(Note 2). |
(h) | Maturity value of $3,177,761. Collateralized by U.S. Government Agency obligations with a rate of 2.875%, maturity date of 10/15/21, and an aggregate market value, including accrued interest, of $3,244,425. |
(i) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Financial | 27.3 | % | ||
Consumer, Cyclical | 18.7 | % | ||
Communications | 15.8 | % | ||
Consumer,Non-cyclical | 14.3 | % | ||
Technology | 7.5 | % | ||
Energy | 5.2 | % | ||
Industrial | 4.4 | % | ||
Basic Materials | 4.3 | % | ||
Mutual Funds | 0.8 | % | ||
|
| |||
Total Long-Term Investments | 98.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.7 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
95
Table of Contents
MML Series Investment Fund II – Financial Statements
Statements of Assets and Liabilities
December 31, 2019
MML Asset Momentum Fund | MML Dynamic Bond Fund | |||||||
Assets: | ||||||||
Investments, at value(Note 2) (a) | $ | 33,596,358 | $ | 395,801,599 | ||||
Repurchase agreements, at value(Note 2) (b) | 5,798,441 | 6,851,445 | ||||||
Other short-term investments, at value(Note 2) (c) | - | 138,195 | ||||||
|
|
|
| |||||
Total investments (d) | 39,394,799 | 402,791,239 | ||||||
|
|
|
| |||||
Cash | - | 30 | ||||||
Foreign currency, at value (e) | - | - | ||||||
Receivables from: | ||||||||
Investments sold | - | 1,020,129 | ||||||
Collateral pledged for reverse repurchase agreements(Note 2) | - | - | ||||||
Open forward contracts(Note 2) | 1,731 | - | ||||||
Investment adviser(Note 3) | - | - | ||||||
Fund shares sold | 949 | 44,198 | ||||||
Collateral pledged for open swap agreements(Note 2) | - | - | ||||||
Variation margin on open derivative instruments(Note 2) | 54,568 | - | ||||||
Interest and dividends | 32,071 | 2,719,019 | ||||||
Interest tax reclaim receivable | - | - | ||||||
Foreign taxes withheld | 10,088 | - | ||||||
Open swap agreements, at value(Note 2) | - | - | ||||||
|
|
|
| |||||
Total assets | 39,494,206 | 406,574,615 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | - | 647,194 | ||||||
Collateral held for reverse repurchase agreements(Note 2) | - | - | ||||||
Collateral held for open purchased options(Note 2) | - | - | ||||||
Reverse repurchase agreements(Note 2) | - | - | ||||||
Foreign currency overdraft | 338 | - | ||||||
Investments purchased on a when-issued basis(Note 2) | - | 6,041,448 | ||||||
Fund shares repurchased | - | 142,116 | ||||||
Collateral held for securities on loan(Note 2) (f) | 4,612,565 | 1,196,038 | ||||||
Open swap agreements, at value(Note 2) | - | - | ||||||
Trustees’ fees and expenses(Note 3) | 1,660 | 28,562 | ||||||
Variation margin on open derivative instruments(Note 2) | - | - | ||||||
Affiliates(Note 3): | ||||||||
Investment advisory fees | 17,319 | 140,318 | ||||||
Administration fees | 4,330 | 52,620 | ||||||
Service fees | 1,106 | 5,853 | ||||||
Due to custodian | 1,070,000 | - | ||||||
Commitment and Contingent Liabilities(Note 9) | - | - | ||||||
Accrued expense and other liabilities | 52,497 | 149,580 | ||||||
|
|
|
| |||||
Total liabilities | 5,759,815 | 8,403,729 | ||||||
|
|
|
| |||||
Net assets | $ | 33,734,391 | $ | 398,170,886 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 28,633,170 | $ | 395,213,144 | ||||
Accumulated Gain (Loss) | 5,101,221 | 2,957,742 | ||||||
|
|
|
| |||||
Net assets | $ | 33,734,391 | $ | 398,170,886 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 29,945,979 | $ | 386,912,610 | ||||
(b) Cost of repurchase agreements: | $ | 5,798,441 | $ | 6,851,445 | ||||
(c) Cost of other short-term investments: | $ | - | $ | 138,155 | ||||
(d) Securities on loan with market value of: | $ | 4,517,367 | $ | 4,675,241 | ||||
(e) Cost of foreign currency: | $ | - | $ | - |
(f) | Non-cash collateral is not included. |
The accompanying notes are an integral part of the financial statements.
96
Table of Contents
MML Equity Rotation Fund | MML High Yield Fund | MML Inflation- Protected and Income Fund | MML Short- Duration Bond Fund | MML Small Cap Equity Fund | MML Special Situations Fund | MML Strategic Emerging Markets Fund | ||||||||||||||||||||
$ | 31,972,737 | $ | 138,949,299 | $ | 494,366,321 | $ | 202,960,068 | $ | 121,245,631 | $ | 27,828,876 | $ | 139,842,158 | |||||||||||||
1,577,624 | - | 266,735 | - | 787,225 | 389,562 | 3,177,619 | ||||||||||||||||||||
- | - | 117,757,708 | 5,490,535 | - | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
33,550,361 | 138,949,299 | 612,390,764 | 208,450,603 | 122,032,856 | 28,218,438 | 143,019,777 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
- | 2,801,078 | 275 | 1,081,488 | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | 25,885 | ||||||||||||||||||||
- | 7,206 | - | - | - | - | 1,200,955 | ||||||||||||||||||||
- | - | 693,000 | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
- | 8,156 | - | - | - | - | - | ||||||||||||||||||||
- | 8,250 | 6,673,814 | 27,702 | 1,286 | - | 18,783 | ||||||||||||||||||||
- | - | 220,000 | - | - | - | - | ||||||||||||||||||||
- | - | 10,290 | - | - | - | - | ||||||||||||||||||||
31,870 | 1,983,380 | 1,162,950 | 1,079,865 | 60,009 | 20,133 | 150,639 | ||||||||||||||||||||
- | 696 | - | 2,763 | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | 6,553 | ||||||||||||||||||||
- | - | 320,649 | - | - | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
33,582,231 | 143,758,065 | 621,471,742 | 210,642,421 | 122,094,151 | 28,238,571 | 144,422,592 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
- | 340,047 | - | - | 116,411 | - | 141,399 | ||||||||||||||||||||
- | - | 1,140,146 | - | - | - | - | ||||||||||||||||||||
- | - | 2,000,000 | 1,500,000 | - | - | - | ||||||||||||||||||||
- | - | 260,269,675 | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
458 | 51,635 | 47,092 | 60,396 | 116,630 | 23 | 112,754 | ||||||||||||||||||||
18,559 | 9,065,018 | - | 827,725 | 4,281,922 | - | 1,081,882 | ||||||||||||||||||||
- | - | 123,124 | - | - | - | - | ||||||||||||||||||||
1,753 | 16,428 | 66,841 | 27,453 | 24,422 | 1,474 | 11,356 | ||||||||||||||||||||
- | - | - | 247 | - | - | - | ||||||||||||||||||||
13,004 | 69,903 | 171,943 | 63,883 | 65,391 | 14,578 | 129,561 | ||||||||||||||||||||
4,335 | 17,476 | - | 27,379 | - | 3,644 | 18,509 | ||||||||||||||||||||
1,137 | 29,095 | 26,659 | 21,401 | 13,803 | 566 | 10,311 | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
52,179 | 113,301 | 128,804 | 104,349 | 68,734 | 51,398 | 551,387 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
91,425 | 9,702,903 | 263,974,284 | 2,632,833 | 4,687,313 | 71,683 | 2,057,159 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 33,490,806 | $ | 134,055,162 | $ | 357,497,458 | $ | 208,009,588 | $ | 117,406,838 | $ | 28,166,888 | $ | 142,365,433 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 28,537,196 | $ | 142,601,782 | $ | 357,993,109 | $ | 214,065,383 | $ | 89,569,497 | $ | 21,737,003 | $ | 112,378,397 | |||||||||||||
4,953,610 | (8,546,620 | ) | (495,651 | ) | (6,055,795 | ) | 27,837,341 | 6,429,885 | 29,987,036 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 33,490,806 | $ | 134,055,162 | $ | 357,497,458 | $ | 208,009,588 | $ | 117,406,838 | $ | 28,166,888 | $ | 142,365,433 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 27,400,236 | $ | 140,797,402 | $ | 481,907,651 | $ | 201,252,020 | $ | 95,633,616 | $ | 22,429,350 | $ | 113,064,981 | |||||||||||||
$ | 1,577,624 | $ | - | $ | 266,735 | $ | - | $ | 787,225 | $ | 389,562 | $ | 3,177,619 | |||||||||||||
$ | - | $ | - | $ | 117,752,854 | $ | 5,490,772 | $ | - | $ | - | $ | - | |||||||||||||
$ | 44,581 | $ | 9,287,655 | $ | - | $ | 811,209 | $ | 18,149,807 | $ | 54,671 | $ | 5,364,766 | |||||||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 25,878 |
97
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Statements of Assets and Liabilities
December 31, 2019
MML Asset Momentum Fund | MML Dynamic Bond Fund | |||||||
Initial Class shares: | ||||||||
Net assets | $ | - | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | - | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
|
|
|
| |||||
Class II shares: | ||||||||
Net assets | $ | 31,840,445 | $ | 388,029,133 | ||||
|
|
|
| |||||
Shares outstanding (a) | 2,612,786 | 38,481,193 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.19 | $ | 10.08 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | - | $ | - | ||||
|
|
|
| |||||
Shares outstanding (a) | - | - | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | - | ||||
|
|
|
| |||||
Service Class I shares: | ||||||||
Net assets | $ | 1,893,946 | $ | 10,141,753 | ||||
|
|
|
| |||||
Shares outstanding (a) | 156,374 | 1,007,383 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.11 | $ | 10.07 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
98
Table of Contents
MML Equity Rotation Fund | MML High Yield Fund | MML Inflation- Protected and Income Fund | MML Short- Duration Bond Fund | MML Small Cap Equity Fund | MML Special Situations Fund | MML Strategic Emerging Markets Fund | ||||||||||||||||||||
$ | - | $ | - | $ | 314,260,761 | $ | - | $ | 94,712,191 | $ | - | $ | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
- | - | 30,561,284 | - | 10,141,008 | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | - | $ | - | $ | 10.28 | $ | - | $ | 9.34 | $ | - | $ | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 31,593,275 | $ | 86,650,619 | $ | - | $ | 171,739,656 | $ | - | $ | 27,196,079 | $ | 125,191,511 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
2,547,227 | 9,057,914 | - | 17,723,088 | - | 2,094,426 | 9,879,042 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 12.40 | $ | 9.57 | $ | - | $ | 9.69 | $ | - | $ | 12.98 | $ | 12.67 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | - | $ | - | $ | 43,236,697 | $ | - | $ | 22,694,647 | $ | - | $ | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
- | - | 4,226,523 | - | 2,482,523 | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | - | $ | - | $ | 10.23 | $ | - | $ | 9.14 | $ | - | $ | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 1,897,531 | $ | 47,404,543 | $ | - | $ | 36,269,932 | $ | - | $ | 970,809 | $ | 17,173,922 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
153,583 | 4,973,154 | - | 3,746,278 | - | 75,088 | 1,354,731 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 12.36 | $ | 9.53 | $ | - | $ | 9.68 | $ | - | $ | 12.93 | $ | 12.68 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
99
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
For the Year Ended December 31, 2019
MML Asset Momentum Fund | MML Dynamic Bond Fund | |||||||
Investment income (Note 2): |
| |||||||
Dividends (a) | $ | 356,931 | $ | 267,064 | ||||
Interest (b) | 136,849 | 17,130,377 | ||||||
Securities lending net income | 15,927 | 10,162 | ||||||
|
|
|
| |||||
Total investment income | 509,707 | 17,407,603 | ||||||
|
|
|
| |||||
Expenses (Note 3): |
| |||||||
Investment advisory fees | 177,128 | 1,681,174 | ||||||
Custody fees | 27,836 | 49,040 | ||||||
Interest expense | - | - | ||||||
Audit fees | 32,399 | 56,556 | ||||||
Legal fees | 5,261 | 9,903 | ||||||
Proxy fees | 1,363 | 1,357 | ||||||
Shareholder reporting fees | 12,306 | 60,979 | ||||||
Trustees’ fees | 1,356 | 20,110 | ||||||
|
|
|
| |||||
257,649 | 1,879,119 | |||||||
Administration fees: | ||||||||
Class II | 41,846 | 618,442 | ||||||
Service Class I | 2,436 | 11,999 | ||||||
Distribution and Service fees: | ||||||||
Service Class | - | - | ||||||
Service Class I | 4,060 | 19,998 | ||||||
|
|
|
| |||||
Total expenses | 305,991 | 2,529,558 | ||||||
Expenses waived(Note 3): | ||||||||
Class II fees reimbursed by adviser | (11,952 | ) | - | |||||
Service Class I fees reimbursed by adviser | (695 | ) | - | |||||
Class II advisory fees waived | - | - | ||||||
Service Class I advisory fees waived | - | - | ||||||
|
|
|
| |||||
Net expenses: | 293,344 | 2,529,558 | ||||||
|
|
|
| |||||
Net investment income (loss) | 216,363 | 14,878,045 | ||||||
|
|
|
| |||||
Realized and unrealized gain (loss): |
| |||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | 8,089 | (21,844 | ) | |||||
Futures contracts | 3,455,796 | - | ||||||
Swap agreements | - | - | ||||||
Foreign currency transactions | 357 | (32 | ) | |||||
Forward contracts | (97,627 | ) | - | |||||
|
|
|
| |||||
Net realized gain (loss) | 3,366,615 | (21,876 | ) | |||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 3,556,424 | 20,729,688 | ||||||
Futures contracts | 1,989,531 | - | ||||||
Swap agreements | - | - | ||||||
Translation of assets and liabilities in foreign currencies | (765 | ) | - | |||||
Forward contracts | 132,180 | - | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | 5,677,370 | 20,729,688 | ||||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 9,043,985 | 20,707,812 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 9,260,348 | $ | 35,585,857 | ||||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | 2,666 | $ | - | ||||
(b) Net of foreign withholding tax of: | $ | - | $ | - | ||||
* Net of net increase (decrease) in accrued foreign capital gains tax of: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
100
Table of Contents
MML Equity Rotation Fund | MML High Yield Fund | MML Inflation- Protected and Income Fund | MML Short- Duration Bond Fund | MML Small Cap Equity Fund | MML Special Situations Fund | MML Strategic Emerging Markets Fund | ||||||||||||||||||||
$ | 508,046 | $ | - | $ | - | $ | 43,041 | $ | 1,645,569 | $ | 295,941 | $ | 2,347,947 | |||||||||||||
16,166 | 8,546,683 | 16,712,797 | 7,205,514 | 23,002 | 11,713 | 64,252 | ||||||||||||||||||||
6 | 75,836 | 3,395 | 1,347 | 43,834 | 14 | 30,171 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
524,218 | 8,622,519 | 16,716,192 | 7,249,902 | 1,712,405 | 307,668 | 2,442,370 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
141,321 | 763,476 | 2,005,903 | 709,103 | 722,280 | 157,623 | 1,474,251 | ||||||||||||||||||||
29,641 | 78,978 | 38,715 | 52,657 | 30,727 | 27,857 | 75,655 | ||||||||||||||||||||
- | - | 6,283,332 | - | - | - | - | ||||||||||||||||||||
32,408 | 38,889 | 40,892 | 39,643 | 38,074 | 32,394 | 64,394 | ||||||||||||||||||||
5,307 | 6,529 | 13,212 | 7,705 | 10,347 | 5,228 | 11,136 | ||||||||||||||||||||
1,363 | 1,363 | 1,363 | 1,363 | 1,363 | 1,363 | 1,363 | ||||||||||||||||||||
12,495 | 29,846 | 57,205 | 38,980 | 21,480 | 11,697 | 24,448 | ||||||||||||||||||||
1,465 | 5,934 | 17,163 | 9,499 | 5,215 | 1,225 | 6,616 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
224,000 | 925,015 | 8,457,785 | 858,950 | 829,486 | 237,387 | 1,657,863 | ||||||||||||||||||||
44,488 | 124,278 | - | 256,470 | - | 38,099 | 186,949 | ||||||||||||||||||||
2,619 | 66,591 | - | 47,432 | - | 1,306 | 23,658 | ||||||||||||||||||||
- | - | 104,982 | - | 52,944 | - | - | ||||||||||||||||||||
4,365 | 110,985 | - | 79,053 | - | 2,177 | 39,430 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
275,472 | 1,226,869 | 8,562,767 | 1,241,905 | 882,430 | 278,969 | 1,907,900 | ||||||||||||||||||||
(10,577 | ) | - | - | (1,997 | ) | - | (11,752 | ) | - | |||||||||||||||||
(622 | ) | - | - | (403 | ) | - | (403 | ) | - | |||||||||||||||||
- | (65,978 | ) | - | - | - | - | (49,851 | ) | ||||||||||||||||||
- | (35,279 | ) | - | - | - | - | (6,310 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
264,273 | 1,125,612 | 8,562,767 | 1,239,505 | 882,430 | 266,814 | 1,851,739 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
259,945 | 7,496,907 | 8,153,425 | 6,010,397 | 829,975 | 40,854 | 590,631 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
311,455 | (2,648,083 | ) | 1,179,224 | 380,734 | 769,551 | 1,388,955 | 8,182,975 | |||||||||||||||||||
(69,502 | ) | - | (481,644 | ) | (2,436,535 | ) | - | (48,985 | ) | - | ||||||||||||||||
- | - | (503,457 | ) | (57,436 | ) | - | - | - | ||||||||||||||||||
152 | (59 | ) | - | - | - | - | (28,132 | ) | ||||||||||||||||||
- | - | - | - | - | - | 65 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
242,105 | (2,648,142 | ) | 194,123 | (2,113,237 | ) | 769,551 | 1,339,970 | 8,154,908 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
4,240,106 | 9,543,649 | 19,244,653 | 3,801,635 | 24,207,655 | 4,017,254 | 22,395,449 | * | |||||||||||||||||||
- | - | 29,214 | 915,716 | - | - | - | ||||||||||||||||||||
- | - | 1,466,356 | 109,150 | - | - | - | ||||||||||||||||||||
- | - | - | - | - | - | 1,754 | ||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
4,240,106 | 9,543,649 | 20,740,223 | 4,826,501 | 24,207,655 | 4,017,254 | 22,397,203 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
4,482,211 | 6,895,507 | 20,934,346 | 2,713,264 | 24,977,206 | 5,357,224 | 30,552,111 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 4,742,156 | $ | 14,392,414 | $ | 29,087,771 | $ | 8,723,661 | $ | 25,807,181 | $ | 5,398,078 | $ | 31,142,742 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 2,775 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 248,941 | |||||||||||||
$ | - | $ | - | $ | - | $ | 4,890 | $ | - | $ | - | $ | - | |||||||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (187,651 | ) |
101
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Asset Momentum Fund | ||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 216,363 | $ | 166,003 | ||||
Net realized gain (loss) | 3,366,615 | 1,134,373 | ||||||
Net change in unrealized appreciation (depreciation) | 5,677,370 | (6,219,657 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 9,260,348 | (4,919,281 | ) | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Class II | (1,657,921 | ) | (2,557,803 | ) | ||||
Service Class I | (93,583 | ) | (151,157 | ) | ||||
|
|
|
| |||||
Total distributions | (1,751,504 | ) | (2,708,960 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class II | 1,657,921 | 2,557,803 | ||||||
Service Class I | 100,596 | 291,123 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 1,758,517 | 2,848,926 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 9,267,361 | (4,779,315 | ) | |||||
Net assets | ||||||||
Beginning of year | 24,467,030 | 29,246,345 | ||||||
|
|
|
| |||||
End of year | $ | 33,734,391 | $ | 24,467,030 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
102
Table of Contents
MML Dynamic Bond Fund | MML Equity Rotation Fund | |||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||
$ | 14,878,045 | $ | 15,813,649 | $ | 259,945 | $ | 268,908 | |||||||
(21,876 | ) | (5,234,890 | ) | 242,105 | 2,878,743 | |||||||||
20,729,688 | (11,038,461 | ) | 4,240,106 | (5,948,845 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
35,585,857 | (459,702 | ) | 4,742,156 | (2,801,194 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
(14,724,090 | ) | (14,819,194 | ) | (657,606 | ) | (4,188,659 | ) | |||||||
(274,456 | ) | (177,628 | ) | (34,524 | ) | (231,195 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(14,998,546 | ) | (14,996,822 | ) | (692,130 | ) | (4,419,854 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(52,559,883 | ) | (11,521,018 | ) | 657,606 | 4,188,659 | |||||||||
3,527,101 | 2,036,291 | 73,105 | 562,287 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(49,032,782 | ) | (9,484,727 | ) | 730,711 | 4,750,946 | |||||||||
|
|
|
|
|
|
|
| |||||||
(28,445,471 | ) | (24,941,251 | ) | 4,780,737 | (2,470,102 | ) | ||||||||
426,616,357 | 451,557,608 | 28,710,069 | 31,180,171 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 398,170,886 | $ | 426,616,357 | $ | 33,490,806 | $ | 28,710,069 | |||||||
|
|
|
|
|
|
|
|
103
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Statements of Changes in Net Assets
MML High Yield Fund | ||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 7,496,907 | $ | 8,233,454 | ||||
Net realized gain (loss) | (2,648,142 | ) | (1,643,044 | ) | ||||
Net change in unrealized appreciation (depreciation) | 9,543,649 | (10,924,124 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 14,392,414 | (4,333,714 | ) | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | - | - | ||||||
Class II | (5,130,049 | ) | (5,680,654 | ) | ||||
Service Class | - | - | ||||||
Service Class I | (2,664,581 | ) | (2,513,438 | ) | ||||
|
|
|
| |||||
Total distributions | (7,794,630 | ) | (8,194,092 | ) | ||||
|
|
|
| |||||
Tax return of capital: |
| |||||||
Class II | - | (6,656 | ) | |||||
Service Class I | - | (2,945 | ) | |||||
|
|
|
| |||||
Total tax return of capital | - | (9,601 | ) | |||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | - | - | ||||||
Class II | 2,719,177 | (7,539,088 | ) | |||||
Service Class | - | - | ||||||
Service Class I | 5,213,508 | 5,034,958 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 7,932,685 | (2,504,130 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 14,530,469 | (15,041,537 | ) | |||||
Net assets | ||||||||
Beginning of year | 119,524,693 | 134,566,230 | ||||||
|
|
|
| |||||
End of year | $ | 134,055,162 | $ | 119,524,693 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
104
Table of Contents
MML Inflation-Protected and Income Fund | MML Short-Duration Bond Fund | |||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||
$ | 8,153,425 | $ | 11,887,532 | $ | 6,010,397 | $ | 6,019,662 | |||||||
194,123 | (3,068,220 | ) | (2,113,237 | ) | 219,108 | |||||||||
20,740,223 | (14,539,111 | ) | 4,826,501 | (2,925,035 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
29,087,771 | (5,719,799 | ) | 8,723,661 | 3,313,735 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(7,592,814 | ) | (11,103,254 | ) | - | - | |||||||||
- | - | (5,669,696 | ) | (5,711,370 | ) | |||||||||
(933,563 | ) | (1,280,315 | ) | - | - | |||||||||
- | - | (986,511 | ) | (824,955 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
(8,526,377 | ) | (12,383,569 | ) | (6,656,207 | ) | (6,536,325 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
(15,902,153 | ) | (49,944,538 | ) | - | - | |||||||||
- | - | (2,604,729 | ) | (38,248,832 | ) | |||||||||
(467,712 | ) | (2,734,289 | ) | - | - | |||||||||
- | - | 5,283,556 | 181,713 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(16,369,865 | ) | (52,678,827 | ) | 2,678,827 | (38,067,119 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
4,191,529 | (70,782,195 | ) | 4,746,281 | (41,289,709 | ) | |||||||||
353,305,929 | 424,088,124 | 203,263,307 | 244,553,016 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 357,497,458 | $ | 353,305,929 | $ | 208,009,588 | $ | 203,263,307 | |||||||
|
|
|
|
|
|
|
|
105
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Statements of Changes in Net Assets
MML Small Cap Equity Fund | ||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 829,975 | $ | 744,910 | ||||
Net realized gain (loss) | 769,551 | 9,414,671 | ||||||
Net change in unrealized appreciation (depreciation) | 24,207,655 | (21,256,999 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 25,807,181 | (11,097,418 | ) | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | (8,162,126 | ) | (12,792,106 | ) | ||||
Class II | - | - | ||||||
Service Class | (1,918,740 | ) | (2,569,206 | ) | ||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Total distributions | (10,080,866 | ) | (15,361,312 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | (737,342 | ) | 2,243,475 | |||||
Class II | - | - | ||||||
Service Class | 1,383,266 | 5,572,732 | ||||||
Service Class I | - | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 645,924 | 7,816,207 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 16,372,239 | (18,642,523 | ) | |||||
Net assets | ||||||||
Beginning of year | 101,034,599 | 119,677,122 | ||||||
|
|
|
| |||||
End of year | $ | 117,406,838 | $ | 101,034,599 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
106
Table of Contents
MML Special Situations Fund | MML Strategic Emerging Markets Fund | |||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||
$ | 40,854 | $ | 135,555 | $ | 590,631 | $ | 462,116 | |||||||
1,339,970 | 2,021,038 | 8,154,908 | 3,052,532 | |||||||||||
4,017,254 | (3,325,522 | ) | 22,397,203 | (20,263,612 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
5,398,078 | (1,168,929 | ) | 31,142,742 | (16,748,964 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
(38,829 | ) | (930,068 | ) | (320,921 | ) | (170,692 | ) | |||||||
- | - | - | - | |||||||||||
- | (28,951 | ) | (885 | ) | - | |||||||||
|
|
|
|
|
|
|
| |||||||
(38,829 | ) | (959,019 | ) | (321,806 | ) | (170,692 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
38,829 | 930,068 | (14,466,841 | ) | 31,922,391 | ||||||||||
- | - | - | - | |||||||||||
40,985 | 231,795 | (441,125 | ) | 1,317,632 | ||||||||||
|
|
|
|
|
|
|
| |||||||
79,814 | 1,161,863 | (14,907,966 | ) | 33,240,023 | ||||||||||
|
|
|
|
|
|
|
| |||||||
5,439,063 | (966,085 | ) | 15,912,970 | 16,320,367 | ||||||||||
22,727,825 | 23,693,910 | 126,452,463 | 110,132,096 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 28,166,888 | $ | 22,727,825 | $ | 142,365,433 | $ | 126,452,463 | |||||||
|
|
|
|
|
|
|
|
107
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
For the Year Ended December 31, 2019
MML Inflation- Protected and Income Fund | ||||
Cash flows from operating activities: | ||||
Net increase (decrease) in net assets resulting from operations | $ | 29,087,771 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (220,434,504 | ) | ||
Investments sold | 247,682,209 | |||
(Increase) Decrease to the principal amount of inflation-indexed bonds | (5,164,215 | ) | ||
(Purchase) Sale of short-term investments, net | 23,550,329 | |||
Amortization (Accretion) of discount and premium, net | 104,549 | |||
(Increase) Decrease in receivable from interest and dividends | 485,358 | |||
(Increase) Decrease in receivable from open swap agreements, at value | (320,649 | ) | ||
Increase (Decrease) in payable for Trustees’ fees and expenses | (26,515 | ) | ||
Increase (Decrease) in payable for investment advisory fees | (2,733 | ) | ||
Increase (Decrease) in payable for service fee | (929 | ) | ||
Increase (Decrease) in payable for open swap agreements, at value | (1,024,046 | ) | ||
Increase (Decrease) in collateral held for purchased options | (720,000 | ) | ||
Increase (Decrease) in payable for variation margin on open derivative instruments | (189,353 | ) | ||
Increase (Decrease) in payable for accrued expenses and other liabilities | (11,325 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | (19,244,653 | ) | ||
Net realized (gain) loss from investments | (1,179,224 | ) | ||
|
| |||
Net cash from (used in) operating activities | 52,592,070 | |||
|
| |||
Cash flows from (used in) financing activities: | ||||
Proceeds from shares sold | 33,114,914 | |||
Payment on shares redeemed | (77,431,179 | ) | ||
Net Increase (Decrease) in reverse repurchase agreements | (8,810,420 | ) | ||
Increase (Decrease) in collateral held for reverse repurchase agreements | 557,421 | |||
|
| |||
Net cash from (used in) financing activities | (52,569,264 | ) | ||
|
| |||
Net increase (decrease) in cash and restricted cash | 22,806 | |||
Cash and restricted cash at beginning of period | 890,469 | |||
|
| |||
Cash and restricted cash at end of period | $ | 913,275 | ||
|
| |||
Non cash financing activities not included herein consist of: | ||||
Reinvestment of distributions | $ | 8,526,377 | ||
Cash paid out for interest on reverse repurchase agreements | $ | 6,234,176 |
The following table provides a reconciliation of cash and restricted cash reported within the Statement of Assets and Liabilities that sum to the total of such amounts shown on the Statement of Cash Flows.
December 31, 2018 | December 31, 2019 | |||||||
Cash | $ | 22,382 | $ | 275 | ||||
Collateral pledged for open swap agreements | 540,000 | 220,000 | ||||||
Collateral pledged for reverse repurchase agreements | 328,087 | 693,000 | ||||||
|
|
|
| |||||
Total cash and restricted cash as shown in the Statement of Cash Flows | $ | 890,469 | $ | 913,275 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
108
Table of Contents
MML Series Investment Fund II – Financial Statements
Financial Highlights(For a share outstanding throughout each period)
MML Asset Momentum Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 9.33 | $ | 0.08 | $ | 3.45 | $ | 3.53 | $ | (0.10 | ) | $ | (0.57 | ) | $ | - | $ | (0.67 | ) | $ | 12.19 | 37.93% | $ | 31,840 | 1.02% | 0.98% | 0.75% | |||||||||||||||||||||||||||||
12/31/18 | 12.44 | 0.07 | (2.05 | ) | (1.98 | ) | (0.02 | ) | (1.11 | ) | - | (1.13 | ) | 9.33 | (16.69% | ) | 23,087 | 0.93% | 0.80% | 0.58% | ||||||||||||||||||||||||||||||||||||
12/31/17 | 10.32 | 0.05 | 3.40 | 3.45 | (0.18 | ) | (1.15 | ) | - | (1.33 | ) | 12.44 | 33.92% | 27,728 | 0.93% | 0.80% | 0.45% | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.43 | 0.02 | 0.94 | 0.96 | (0.07 | ) | - | - | (0.07 | ) | 10.32 | 10.20% | 20,688 | 0.97% | 0.80% | 0.25% | ||||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.00 | d | (0.56 | ) | (0.56 | ) | (0.00 | )d | - | (0.01 | ) | (0.01 | ) | 9.43 | (5.62% | )b | 18,773 | 1.25% | a | 0.80% | a | 0.01% | a | ||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 9.28 | $ | 0.06 | $ | 3.42 | $ | 3.48 | $ | (0.08 | ) | $ | (0.57 | ) | $ | - | $ | (0.65 | ) | $ | 12.11 | 37.51% | $ | 1,894 | 1.27% | 1.23% | 0.49% | |||||||||||||||||||||||||||||
12/31/18 | 12.41 | 0.04 | (2.05 | ) | (2.01 | ) | (0.01 | ) | (1.11 | ) | - | (1.12 | ) | 9.28 | (16.93% | ) | 1,380 | 1.18% | 1.05% | 0.35% | ||||||||||||||||||||||||||||||||||||
12/31/17 | 10.29 | 0.02 | 3.41 | 3.43 | (0.16 | ) | (1.15 | ) | - | (1.31 | ) | 12.41 | 33.77% | 1,519 | 1.18% | 1.05% | 0.21% | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.42 | 0.01 | 0.92 | 0.93 | (0.06 | ) | - | - | (0.06 | ) | 10.29 | 9.85% | 929 | 1.22% | 1.05% | 0.13% | ||||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | (0.02 | ) | (0.56 | ) | (0.58 | ) | - | - | - | - | 9.42 | (5.80% | )b | 232 | 1.50% | a | 1.05% | a | (0.25% | )a |
Year ended December 31 | Period ended December 31, 2015b | |||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||
Portfolio turnover rate | 14 | % | 115 | % | 19 | % | 82 | % | 141 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
109
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Dynamic Bond Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 9.61 | $ | 0.35 | $ | 0.48 | $ | 0.83 | $ | (0.36 | ) | $ | - | $ | (0.36 | ) | $ | 10.08 | 8.73% | $ | 388,029 | 0.60% | 0.60%l | 3.55% | ||||||||||||||||||||||||||||
12/31/18 | 9.95 | 0.34 | (0.35 | ) | (0.01 | ) | (0.33 | ) | - | (0.33 | ) | 9.61 | (0.10% | ) | 420,344 | 0.59% | 0.59% | l | 3.52% | |||||||||||||||||||||||||||||||||
12/31/17 | 9.89 | 0.30 | 0.14 | 0.44 | (0.34 | ) | (0.04 | ) | (0.38 | ) | 9.95 | 4.45% | 447,146 | 0.59% | 0.59% | l | 3.00% | |||||||||||||||||||||||||||||||||||
12/31/16 | 9.71 | 0.33 | 0.15 | 0.48 | (0.30 | ) | - | (0.30 | ) | 9.89 | 4.94% | 421,624 | 0.59% | 0.59% | l | 3.27% | ||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.17 | (0.30 | ) | (0.13 | ) | (0.16 | ) | - | (0.16 | ) | 9.71 | (1.34% | )b | 400,385 | 0.61% | a | 0.60% | a | 2.78% | a | |||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 9.59 | $ | 0.33 | $ | 0.48 | $ | 0.81 | $ | (0.33 | ) | $ | - | $ | (0.33 | ) | $ | 10.07 | 8.53% | $ | 10,142 | 0.85% | 0.85%l | 3.28% | ||||||||||||||||||||||||||||
12/31/18 | 9.93 | 0.32 | (0.35 | ) | (0.03 | ) | (0.31 | ) | - | (0.31 | ) | 9.59 | (0.33% | ) | 6,272 | 0.84% | 0.84% | l | 3.30% | |||||||||||||||||||||||||||||||||
12/31/17 | 9.88 | 0.28 | 0.12 | 0.40 | (0.31 | ) | (0.04 | ) | (0.35 | ) | 9.93 | 4.11% | 4,412 | 0.84% | 0.84% | l | 2.77% | |||||||||||||||||||||||||||||||||||
12/31/16 | 9.71 | 0.31 | 0.14 | 0.45 | (0.28 | ) | - | (0.28 | ) | 9.88 | 4.67% | 2,907 | 0.84% | 0.84% | l | 3.14% | ||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.15 | (0.29 | ) | (0.14 | ) | (0.15 | ) | - | (0.15 | ) | 9.71 | (1.45% | )b | 382 | 0.86% | a | 0.85% | a | 2.39% | a |
Year ended December 31 | Period ended December 31, 2015b | |||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||
Portfolio turnover rate | 54 | % | 68 | % | 100 | % | 79 | % | 106 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
l | Expenses incurred during the period fell under the expense cap. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
110
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Equity Rotation Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 10.89 | $ | 0.10 | $ | 1.67 | $ | 1.77 | $ | (0.05 | ) | $ | (0.21 | ) | $ | - | $ | (0.26 | ) | $ | 12.40 | 16.50% | $ | 31,593 | 0.86% | 0.83% | 0.84% | |||||||||||||||||||||||||||||
12/31/18 | 13.89 | 0.12 | (1.23 | ) | (1.11 | ) | (0.12 | ) | (1.77 | ) | - | (1.89 | ) | 10.89 | (8.86% | ) | 27,112 | 0.75% | 0.65% | 0.86% | ||||||||||||||||||||||||||||||||||||
12/31/17 | 11.28 | 0.10 | 3.30 | 3.40 | (0.10 | ) | (0.69 | ) | - | (0.79 | ) | 13.89 | 30.09% | 29,745 | 0.76% | 0.65% | 0.79% | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.71 | 0.13 | 1.57 | 1.70 | (0.13 | ) | - | - | (0.13 | ) | 11.28 | 17.48% | 22,878 | 0.76% | 0.65% | 1.28% | ||||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.07 | (0.29 | ) | (0.22 | ) | (0.06 | ) | - | (0.01 | ) | (0.07 | ) | 9.71 | (2.18% | )b | 19,462 | 0.96% | a | 0.65% | a | 1.06% | a | |||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 10.85 | $ | 0.07 | $ | 1.67 | $ | 1.74 | $ | (0.02 | ) | $ | (0.21 | ) | $ | - | $ | (0.23 | ) | $ | 12.36 | 16.30% | $ | 1,898 | 1.11% | 1.08% | 0.59% | |||||||||||||||||||||||||||||
12/31/18 | 13.85 | 0.08 | (1.22 | ) | (1.14 | ) | (0.09 | ) | (1.77 | ) | - | (1.86 | ) | 10.85 | (9.10% | ) | 1,598 | 1.00% | 0.90% | 0.61% | ||||||||||||||||||||||||||||||||||||
12/31/17 | 11.27 | 0.07 | 3.28 | 3.35 | (0.08 | ) | (0.69 | ) | - | (0.77 | ) | 13.85 | 29.68% | 1,435 | 1.01% | 0.90% | 0.57% | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.71 | 0.09 | 1.58 | 1.67 | (0.11 | ) | - | - | (0.11 | ) | 11.27 | 17.22% | 431 | 1.01% | 0.90% | 0.92% | ||||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | 0.05 | (0.28 | ) | (0.23 | ) | (0.06 | ) | - | (0.00 | )d | (0.06 | ) | 9.71 | (2.32% | )b | 127 | 1.21% | a | 0.90% | a | 0.80% | a |
Year ended December 31 | Period ended December 31, 2015b | |||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||
Portfolio turnover rate | 172 | % | 102 | % | 63 | % | 90 | % | 39 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
111
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML High Yield Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 9.07 | $ | 0.57 | $ | 0.52 | $ | 1.09 | $ | (0.59 | ) | $ | - | $ | - | $ | (0.59 | ) | $ | 9.57 | 12.25% | $ | 86,651 | 0.88% | 0.80% | 5.98% | ||||||||||||||||||||||||||||||
12/31/18 | 10.01 | 0.62 | (0.94 | ) | (0.32 | ) | (0.62 | ) | - | (0.00 | )d | (0.62 | ) | 9.07 | (3.40% | ) | 79,542 | 0.85% | 0.75% | 6.29% | ||||||||||||||||||||||||||||||||||||
12/31/17 | 9.93 | 0.69 | 0.11 | 0.80 | (0.67 | ) | - | (0.05 | ) | (0.72 | ) | 10.01 | 8.22% | 95,599 | 0.84% | 0.74% | 6.71% | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.17 | 0.71 | 0.76 | 1.47 | (0.71 | ) | - | - | (0.71 | ) | 9.93 | 16.48% | 95,180 | 0.84% | 0.74% | 7.42% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 9.98 | 0.65 | (0.74 | ) | (0.09 | ) | (0.66 | ) | (0.06 | ) | (0.00 | )d | (0.72 | ) | 9.17 | (1.13% | ) | 113,880 | 0.83% | 0.71% | 6.56% | |||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 9.04 | $ | 0.54 | $ | 0.52 | $ | 1.06 | $ | (0.57 | ) | $ | - | $ | - | $ | (0.57 | ) | $ | 9.53 | 11.86% | $ | 47,405 | 1.13% | 1.05% | 5.73% | ||||||||||||||||||||||||||||||
12/31/18 | 9.97 | 0.59 | (0.92 | ) | (0.33 | ) | (0.60 | ) | - | (0.00 | )d | (0.60 | ) | 9.04 | (3.54% | ) | 39,983 | 1.10% | 1.00% | 6.04% | ||||||||||||||||||||||||||||||||||||
12/31/17 | 9.90 | 0.66 | 0.11 | 0.77 | (0.66 | ) | - | (0.04 | ) | (0.70 | ) | 9.97 | 7.88% | 38,967 | 1.09% | 0.99% | 6.45% | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.14 | 0.69 | 0.75 | 1.44 | (0.68 | ) | - | - | (0.68 | ) | 9.90 | 16.25% | 30,946 | 1.09% | 0.99% | 7.19% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 9.95 | 0.62 | (0.73 | ) | (0.11 | ) | (0.64 | ) | (0.06 | ) | (0.00 | )d | (0.70 | ) | 9.14 | (1.39% | ) | 26,416 | 1.08% | 0.97% | 6.31% |
Year ended December 31 | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Portfolio turnover rate | 54 | % | 39 | % | 63 | % | 59 | % | 70 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
112
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Inflation-Protected and Income Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets (including Interest Expense)p | Ratio of expenses to average daily net assets (excluding Interest Expense) | Net investment income (loss) to average daily net assets (including Interest Expense)p | |||||||||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 9.72 | $ | 0.23 | $ | 0.58 | $ | 0.81 | $ | (0.25 | ) | $ | - | $ | - | $ | (0.25 | ) | $ | 10.28 | 8.31% | $ | 314,261 | 2.34% | 0.60% | 2.29% | ||||||||||||||||||||||||||||||
12/31/18 | 10.16 | 0.30 | (0.43 | ) | (0.13 | ) | (0.31 | ) | - | - | (0.31 | ) | 9.72 | (1.29% | ) | 311,927 | 2.08% | 0.60% | 2.97% | |||||||||||||||||||||||||||||||||||||
12/31/17 | 10.18 | 0.24 | 0.08 | 0.32 | (0.28 | ) | - | (0.06 | ) | (0.34 | ) | 10.16 | 3.21% | 377,984 | 1.50% | 0.59% | 2.33% | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.92 | 0.21 | 0.30 | 0.51 | (0.25 | ) | - | - | (0.25 | ) | 10.18 | 5.10% | 375,135 | 1.13% | 0.60% | 2.00% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 10.18 | 0.06 | (0.20 | ) | (0.14 | ) | (0.12 | ) | - | - | (0.12 | ) | 9.92 | (1.41% | ) | 380,221 | 0.84% | 0.59% | 0.58% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 9.68 | $ | 0.20 | $ | 0.58 | $ | 0.78 | $ | (0.23 | ) | $ | - | $ | - | $ | (0.23 | ) | $ | 10.23 | 8.05% | $ | 43,237 | 2.59% | 0.85% | 2.02% | ||||||||||||||||||||||||||||||
12/31/18 | 10.12 | 0.27 | (0.42 | ) | (0.15 | ) | (0.29 | ) | - | - | (0.29 | ) | 9.68 | (1.54% | ) | 41,379 | 2.33% | 0.85% | 2.72% | |||||||||||||||||||||||||||||||||||||
12/31/17 | 10.14 | 0.21 | 0.09 | 0.30 | (0.26 | ) | - | (0.06 | ) | (0.32 | ) | 10.12 | 2.96% | 46,104 | 1.75% | 0.84% | 2.08% | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.87 | 0.18 | 0.31 | 0.49 | (0.22 | ) | - | - | (0.22 | ) | 10.14 | 4.90% | 47,025 | 1.38% | 0.85% | 1.77% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 10.14 | 0.03 | (0.20 | ) | (0.17 | ) | (0.10 | ) | - | - | (0.10 | ) | 9.87 | (1.65% | ) | 47,818 | 1.09% | 0.84% | 0.33% |
Year ended December 31 | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Portfolio turnover rate | 44 | % | 51 | % | 34 | % | 41 | % | 50 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
p | Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses in the Statements of Operations. Income earned on investing proceeds from reverse repurchase agreements is included in interest income in the Statements of Operations. |
The accompanying notes are an integral part of the financial statements.
113
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Short-Duration Bond Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 9.59 | $ | 0.29 | $ | 0.13 | $ | 0.42 | $ | (0.32 | ) | $ | - | $ | - | $ | (0.32 | ) | $ | 9.69 | 4.45% | $ | 171,740 | 0.57% | 0.57% | k | 3.00% | |||||||||||||||||||||||||||||
12/31/18 | 9.73 | 0.26 | (0.11 | ) | 0.15 | (0.29 | ) | - | - | (0.29 | ) | 9.59 | 1.53% | 172,577 | 0.56% | 0.55% | 2.66% | |||||||||||||||||||||||||||||||||||||||
12/31/17 | 9.75 | 0.20 | 0.05 | 0.25 | (0.27 | ) | - | | (0.00 | )d | (0.27 | ) | 9.73 | 2.55% | 213,602 | 0.55% | 0.55% | k | 2.08% | |||||||||||||||||||||||||||||||||||||
12/31/16 | 9.70 | 0.18 | 0.09 | 0.27 | (0.22 | ) | - | - | (0.22 | ) | 9.75 | 2.80% | 203,294 | 0.56% | 0.55% | 1.84% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 9.84 | 0.17 | (0.08 | ) | 0.09 | (0.23 | ) | - | - | (0.23 | ) | 9.70 | 0.93% | 155,210 | 0.55% | 0.55% | k | 1.73% | ||||||||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 9.58 | $ | 0.27 | $ | 0.13 | $ | 0.40 | $ | (0.30 | ) | $ | - | $ | - | $ | (0.30 | ) | $ | 9.68 | 4.17% | $ | 36,270 | 0.82% | 0.82% | k | 2.76% | |||||||||||||||||||||||||||||
12/31/18 | 9.72 | 0.23 | (0.11 | ) | 0.12 | (0.26 | ) | - | - | (0.26 | ) | 9.58 | 1.29% | 30,686 | 0.81% | 0.80% | 2.42% | |||||||||||||||||||||||||||||||||||||||
12/31/17 | 9.74 | 0.18 | 0.04 | 0.22 | (0.24 | ) | - | (0.00 | )d | (0.24 | ) | 9.72 | 2.29% | 30,951 | 0.80% | 0.80% | k | 1.83% | ||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.69 | 0.16 | 0.09 | 0.25 | (0.20 | ) | - | - | (0.20 | ) | 9.74 | 2.55% | 31,787 | 0.81% | 0.80% | 1.60% | ||||||||||||||||||||||||||||||||||||||||
12/31/15 | 9.83 | 0.15 | (0.08 | ) | 0.07 | (0.21 | ) | - | - | (0.21 | ) | 9.69 | 0.68% | 24,101 | 0.80% | 0.80% | k | 1.48% |
Year ended December 31 | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Portfolio turnover rate | 53 | % | 54 | % | 51 | % | 96 | % | 51 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
k | Amount waived had no impact on the ratio of expenses to average daily net assets. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
114
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Small Cap Equity Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Initial Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 8.17 | $ | 0.07 | $ | 1.96 | $ | 2.03 | $ | (0.05 | ) | $ | (0.81 | ) | $ | (0.86 | ) | $ | 9.34 | 26.46 | % | $ | 94,712 | 0.74 | % | 0.79 | % | |||||||||||||||||||||
12/31/18 | 10.30 | 0.07 | (0.82 | ) | (0.75 | ) | (0.05 | ) | (1.33 | ) | (1.38 | ) | 8.17 | (10.19 | %) | 82,609 | 0.71 | % | 0.66 | % | ||||||||||||||||||||||||||||
12/31/17 | 9.45 | 0.06 | 1.27 | 1.33 | (0.09 | ) | (0.39 | ) | (0.48 | ) | 10.30 | 14.37 | % | 102,033 | 0.71 | % | 0.64 | % | ||||||||||||||||||||||||||||||
12/31/16 | 8.27 | 0.10 | 1.37 | 1.47 | (0.09 | ) | (0.20 | ) | (0.29 | ) | 9.45 | 18.21 | % | 97,747 | 0.72 | % | 1.21 | % | ||||||||||||||||||||||||||||||
12/31/15 | 10.64 | 0.09 | (0.73 | ) | (0.64 | ) | (0.09 | ) | (1.64 | ) | (1.73 | ) | 8.27 | (5.63 | %) | 89,557 | 0.71 | % | 0.89 | % | ||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 8.01 | $ | 0.05 | $ | 1.91 | $ | 1.96 | $ | (0.02 | ) | $ | (0.81 | ) | $ | (0.83 | ) | $ | 9.14 | 26.15 | % | $ | 22,695 | 0.99 | % | 0.54 | % | |||||||||||||||||||||
12/31/18 | 10.13 | 0.04 | (0.80 | ) | (0.76 | ) | (0.03 | ) | (1.33 | ) | (1.36 | ) | 8.01 | (10.41 | %) | 18,425 | 0.96 | % | 0.41 | % | ||||||||||||||||||||||||||||
12/31/17 | 9.31 | 0.04 | 1.24 | 1.28 | (0.07 | ) | (0.39 | ) | (0.46 | ) | 10.13 | 14.08 | % | 17,644 | 0.96 | % | 0.40 | % | ||||||||||||||||||||||||||||||
12/31/16 | 8.15 | 0.08 | 1.35 | 1.43 | (0.07 | ) | (0.20 | ) | (0.27 | ) | 9.31 | 17.92 | % | 13,279 | 0.97 | % | 0.96 | % | ||||||||||||||||||||||||||||||
12/31/15 | 10.52 | 0.06 | (0.72 | ) | (0.66 | ) | (0.07 | ) | (1.64 | ) | (1.71 | ) | 8.15 | (5.87 | %) | 11,155 | 0.96 | % | 0.67 | % |
Year ended December 31 | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Portfolio turnover rate | 27 | % | 50 | % | 47 | % | 63 | % | 40 | % |
c | Per share amount calculated on the average shares method. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
115
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Special Situations Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Tax return of capital | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 10.51 | $ | 0.02 | $ | 2.47 | $ | 2.49 | $ | (0.02 | ) | $ | - | $ | - | $ | (0.02 | ) | $ | 12.98 | 23.68% | $ | 27,196 | 1.05% | 1.01% | 0.16% | ||||||||||||||||||||||||||||||
12/31/18 | 11.52 | 0.07 | (0.62 | ) | (0.55 | ) | (0.06 | ) | (0.40 | ) | - | (0.46 | ) | 10.51 | (4.83% | ) | 21,976 | 0.94% | 0.80% | 0.55% | ||||||||||||||||||||||||||||||||||||
12/31/17 | 9.71 | 0.01 | 1.82 | 1.83 | (0.02 | ) | - | - | (0.02 | ) | 11.52 | 18.82% | 23,093 | 0.94% | 0.80% | 0.13% | ||||||||||||||||||||||||||||||||||||||||
12/31/16 | 8.43 | 0.04 | 1.30 | 1.34 | (0.04 | ) | - | (0.02 | ) | (0.06 | ) | 9.71 | 15.84% | 19,441 | 0.93% | 0.80% | 0.43% | |||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | (0.00 | )d | (1.57 | ) | (1.57 | ) | - | - | (0.00 | )d | (0.00 | )d | 8.43 | (15.67% | )b | 16,776 | 1.13% | a | 0.80% | a | (0.07% | )a | |||||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 10.47 | $ | (0.01 | ) | $ | 2.47 | $ | 2.46 | $ | - | $ | - | $ | - | $ | - | $ | 12.93 | 23.50% | $ | 971 | 1.30% | 1.26% | (0.09% | ) | ||||||||||||||||||||||||||||||
12/31/18 | 11.49 | 0.03 | (0.61 | ) | (0.58 | ) | (0.04 | ) | (0.40 | ) | - | (0.44 | ) | 10.47 | (5.13% | ) | 752 | 1.19% | 1.05% | 0.29% | ||||||||||||||||||||||||||||||||||||
12/31/17 | 9.69 | (0.01 | ) | 1.81 | 1.80 | - | - | - | - | 11.49 | 18.58% | 601 | 1.19% | 1.05% | (0.13% | ) | ||||||||||||||||||||||||||||||||||||||||
12/31/16 | 8.42 | 0.02 | 1.29 | 1.31 | (0.03 | ) | - | (0.01 | ) | (0.04 | ) | 9.69 | 15.54% | 359 | 1.18% | 1.05% | 0.18% | |||||||||||||||||||||||||||||||||||||||
12/31/15g | 10.00 | (0.02 | ) | (1.56 | ) | (1.58 | ) | - | - | - | - | 8.42 | (15.80% | )b | 183 | 1.38% | a | 1.05% | a | (0.30% | )a |
Year ended December 31 | Period ended December 31, 2015b | |||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||
Portfolio turnover rate | 62 | % | 33 | % | 48 | % | 74 | % | 87 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period May 15, 2015 (commencement of operations) through December 31, 2015. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
116
Table of Contents
MML Series Investment Fund II – Financial Statements(Continued)
Financial Highlights(For a share outstanding throughout each period)
MML Strategic Emerging Markets Fund
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total returnm | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Class II |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 10.12 | $ | 0.05 | $ | 2.53 | $ | 2.58 | $ | (0.03 | ) | $ | (0.03 | ) | $ | 12.67 | 25.53% | $ | 125,192 | 1.33% | 1.29% | 0.45% | ||||||||||||||||||||||||||
12/31/18 | 11.57 | 0.05 | (1.48 | ) | (1.43 | ) | (0.02 | ) | (0.02 | ) | 10.12 | (12.40% | ) | 112,363 | 1.57% | 1.35% | 0.41% | |||||||||||||||||||||||||||||||
12/31/17 | 8.64 | 0.02 | 2.92 | 2.94 | (0.01 | ) | (0.01 | ) | 11.57 | 34.02% | 95,374 | 1.50% | 1.37% | 0.23% | ||||||||||||||||||||||||||||||||||
12/31/16 | 8.15 | 0.02 | 0.51 | 0.53 | (0.04 | ) | (0.04 | ) | 8.64 | 6.49% | 86,289 | 1.50% | 1.40% | 0.29% | ||||||||||||||||||||||||||||||||||
12/31/15 | 9.63 | 0.03 | (1.41 | ) | (1.38 | ) | (0.10 | ) | (0.10 | ) | 8.15 | (14.23% | ) | 84,356 | 1.60% | 1.40% | 0.34% | |||||||||||||||||||||||||||||||
Service Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||
12/31/19 | $ | 10.13 | $ | 0.02 | $ | 2.53 | $ | 2.55 | $ | (0.00 | )d | $ | (0.00 | )d | $ | 12.68 | 25.18% | $ | 17,174 | 1.58% | 1.54% | 0.19% | ||||||||||||||||||||||||||
12/31/18 | 11.59 | 0.02 | (1.48 | ) | (1.46 | ) | - | - | 10.13 | (12.60% | ) | 14,089 | 1.82% | 1.60% | 0.15% | |||||||||||||||||||||||||||||||||
12/31/17 | 8.66 | (0.00 | )d | 2.93 | 2.93 | - | - | 11.59 | 33.83% | 14,758 | 1.75% | 1.62% | (0.04% | ) | ||||||||||||||||||||||||||||||||||
12/31/16 | 8.17 | 0.00 | d | 0.51 | 0.51 | (0.02 | ) | (0.02 | ) | 8.66 | 6.24% | 9,913 | 1.75% | 1.65% | 0.03% | |||||||||||||||||||||||||||||||||
12/31/15 | 9.65 | 0.01 | (1.41 | ) | (1.40 | ) | (0.08 | ) | (0.08 | ) | 8.17 | (14.46% | ) | 8,409 | 1.85% | 1.65% | 0.09% |
Year ended December 31 | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Portfolio turnover rate | 31 | % | 38 | % | 36 | % | 32 | % | 39 | % |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
m | Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. |
The accompanying notes are an integral part of the financial statements.
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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 anopen-end management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated February 8, 2005, which was amended and restated as of February 28, 2005 and December 15, 2011, as it may be further amended from time to time. The following are nine series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Asset Momentum Fund (“Asset Momentum Fund”)
MML Dynamic Bond Fund (“Dynamic Bond Fund”)
MML Equity Rotation Fund (“Equity Rotation Fund”)
MML High Yield Fund (“High Yield Fund”)
MML Inflation-Protected and Income Fund (“Inflation-Protected and Income Fund”)
MML Short-Duration Bond Fund (“Short-Duration Bond Fund”)
MML Small Cap Equity Fund (“Small Cap Equity Fund”)
MML Special Situations Fund (“Special Situations Fund”)
MML Strategic Emerging Markets Fund (“Strategic Emerging Markets Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, C.M. Life Insurance Company, and the MML Allocation Funds, which are “funds of funds” series of MML Series Investment Fund, anotheropen-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 securities in accordance with procedures approved annually by the Board of Trustees (“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.
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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 ofover-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such asinstitutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of otheropen-end mutual funds are valued at their closing net asset values as reported on each business day.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee1 in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.
1 | The voting members of the Valuation Committee consist of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO, Secretary, and Assistant Secretaries) of the Trust, as well as such other members as the Trustees may from time to time designate. Thenon-voting members of the Valuation Committee consist of the CCO, Secretary, and Assistant Secretaries. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general. |
119
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Notes to Financial Statements(Continued)
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 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
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
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Level 3 – significant unobservable inputs, to the extent observable inputs are not available (including the Funds’ own assumptions in determining the fair value of investments)
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 Levels.
In certain cases, the inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest Level input that is significant to the overall fair value measurement.
The Equity Rotation Fund, Small Cap Equity Fund, and Special Situations Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of December 31, 2019. For each Fund noted in the preceding sentence, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The following is the aggregate value by input level, as of December 31, 2019, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset Momentum Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 5,307,246 | $ | 2,605,354 | * | $ | - | $ | 7,912,600 | |||||||
U.S. Treasury Obligations | - | 7,963,109 | - | 7,963,109 | ||||||||||||
Mutual Funds | 17,560,649 | - | - | 17,560,649 | ||||||||||||
Short-Term Investments | - | 5,798,441 | - | 5,798,441 | ||||||||||||
Purchased Options | 160,000 | - | - | 160,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 23,027,895 | $ | 16,366,904 | $ | - | $ | 39,394,799 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 677,644 | $ | - | $ | - | $ | 677,644 | ||||||||
Forward Contracts | - | 1,731 | - | 1,731 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 677,644 | $ | 1,731 | $ | - | $ | 679,375 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Dynamic Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Bank Loans | $ | - | $ | 9,770,494 | $ | - | $ | 9,770,494 | ||||||||
Corporate Debt | - | 112,977,973 | - | 112,977,973 | ||||||||||||
Municipal Obligations | - | 455,410 | - | 455,410 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 92,151,851 | - | 92,151,851 | ||||||||||||
Sovereign Debt Obligations | - | 2,396,293 | - | 2,396,293 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 77,458,209 | - | 77,458,209 | ||||||||||||
U.S. Treasury Obligations | - | 99,395,331 | - | 99,395,331 | ||||||||||||
Mutual Funds | 1,196,038 | - | - | 1,196,038 | ||||||||||||
Short-Term Investments | - | 6,989,640 | - | 6,989,640 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,196,038 | $ | 401,595,201 | $ | - | $ | 402,791,239 | ||||||||
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|
|
|
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Level 1 | Level 2 | Level 3 | Total | |||||||||||||
High Yield Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 191,606 | $ | 294,378 | $ | - | +** | $ | 485,984 | |||||||
Preferred Stock | - | - | - | +** | - | |||||||||||
Bank Loans | - | 9,729,800 | - | 9,729,800 | ||||||||||||
Corporate Debt | - | 119,667,707 | - | 119,667,707 | ||||||||||||
Warrants | - | - | 790 | ** | 790 | |||||||||||
Mutual Funds | 9,065,018 | - | - | 9,065,018 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 9,256,624 | $ | 129,691,885 | $ | 790 | $ | 138,949,299 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 1,545,759 | $ | - | $ | 1,545,759 | ||||||||
Municipal Obligations | - | 52,380 | - | 52,380 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 175,272,782 | - | 175,272,782 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 5,131,273 | - | 5,131,273 | ||||||||||||
U.S. Treasury Obligations | - | 310,456,037 | - | 310,456,037 | ||||||||||||
Purchased Options | - | 1,908,090 | - | 1,908,090 | ||||||||||||
Short-Term Investments | - | 118,024,443 | - | 118,024,443 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 612,390,764 | $ | - | $ | 612,390,764 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 179,916 | $ | - | $ | - | $ | 179,916 | ||||||||
Swap Agreements | - | 684,023 | - | 684,023 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 179,916 | $ | 684,023 | $ | - | $ | 863,939 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (221,551 | ) | $ | - | $ | - | $ | (221,551 | ) | ||||||
Swap Agreements | - | (123,124 | ) | - | (123,124 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (221,551 | ) | $ | (123,124 | ) | $ | - | $ | (344,675 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 77,087,846 | $ | - | $ | 77,087,846 | ||||||||
Municipal Obligations | - | 466,500 | - | 466,500 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 113,861,950 | - | 113,861,950 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 3,977,468 | - | 3,977,468 | ||||||||||||
U.S. Treasury Obligations | - | 5,268,457 | - | 5,268,457 | ||||||||||||
Purchased Options | - | 1,470,122 | - | 1,470,122 | ||||||||||||
Mutual Funds | 827,725 | - | - | 827,725 | ||||||||||||
Short-Term Investments | - | 5,490,535 | - | 5,490,535 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 827,725 | $ | 207,622,878 | $ | - | $ | 208,450,603 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 497,588 | $ | - | $ | - | $ | 497,588 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (298,948 | ) | $ | - | $ | - | $ | (298,948 | ) | ||||||
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Notes to Financial Statements(Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Bermuda | $ | 2,718,047 | $ | 1,413,118 | $ | - | $ | 4,131,165 | ||||||||
Brazil | 1,993,194 | 2,795,811 | - | 4,789,005 | ||||||||||||
Cayman Islands | 19,214,225 | 12,548,310 | - | 31,762,535 | ||||||||||||
Chile | - | 1,276,456 | - | 1,276,456 | ||||||||||||
China | - | 6,913,409 | - | 6,913,409 | ||||||||||||
Colombia | 809,530 | - | - | 809,530 | ||||||||||||
Egypt | - | 812,485 | - | 812,485 | ||||||||||||
France | - | 8,095,842 | - | 8,095,842 | ||||||||||||
Hong Kong | - | 7,571,051 | - | 7,571,051 | ||||||||||||
India | - | 15,303,577 | - | 15,303,577 | ||||||||||||
Indonesia | - | 1,410,026 | - | 1,410,026 | ||||||||||||
Italy | - | 2,809,794 | - | 2,809,794 | ||||||||||||
Mexico | 10,066,960 | - | - | 10,066,960 | ||||||||||||
Netherlands | 1,558,247 | 7,531 | - | 1,565,778 | ||||||||||||
Philippines | - | 3,100,707 | - | 3,100,707 | ||||||||||||
Republic of Korea | - | 3,699,132 | - | 3,699,132 | ||||||||||||
Russia | 6,699 | 10,808,530 | - | 10,815,229 | ||||||||||||
South Africa | - | 3,338,400 | - | 3,338,400 | ||||||||||||
Taiwan | - | 7,619,236 | - | 7,619,236 | ||||||||||||
Thailand | 604,425 | - | - | 604,425 | ||||||||||||
Turkey | - | 1,893,258 | - | 1,893,258 | ||||||||||||
United Kingdom | - | 1,529,879 | - | 1,529,879 | ||||||||||||
United States | 4,229,325 | - | - | 4,229,325 | ||||||||||||
Preferred Stock* | ||||||||||||||||
Brazil | - | 2,405,916 | - | 2,405,916 | ||||||||||||
India | 38,400 | - | - | 38,400 | ||||||||||||
Singapore | - | - | 2,160,355 | 2,160,355 | ||||||||||||
Mutual Funds | 1,081,882 | - | - | 1,081,882 | ||||||||||||
Rights | - | 8,401 | - | 8,401 | ||||||||||||
Short-Term Investments | - | 3,177,619 | - | 3,177,619 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 42,320,934 | $ | 98,538,488 | $ | 2,160,355 | $ | 143,019,777 | ||||||||
|
|
|
|
|
|
|
|
* | 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 respective 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 end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended December 31, 2019 is not presented. |
+ | Represents a security at $0 value as of December 31, 2019. |
For certain Fund(s) the Statement of Assets and Liabilities show any applicable Fund(s) receivables from collateral pledged for reverse repurchase agreements and collateral pledged for open swap agreements, as well as, any applicable liabilities for investments purchased on a when-issued basis, collateral held for reverse repurchase agreements, collateral held for open purchased options, reverse repurchase agreements, amounts due to custodian, and collateral held for securities on loan. These amounts approximate fair value and would be categorized at Level 2 for each applicable Fund as of December 31, 2019.
The Funds, with the exception of the Dynamic Bond Fund, High Yield Fund, and Short-Duration Bond Fund, had no Level 3 transfers during the year ended December 31, 2019. The Dynamic Bond Fund, High Yield Fund, and Short-Duration Bond Fund had Level 3 transfers during the year ended December 31, 2019; however, none of the transfers individually or collectively had a material impact on the Dynamic Bond Fund, High Yield Fund, or Short-Duration Bond Fund.
123
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Notes to Financial Statements(Continued)
Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:
Asset Valuation Inputs
Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
Balance as of 12/31/18 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | (Sales) | Transfers into Level 3 | Transfers (out) of Level 3 | Balance as of 12/31/19 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 12/31/19 | |||||||||||||||||||||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||||||||||||||||||||||||||
Preferred Stock | $ | - | $ | - | $ | - | $ | - | $ | 2,160,355 | $ | - | $ | - | $ | - | $ | 2,160,355 | $ | - | ||||||||||||||||||||
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The Strategic Emerging Markets Fund fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments, but may include defaulted securities and new debt issuances. There may not be a secondary market for such investments, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Valuation Committee. Valuations are reviewed by members of the Valuation Committee utilizing available market information to determine if the carrying value of these investments should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment, also referred to as enterprise value (EV) to earnings before interest, taxes, depreciation, and amortization (EBITDA) ratios. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Strategic Emerging Markets Fund. All market variables are assessed on a regular frequency and calibrated as necessary.
Strategic Emerging Markets Fund | Fair Value Amount | Valuation | Unobservable Input Description | Value/ Weighted Average Range | ||||||||
Preferred Stock — $ 2,160,355 | ||||||||||||
Grab Holdings, Inc. | $ | 2,160,355 | Market Approach | Market Transaction | $ | 6.16 | ||||||
|
| |||||||||||
Total | $ | 2,160,355 | ||||||||||
|
|
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 the derivatives’ 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.
124
Table of Contents
Notes to Financial Statements(Continued)
At December 31, 2019, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Asset Momentum Fund | ||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||
Purchased Options* | $ | - | $ | 160,000 | $ | - | $ | - | $ | 160,000 | ||||||||||
Forward Contracts* | - | - | 1,731 | - | 1,731 | |||||||||||||||
Futures Contracts^^ | - | 677,644 | - | - | 677,644 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | 837,644 | $ | 1,731 | $ | - | $ | 839,375 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# |
| |||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | (97,627 | ) | $ | - | $ | (97,627 | ) | ||||||||
Futures Contracts | - | 3,455,796 | - | - | 3,455,796 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | - | $ | 3,455,796 | $ | (97,627 | ) | $ | - | $ | 3,358,169 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## |
| |||||||||||||||||||
Purchased Options | $ | - | $ | 96,000 | $ | - | $ | - | $ | 96,000 | ||||||||||
Forward Contracts | - | - | 132,180 | - | 132,180 | |||||||||||||||
Futures Contracts | - | 1,989,531 | - | - | 1,989,531 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | - | $ | 2,085,531 | $ | 132,180 | $ | - | $ | 2,217,711 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Equity Rotation Fund | ||||||||||||||||||||
Realized Gain (Loss)# |
| |||||||||||||||||||
Futures Contracts | $ | - | $ | (69,502 | ) | $ | - | $ | - | $ | (69,502 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||
Asset Derivatives |
| |||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 1,908,090 | $ | 1,908,090 | ||||||||||
Futures Contracts^^ | - | - | - | 179,916 | 179,916 | |||||||||||||||
Swap Agreements* | - | - | - | 320,649 | 320,649 | |||||||||||||||
Swap Agreements^^,^^^ | - | - | - | 363,374 | 363,374 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | 2,772,029 | $ | 2,772,029 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives |
| |||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (221,551 | ) | $ | (221,551 | ) | ||||||||
Swap Agreements^ | - | - | - | (123,124 | ) | (123,124 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | (344,675 | ) | $ | (344,675 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# |
| |||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 304,673 | $ | 304,673 | ||||||||||
Futures Contracts | - | - | - | (481,644 | ) | (481,644 | ) | |||||||||||||
Swap Agreements | (80,626 | ) | - | - | (422,831 | ) | (503,457 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (80,626 | ) | $ | - | $ | - | $ | (599,802 | ) | $ | (680,428 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## |
| |||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (385,723 | ) | $ | (385,723 | ) | ||||||||
Futures Contracts | - | - | - | 29,214 | 29,214 | |||||||||||||||
Swap Agreements | 278,186 | - | - | 1,188,170 | 1,466,356 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | 278,186 | $ | - | $ | - | $ | 831,661 | $ | 1,109,847 | ||||||||||
|
|
|
|
|
|
|
|
|
|
125
Table of Contents
Notes to Financial Statements(Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 1,470,122 | $ | 1,470,122 | ||||||||||
Futures Contracts^^ | - | - | - | 497,588 | 497,588 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | 1,967,710 | $ | 1,967,710 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (298,948 | ) | $ | (298,948 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 248,369 | $ | 248,369 | ||||||||||
Futures Contracts | - | - | - | (2,436,535 | ) | (2,436,535 | ) | |||||||||||||
Swap Agreements | (28,334 | ) | - | - | (29,102 | ) | (57,436 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (28,334 | ) | $ | - | $ | - | $ | (2,217,268 | ) | $ | (2,245,602 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (297,943 | ) | $ | (297,943 | ) | ||||||||
Futures Contracts | - | - | - | 915,716 | 915,716 | |||||||||||||||
Swap Agreements | 109,150 | - | - | - | 109,150 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | 109,150 | $ | - | $ | - | $ | 617,773 | $ | 726,923 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Special Situations Fund | ||||||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | (48,985 | ) | $ | - | $ | - | $ | (48,985 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Forward Contracts | $ | - | $ | - | $ | 65 | $ | - | $ | 65 | ||||||||||
|
|
|
|
|
|
|
|
|
|
* | Statements of Assets and Liabilities location: Investments, at value, or Receivables from: open forward contracts or open swap agreements, at value, as applicable. |
^ | Statements of Assets and Liabilities location: Payables for: open swap agreements, at value. |
^^ | Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” in each applicable Fund’s Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
^^^ | Represents centrally cleared swaps, which are not subject to a master netting agreement or similar agreement. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, forward contracts, futures contracts, or swap agreements, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, forward contracts, futures contracts, or swap agreements, as applicable. |
126
Table of Contents
Notes to Financial Statements(Continued)
For the year ended December 31, 2019, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:
Number of Contracts, Notional Amounts, or Shares/Units† | ||||||||||||||||||||
Futures Contracts | Forward Contracts | Swap Agreements | Purchased Options | Purchased Swaptions | ||||||||||||||||
Asset Momentum Fund | 145 | $ | 2,917,148 | $ | - | 3,200 | $ | - | ||||||||||||
Equity Rotation Fund | 13 | - | - | - | - | |||||||||||||||
Inflation-Protected and Income Fund | 97 | - | 96,406,667 | - | 49,363,750 | |||||||||||||||
Short-Duration Bond Fund | 1,025 | - | 1,331,429 | - | 37,727,500 | |||||||||||||||
Special Situations Fund | 19 | - | - | - | - | |||||||||||||||
Strategic Emerging Markets Fund | - | 6,281 | - | - | - |
† | Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, and purchased swaptions, or shares/units outstanding for purchased options, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended December 31, 2019. |
The Portfolio of Investments included in a Fund’s financial statements shows the assets or liabilities of a Fund associated with individual derivatives transactions. The terms of many of those transactions contemplate that derivatives receivables and payables between the same two parties may be netted and that the parties will collateralize certain obligations. The following tables provide an illustration of the possible effect of netting provisions and of collateral (delivered or received) on a Fund’s derivatives exposure as of December 31, 2019. Netting arrangements vary among different counterparties, and the actual disposition of derivatives receivables and payables, and of collateral, in a bankruptcy or insolvency can be complicated and difficult to predict.
The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”) or similar agreement and net of the related collateral received by the Fund(s) as of December 31, 2019.
Asset Valuation Inputs
Counterparty | Derivative Assets Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Received*** | Net Amount* | ||||||||||||
Asset Momentum Fund | ||||||||||||||||
HSBC Bank USA | $ | 1,731 | $ | - | $ | - | $ | 1,731 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Bank of America N.A. | $ | 52,962 | $ | (52,962 | ) | $ | - | $ | - | |||||||
Barclays Bank PLC | 1,245,493 | - | (1,245,493 | ) | - | |||||||||||
Credit Suisse International | 662,597 | - | (662,597 | ) | - | |||||||||||
Goldman Sachs International | 267,687 | - | (259,803 | ) | 7,884 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 2,228,739 | $ | (52,962 | ) | $ | (2,167,893 | ) | $ | 7,884 | |||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund | ||||||||||||||||
Barclays Bank PLC | $ | 702,697 | $ | - | $ | (700,000 | ) | $ | 2,697 | |||||||
Credit Suisse International | 767,425 | - | (767,425 | ) | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,470,122 | $ | - | $ | (1,467,425 | ) | $ | 2,697 | ||||||||
|
|
|
|
|
|
|
|
127
Table of Contents
Notes to Financial Statements(Continued)
The following table presents derivative liabilities by counterparty net of amounts available for offset under an MNA or similar agreement and net of the related collateral pledged by the Fund(s) as of December 31, 2019.
Liability Valuation Inputs
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Pledged*** | Net Amount** | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Bank of America N.A. | $ | (123,124) | $ | 52,962 | $ | 70,162 | $ | - | ||||||||
|
|
|
|
|
|
|
|
* | Represents the net amount receivable from the counterparty in the event of default. |
** | Represents the net amount payable to the counterparty in the event of default. |
*** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
† | The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within an MNA or similar agreement. |
Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell,re-pledge, or use the collateral they receive.
Further details regarding the derivatives and other investments held by the Fund(s) during the year ended December 31, 2019, 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.
128
Table of Contents
Notes to Financial Statements(Continued)
A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
Futures Contracts
A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed income security, during a specified future period at a specified price. A Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.
Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Swap Agreements
Swap agreements are typicallytwo-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
129
Table of Contents
Notes to Financial Statements(Continued)
of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment and 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 benon-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 aremarked-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
130
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Notes to Financial Statements(Continued)
for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
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 putandcall 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 putandcall 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.
Exchange Traded Options.Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.
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 aso-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 benon-transferable, others may be tradedover-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.
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The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities may cause a potential cash flow mismatch to investors, because an increase in the principal amount of an inflation-linked security will be treated as interest income currently subject to tax at ordinary income rates even though investors will not receive repayment of principal until maturity. If a Fund invests in such securities, it will be required to distribute such interest income in order to qualify for treatment as a regulated investment company and eliminate the Fund-level tax, without a corresponding receipt of cash, and therefore may be required to dispose of portfolio securities at a time when it may not be advantageous to do so in order to make such distributions.
Bank Loans
A Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.
Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.
At December 31, 2019, the Funds had no unfunded loan commitments.
Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.
Reverse Repurchase Agreements
Each Fund may enter into reverse repurchase agreements with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date at a fixed price (typically equal to the original sale price plus interest). During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the purchase price received by it from the counterparty.
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Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements generally create investment leverage and involve the risk that the market value of the security that a Fund is obligated to repurchase under the agreement may decline below the repurchase price. For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for a security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.
Reverse repurchase transactions are entered into by a Fund under a Master Repurchase Agreement (“MRA”), which permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and creates one single net payment due to or from the Fund. With reverse repurchase transactions, typically a Fund and the counterparties are permitted to sell,re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
In the event the buyer of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.
The following table is a summary of the Fund(s) open reverse repurchase transactions which are subject to an MRA or a similar agreement on a net basis at December 31, 2019:
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral* | Cash Collateral Pledged* | Net Amount | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
BNP Paribas S.A. | $ | (62,699,000 | ) | $ | 62,699,000 | $ | - | $ | - | |||||||
CIBC | (47,250,950 | ) | 47,250,950 | |||||||||||||
Daiwa Securities | (53,363,750 | ) | 53,363,750 | - | - | |||||||||||
HSBC Bank USA | (58,978,529 | ) | 58,978,529 | - | - | |||||||||||
Morgan Stanley & Co. LLC | (37,305,000 | ) | 37,305,000 | - | - | |||||||||||
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$ | (259,597,229 | ) | $ | 259,597,229 | $ | - | $ | - | ||||||||
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* | Collateral with a value of $265,210,445 has been pledged in connection with open reverse repurchase transactions. Excess collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
During the year ended December 31, 2019, the average balance outstanding for open reverse repurchase agreements for the Inflation-Protected and Income Fund was $252,237,628. The maximum balance outstanding for the Inflation-Protected and Income Fund was $268,456,805 during the year ended December 31, 2019. The weighted average maturity was 51 days, at a weighted average interest rate of 2.491%.
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.
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The type of underlying collateral and the remaining maturity of open reverse repurchase transactions in relation to the reverse repurchase agreements on the Statements of Assets and Liabilities is as follows:
Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||
Overnight and Continuous | Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||
U.S. Treasury Obligations | $ | - | $ | 100,614,700 | $ | 158,982,529 | $ | - | $ | 259,597,229 | ||||||||||
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Total Borrowings | $ | - | $ | 100,614,700 | $ | 158,982,529 | $ | - | $ | 259,597,229 | ||||||||||
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When-Issued, Delayed-Delivery, Forward Commitment, andTo-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, orto-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 asinstitutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Securities Lending
Each Fund may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“Agent”). The Lending Agreement authorizes the Agent to lend portfolio securities held by a Fund to approved borrowers (each, a “Borrower”).
Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash (U.S. currency) and/or securities (U.S. Treasury and Agency obligations) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At December 31, 2019, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.
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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.
The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. Income received by the Funds in securities lending transactions during the year ended December 31, 2019, is reflected as securities lending income on the Statement of Operations.
Accounting for Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and realized capital gain distributions are recorded on theex-dividend date.Non-cash dividends received in the form of stock are recorded as dividend income at market value. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on theex-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 gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets or another alternative method.
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.
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Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income are declared and paid quarterly for the Dynamic Bond Fund, High Yield Fund, Inflation-Protected and Income Fund, and Short-Duration Bond Fund and annually for the Asset Momentum Fund, Equity Rotation Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets Fund and at other times as may be required to satisfy tax or regulatory requirements. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on theex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
3. Advisory Fees and Other Transactions
Investment Advisory Fees and Investment Subadvisers
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
Fund | Investment Advisory Fee | |
Asset Momentum Fund | 0.60% on the first $500 million; and | |
0.55% on any excess over $500 million | ||
Dynamic Bond Fund | 0.40% on the first $1 billion; and | |
0.35% on any excess over $1 billion | ||
Equity Rotation Fund | 0.45% on the first $500 million; and | |
0.40% on any excess over $500 million | ||
High Yield Fund | 0.60% on the first $300 million; and | |
0.575% on any excess over $300 million | ||
Inflation-Protected and Income Fund | 0.60% on the first $100 million; | |
0.55% on the next $200 million; | ||
0.50% on the next $200 million; and | ||
0.45% on any excess over $500 million | ||
Short-Duration Bond Fund | 0.35% on the first $300 million; and | |
0.30% on any excess over $300 million | ||
Small Cap Equity Fund | 0.65% on the first $100 million; | |
0.60% on the next $100 million; | ||
0.55% on the next $300 million; and | ||
0.50% on any excess over $500 million | ||
Special Situations Fund | 0.60% on the first $500 million; and | |
0.55% on any excess over $500 million | ||
Strategic Emerging Markets Fund | 1.05% on the first $500 million; and | |
1.00% on any excess over $500 million |
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MML Advisers has entered into investment subadvisory agreements with Barings LLC (“Barings”), a wholly-owned subsidiary of MM Asset Management Holding LLC, itself a wholly-owned subsidiary of MassMutual Holding LLC, a controlled subsidiary of MassMutual, on behalf of certain Funds. These agreements provide that Barings manage the investment and reinvestment of assets of these Funds. Barings receives a subadvisory fee from MML Advisers based upon each Fund’s average daily net assets, at the following annual rates:
Asset Momentum Fund | 0.475% | |
Equity Rotation Fund | 0.30% | |
High Yield Fund | 0.20% | |
Inflation-Protected and Income Fund | 0.08% | |
Short-Duration Bond Fund | 0.08% | |
Special Situations Fund | 0.45% |
Effective at the close of business on May 24, 2019, Invesco Advisers, Inc. (“Invesco”), replaced OppenheimerFunds, Inc. (“OFI”), a wholly-owned subsidiary of Oppenheimer Acquisition Corp., itself an indirect majority-owned subsidiary of MassMutual Holding LLC, as subadviser to the Small Cap Equity Fund and the Strategic Emerging Markets Fund. MML Advisers has entered into investment subadvisory agreements with Invesco, pursuant to which Invesco serves as the subadviser to each Fund. These agreements provide that Invesco manage the investment and reinvestment of the assets of each Fund. Invesco receives a subadvisory fee from MML Advisers, based upon the average daily net assets of each Fund.
Prior to the close of business on May 24, 2019, MML Advisers had entered into investment subadvisory agreements with OFI on behalf of the Small Cap Equity Fund and the Strategic Emerging Markets Fund. These agreements provided that OFI manage the investment and reinvestment of the assets of the Funds. OFI received a subadvisory fee from MML Advisers, based upon each Fund’s average daily net assets, at the following annual rates:
Small Cap Equity Fund | 0.25% | |
Strategic Emerging Markets Fund | 0.70% |
MML Advisers has entered into an investment subadvisory agreement with the unaffiliated investment subadviser, DoubleLine Capital, LP (“DoubleLine”), pursuant to which DoubleLine serves as the subadviser to the Dynamic Bond Fund. This agreement provides that DoubleLine manage the investment and reinvestment of the assets of the Fund. DoubleLine receives a subadvisory fee from MassMutual based upon the average daily net assets of the Fund.
The Funds’ subadvisory fees are paid monthly by MML Advisers out of the advisory fees previously disclosed above.
Administration Fees
For the Asset Momentum Fund, Dynamic Bond Fund, Equity Rotation Fund, High Yield Fund, Short-Duration Bond Fund, Special Situations Fund, and Strategic Emerging Markets Fund, under a separate Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide administrative and shareholder services and bear some of the Fund specific administrative expenses. In return for these services, MML Advisers receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:
Class II | Service Class I | |||
Asset Momentum Fund | 0.15% | 0.15% | ||
Dynamic Bond Fund | 0.15% | 0.15% | ||
Equity Rotation Fund | 0.15% | 0.15% | ||
High Yield Fund | 0.15% | 0.15% | ||
Short-Duration Bond Fund | 0.15% | 0.15% | ||
Special Situations Fund | 0.15% | 0.15% | ||
Strategic Emerging Markets Fund | 0.15% | 0.15% |
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Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares and Service Class I shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares and Service Class I shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares or Service Class I shares, as applicable, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class and Service Class I shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Expense Caps and Waivers
MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) based upon the average daily net assets of the applicable class of shares of the Fund, as follows:
Class II | Service Class I | |||||||
Strategic Emerging Markets Fund* | 1.35% | 1.60% |
# | Acquired Fund Fees and Expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
* | Expense caps in effect through April 30, 2020. |
Prior to May 1, 2019, MML Advisers agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:
Class II | Service Class I | |||||||
Asset Momentum Fund | 0.80% | 1.05% | ||||||
Dynamic Bond Fund | 0.60% | 0.85% | ||||||
Equity Rotation Fund | 0.65% | 0.90% | ||||||
Short-Duration Bond Fund | 0.55% | 0.80% | ||||||
Special Situations Fund | 0.80% | 1.05% |
# | Acquired Fund Fees and Expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
MML Advisers waived 0.10% of the advisory fee of the High Yield Fund through April 30, 2019. Effective May 1, 2019, MML Advisers has agreed to waive 0.07% of the advisory fee of the High Yield Fund through April 30, 2020.
MML Advisers has agreed to voluntarily waive 0.04% of the advisory fee of the Strategic Emerging Markets Fund. MML Advisers may amend or discontinue this waiver at any time without advance notice.
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
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Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended December 31, 2019, were as follows:
Purchases | Sales | |||||||||||||||
Long-Term U.S. Government Securities | Other Long-Term Securities | Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||||||||
Asset Momentum Fund | $ | 7,955,781 | $ | 888,179 | $ | 3,000,000 | $ | 2 | ||||||||
Dynamic Bond Fund | 124,422,236 | 92,386,488 | 144,758,595 | 116,554,231 | ||||||||||||
Equity Rotation Fund | - | 53,446,037 | - | 50,937,840 | ||||||||||||
High Yield Fund | - | 74,383,337 | - | 65,681,878 | ||||||||||||
Inflation-Protected and Income Fund | 114,396,898 | 106,037,606 | 128,183,080 | 119,672,120 | ||||||||||||
Short-Duration Bond Fund | 11,952,554 | 93,446,697 | 8,177,170 | 100,852,687 | ||||||||||||
Small Cap Equity Fund | - | 29,871,742 | - | 36,544,091 | ||||||||||||
Special Situations Fund | - | 20,305,784 | - | 15,610,791 | ||||||||||||
Strategic Emerging Markets Fund | - | 42,110,318 | - | 54,441,678 |
The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.
Purchases | ||||
Small Cap Equity Fund | $ | 14,624 | ||
Strategic Emerging Markets Fund | 17,767 |
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Asset Momentum Fund Class II | ||||||||||||||||
Sold | - | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends | 137,816 | 1,657,921 | 246,853 | 2,557,803 | ||||||||||||
Redeemed | - | - | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 137,816 | $ | 1,657,921 | 246,853 | $ | 2,557,803 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Momentum Fund Service Class I | ||||||||||||||||
Sold | 15,169 | $ | 172,205 | 25,716 | $ | 309,067 | ||||||||||
Issued as reinvestment of dividends | 7,831 | 93,583 | 14,727 | 151,157 | ||||||||||||
Redeemed | (15,399 | ) | (165,192 | ) | (14,056 | ) | (169,101 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 7,601 | $ | 100,596 | 26,387 | $ | 291,123 | ||||||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements(Continued)
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Dynamic Bond Fund Class II | ||||||||||||||||
Sold | 2,486,863 | $ | 24,624,642 | 1,466,284 | $ | 14,480,002 | ||||||||||
Issued as reinvestment of dividends | 1,472,138 | 14,724,090 | 1,532,895 | 14,819,194 | ||||||||||||
Redeemed | (9,204,024 | ) | (91,908,615 | ) | (4,213,885 | ) | (40,820,214 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,245,023 | ) | $ | (52,559,883 | ) | (1,214,706 | ) | $ | (11,521,018 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Dynamic Bond Fund Service Class I | ||||||||||||||||
Sold | 400,531 | $ | 3,994,057 | 281,696 | $ | 2,740,006 | ||||||||||
Issued as reinvestment of dividends | 27,478 | 274,456 | 18,425 | 177,628 | ||||||||||||
Redeemed | (74,418 | ) | (741,412 | ) | (90,546 | ) | (881,343 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 353,591 | $ | 3,527,101 | 209,575 | $ | 2,036,291 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Rotation Fund Class II | ||||||||||||||||
Sold | - | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends | 57,537 | 657,606 | 347,932 | 4,188,659 | ||||||||||||
Redeemed | - | - | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 57,537 | $ | 657,606 | 347,932 | $ | 4,188,659 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Rotation Fund Service Class I | ||||||||||||||||
Sold | 13,914 | $ | 164,106 | 35,629 | $ | 484,337 | ||||||||||
Issued as reinvestment of dividends | 3,062 | 34,524 | 19,355 | 231,195 | ||||||||||||
Redeemed | (10,618 | ) | (125,525 | ) | (11,388 | ) | (153,245 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 6,358 | $ | 73,105 | 43,596 | $ | 562,287 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class II | ||||||||||||||||
Sold | 2,120,691 | $ | 20,335,685 | 431 | $ | 4,247 | ||||||||||
Issued as reinvestment of dividends | 538,310 | 5,130,049 | 591,969 | 5,687,310 | ||||||||||||
Redeemed | (2,371,349 | ) | (22,746,557 | ) | (1,375,346 | ) | (13,230,645 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 287,652 | $ | 2,719,177 | (782,946 | ) | $ | (7,539,088 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Service Class I | ||||||||||||||||
Sold | 920,037 | $ | 8,754,054 | 915,670 | $ | 8,967,463 | ||||||||||
Issued as reinvestment of dividends | 280,545 | 2,664,581 | 263,189 | 2,516,383 | ||||||||||||
Redeemed | (652,228 | ) | (6,205,127 | ) | (661,278 | ) | (6,448,888 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 548,354 | $ | 5,213,508 | 517,581 | $ | 5,034,958 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Initial Class | ||||||||||||||||
Sold | 3,300,920 | $ | 33,165,216 | 3,487,180 | $ | 34,922,361 | ||||||||||
Issued as reinvestment of dividends | 741,556 | 7,592,814 | 1,122,241 | 11,103,254 | ||||||||||||
Redeemed | (5,582,605 | ) | (56,660,183 | ) | (9,718,069 | ) | (95,970,153 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,540,129 | ) | $ | (15,902,153 | ) | (5,108,648 | ) | $ | (49,944,538 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Service Class | ||||||||||||||||
Sold | 649,088 | $ | 6,580,148 | 596,678 | $ | 5,917,708 | ||||||||||
Issued as reinvestment of dividends | 91,684 | 933,563 | 129,905 | 1,280,315 | ||||||||||||
Redeemed | (791,028 | ) | (7,981,423 | ) | (1,007,377 | ) | (9,932,312 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (50,256 | ) | $ | (467,712 | ) | (280,794 | ) | $ | (2,734,289 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class II | ||||||||||||||||
Sold | 2,432,078 | $ | 23,653,689 | 1,481,517 | $ | 14,402,901 | ||||||||||
Issued as reinvestment of dividends | 585,428 | 5,669,696 | 592,658 | 5,711,370 | ||||||||||||
Redeemed | (3,291,038 | ) | (31,928,114 | ) | (6,028,871 | ) | (58,363,103 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (273,532 | ) | $ | (2,604,729 | ) | (3,954,696 | ) | $ | (38,248,832 | ) | ||||||
|
|
|
|
|
|
|
|
141
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Notes to Financial Statements(Continued)
Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short-Duration Bond Fund Service Class I | ||||||||||||||||
Sold | 1,506,957 | $ | 14,628,910 | 1,226,437 | $ | 11,855,406 | ||||||||||
Issued as reinvestment of dividends | 101,973 | 986,511 | 85,713 | 824,955 | ||||||||||||
Redeemed | (1,066,207 | ) | (10,331,865 | ) | (1,292,508 | ) | (12,498,648 | ) | ||||||||
�� |
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 542,723 | $ | 5,283,556 | 19,642 | $ | 181,713 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Equity Fund Initial Class | ||||||||||||||||
Sold | 497,375 | $ | 4,508,334 | 405,551 | $ | 4,090,986 | ||||||||||
Issued as reinvestment of dividends | 1,011,971 | 8,162,126 | 1,219,087 | 12,792,106 | ||||||||||||
Redeemed | (1,482,987 | ) | (13,407,802 | ) | (1,420,496 | ) | (14,639,617 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 26,359 | $ | (737,342 | ) | 204,142 | $ | 2,243,475 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Equity Fund Service Class | ||||||||||||||||
Sold | 324,752 | $ | 2,884,498 | 551,091 | $ | 5,383,342 | ||||||||||
Issued as reinvestment of dividends | 242,830 | 1,918,740 | 249,416 | 2,569,206 | ||||||||||||
Redeemed | (385,124 | ) | (3,419,972 | ) | (242,579 | ) | (2,379,816 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 182,458 | $ | 1,383,266 | 557,928 | $ | 5,572,732 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Special Situations Fund Class II | ||||||||||||||||
Sold | - | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends | 3,024 | 38,829 | 86,549 | 930,068 | ||||||||||||
Redeemed | - | - | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,024 | $ | 38,829 | 86,549 | $ | 930,068 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Special Situations Fund Service Class I | ||||||||||||||||
Sold | 8,036 | $ | 100,115 | 26,412 | $ | 320,267 | ||||||||||
Issued as reinvestment of dividends | - | - | 2,702 | 28,951 | ||||||||||||
Redeemed | (4,760 | ) | (59,130 | ) | (9,618 | ) | (117,423 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,276 | $ | 40,985 | 19,496 | $ | 231,795 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class II | ||||||||||||||||
Sold | 1,341,680 | $ | 15,011,572 | 4,375,527 | $ | 49,023,980 | ||||||||||
Issued as reinvestment of dividends | 29,362 | 320,921 | 15,159 | 170,692 | ||||||||||||
Redeemed | (2,590,677 | ) | (29,799,334 | ) | (1,533,517 | ) | (17,272,281 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,219,635 | ) | $ | (14,466,841 | ) | 2,857,169 | $ | 31,922,391 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Service Class I | ||||||||||||||||
Sold | 199,744 | $ | 2,290,189 | 414,288 | $ | 4,680,720 | ||||||||||
Issued as reinvestment of dividends | 81 | 885 | - | - | ||||||||||||
Redeemed | (236,412 | ) | (2,732,199 | ) | (296,650 | ) | (3,363,088 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (36,587 | ) | $ | (441,125 | ) | 117,638 | $ | 1,317,632 | ||||||||
|
|
|
|
|
|
|
|
142
Table of Contents
Notes to Financial Statements(Continued)
6. | Federal Income Tax Information |
At December 31, 2019, 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 | $ | 35,744,420 | $ | 3,800,278 | $ | (149,899 | ) | $ | 3,650,379 | |||||||
Dynamic Bond Fund | 393,917,256 | 15,197,322 | (6,323,339 | ) | 8,873,983 | |||||||||||
Equity Rotation Fund | 28,991,518 | 4,929,537 | (370,694 | ) | 4,558,843 | |||||||||||
High Yield Fund | 141,239,663 | 5,780,546 | (8,070,910 | ) | (2,290,364 | ) | ||||||||||
Inflation-Protected and Income Fund | 602,758,317 | 11,357,666 | (1,725,219 | ) | 9,632,447 | |||||||||||
Short-Duration Bond Fund | 207,276,650 | 2,948,539 | (1,774,586 | ) | 1,173,953 | |||||||||||
Small Cap Equity Fund | 96,012,732 | 30,476,616 | (4,456,492 | ) | 26,020,124 | |||||||||||
Special Situations Fund | 22,841,798 | 7,011,847 | (1,635,207 | ) | 5,376,640 | |||||||||||
Strategic Emerging Markets Fund | 117,007,008 | 30,028,769 | (4,016,000 | ) | 26,012,769 |
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Underpre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization ofpre-enactment losses.
At December 31, 2019, for federal income tax purposes, there were no unused capital losses.
At December 31, 2019 the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term Capital Loss Carryforward | Long term Capital Loss Carryforward | |||||||
Dynamic Bond Fund | $ | 1,630,004 | $ | 5,416,897 | ||||
High Yield Fund | 352,064 | 5,917,633 | ||||||
Inflation-Protected and Income Fund | 2,107,985 | 8,884,494 | ||||||
Short-Duration Bond Fund | 851,776 | 6,470,222 |
Net capital loss carryforwards for the Fund(s) shown in the above table are frompost-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
143
Table of Contents
Notes to Financial Statements(Continued)
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2019, was as follows:
Ordinary Income | Long Term Capital Gain | |||||||
Asset Momentum Fund | $ | 268,383 | $ | 1,483,121 | ||||
Dynamic Bond Fund | 14,998,546 | - | ||||||
Equity Rotation Fund | 128,591 | 563,539 | ||||||
High Yield Fund | 7,794,630 | - | ||||||
Inflation-Protected and Income Fund | 8,526,377 | - | ||||||
Short-Duration Bond Fund | 6,656,207 | - | ||||||
Small Cap Equity Fund | 1,463,827 | 8,617,039 | ||||||
Special Situations Fund | 38,829 | - | ||||||
Strategic Emerging Markets Fund | 321,806 | - |
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2018, was as follows:
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
Asset Momentum Fund | $ | 347,841 | $ | 2,361,119 | $ | - | ||||||
Dynamic Bond Fund | 14,996,822 | - | - | |||||||||
Equity Rotation Fund | 278,900 | 4,140,954 | - | |||||||||
High Yield Fund | 8,194,092 | - | 9,601 | |||||||||
Inflation-Protected and Income Fund | 12,383,569 | - | - | |||||||||
Short-Duration Bond Fund | 6,536,325 | - | - | |||||||||
Small Cap Equity Fund | 3,814,954 | 11,546,358 | - | |||||||||
Special Situations Fund | 132,626 | 826,393 | - | |||||||||
Strategic Emerging Markets Fund | 170,692 | - | - |
The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2019:
Amount | ||||
Strategic Emerging Markets Fund | $ | 226,891 |
Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2019, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses, deferred Trustee compensation, and other temporary basis adjustments.
At December 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Asset Momentum Fund | $ | 110,862 | $ | 1,342,699 | $ | (1,428 | ) | $ | 3,649,088 | |||||||
Dynamic Bond Fund | 1,155,876 | (7,046,901 | ) | (25,216 | ) | 8,873,983 | ||||||||||
Equity Rotation Fund | 130,914 | 265,361 | (1,508 | ) | 4,558,843 | |||||||||||
High Yield Fund | 28,854 | (6,269,697 | ) | (15,413 | ) | (2,290,364 | ) |
144
Table of Contents
Notes to Financial Statements(Continued)
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Inflation-Protected and Income Fund | $ | 367,444 | $ | (10,992,479 | ) | $ | (63,962 | ) | $ | 10,193,346 | ||||||
Short-Duration Bond Fund | 118,091 | (7,321,998 | ) | (25,841 | ) | 1,173,953 | ||||||||||
Small Cap Equity Fund | 849,411 | 991,346 | (23,540 | ) | 26,020,124 | |||||||||||
Special Situations Fund | 2,923 | 1,051,589 | (1,267 | ) | 5,376,640 | |||||||||||
Strategic Emerging Markets Fund | 549,224 | 3,746,056 | (10,247 | ) | 25,702,003 |
During the year ended December 31, 2019, the following amounts were reclassified due to permanent differences between book and tax accounting:
Paid-in Capital | Accumulated Net Realized Gain (Loss) on Investments | Undistributed Net Investment Income (Loss) | ||||||||||
Asset Momentum Fund | $ | - | $ | 68,217 | $ | (68,217 | ) | |||||
Dynamic Bond Fund | - | (352,507 | ) | 352,507 | ||||||||
Equity Rotation Fund | (109 | ) | 90 | 19 | ||||||||
High Yield Fund | - | (332,699 | ) | �� | 332,699 | |||||||
Inflation-Protected and Income Fund | - | (62,431 | ) | 62,431 | ||||||||
Short-Duration Bond Fund | - | (610,038 | ) | 610,038 | ||||||||
Small Cap Equity Fund | (6,111 | ) | 119,106 | (112,995 | ) | |||||||
Special Situations Fund | (1,165 | ) | 111 | 1,054 | ||||||||
Strategic Emerging Markets Fund | - | 31,773 | (31,773 | ) |
The Funds did not have any unrecognized tax benefits at December 31, 2019, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended December 31, 2019, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
7. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
8. | New Accounting Pronouncements |
In 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 is effective for the fiscal year ended December 31, 2019. Management has implemented the applicable changes, and they did not have a material impact on the Funds’ financial statements.
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Notes to Financial Statements(Continued)
In August 2018, FASB issued Accounting Standards Update2018-13 — Fair Value Measurement (Topic 820) Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU2018-13”). ASU2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy, and the valuation processes for Level 3 fair value measurements. ASU2018-13 requires that information is provided about the measurement uncertainty of Level 3 fair value measurements as of the reporting date. The amendment is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has evaluated the impact of ASU2018-13 and has early adopted the disclosure requirements and the impact, if any, is reflected within the Funds’ financial statements.
9. | Legal Proceedings |
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds. On April 5, 2012, the adversary proceeding was transferred to the Southern District of New York for consolidated pretrial proceedings. The action is now being prosecuted by the litigation trustee (“Trustee”) for the Tribune Litigation Trust.
The potential amount sought to be recovered from the Small Cap Equity Fund is approximately $93,500, plus interest and the Official Committee’s court costs.
The Fund cannot predict the outcome of this proceeding. Accordingly, the Fund has not accrued any amounts related to this proceeding. If the proceeding were to be decided in a manner adverse to the Fund, or if the Fund was to enter into a settlement agreement with the Trustee, the payment of such judgment or settlement could potentially have a material adverse effect on the Fund’s net asset value depending on the net assets of the Fund at the time of such judgment or settlement.
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To the Board of Trustees of MML Series Investment Fund II and Shareholders of MML Asset Momentum Fund, MML Dynamic Bond Fund, MML Equity Rotation Fund, MML High Yield Fund, MML Inflation-Protected and Income Fund, MML Short-Duration Bond Fund, MML Small Cap Equity Fund, MML Special Situations Fund, and MML Strategic Emerging Markets Fund (collectively, the “Funds,” certain of the funds constituting MML Series Investment Fund II):
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Funds as of December 31, 2019, the related statements of operations of the Funds for the year then ended, the statement of cash flows for MML Inflation-Protected and Income Fund for the year then ended, the statements of changes in net assets of the Funds for each of the two years in the period then ended, and the financial highlights of the Funds for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, and the results of their operations for the year then ended, the cash flows of MML Inflation-Protected and Income Fund for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods listed in the table below, in conformity with accounting principles generally accepted in the United States of America.
Individual Funds | Financial Highlights | |
MML High Yield Fund, MML Inflation-Protected and Income Fund, MML Short-Duration Bond Fund, MML Small Cap Equity Fund, and MML Strategic Emerging Markets Fund | For each of the five years in the period ended December 31, 2019 | |
MML Asset Momentum Fund, MML Dynamic Bond Fund, MML Equity Rotation Fund, and MML Special Situations Fund | For the four years in the period ended December 31, 2019, and the period from May 15, 2015 (commencement of operations) through December 31, 2015 |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
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Report of Independent Registered Public Accounting Firm(Continued)
the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
February 24, 2020
We have served as the auditor of one or more MassMutual investment companies since 1995.
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The following table lists the Trust’s Trustees and Principal Officers; their address and year of birth; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during at least the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MML Series Investment Fund II, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.
Independent Trustees
Name, Address*, and | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Allan W. Blair Year of birth: 1948 | Trustee | Since 2012 | Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company). | 109 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
Nabil N. El-Hage Year of birth: 1958 | Trustee
Chairman | Since 2005
2006-2012 | Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC). | 109 | Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company). | |||||
Maria D. Furman Year of birth: 1954 | Trustee | Since 2005 | Retired. | 109 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
R. Alan Hunter, Jr. Year of birth: 1946 | Chairperson
Trustee | Since 2016
Since 2012 | Retired. | 109 | Director (2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MassMutual Select Funds (open-end investment company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
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Trustees and Principal Officers (Unaudited)(Continued)
Name, Address*, and | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
C. Ann Merrifield Year of birth: 1951 | Trustee | Since 2005 | Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company). | 109 | Director (2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson (2017-2018), Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
Susan B. Sweeney Year of birth: 1952 | Trustee | Since 2012 | Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company. | 111^ | Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
Interested Trustees
Name, Address*, and | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Teresa A. Hassara^^ Year of birth: 1962 | Trustee | Since 2017 | Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF. | 109 | Director (since 2017), MML Advisers; Trustee (since 2017), MassMutual Select Funds (open-end investment company); Trustee (since 2017), MML Series Investment Fund (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company). | |||||
Robert E. Joyal^^^ Year of birth: 1945 | Trustee | Since 2012 | Retired. | 111^ | Director (since 2018), Jefferies Financial Group Inc. (holding company); Director (2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technologies, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). |
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Trustees and Principal Officers (Unaudited)(Continued)
Principal Officers
Name, Address*, and | Position(s) | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Joseph Fallon Year of birth: 1975 | Vice President
Assistant Vice President | Since 2017
2015- | Investment Director (since 2014), MML Advisers; Head of Investment Consulting & Strategy (since 2017), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Select Funds (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company). | 109 | ||||
Andrew M. Goldberg Year of birth: 1966 | Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer
Assistant Clerk | Since 2008
2005- | Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company). | 109 | ||||
Renee Hitchcock Year of birth: 1970 | Chief Financial Officer and Treasurer
Assistant Treasurer | Since 2016
2007- | Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company). | 109 | ||||
Jill Nareau Robert Year of birth: 1972 | Vice President and Assistant Secretary
Assistant Secretary (formerly known as “Assistant Clerk”) | Since 2017
2008- | Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MassMutual Select Funds (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MML Series Investment Fund (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company). | 109 | ||||
Douglas Steele Year of birth: 1975 | Vice President | Since 2016 | Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company). | 109 |
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Trustees and Principal Officers (Unaudited)(Continued)
Name, Address*, and | Position(s) | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Philip S. Wellman Year of birth: 1964 | Vice President and Chief Compliance Officer | Since 2007 | Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds & RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company). | 109 | ||||
Eric H. Wietsma Year of birth: 1966 | President
Vice President | Since 2019
2006- | President (2013-2018, since 2019), Vice President (2018-2019), Director (since 2013), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (2010-2018), MassMutual; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); President (since 2019), Vice President (2006-2019), MML Series Investment Fund (open-end investment company); President (since 2008), Vice President (2006-2008), MassMutual Premier Funds (open-end investment company). | 109 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981. |
** | Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate. |
The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees. |
^ | Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers. |
^^ | Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual. |
^^^ | Mr. Joyal is an Interested Person through his position as a director of Jefferies Financial Group Inc., which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion. |
# | The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees. |
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For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2019, qualified for the dividends received deduction, as follows:
Dividends Received Deductions | ||||
Asset Momentum Fund | 10.98 | % | ||
Equity Rotation Fund | 100.00 | % | ||
Short-Duration Bond Fund | 0.64 | % | ||
Small Cap Equity Fund | 52.28 | % | ||
Special Situations Fund | 100.00 | % | ||
Strategic Emerging Markets Fund | 2.28 | % |
For the year ended December 31, 2019, the following Fund(s) earned the following foreign sources of income:
Amount | ||||
Strategic Emerging Markets Fund | $ | 2,566,114 |
Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended December 31, 2019,:
Qualified Dividend Income | ||||
Short-Duration Bond Fund | $ | 43,041 |
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A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
For periods ending on or after March 31, 2019, the Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on FormN-PORT. The Funds’ FormsN-PORT are available on the SEC’s EDGAR database on its website at http://www.sec.gov. For periods ending prior to March 31, 2019, this information was filed on FormN-Q. The Funds’ FormsN-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov.
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Other Information (Unaudited)(Continued)
Fund ExpensesDecember 31, 2019
Expense Examples:
The following information is in regards to expenses for the six months ended December 31, 2019:
As a shareholder of the Funds, you incur ongoing costs, including advisory fees, distribution and/or service(12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2019.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Asset Momentum Fund | ||||||||||||||||||||||||
Class II | $ | 1,000 | 1.06 | % | $ | 1,123.90 | $ | 5.74 | $ | 1,020.10 | $ | 5.46 | ||||||||||||
Service Class I | 1,000 | 1.30 | % | 1,122.30 | 7.03 | 1,018.90 | 6.69 | |||||||||||||||||
Dynamic Bond Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.60 | % | 1,021.20 | 3.09 | 1,022.40 | 3.09 | |||||||||||||||||
Service Class I | 1,000 | 0.86 | % | 1,020.70 | 4.43 | 1,021.10 | 4.43 | |||||||||||||||||
Equity Rotation Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.92 | % | 1,061.60 | 4.83 | 1,020.80 | 4.74 | |||||||||||||||||
Service Class I | 1,000 | 1.17 | % | 1,060.40 | 6.14 | 1,019.50 | 6.02 | |||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.82 | % | 1,036.80 | 4.26 | 1,021.30 | 4.22 | |||||||||||||||||
Service Class I | 1,000 | 1.07 | % | 1,034.60 | 5.55 | 1,020.00 | 5.51 |
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Other Information (Unaudited)(Continued)
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||||||
Initial Class | $ | 1,000 | 2.25 | % | $ | 1,019.90 | $ | 11.58 | $ | 1,014.00 | $ | 11.55 | ||||||||||||
Service Class | 1,000 | 2.50 | % | 1,018.30 | 12.86 | 1,012.70 | 12.82 | |||||||||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||||||
Class II | 1,000 | 0.59 | % | 1,017.30 | 3.03 | 1,022.50 | 3.04 | |||||||||||||||||
Service Class I | 1,000 | 0.84 | % | 1,015.20 | 4.31 | 1,021.20 | 4.33 | |||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||||||
Initial Class | 1,000 | 0.74 | % | 1,091.50 | 3.94 | 1,021.70 | 3.81 | |||||||||||||||||
Service Class | 1,000 | 1.00 | % | 1,090.10 | 5.33 | 1,020.40 | 5.15 | |||||||||||||||||
Special Situations Fund | ||||||||||||||||||||||||
Class II | 1,000 | 1.11 | % | 1,041.60 | 5.77 | 1,019.80 | 5.71 | |||||||||||||||||
Service Class I | 1,000 | 1.36 | % | 1,040.20 | 7.07 | 1,018.50 | 6.99 | |||||||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||||||||||
Class II | 1,000 | 1.24 | % | 1,082.10 | 6.58 | 1,019.20 | 6.38 | |||||||||||||||||
Service Class I | 1,000 | 1.50 | % | 1,081.10 | 7.95 | 1,017.80 | 7.71 |
* | Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2019, multiplied by the average account value over the period, multiplied by 186 days in the period, divided by 365 days in the year, unless stated otherwise. The annualized expense ratio does not reflect expenses deducted under the variable life insurance or variable annuity contract through which the Funds are invested in. Inclusion of these expenses would increase the annualized expense ratios shown. |
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Underwriter:
MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, Connecticut 06082-1981 |
© 2020 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC | RS-48369-00 |
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Item 2. Code of Ethics.
As of December 31, 2019, the Registrant adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. For the year ended December 31, 2019, there were no reportable amendments to a provision of the Code of Ethics. A copy of its Code of Ethics is filed with this FormN-CSR under Item 13(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that Susan B. Sweeney and Nabil N. El-Hage, both members of the Audit Committee, are audit committee financial experts as defined by the Securities and Exchange Commission (the “SEC”). Ms. Sweeney and Mr. El-Hage are both “independent” as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
References below to Deloitte & Touche LLP include its affiliates where applicable.
(a) | AUDIT FEES: The aggregate fees billed to the Registrant for professional services rendered by its independent auditors, Deloitte & Touche LLP, for the audit of the Registrant’s annual financial statements for the fiscal years ended 2019 and 2018 were $425,231 and $207,072, respectively. |
(b) | AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2019 and 2018. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2019 and 2018. |
(c) | TAX FEES: The aggregate fees billed to the Registrant for professional services rendered by Deloitte & Touche LLP for the review of Form1120-RIC, Form 8613, excise distribution projections, distribution calculation and reasonable out of pocket expenses for the fiscal years ended 2019 and 2018 were $89,142 and $88,955, respectively. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2019 and 2018. |
(d) | ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2019 and 2018. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2019 and 2018. |
(e) | (1) AUDIT COMMITTEE PRE-APPOVAL POLICY: All services to be performed for the Registrant by Deloitte & Touche LLP must be pre-approved by the audit committee. All services performed during the fiscal years ended 2019 and 2018 were pre-approved by the committee. |
(2) Not applicable. |
(f) | Not applicable. |
(g) | The aggregatenon-audit fees billed by Deloitte & Touche LLP for services rendered to the Registrant, the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant, for the fiscal years ended 2019 and 2018 were $1,977,093 and 8,544,513, respectively. |
(h) | The audit committee considers whether the provision ofnon-audit services by Deloitte & Touche LLP to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining Deloitte & Touche LLP’s independence. |
* | Refers to fees that were required to be approved by the audit committee for services that relate directly to the operations and financial reporting of the Registrant. |
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Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Investments.
Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this formN-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable to this filing.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable to this filing.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this filing.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable to this filing.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined inRule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are effective, as of a date within 90 days of the filing date of thisForm N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant onForm N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required byRule 30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) andRules 13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934 (17 CFR240.13a-15(b) or240.15d-15(b)).
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies
Not applicable to this filing.
Item 13. Exhibits.
(a)(1) Code of Ethics (Item 2) is attached.
(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule30a-2(a) under the 1940 Act (17 CFR270.30a-2(a)) are attached hereto as Exhibit 99CERT.
(a)(3) Not applicable to this filing.
(a)(4) Not applicable to this filing.
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(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule30a-2(b), under the 1940 Act (17 CFR270.30a-2(b)), Rule15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto as Exhibit 99.906CERT.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | MML Series Investment Fund II |
By (Signature and Title) | /s/ Eric Wietsma | |
Eric Wietsma, President and Principal Executive Officer | ||
Date 2/24/2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Eric Wietsma | |
Eric Wietsma, President and Principal Executive Officer | ||
Date 2/24/2020 | ||
By (Signature and Title) | /s/Renee Hitchcock | |
Renee Hitchcock, Treasurer and Principal Financial Officer |
Date 2/24/2020 |