UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-21714 |
MML Series Investment Fund II | |
(Exact name of registrant as specified in charter) | |
1295 State Street, Springfield, MA | 01111 |
(Address of principal executive offices) | (Zip code) |
Paul LaPiana | |
1295 State Street, Springfield, MA 01111 | |
(Name and address of agent for service) |
Registrant's telephone number, including area code: | (413) 744-1000 | ||
Date of fiscal year end: | 12/31/2021 | ||
Date of reporting period: | 12/31/2021 |
Item 1. Reports to Stockholders.
(a) | The Reports to Stockholders are attached herewith. |
Table of Contents | |
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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MML Series Investment Fund II – President’s Letter to Shareholders (Unaudited) |
To Our Shareholders
Paul LaPiana
“We recognize that talking about your future can be uncomfortable. That’s why we’re here – to support you throughout your retirement planning journey. For nearly 170 years, through ups and downs and good times and bad, MassMutual has helped its clients protect their loved ones and prepare for a better tomorrow.”
December 31, 2021
The return of market volatility and inflation challenges retirement investors
I am pleased to present you with the MML Series Investment Fund II Annual Report. For the reporting period from January 1, 2021 through December 31, 2021, U.S. stocks were up nearly 29%, with investors moving past the global economic recession and market downturn brought on by the COVID-19 pandemic. Foreign stocks in developed markets also experienced strong gains during the year, aided by increasing economic activity, generous fiscal and monetary stimulus, and strong corporate earnings throughout the reporting period. Emerging-market stocks ended the year down, led by Chinese stocks that faced unexpected regulatory action and debt defaults in the Chinese real estate sector. U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by an increase in economic growth expectations, heighted inflationary pressures, and a lessening of monetary and fiscal policy support.
Suggestions for retirement investors under any market conditions
● | You are likely in it for the long term. Retirement planning involves what financial professionals refer to as “long-term investing,” since most people save and invest for retirement throughout their working years. Although the financial markets will go up and down, individuals who take a long-term approach to investing realize that they have time to ride out the downturns as they work toward their retirement income goals. |
● | Keep contributing. While you have no control over the investment markets, you can control how often and how much you contribute to your retirement account. Saving as much as possible and increasing your contributions regularly is one way retirement investors can help boost their retirement savings, regardless of the performance of the stock and bond markets. |
● | Invest continually.* Financial professionals often advise their clients to stay in the market, regardless of short-term results. Here’s why: Retirement investors 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. |
● | Monitor your asset allocation and diversify. Stocks, bonds, and short-term/money market investments are asset classes that tend to behave differently, depending upon the economic and market environment. These broad asset classes contain an even greater array of asset sub-categories (such as small-cap stocks, international stocks, and high-yield bonds). Most financial professionals agree that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing asset types by selecting a number of investments that represent a mix of asset classes and sub-categories. |
Is it time to track your progress?
If you work with a financial professional, you may wish to consider checking in with him or her to help you determine if:
● | you are saving enough for retirement; |
● | your retirement account is invested appropriately for all market conditions, based on your goals and objectives, as well as your investment time horizon; and |
* Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels.
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(Continued)
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MML Series Investment Fund II – President’s Letter to Shareholders (Unaudited) (Continued) |
● | you are taking steps to help reduce your longevity risk, which is the chance that you could “run out” of retirement savings during your lifetime. |
We’re here to help you build the future you want for yourself and your family.
We recognize that talking about your future can be uncomfortable. That’s why we’re here – to support you throughout your retirement planning journey. For nearly 170 years, through ups and downs and good times and bad, MassMutual has helped its clients protect their loved ones and prepare for a better tomorrow. So we continue to encourage you to maintain perspective when it comes to retirement investing, regardless of any short-term changes in the markets or headline-making events that may be unsettling. Our view is that changing market conditions have the potential to reward patient investors.
Sincerely,
Paul LaPiana
President
MML Series Investment Fund II
MML Investment Advisers, LLC
© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved www.MassMutual.com. Underwriter: MML Distributors, LLC. (MMLD) Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 1295 State Street, Springfield, MA 01111-0001. 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 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.
RS-50733-00
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MML Series Investment Fund II – Economic and Market Overview (Unaudited) |
December 31, 2021
Market Highlights
● | For the reporting period from January 1, 2021 through December 31, 2021, U.S. stocks were up nearly 29%, with investors moving past the global economic recession and market downturn brought on by the COVID-19 pandemic. |
● | In the first quarter of 2021, investors embraced falling COVID-19 case counts, a faster-than-expected vaccination rollout, another round of fiscal stimulus, and upgrades to economic growth and corporate earnings forecasts. |
● | The second quarter of 2021 was a continuation of the prior quarter, with a significant percentage of the U.S. population receiving at least one dose of the vaccine and the widescale reopening of the economy. Concerns about inflation began to emerge, as the sharp rise in the demand for goods, services, homes, and labor outpaced supply. |
● | In the third quarter of 2021, another wave of COVID-19 infections slowed economic growth and heightened supply shortages and inflationary pressures. Expectations for the tightening of monetary policy and the U.S. Congress’s procrastination to pass a bill to avert a government shutdown in October added to the uncertainty. |
● | In the fourth quarter of 2021, expectations for strong economic and earnings growth in 2022, bolstered by the possibility of a $2 trillion economic stimulus and social spending plan, allowed investors to look past skyrocketing Omicron variant COVID-19 cases and heightened inflationary pressures. |
● | Foreign stocks in developed markets also experienced strong gains during the year, aided by increasing economic activity, generous fiscal and monetary stimulus, and strong corporate earnings throughout the reporting period. Emerging-market stocks ended the year down, led by Chinese stocks that faced unexpected regulatory action and debt defaults in the Chinese real estate sector. |
● | U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by an increase in economic growth expectations, heighted inflationary pressures, and a lessening of monetary and fiscal policy support. The U.S. Federal Reserve Board’s (the “Fed”) announcement of plans to fight inflation by hastening the tapering of bond purchases and hiking rates up to three times in 2022 helped propel interest rates higher and the yield curve steeper. |
Market Environment
Global stock investors experienced declining levels of volatility and strong positive returns for the year beginning January 1, 2021. U.S. stocks rose steadily in the period, buoyed by the Fed’s commitment to low interest rates, additional rounds of fiscal stimulus, rising expectations for strong economic growth, and rebounding corporate earnings. As a result, the broad market S&P 500® Index* (the “S&P 500”) delivered a strong 28.71% return for the year. The Dow Jones Industrial AverageSM was also up a respectable 20.95%. The technology-heavy NASDAQ Composite Index was also a big winner, advancing 22.18% for the year. Small-cap stocks underperformed their larger peers, as small-caps gained 14.82% – while value stocks and their growth counterparts performed similarly.
The continued market recovery, additional fiscal stimulus, conclusion of the U.S. presidential election, expectations for the tightening of monetary policy, and heightened inflationary pressures affected sectors differently, though all 11 sectors were in positive territory for the year. The energy, real estate, and financial sectors led in performance, enjoying double-digit growth, as they outperformed the S&P 500.
The energy sector was the strongest performer for the year, up over 54%, aided by a 55% increase in the price of West Texas Intermediate crude oil during the period. The utilities and consumer staples sectors trailed the S&P 500, each by more than 10%.
* 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, trailed their domestic peers, ending the year up 11.26%. Developed international stocks benefited from increasing economic activity, generous fiscal and monetary stimulus, and strong corporate earnings during the year. Emerging-market stocks, as measured by the MSCI Emerging Markets Index, ended down 2.54% for the period, led by Chinese stocks that faced unexpected regulatory action and debt defaults in the Chinese real estate sector.
Bond yields rose sharply during the year, with the 10-year U.S. Treasury bond yield rising from a low of 0.93% on January 4, 2021 to close the period at 1.52%. Rising yields generally produce falling bond prices; consequently, bond index returns suffered. The Bloomberg U.S. Aggregate Bond Index ended the period down 1.54%. Investment-grade corporate bonds fared somewhat better. The Bloomberg U.S. Corporate Bond Index, which tracks investment-grade corporate bonds, ended the period down only 1.04%. The Bloomberg U.S. Corporate High Yield Bond Index ended in positive territory, advancing 5.28%, aided by a sharp increase in commodity prices.
As we enter 2022, we view the stock markets as extended and valuations high relative to market history. While the prospect of lower financing costs, strong economic and corporate earnings growth, and continued government commitments to fiscal and monetary stimulus support a bull case, more clarity on inflationary risks, rising labor costs, the timeline for global COVID-19 vaccine adoption, and the post-COVID health of the global economy is needed for the allocation to stocks to increase. Against this backdrop, we feel that diversification across global assets could be a sensible approach for what we believe could be a bumpy ride.
We remain convinced that a broadly diversified portfolio, aligned with a long-term investment 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, how long you have to save and invest, and your specific financial goals and risk tolerance.
© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved. www.MassMutual.com. Underwriter: MML Distributors, LLC. (MMLD) Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 1295 State Street, Springfield, MA 01111-0001. 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 1/1/2022 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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MML Blend Fund – Portfolio Manager Report (Unaudited) |
What is the investment approach of MML Blend Fund, and who is the Fund’s subadviser?
This Fund seeks a high total return. The Fund is a “fund of funds” that seeks to achieve its investment objective by allocating substantially all of its assets among exchange-traded funds (ETFs) providing exposures to various asset classes. The Fund’s subadviser determines the Fund’s asset allocation strategy and implements this strategy by selecting ETFs for investment and determining the amounts of the Fund’s assets to be invested in each. The ETFs the Fund’s subadviser will consider for investment by the Fund will provide exposures to U.S. equity securities or to fixed-income securities. The ETFs are subadvised by an affiliate of the Fund’s subadviser. The Fund’s subadviser is BlackRock Investment Management, LLC (BlackRock).
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Initial Class shares returned 15.02%, significantly underperforming the 28.71% 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’s Initial Class outperformed, by a wide margin, the -1.54% return of the Bloomberg U.S. Aggregate Bond Index (the “bond component’s benchmark”), which measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities, 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’s Initial Class outperformed the 13.18% 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’s Initial Class underperformed the 15.96% return of the Custom Balanced Index (the “blend benchmark”), which comprises the stock component’s benchmark and the bond component’s benchmark. The weightings of each index are 60% and 40%, respectively.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2021, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Fund’s portfolio is constructed using only passive instruments, but it deviates in exposure from its stock component’s benchmark and bond component’s benchmark through its allocations to low-cost ETFs.
Within the Fund’s equity component, the Fund invests in small- and mid-cap companies through allocations to the S&P Midcap 400 Index, the S&P Smallcap 600 Index, and the S&P Total U.S. Stock Market Index. The Fund’s underweight allocation to large-cap companies detracted from returns for the year ended December 31, 2021. With respect to specific stocks, the largest detractors from returns in the S&P 500 Index were PayPal, Moderna (a U.S. pharmaceutical and biotechnology company), Medtronic (a medical technology company), Walt Disney, and Comcast. The largest contributors to return in the S&P 500 Index were Apple, Microsoft, Tesla, Nvidia (an American semiconductor manufacturer), and Alphabet (the parent company of Google).
The bond component of the Fund allocates roughly 40% of its assets into fixed-income ETFs, and deviates from the bond component’s benchmark exposure by allocating small amounts into high-yield credits through HYG, a high-yield bond ETF; and IUSB, an ETF that tracks the Barclays Universal Index, a broad-based fixed-income index that expands coverage beyond the bond component’s benchmark to include roughly 7% of its exposure into high-yield credit quality. Within fixed income, the bond Fund component had an overweight allocation to intermediate IG quality credit, per its allocation to IGIB. (IGIB tracks a market-value-weighted index of U.S. dollar-denominated, investment grade corporate debt with maturities between 5 and 10 years.) The Fund component’s allocation to Treasuries was 11.47% versus 15.64% in the bond component’s benchmark. Portfolio duration was 2.33 years versus 2.68 for years for the bond component’s benchmark. Duration is a measure of sensitivity to interest rates. The longer the duration, the greater the price impact on the bond or portfolio when interest rates rise or fall.
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MML Blend Fund – Portfolio Manager Report (Unaudited) (Continued) |
Subadviser outlook
Fund management notes that the allocations used to build the Fund’s portfolio are meant to be strategic and long-term asset allocations, designed with low-cost vehicles and to minimize turnover. At year end, relative to the stock component’s benchmark, the Fund had overweight allocations to mid-, small-, and micro-cap securities. In 2022, Fund management’s outlook favors equities over credit and government bonds on both a strategic and tactical investment horizon.
Within fixed income, relative to the bond component’s benchmark, the Fund held overweight allocations to corporate and credit exposure at year end. Fund management’s outlook on credit risk is mixed – preferring modestly overweight allocations to global high yield and underweight allocations to global investment grade – as they view there is little room for further yield compression in IG and remain concerned with interest rate risk.
MML Blend Fund | |
iShares Core S&P Total US Stock Market ETF | 30.2% |
iShares Core S&P 500 ETF | 27.4% |
iShares Core Total USD Bond Market ETF | 15.9% |
iShares Core U.S. Aggregate Bond ETF | 15.9% |
iShares 5-10 Year Investment Grade Corporate Bond ETF | 3.8% |
iShares iBoxx High Yield Corporate Bond ETF | 3.8% |
iShares Core S&P Mid-Cap ETF | 2.2% |
iShares Core S&P Small-Cap ETF | 0.9% |
100.1% | |
MML Blend Fund | |
Mutual Funds | 100.8% |
Total Long-Term Investments | 100.8% |
Short-Term Investments and Other Assets and Liabilities | (0.8)% |
Net Assets | 100.0% |
6
MML Blend Fund – Portfolio Manager Report (Unaudited) (Continued) |
GROWTH OF $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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | 10 Years |
Initial Class | 02/03/1984 | 15.02% | 11.68% | 11.09% |
Service Class | 08/15/2008 | 14.74% | 11.40% | 10.81% |
S&P 500 Index* | 28.71% | 18.47% | 16.55% | |
Bloomberg U.S. Aggregate Bond Index | -1.54% | 3.57% | 2.90% | |
Lipper Balanced Fund Index | 13.18% | 10.80% | 9.55% | |
Custom Balanced Index |
| 15.96% | 12.78% | 11.22% |
* 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.
7
MML Dynamic Bond Fund – Portfolio Manager Report (Unaudited) |
What is the investment approach of MML Dynamic Bond Fund, and who is the Fund’s subadviser?
The Fund seeks to maximize current income and total return by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in bonds, which may include securities issued or guaranteed by the U.S. Government, its agencies, instrumentalities, or sponsored corporations; corporate obligations (including foreign hybrid securities); mortgage-backed securities; asset-backed securities; foreign securities (corporate and government); emerging market securities (corporate and government); bank loans and assignments; and other securities bearing fixed or variable interest rates of any maturity. The Fund may invest a portion of its net assets in inverse floaters and interest-only and principal-only securities, which may experience high volatility in response to changes in interest rates. The Fund may invest in other investment companies, including other open-end or closed-end investment companies, exchange-traded funds (ETFs), and domestic or foreign private investment vehicles, including investment companies sponsored or managed by the Fund’s subadviser and its affiliates. The Fund’s subadviser is DoubleLine Capital LP (DoubleLine).
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Class II shares returned -0.01%, outperforming the -1.54% return of the Bloomberg U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities, 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 the 12-month period ended December 31, 2021, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Overweight positioning (relative to the benchmark) within credit risk assets – which rallied as investor risk appetite picked up due to optimism surrounding the reopening of global economies – was the primary driver of the Fund’s outperformance for the year ended December 31, 2021 relative to the Fund’s benchmark.
The U.S. Treasury yield curve moved higher over the year, as investors priced in persistent inflation, tighter monetary policy, and ongoing COVID-19 concerns. The yield curve is a graph showing the term structure of interest rates by plotting the yields of all bonds of comparable quality with maturities ranging from the shortest – typically one month – to the longest – typically 30 years – available. The resulting curve shows whether short-term interest rates are higher or lower than long-term rates.
Commercial mortgage-backed securities (CMBS) and non-agency mortgage-backed securities (NA MBS) were the best-performing sectors in 2021. (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes.) NA MBS benefited from strong housing market fundamentals, property value appreciation, and strengthening household balance sheets – whereas CMBS profited from the continued reopening of various regional economies.
Lower-rated corporate sectors, such as bank loans and high yield, also generated positive returns during the year, as strong earnings momentum and accommodative capital markets kept default rates at historic lows.
Longer-duration sectors detracted from the Fund’s overall performance for the year, with agency mortgage-backed securities and government securities experiencing negative returns as rates rose across the U.S. Treasury yield curve. Overall, at year end, the Fund continued to maintain more credit risk and a shorter duration than the benchmark. 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.
Subadviser outlook
Fund management expects the U.S. economy to generate positive, but decelerating, economic growth in 2022, as we shift away from accommodative monetary and fiscal policy. With the latest consumer price index (CPI) print showing a year-over-year increase of 7.0%, Fund management continues to closely monitor components of the index for indications of whether higher inflation will remain at the forefront over the longer term, or fade back toward the U.S. Federal Reserve Board’s 2% target.
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MML Dynamic Bond Fund – Portfolio Manager Report (Unaudited) (Continued) |
Fund management believes interest rates have remained low in part due to quantitative easing and accommodative fiscal policies and that Treasury yields are biased higher in the intermediate term. With economists projecting between three and four rate hikes in 2022, Fund management is constructive on adjustable-rate assets, such as collateralized loan obligations, and remains comfortable with exposures in the lower portions of the capital structure, given current economic conditions. Fund management favors structured credit over corporate credit, as they believe the asset class has the potential to offer better risk-adjusted returns, with less interest rate risk.
MML Dynamic Bond Fund | |
Non-U.S. Government Agency Obligations | 27.8% |
Corporate Debt | 25.1% |
U.S. Treasury Obligations | 20.0% |
U.S. Government Agency Obligations and Instrumentalities* | 14.3% |
Mutual Funds | 5.4% |
Bank Loans | 4.6% |
Sovereign Debt Obligations | 2.3% |
Municipal Obligations | 0.1% |
Total Long-Term Investments | 99.6% |
Short-Term Investments and Other Assets and Liabilities | 0.4% |
Net Assets | 100.0% |
* | May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
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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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | Since Inception |
Class II | 05/15/2015 | -0.01% | 3.34% | 3.05% |
Service Class I | 05/15/2015 | -0.18% | 3.08% | 2.79% |
Bloomberg U.S. Aggregate Bond Index |
| -1.54% | 3.57% | 3.10% |
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.
10
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 36% of the Fund’s portfolio; and Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 64% of the Fund’s portfolio, as of December 31, 2021.
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Initial Class shares returned 30.26%, significantly outperforming the 25.16% return of the Russell 1000® Value Index (the “benchmark”), which measures the performance of the large-cap value segment of U.S. equity securities. It includes the Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2021, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
With respect to the Brandywine Global component of the Fund, the greatest driver of relative performance was higher-momentum consumer discretionary holdings in the autos and home improvement segments. Brandywine Global added substantially to a slight overweight (versus the benchmark) in the sector at the start of the year and maintained more than twice the benchmark weight since the annual rebalance of the Russell 1000 Value Index in June. In particular, Fund component holdings such as Lowe’s, AutoZone, O’Reilly Auto, Ford, and General Motors contributed to performance. The technology sector began the year with a strong first quarter, then consistently lagged thereafter – and yet, Fund component holdings within the sector, such as Oracle and Hewlett-Packard, managed to outperform the benchmark. On the downside, the shortfall the Brandywine Global Fund component experienced within the health care sector was from having an overweight allocation to biotechnology stocks. The Fund component bought Biogen (an American multinational biotechnology company) late in the summer after the stock dropped approximately 30% from its highs; however, increased scrutiny and challenges to its Alzheimer’s drug has sent the stock even lower. A small underweight in the best-performing energy sector also hampered the Brandywine Global Fund component’s returns, as crude oil was up over 50% for the year.
Within the T. Rowe Price component of the Fund, stock selection drove relative outperformance for the year ended December 31, 2021, while sector allocation had an offsetting impact. Communication services, information technology, and financials were the largest relative contributors, whereas the energy and materials sectors detracted the most. Within the communication services sector, Fund component holding Alphabet (the parent company of Google) benefited throughout the period, as advertising spending proved resilient and the company showed significant revenue growth within its core search franchise, advertising business, and cloud segment, along with strong margins. In information technology, shares of Fund component holding Microsoft ended the period higher, as the company continued to deliver impressive results, including strong revenue growth within its cloud computing and productivity and business-processes segments. The Fund component’s significant underweight to the energy sector was the largest detractor from relative performance, as energy was the top-performing sector over the reporting period.
Subadviser outlook
Brandywine Global notes that personal, business, and economic anxiety over COVID-19 still remains, even after broad vaccinations in the U.S. While COVID-19 infections remained stubbornly high at year end, the hospitalization and survivability rates have been greatly improved. Looking ahead, Brandywine Global’s view is that, on the economic front, there could be mixed
11
MML Equity Fund – Portfolio Manager Report (Unaudited) (Continued) |
concerns and expectations over increased interest rates, inflation, labor challenges, and market volatility. While Brandywine Global cannot predict what these factors will deliver by year-end 2022, they are confident that their disciplined investment process will help them build a well-constructed value portfolio for the long term.
T. Rowe Price’s outlook for the market is more tepid than it has been in the past several years. They believe that there are reasons for optimism, including a strong consumer; pent-up demand for services; and strong, but decelerating, corporate fundamentals. Similarly, their view is that there are reasons for concern that cloud the outlook, including COVID-19, the U.S. Federal Reserve Board’s tightrope walk, inflation, and the end of stimulus. Given these considerations, T. Rowe Price is looking to increase the defensiveness of its Fund component’s portfolio. Overall, they note that their focus will continue to be on finding high-quality companies facing controversy or stress that are addressable in the near- to intermediate term.
MML Equity Fund | |
Bank of America Corp. | 3.5% |
JP Morgan Chase & Co. | 2.9% |
Johnson & Johnson | 2.8% |
Alphabet, Inc. Class C | 2.2% |
Oracle Corp. | 2.2% |
AbbVie, Inc. | 2.1% |
Microsoft Corp. | 1.8% |
Cisco Systems, Inc. | 1.8% |
Exxon Mobil Corp. | 1.7% |
Comcast Corp. Class A | 1.6% |
22.6% | |
MML Equity Fund | |
Financial | 24.9% |
Consumer, Non-cyclical | 23.4% |
Industrial | 12.3% |
Consumer, Cyclical | 10.1% |
Technology | 8.3% |
Communications | 7.7% |
Utilities | 5.6% |
Energy | 3.3% |
Basic Materials | 3.2% |
Mutual Funds | 1.2% |
Total Long-Term Investments | 100.0% |
Short-Term Investments and Other Assets and Liabilities | (0.0)% |
Net Assets | 100.0% |
12
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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | 10 Years |
Initial Class | 12/31/1973 | 30.26% | 11.99% | 12.70% |
Service Class | 08/15/2008 | 29.93% | 11.71% | 12.41% |
Russell 1000 Value Index |
| 25.16% | 11.16% | 12.97% |
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.
13
MML Equity Momentum Fund – Portfolio Manager Report (Unaudited) |
What is the investment approach of MML Equity Momentum 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 capitalization U.S. companies. The Fund’s subadviser and sub-subadviser invest the Fund’s assets using an indexing strategy. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies included within the S&P 500® Momentum Index* (the “Index”). The Fund’s subadviser is Invesco Advisers, Inc. (Invesco) and the Fund’s sub-subadviser is Invesco Capital Management LLC (ICM).
* | The “S&P 500 Momentum Index” is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”), and has been licensed for use by MassMutual. Standard & Poor’s®, S&P® and S&P® 500 are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500 Momentum Index. |
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Class II shares returned 21.93%, underperforming, by a wide margin, the 28.71% return of the S&P 500 Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market. The Fund’s Class II shares underperformed the 22.79% return of the Index, which is designed to measure the performance of securities in the S&P 500 universe that exhibit persistence in their relative performance.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2021, 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, 2021, almost every sector in the Index had a detrimental effect on the Fund’s performance. The financial sector was the largest detractor over the reporting period. Due to their poor performance earlier in the year, Fund holdings within the financial sector exhibited poor price momentum. This led the Fund to be significantly underweight in the sector, relative to the benchmark.
The Fund holding that was the largest individual detractor from full-year returns was Moderna, Inc., a U.S. pharmaceutical and biotechnology company. The Fund held an overweight position in the company.
Turning to the positive, from a sector perspective, the largest contributor to the Fund’s full-year returns came from information technology (IT), which continued to outperform as the U.S. economy began to lock back down due to a resurgence of COVID-19 – at which time more people returned to working from home. Due to their significant outperformance earlier in the year, many of the larger Fund holdings in the IT sector expanded to have outsized weightings in the Fund. The only other sector-related outperformance for the year came from the strong-performing consumer staples sector, although the Fund had a net underweight allocation to the market segment.
The Fund holding that was the largest contributor to the Fund’s performance was Nvidia Corp., an American semiconductor manufacturer. The Fund held an overweight allocation to the company.
Subadviser outlook
The Fund aims to offer shareholders access to the highest-momentum stocks within the S&P 500 Index. This goal is not expected to change, and the Fund aims to continue to offer this clearly defined exposure to shareholders for the foreseeable future. Fund management notes that, as the strategy is designed to track an index, Fund positioning results from a rules-based investment process.
14
MML Equity Momentum Fund – Portfolio Manager Report (Unaudited) (Continued) |
MML Equity Momentum Fund | |
Alphabet, Inc. Class A | 8.9% |
Alphabet, Inc. Class C | 8.8% |
Berkshire Hathaway, Inc. Class B | 6.5% |
NIKE, Inc. Class B | 2.7% |
Target Corp. | 2.7% |
Morgan Stanley | 2.6% |
Wells Fargo & Co. | 2.5% |
The Goldman Sachs Group, Inc. | 2.3% |
Intuit, Inc. | 2.3% |
Moderna, Inc. | 2.2% |
41.5% | |
MML Equity Momentum Fund | |
Financial | 26.7% |
Communications | 19.1% |
Industrial | 17.1% |
Consumer, Cyclical | 13.5% |
Consumer, Non-cyclical | 10.3% |
Technology | 9.3% |
Basic Materials | 2.9% |
Energy | 1.1% |
Total Long-Term Investments | 100.0% |
Short-Term Investments and Other Assets and Liabilities | (0.0)% |
Net Assets | 100.0% |
15
MML Equity 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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | Since Inception |
Class II | 05/15/2015 | 21.93% | 17.68% | 13.73% |
Service Class I | 05/15/2015 | 21.59% | 17.39% | 13.43% |
S&P 500 Index* | 28.71% | 18.47% | 15.17% | |
S&P 500 Momentum Index | 22.79% | 20.59% | 16.57% |
* 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.
16
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 and sub-subadviser invest the Fund’s assets using an indexing strategy. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies included within the Russell 1000® Invesco Dynamic Multifactor Index* (the “Index”). The Fund’s subadviser is Invesco Advisers, Inc. (Invesco) and the Fund’s sub-subadviser is Invesco Capital Management LLC (ICM).
* | The Fund is sponsored solely by MassMutual. The Fund is not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). FTSE Russell is a trading name of certain of the LSE Group companies. All rights in the Russell 1000® Invesco Dynamic Multifactor Index (the “Index”) vest in the relevant LSE Group company which owns the Index. “FTSE Russell®,” “Russell 1000®” and “Russell®” are trademarks of the relevant LSE Group company and are used by any other LSE Group company under license. The Index is calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner. The LSE Group does not accept any liability whatsoever to any person arising out of (a) the use of, reliance on or any error in the Index or (b) investment in or operation of the Fund. The LSE Group makes no claim, prediction, warranty or representation either as to the results to be obtained from the Fund or the suitability of the Index for the purpose to which it is being put by the Fund. |
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Class II shares returned 28.37%, outperforming the 26.45% return of the Russell 1000 Index (the “benchmark”), which measures the performance of the large-cap segment of U.S. equity securities. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Fund’s Class II shares underperformed the 29.28% return of the Index, which reflects a dynamic combination of factor exposures drawn from constituent stocks of the Russell 1000 Index.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2021, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
In mid-2020, before Invesco began managing the Fund, the leading economic indicators that drove the positioning of the Fund’s underlying strategy suggested that the pandemic-related economic contraction had ended and the strategy shifted toward a “recovery” regime, with significant tilts toward both smaller companies and companies that exhibit greater value characteristics.
The Fund reevaluates economic signals on a monthly basis. As of the year-end 2020 evaluation, Fund management determined that the short-term economic growth rate was beginning to exceed the longer-term average. Because of this, in January 2021, the Fund shifted to an “expansion” stance, reducing the strength of the tilts to smaller-size and value stocks and tilting toward momentum stocks – stocks that have seen rapid recent increases in their prices. This was based on the theory that the stocks that had benefited from the stock market rally would continue to benefit.
The Fund maintained this stance for the majority of 2021, as U.S. equity markets surged and managed to outperform the Russell 1000 Index by almost 2%. The majority of the outperformance came from the consumer discretionary sector, which contributed more than 1% to the Fund’s outperformance. Meanwhile, the information technology sector was the only market segment to detract more than 1%. The majority of the performance came from notable underweights, relative to the benchmark, with Amazon as the leading contributor – and Alphabet Inc. (the parent company of Google), Microsoft Corp., and NVIDIA Corp. (an American semiconductor manufacturer) as the leading detractors. An overweight to Bath & Body Works, Inc. was also a notable contributor to the Fund’s performance for the year.
Late in 2021, there was another significant surge in COVID-19 due to the emergence of the omicron variant. This surge led the U.S. economy to begin to shut down again, with a broad tilt back to employees who could work remotely. Because of this, in December, the Fund shifted to a “slowdown” regime, removing the prior factor tilts and adding tilts to the low-volatility and quality factors.
17
MML Equity Rotation Fund – Portfolio Manager Report (Unaudited) (Continued) |
Subadviser outlook
As of the year-end evaluation, Fund management determined that the short-term economic growth rate was still exceeding the longer-term average, while global risk appetite continued a downward trend. Because of this, in January 2022, the Fund’s portfolio remained in a “slowdown” stance. Fund management will continue to evaluate this decision monthly, and modify exposures as the regime indicators warrant. Fund management notes that as the strategy is designed to track an index, the Fund’s positioning is a result of a rules-based investment process.
MML Equity Rotation Fund | |
Apple, Inc. | 6.1% |
Microsoft Corp. | 5.8% |
Amazon.com, Inc. | 4.4% |
The Procter & Gamble Co. | 4.0% |
Johnson & Johnson | 3.4% |
Berkshire Hathaway, Inc. Class B | 3.4% |
Meta Platforms, Inc. Class A | 3.4% |
Cisco Systems, Inc. | 2.7% |
Alphabet, Inc. Class A | 2.6% |
Visa, Inc. Class A | 2.6% |
38.4% | |
MML Equity Rotation Fund | |
Consumer, Non-cyclical | 29.3% |
Technology | 23.3% |
Communications | 17.7% |
Financial | 12.7% |
Consumer, Cyclical | 10.2% |
Industrial | 5.4% |
Basic Materials | 1.4% |
Mutual Funds | 0.0% |
Total Long-Term Investments | 100.0% |
Short-Term Investments and Other Assets and Liabilities | 0.0% |
Net Assets | 100.0% |
18
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 12/31/2021) | |||||
| Inception Date | 1 Year | 5 Years | Since Inception | Since |
Class II | 05/15/2015 | 28.37% | 16.86% | 14.84% | |
Service Class I | 05/15/2015 | 28.00% | 16.55% | 14.56% | |
Russell 1000 Index* | 26.45% | 18.43% | 15.01% | ||
Russell 1000 Invesco Dynamic Multifactor Index** |
| 29.28% |
|
| 20.79% |
* Benchmark
** Since 10/13/2017
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.
19
MML High Yield Fund – Portfolio Manager Report (Unaudited) |
What is the investment approach of MML High Yield Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities. The Fund invests primarily in lower rated U.S. debt securities (“junk” or “high yield” bonds), including securities in default. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in lower rated fixed income securities (rated below Baa3 by Moody’s, below BBB- by Standard & Poor’s or the equivalent by any nationally recognized statistical rating organization (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). Effective February 1, 2022, Baring International Investment Limited (BIIL) was added as sub-subadviser to the Fund.
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Class II shares returned 8.12%, outperforming the 5.28% return of the Bloomberg U.S. Corporate High-Yield Bond Index (the “benchmark”), which measures the performance of U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bonds, including corporate bonds, fixed-rate bullet, putable, and callable bonds, SEC Rule 144A securities, original issue zeros, pay-in-kind bonds, fixed-rate and fixed-to-floating capital securities.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2021, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Despite a few periods of weakness, overall the U.S. high-yield bond market exhibited healthy performance trends during 2021. Corporate fundamentals for borrowers from the market improved, and default activity declined to historically low levels. Furthermore, as new issue activity reached record levels, investors, such as the Fund, were well positioned to reinvest cash proceeds. While the performance of lower-rated bonds varied at times, for much of the year and the full-year period they outperformed across the market. The Fund was well positioned for this trend, as it had an overweight allocation, relative to the benchmark, to triple-C rated bonds and an underweight allocation to double-B rated bonds. This positioning positively contributed to the Fund’s relative performance against the benchmark.
Within industries, the Fund’s positioning in the energy sector was the top contributor to the Fund’s outperformance for the year ended December 31, 2021, relative to the benchmark. While there were a few setbacks throughout the year, generally, this sector benefited from improving commodity prices. The Fund outperformed in this sector due to a combination of its overweight position to the sector and its credit selection within the sector. This was further highlighted by the fact that the Fund’s top two contributors to total return came from within the sector: Tourmaline Oil, a Canadian natural gas producer; and Occidental Petroleum, an oil and gas exploration and production company. In addition to the energy sector, the Fund’s holdings exhibited outperformance in a number of other sectors, including communications, basic industry, consumer cyclical and technology.
Offsetting some of these positive elements was underperformance by Fund holdings within the consumer non-cyclical sector. Also, given the overall healthy trend in market performance, even the Fund’s modest exposure to cash was a slight detractor from relative performance. From a company perspective, Fund holdings that were the largest detractors during the year included Bausch Health Companies, a specialty pharmaceutical manufacturer; and FirstEnergy, a utility holding company. However, the detraction from these holdings was modest.
Subadviser outlook
Fund management notes that, while an element of uncertainty associated with the pandemic still exists, in their view, the fundamental picture for high yield remains fairly strong. Companies have taken steps to preserve liquidity and there are limited near-term maturities across the market, resulting in Fund management’s expectation that defaults will remain low. In this environment, companies will have to continue to closely monitor potential implications of inflation; however, thus far, high-yield borrowers have generally had the pricing power to pass inflationary pressures through to their consumers. Furthermore, even in an environment of high inflation and potentially higher rates, Fund management believes that high yield offers a number of potentially attractive opportunities. Although high-yield bonds are a fixed-rate asset, the duration for the asset class is generally
20
MML High Yield Fund – Portfolio Manager Report (Unaudited) (Continued) |
shorter than other fixed-rate asset classes. 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. Additionally, rates tend to rise in an improving economy, which is a favorable environment for the companies that issue high-yield bonds.
MML High Yield Fund | |
Corporate Debt | 84.2% |
Bank Loans | 7.8% |
Mutual Funds | 4.7% |
Common Stock | 0.6% |
Total Long-Term Investments | 97.3% |
Short-Term Investments and Other Assets and Liabilities | 2.7% |
Net Assets | 100.0% |
21
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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | 10 Years |
Class II | 05/03/2010 | 8.12% | 6.02% | 7.27% |
Service Class I | 05/03/2010 | 7.88% | 5.76% | 7.01% |
Bloomberg U.S. Corporate High-Yield Bond Index |
| 5.28% | 6.30% | 6.83% |
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.
22
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). Effective May 1, 2021, Baring International Investment Limited (BIIL) was added as sub-subadviser to the Fund.
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Initial Class shares returned 6.40%, outperforming the 5.96% return of the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) (the “benchmark”), which measures the performance of rules-based, market value-weighted inflation-protected securities issued by the U.S. Treasury. It is a subset of the Global Inflation-Linked Index (Series-L).
How do inflation-indexed bonds protect against inflation?
Like many other fixed-income securities, inflation-indexed bonds pay income twice a year, based on a stated coupon rate. However, both the principal and the interest payment are adjusted for the level of inflation. The inflation rate – as measured by the Consumer Price Index for All Urban Consumers (CPI-U) – results in an adjustment to the principal amount of an inflation-protected security. The coupon rate is then applied to the adjusted principal amount to determine the interest payment. For example, assuming an inflation rate of 3%, a security with a par value of $1,000 and an annual coupon rate of 1.75%, the adjusted principal amount after one year would be $1,030 ($1,000 increased by 3%). The semi-annual interest payment would be calculated by multiplying $1,030 by 1.75% and dividing by 2 instead of using the original $1,000 par value to calculate the amount of interest.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2021, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Consumer prices, as measured by the U.S. Bureau of Labor Statistics, were up for the year 2021, as unadjusted headline CPI came in at 7.0%, up from 1.4% at 2020 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 and used vehicles were the main drivers of inflation, the headline increase was driven in large part by energy prices. As of December 31, 2021, Core CPI increased to 5.5%, up from 1.6% at 2020 year end. Core CPI is running well above the 2% inflation objective of the Federal Open Market Committee (FOMC).
TIPS positioning in aggregate contributed to Fund performance during the period. An underweight allocation, relative to the benchmark, to short-maturity inflation securities detracted from performance but was offset by allocations to high-quality income-producing assets that earned higher yields than U.S. Treasuries. Tactical positioning in 5-year inflation instruments contributed substantially to performance, while 30-year inflation securities detracted the most.
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 to the Fund’s performance over the year. ABS contributed substantially to performance, as security selections in auto loans and student loans within the ABS sector were the primary contributors. Residential and commercial mortgage-backed securities also contributed to the Fund’s performance for the year.
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.
23
MML Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited) (Continued) |
Subadviser outlook
Fund management notes that, as we enter the new year and taper talk has turned into an active tapering program, forward rate curves have pulled multiple rate hikes forward into 2022. Transitory inflation expectations are turning more persistent, as energy prices, supply chain bottlenecks, and CPI prints signal longer-term sustainable pricing pressures. In Fund management’s view, the market may be failing to appreciate the impact those higher price pressures may have on consumer demand. As such, Fund management continues to believe much of this bullish inflation sentiment has largely been priced into the inflation market.
Despite the COVID-19 variant flare-ups, positive vaccination news and the reopening of global economies have led the Barings team to maintain a constructive, but more balanced, view on the potential impact to inflation markets. Acknowledging that short-term inflation fundamentals may register as elevated well into 2022, Fund management believes that valuations may have peaked – and that valuations could remain well anchored into the first half of 2022, given employment and growth trends for the U.S. economy. Further, as seasonal pricing pressures emerge in early 2022, Fund management plans to maintain an overweight constructive tilt to inflation markets.
MML Inflation-Protected | |
Non-U.S. Government Agency Obligations | 49.1% |
U.S. Treasury Obligations | 27.8% |
U.S. Government Agency Obligations and Instrumentalities* | 11.4% |
Purchased Options | 0.5% |
Total Long-Term Investments | 88.8% |
Short-Term Investments and Other Assets and Liabilities | 11.2% |
Net Assets | 100.0% |
* | May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
24
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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | 10 Years |
Initial Class | 08/30/2002 | 6.40% | 5.46% | 3.16% |
Service Class | 08/15/2008 | 6.12% | 5.20% | 2.91% |
Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) |
| 5.96% | 5.34% | 3.09% |
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.
25
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 nationally recognized statistical rating organization, or, if unrated, determined to be of comparable quality by the subadviser or sub-subadviser). The Fund’s subadviser is Barings LLC (Barings). Effective May 1, 2021, Baring International Investment Limited (BIIL) was added as sub-subadviser to the Fund.
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Initial Class shares returned 0.81%, outperforming the -1.54% return of the Bloomberg U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities, 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 the 12-month period ended December 31, 2021, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The U.S. Federal Reserve Board (the “Fed”) finished 2021 having provided multiple indications that their accommodating policy since the beginning of the pandemic would soon be coming to a close, indicating aggressive policy moves in response to rising inflation. One policy move that was announced, and accelerated, was the Fed’s monthly bond purchase program, which began its tapering in the fourth quarter of 2021. In addition, the Fed signaled up to four rate hikes in 2022.
For the year ended December 31, 2021, the Fund had an overweight allocation, relative to the benchmark, to the corporate credit sector, which was a primary driver of performance. The Fund also benefited from security selection within the sector. Secondary oil & gas producers, select finance industries, and gas pipelines were top contributing industry holdings. Aerospace, health care facilities, and service-other were among the top detracting industry holdings.
The Fund’s overweight allocation to BBB quality holdings was the top-performing quality position over the period. The Fund held an underweight allocation to Treasuries over the period, which contributed positively to relative performance. Notable performance contributors for the year came from securitized assets – in particular, asset backed-securities backed by private student loans and aviation collateral. The Fund was overweight in asset backed securities. Out-of-benchmark active allocations in commercial mortgage-backed securities and residential mortgage-backed securities both contributed positively to relative performance. The Fund held an underweight allocation to mortgage-backed securities, which detracted from returns.
The portfolio management team generally keeps portfolio duration (interest rate sensitivity) in line with that of the benchmark – meaning that duration management was only a modest contributor to performance.
The Fund uses derivative instruments for yield curve, duration, downside hedging 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. They may also be used as a substitute for a direct investment. In aggregate, these positions contributed positively to relative performance.
Subadviser outlook
Fund management believes that 2022 is likely going to involve a tug-of-war between tight spreads and the withdrawal of monetary policy accommodation on one hand, and strong demand and improving fundamentals on the other. Fund management believes that spreads could tighten modestly in 2022. Recently released fundamental data continues to show an improving picture for corporate issuers with revenue and earnings before interest, tax, depreciation and amortization (EBITDA) having surpassed
26
MML Managed Bond Fund – Portfolio Manager Report (Unaudited) (Continued) |
pre-COVID levels. Corporate margins continue to improve across sectors, although signs of greater dispersion across sectors due to inflationary pressures in certain industries are starting to emerge. In this environment, Fund management expects that the market will continue to see rising stars emerge from the high-yield market and come into the investment-grade market.
In Fund management’s view, the outlook for the securitized market remains strong, given the continuation of the economic recovery and the improving labor market. Fund management expects fundamentals to normalize as stimulus and relief exit the economy.
MML Managed Bond Fund | |
Corporate Debt | 34.8% |
Non-U.S. Government Agency Obligations | 26.5% |
U.S. Government Agency Obligations and Instrumentalities* | 17.9% |
U.S. Treasury Obligations | 17.8% |
Mutual Funds | 4.0% |
Sovereign Debt Obligations | 0.8% |
Purchased Options | 0.2% |
Total Long-Term Investments | 102.0% |
Short-Term Investments and Other Assets and Liabilities | (2.0)% |
Net Assets | 100.0% |
* | May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
27
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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | 10 Years |
Initial Class | 12/16/1981 | 0.81% | 4.45% | 3.45% |
Service Class | 08/15/2008 | 0.56% | 4.18% | 3.19% |
Bloomberg U.S. Aggregate Bond Index |
| -1.54% | 3.57% | 2.90% |
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.
28
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 nationally recognized statistical rating organization, or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Barings LLC (Barings). Effective May 1, 2021, Baring International Investment Limited (BIIL) was added as sub-subadviser to the Fund.
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Class II shares returned 2.01%, outperforming the -0.49% return of the Bloomberg U.S. Aggregate 1-3 Year Bond Index (the “benchmark”), which measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities with maturities of 1-3 years, 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 the 12-month period ended December 31, 2021, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The U.S. Federal Reserve Board (the “Fed”) finished 2021 having provided multiple indications that their accommodation policy since the beginning of the pandemic would soon be coming to a close, indicating aggressive policy moves in response to rising inflation. One policy move that was announced, and accelerated, was the Fed’s monthly bond purchase program, which began its tapering in the fourth quarter of 2021. In addition, the Fed signaled up to four rate hikes in 2022.
For the year ended December 31, 2021, the Fund’s positioning in corporate bonds was a significant contributor to performance. The Fund held an overweight allocation to this sector, relative to the benchmark. Select finance industries, secondary oil & gas producers, and banking were among the top contributing industry holdings. Property/real estate developers, food processors, and airlines were among the top detracting industry holdings. The Fund’s allocation to BBB holdings and its marginal allocation to BB quality holdings contributed positively to performance. The Fund had an underweight allocation to Treasuries over the period, which detracted from relative performance.
Securitized assets were a strong positive contributor to Fund performance over the year. The Fund was overweight in the sector relative to the benchmark. Asset backed-securities were a positive contributor to performance, as were commercial mortgage-backed securities and residential mortgage-backed securities. The Fund had an underweight allocation to mortgage-backed securities, which detracted from performance.
The Fund’s duration positioning – a measure of price sensitivity to changes in yields – was a positive contributor to its full-year results. As of December 31, 2021, the Fund’s duration stood at 2.4 years, versus 1.9 years for the benchmark. The Fund’s duration position was held short for most of 2021, and then was extended, based on Barings’ long-standing rules-based approach to managing interest rate risk.
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. The use of derivatives contributed to the Fund’s performance.
Subadviser outlook
Fund management believes that 2022 is likely going to involve a tug-of-war between tight spreads and the withdrawal of monetary policy accommodation on one hand, and strong demand and improving fundamentals on the other. Fund management believes that spreads could tighten modestly in 2022. Recently released fundamental data continues to show an improving picture
29
MML Short-Duration Bond Fund – Portfolio Manager Report (Unaudited) (Continued) |
for corporate issuers with revenue and earnings before interest, tax, depreciation and amortization (EBITDA) having surpassed pre-COVID levels. Corporate margins continue to improve across sectors, although signs of greater dispersion across sectors due to inflationary pressures in certain industries are starting to emerge. In this environment, Fund management expects that the market will continue to see rising stars emerge from the high-yield market and come into the investment-grade market.
In Fund management’s view, the outlook for the securitized market remains strong, given the continuation of the economic recovery and the improving labor market. Fund management expects fundamentals to normalize as stimulus and relief exit the economy.
MML Short-Duration Bond Fund | |
Corporate Debt | 51.7% |
Non-U.S. Government Agency Obligations | 43.7% |
U.S. Government Agency Obligations and Instrumentalities* | 1.2% |
Mutual Funds | 0.2% |
Municipal Obligations | 0.2% |
Purchased Options | 0.1% |
Total Long-Term Investments | 97.1% |
Short-Term Investments and Other Assets and Liabilities | 2.9% |
Net Assets | 100.0% |
* | May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
30
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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | 10 Years |
Class II | 05/03/2010 | 2.01% | 2.41% | 2.11% |
Service Class I | 05/03/2010 | 1.69% | 2.15% | 1.86% |
Bloomberg U.S. Aggregate 1-3 Year Bond Index | -0.49% | 1.81% | 1.38% |
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
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).
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Initial Class shares returned 22.75%, significantly outperforming the 14.82% return of the Russell 2000 Index (the “benchmark”), which measures the performance of the small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2021, 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, 2021, stock selection within the industrials, health care, and financial sectors was the primary driver of the Fund’s outperformance of the benchmark. This was partially offset by weaker stock selection in the information technology, energy, and materials sectors.
Fund holdings that were top contributors to the Fund’s relative performance included Atkore, Zurn Water Solutions, and Korn Ferry. Atkore benefited from strong price realization, as PVC conduits industry-wide were in tight supply, which drove earnings before interest, tax, depreciation, and amortization (EBITDA) margins to a historically strong level. Management consulting firm Korn Ferry experienced a strong rebound in revenues, new business bookings, and earnings. Furthermore, the company achieved greater revenue synergies between business units, and many cost cuts made during COVID (in areas such as real estate and administrative functions) will be permanent. Zurn Water Solutions, formerly known as Rexnord, outperformed after announcing and completing a spin-off of its Process and Motion Control Business (PMC), with the remaining water infrastructure platform now a stand-alone business.
Fund holdings that were top detractors from relative performance included LHC Group, Q2 Holdings, and iRhythm Technologies. LHC Group (which provides in-home care across the nation, and careers for caregivers) came under pressure due to concerns about labor shortages in health care positions. Furthermore, the stock suffered on investor fears that COVID-19 was causing a lack of referrals from skilled nursing facilities. Q2 Holdings, a provider of secure, cloud-based virtual banking solutions, saw its business momentum for new business wins adversely impacted by an elongation of the sales cycles associated with COVID-related pushouts on decision-making. iRhythm, a digital health care company that focuses on how cardiac arrhythmias are clinically diagnosed, underperformed due to a surprise cut to Medicare reimbursements for its ambulatory cardiac monitor, which was announced in February. Fund management exited the position as a result.
Subadviser outlook
Fund management believes that the U.S. economy is experiencing a sustained recovery from the COVID-induced recession, as reopening builds steam. While the omicron variant caused some mild reversals in return-to-office plans and paused normalization, it has not materially slowed economic growth. Fund management believes COVID-19 appears to be moving from a pandemic to a less-severe endemic disease. Stocks have experienced significant gains over the past two years, while underlying earnings have grown roughly in line with stock prices. Interest rates remained low at year end, but in Fund management’s view, long-term rates bear watching. They continue to seek companies with competitive advantages and skilled management teams that are out-executing their peers.
32
MML Small Cap Equity Fund – Portfolio Manager Report (Unaudited) (Continued) |
MML Small Cap Equity Fund | |
Tenet Healthcare Corp. | 2.1% |
Evoqua Water Technologies Corp. | 2.0% |
AutoNation, Inc. | 1.9% |
Ziff Davis, Inc. | 1.9% |
Azenta, Inc. | 1.8% |
Korn Ferry | 1.8% |
National Storage Affiliates Trust | 1.8% |
Stifel Financial Corp. | 1.8% |
ASGN, Inc. | 1.7% |
Sterling Bancorp | 1.7% |
18.5% | |
MML Small Cap Equity Fund | |
Consumer, Non-cyclical | 22.7% |
Financial | 19.3% |
Industrial | 18.2% |
Technology | 15.5% |
Consumer, Cyclical | 11.3% |
Utilities | 3.2% |
Basic Materials | 3.2% |
Communications | 3.0% |
Energy | 2.3% |
Total Long-Term Investments | 98.7% |
Short-Term Investments and Other Assets and Liabilities | 1.3% |
Net Assets | 100.0% |
33
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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | 10 Years |
Initial Class | 06/01/1998 | 22.75% | 13.99% | 14.93% |
Service Class | 08/15/2008 | 22.45% | 13.71% | 14.64% |
Russell 2000 Index |
| 14.82% | 12.02% | 13.23% |
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.
34
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 of any size. The Fund’s subadviser and sub-subadviser invest the Fund’s assets using an indexing strategy. Under normal circumstances, the Fund invests primarily, and normally at least 80% of its net assets, in the equity securities of companies included within the S&P U.S. IPO and Spin-Off Index* (the “Index”). The Fund’s subadviser is Invesco Advisers, Inc. (Invesco) and the Fund’s sub-subadviser is Invesco Capital Management LLC (ICM).
* | The “S&P U.S. IPO and Spin-Off Index” is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”), and has been licensed for use by MassMutual. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P U.S. IPO and Spin-Off Index. |
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Class II shares returned 1.71%, significantly underperforming the 25.66% return of the Russell 3000® Index (the “benchmark”), which measures the performance of the 3,000 largest U.S. companies representing approximately 98% of the investable U.S. equity market. The Fund’s Class II shares underperformed the 2.56% return of the Index, which is designed to measure the performance of companies within the S&P U.S. BMI that have had initial public offerings (IPOs) or have spun off from a parent company within the last five years and have a float-adjusted market cap of at least USD $1 billion.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2021, 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, 2021, the Fund underperformed the Russell 3000 Index by almost 24%. This underperformance was broad-based, with every sector having a negative effect on relative performance, although the largest detractor from the Fund’s full-year returns was the information technology (IT) sector.
Within the IT sector, there were two main causes for underperformance: First, by the nature of its objective to invest in newly public companies, the Fund will not invest in large, long-established and long-public IT companies, such as the technology device manufacturer Apple. Over the reporting period, these sorts of companies surged, based on renewed COVID concerns across the U.S.
Second, one of the Fund’s largest holdings within the IT sector, the video conferencing company Zoom Video Communications, saw a significant pullback after surging earlier in the year – when millions of companies, workers and individuals nationwide drove up the stock’s share price when they adopted Zoom as their go-to video conferencing tool during the early days of the pandemic. Other major holdings detracting from the Fund’s performance were Pinterest, Inc. and Uber Technologies, Inc.
Despite the Fund’s broad underperformance in all sectors, there were a few Fund holdings that outperformed, including Carrier Global Corp. (an American multinational home appliances corporation) and home leasing company Invitation Homes, Inc. The Fund had overweight allocations to both of these stocks.
Subadviser outlook
The Fund will continue to provide diversified exposure to newly public companies within the United States for the foreseeable future. Fund management notes that, as the strategy is designed to track an index, the Fund’s positioning results from a rules-based investment process.
35
MML Special Situations Fund – Portfolio Manager Report (Unaudited) (Continued) |
MML Special Situations Fund | |
Uber Technologies, Inc. | 7.7% |
Snowflake, Inc. Class A | 7.2% |
Airbnb, Inc. Class A | 6.4% |
Snap, Inc. Class A | 5.5% |
Carrier Global Corp. | 5.2% |
Dow, Inc. | 4.6% |
Zoom Video Communications, Inc. Class A | 4.4% |
Otis Worldwide Corp. | 4.1% |
Corteva, Inc. | 3.8% |
Invitation Homes, Inc. | 3.0% |
51.9% | |
MML Special Situations Fund | |
Communications | 28.0% |
Technology | 19.9% |
Consumer, Non-cyclical | 15.3% |
Industrial | 11.7% |
Financial | 10.8% |
Consumer, Cyclical | 7.6% |
Basic Materials | 4.6% |
Energy | 2.1% |
Mutual Funds | 1.1% |
Total Long-Term Investments | 101.1% |
Short-Term Investments and Other Assets and Liabilities | (1.1)% |
Net Assets | 100.0% |
36
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 12/31/2021) | |||||
| Inception Date | 1 Year | 5 Years | Since Inception | Since |
Class II | 05/15/2015 | 1.71% | 13.02% | 9.27% | |
Service Class I | 05/15/2015 | 1.42% | 12.73% | 9.00% | |
Rusell 3000 Index* | 25.66% | 17.97% | 14.71% | ||
S&P U.S. IPO and Spin-Off Index** |
| 2.56% | 13.19% |
| 11.12% |
* Benchmark
** Since 07/13/2015
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.
37
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 indexes, 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).
How did the Fund perform during the 12 months ended December 31, 2021?
The Fund’s Service Class I shares returned -8.35%, underperforming, by a wide margin, the -2.54% 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 the 12-month period ended December 31, 2021, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
From a sector perspective, the largest detractor from the Fund’s relative performance for the year ended December 31, 2021 was stock selection in the financial sector. Fund holdings in the communication services sector detracted from returns, as did stock selection and an overweight allocation, relative to the benchmark, to health care. Conversely, stock selection in the consumer discretionary, consumer staples, and energy sectors was the largest contributor to the Fund’s relative performance.
From a country perspective, the largest detractor from relative performance was stock selection in China. An underweight allocation to China and stock selection in India also had a negative impact on performance.
The largest contributors to the Fund’s full-year returns were overweight allocations to Switzerland, Singapore, and France.
From a Fund holding perspective, the largest detractors for the year were Pinduoduo, New Oriental Education, and Tencent. Pinduoduo operates an interactive e-commerce platform in China, originally created with the goal of linking agricultural producers to consumers. Pinduoduo rapidly acquired a large user base through its pioneering group purchase model designed to promote interactions between users with a value-for-money proposition, while offering a fun social setting. The idea took off among Chinese consumers and expanded into numerous categories, including electronics, apparel, cosmetics, auto, and household furniture. The company continued to be impacted by an ongoing slowdown in consumer spending attributed to continued coronavirus outbreaks. Furthermore, the Chinese technology sector remained under pressure, as investors have continued to assess the changing regulatory landscape. New Oriental Education (EDU) operates in China’s vast after-school tutoring (AST) market. EDU became the nation’s largest private tutoring provider; however, the Chinese government announced broad regulatory changes, which required all AST companies to convert to non-profit businesses. This news was more extreme than anticipated, resulting in shockwaves across China’s vast private education sector. Tencent is a Chinese internet company with roots spread throughout China’s technology infrastructure. The Chinese technology sector remained under pressure as authorities continued to evaluate threats to personal data and sought to root out monopolistic practices.
Fund holdings that were the top contributors for the year included Taiwan Semiconductor Manufacturing Co. (TSMC), Novatek, and Richemont. TSMC is the world’s preeminent semiconductor foundry. For the past 30 years, TSMC has made in-house design and innovation a priority, while placing a large emphasis on client service and trust, allowing them to capture a large majority of the overall market share. TSMC is firmly positioned as the key enabler of the new computing revolution in the semiconductor industry – with multiple architectures, chip platforms, and design teams competing to push computing and AI innovation. Novatek is a Russian energy company that has stood at the forefront of technological and business innovation,
38
MML Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited) (Continued) |
finding creative ways to add value to its constantly expanding natural gas and stable gas condensate resource base. Novatek continues to secure financing and agreements for future projects, along with substantial amount of available liquidity that can be deployed. Richemont is a Swiss luxury goods company with a diversified portfolio of premium brands spanning women and men’s jewelry – including the prestigious Cartier brand.
Subadviser outlook
Fund management believes that non-China emerging markets are poised for a cyclical recovery, particularly in Latin America, where economic challenges and social-political drama have hampered meaningful growth. Meanwhile, despite the recent retreat in Chinese equities due to regulatory interventions, Fund management believes that the ingredients are there for a structural bull case for Chinese equities, given their superior growth, the trend in domestic investor portfolio diversification, and investors’ growing access to high-quality new company listings.
MML Strategic Emerging Markets Fund | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 8.9% |
Housing Development Finance Corp. Ltd. | 5.1% |
Novatek PJSC Sponsored GDR Registered | 4.1% |
AIA Group Ltd. | 4.1% |
Cie Financiere Richemont SA Registered | 3.7% |
Kotak Mahindra Bank Ltd. | 3.6% |
Tata Consultancy Services Ltd. | 3.5% |
Yum China Holdings, Inc. | 3.4% |
Grab Holdings, Ltd. | 3.3% |
Tencent Holdings Ltd. | 3.1% |
42.8% | |
MML Strategic Emerging Markets Fund | |
Technology | 21.0% |
Financial | 20.4% |
Consumer, Cyclical | 16.3% |
Communications | 16.3% |
Consumer, Non-cyclical | 11.7% |
Basic Materials | 6.1% |
Energy | 4.1% |
Industrial | 2.6% |
Total Long-Term Investments | 98.5% |
Short-Term Investments and Other Assets and Liabilities | 1.5% |
Net Assets | 100.0% |
39
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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | 10 Years |
Class II | 05/01/2009 | -8.06% | 9.76% | 4.11% |
Service Class I | 08/27/2008 | -8.35% | 9.49% | 3.85% |
MSCI Emerging Markets Index |
| -2.54% | 9.87% | 5.49% |
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.
40
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 seeks 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. 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. The Fund seeks to maintain, but does not guarantee, a stable $1.00 share price. 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, 2021?
The Fund’s Initial Class shares returned 0.00%, underperforming the 0.05% return of the FTSE 3 Month US T Bill Index (the “benchmark”), which measures the performance of the last three three-month Treasury bill month-end rates.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2021, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The U.S. Federal Reserve Board (the “Fed”) held the federal funds target rate steady at 0.00%-0.25% and finished 2021 having provided multiple indications that its accommodation policy since the beginning of the pandemic would soon be coming to a close, indicating aggressive policy moves in response to rising inflation. One policy move that was announced, and accelerated, was the Fed’s monthly bond purchase program, which began its tapering in the fourth quarter of 2021. In addition, the Fed signaled up to four rate hikes in 2022.
LIBOR (London Interbank Offered Rate) rates decreased, with one-month LIBOR down 4.00% to 0.10% over the year, and three-month LIBOR down 3.00% to 0.21% over the 12-month period. The weighted average maturity (WAM) of the Fund moved up from the mid-20s to about 50 days.
After finally seeing some steepening of the yield curve, the Fund capitalized by buying longer-dated fixed paper and grabbing some yield, while still staying nimble enough to adapt to an ever-changing Fed. The weighted average life (WAL) of the Fund ended the year around 100 days. At December 31, 2021, the current variable-rate exposure in the Fund was at 25%, down about 15% from 2020. The Fund did not buy much variable-rate paper during the year, as there was no yield pickup.
Subadviser outlook
Fund management notes that Fed fund futures were, as of December 31, 2021, pricing in three and a half rate hikes by the end of 2022. After the Fed pivoted to a more hawkish stance, the market soon followed, projecting another potential two and a half hikes for 2022, in the fourth quarter. The Fund purposely brought its WAM higher as a result of a steeper yield curve. The yield curve is a graph showing the term structure of interest rates by plotting the yields of all bonds of comparable quality with maturities ranging from the shortest – typically one month – to the longest – typically 30 years – available. The resulting curve shows whether short-term interest rates are higher or lower than long-term rates.
In the first quarter of 2022, Fund management expects to bring the WAM of the Fund down so that the Fund could be in a position to capitalize on higher rates, should the Fed choose to begin liftoff in March 2022, as many in the market expect. Fund management plans to continue monitoring both the words and actions of the Fed – so that Fund management can react appropriately and swiftly.
41
MML U.S. Government Money Market Fund – Portfolio Manager Report (Unaudited) (Continued) |
MML U.S. Government | |
Discount Notes | 74.8% |
Repurchase Agreement | 8.6% |
U.S. Treasury Bill | 16.6% |
Total Short-Term Investments | 100.0% |
Other Assets & Liabilities | (0.0)% |
Net Assets | 100.0% |
42
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 12/31/2021) | ||||
| Inception Date | 1 Year | 5 Years | 10 Years |
Initial Class | 12/16/1981 | 0.00% | 0.72% | 0.37% |
FTSE 3 Month US T Bill Index |
| 0.05% | 1.11% | 0.60% |
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.
43
December 31, 2021 |
Number of | Value | |||||||
MUTUAL FUNDS — 100.8% | ||||||||
Diversified Financial Services — 100.8% | ||||||||
iShares 5-10 Year Investment Grade Corporate Bond ETF (a) | 539,029 | $ | 31,948,249 | |||||
iShares Core S&P 500 ETF | 482,298 | 230,051,323 | ||||||
iShares Core S&P Mid-Cap ETF | 63,944 | 18,101,267 | ||||||
iShares Core S&P Small-Cap ETF (a) | 68,788 | 7,876,914 | ||||||
iShares Core S&P Total US Stock Market ETF | 2,362,044 | 252,691,467 | ||||||
iShares Core Total USD Bond Market ETF | 2,510,391 | 132,874,996 | ||||||
iShares Core U.S. Aggregate Bond ETF | 1,164,706 | 132,869,660 | ||||||
iShares iBoxx High Yield Corporate Bond ETF | 361,890 | 31,488,049 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (b) | 7,277,166 | 7,277,166 | ||||||
TOTAL MUTUAL FUNDS (Cost $732,726,932) | 845,179,091 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $732,726,932) | 845,179,091 | |||||||
Principal | ||||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||
Repurchase Agreement — 0.1% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/21, 0.000%, due 1/03/22 (c) | $ | 524,331 | 524,331 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $524,331) | 524,331 | |||||||
TOTAL INVESTMENTS — 100.9% (Cost $733,251,263) (d) | 845,703,422 | |||||||
Other Assets/(Liabilities) — (0.9)% | (7,594,063 | ) | ||||||
NET ASSETS — 100.0% | $ | 838,109,359 |
Abbreviation Legend
ETF | Exchange-Traded Fund |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2021, was $9,537,390 or 1.14% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $2,466,445 of non-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). |
(b) | Represents investment of security lending cash collateral. (Note 2). |
(c) | Maturity value of $524,331. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 7/31/28, and an aggregate market value, including accrued interest, of $534,882. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
44
December 31, 2021 |
Principal | Value | |||||||
BONDS & NOTES — 94.2% | ||||||||
BANK LOANS — 4.6% | ||||||||
Advertising — 0.0% | ||||||||
Terrier Media Buyer, Inc., 2021 Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
3.604% VRN 12/17/26 | $ | 58,806 | $ | 58,497 | ||||
Aerospace & Defense — 0.1% | ||||||||
TransDigm, Inc., 2020 Term Loan F, 1 mo. USD LIBOR + 2.250% | ||||||||
2.354% VRN 12/09/25 | 168,303 | 165,843 | ||||||
Airlines — 0.1% | ||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, 3 mo. USD LIBOR + 4.750% | ||||||||
5.500% VRN 4/20/28 | 120,000 | 124,135 | ||||||
Air Canada, 2021 Term Loan B, 3 mo. USD LIBOR + 3.500% | ||||||||
4.250% VRN 8/11/28 | 75,000 | 74,692 | ||||||
American Airlines, Inc., 2017 Incremental Term Loan, 3 mo. USD LIBOR + 2.000% | ||||||||
2.110% VRN 12/15/23 | 73,310 | 71,643 | ||||||
Kestrel Bidco, Inc., Term Loan B, 6 mo. USD LIBOR + 3.000% | ||||||||
4.000% VRN 12/11/26 | 68,713 | 66,520 | ||||||
United Airlines, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 4/21/28 | 84,363 | 84,477 | ||||||
421,467 | ||||||||
Auto Parts & Equipment — 0.0% | ||||||||
Clarios Global LP, 2021 USD Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 4/30/26 | 129,445 | 128,572 | ||||||
Building Materials — 0.0% | ||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 11/23/27 | 119,108 | 118,453 | ||||||
Chemicals — 0.2% | ||||||||
Diamond (BC) B.V., 2021 Term Loan B, 3 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 9/29/28 | 175,000 | 174,179 | ||||||
Illuminate Buyer, LLC, 2021 Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
3.604% VRN 6/30/27 | 80,104 | 79,548 |
Principal | Value | |||||||
Kraton Polymers LLC, 2021 USD Term Loan, | ||||||||
0.000% 11/18/28 (a) | $ | 75,000 | $ | 74,860 | ||||
Olympus Water US Holding Corp., 2021 USD Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 11/09/28 | 100,000 | 99,583 | ||||||
W.R. Grace & Co., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 9/22/28 | 145,000 | 145,109 | ||||||
573,279 | ||||||||
Commercial Services — 0.3% | ||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 5/12/28 | 292,642 | 291,363 | ||||||
CHG Healthcare Services, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 9/29/28 | 134,663 | 134,528 | ||||||
CoreLogic, Inc., Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 6/02/28 | 64,838 | 64,708 | ||||||
EAB Global, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 8/16/28 | 160,000 | 158,966 | ||||||
Mister Car Wash Holdings, Inc., 2019 Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
3.102% VRN 5/14/26 | 47,892 | 47,592 | ||||||
Spin Holdco, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 4.000% | ||||||||
4.750% VRN 3/04/28 | 84,575 | 84,775 | ||||||
Team Health Holdings, Inc., 1st Lien Term Loan, 1 mo. USD LIBOR + 2.750% | ||||||||
3.750% VRN 2/06/24 | 24,486 | 23,341 | ||||||
Trans Union, LLC, 2021 Term Loan B6, | ||||||||
0.000%12/01/28 (a) (b) | 100,000 | 99,675 | ||||||
Verscend Holding Corp., 2021 Term Loan B, 1 mo. USD LIBOR + 4.000% | ||||||||
4.104% VRN 8/27/25 | 69,650 | 69,563 | ||||||
974,511 | ||||||||
Computers — 0.1% | ||||||||
Peraton Corp., Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 2/01/28 | 119,100 | 119,057 | ||||||
Redstone Holdco LP, 2021 Term Loan, 3 mo. USD LIBOR + 4.750% | ||||||||
5.500% VRN 4/27/28 | 65,000 | 61,933 |
The accompanying notes are an integral part of the financial statements.
45
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Surf Holdings LLC, USD Term Loan, 3 mo. USD LIBOR + 3.500% | ||||||||
3.690% VRN 3/05/27 | $ | 128,376 | $ | 127,234 | ||||
308,224 | ||||||||
Diversified Financial Services — 0.2% | ||||||||
AllSpring Buyer LLC, Term Loan B, 2 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 11/01/28 | 93,145 | 93,339 | ||||||
Astra Acquisition Corp., 2021 1st Lien Term Loan, 1 mo. USD LIBOR + 5.250% | ||||||||
5.750% VRN 10/25/28 | 250,000 | 244,792 | ||||||
Blackhawk Network Holdings, Inc., 2018 1st Lien Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 6/15/25 | 113,955 | 113,101 | ||||||
Castlelake Aviation Ltd., Term Loan B, 3 mo. USD LIBOR + 2.750% | ||||||||
3.250% VRN 10/22/26 | 144,638 | 143,869 | ||||||
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
4.750% VRN 4/09/27 | 118,224 | 118,280 | ||||||
713,381 | ||||||||
Electric — 0.0% | ||||||||
Pacific Gas & Electric Co., 2020 Term Loan, 3 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 6/23/25 | 73,875 | 72,988 | ||||||
Electronics — 0.0% | ||||||||
Compass Power Generation LLC, 2018 Term Loan B, 1 mo. USD LIBOR + 3.500% | ||||||||
4.500% VRN 12/20/24 | 49,647 | 49,399 | ||||||
Mirion Technologies, Inc., 2021 Term Loan, 2 mo. USD LIBOR + 2.750% | ||||||||
3.250% VRN 10/20/28 | 95,000 | 94,678 | ||||||
144,077 | ||||||||
Entertainment — 0.1% | ||||||||
UFC Holdings LLC, 2021 Term Loan B, 6 mo. USD LIBOR + 2.750% | ||||||||
3.500% VRN 4/29/26 | 285,451 | 283,869 | ||||||
Environmental Controls — 0.0% | ||||||||
Filtration Group Corp., 2018 1st Lien Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 3/29/25 | 109,424 | 108,364 |
Principal | Value | |||||||
Food — 0.1% | ||||||||
CHG PPC Parent LLC, 2021 Term Loan, 3 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 12/08/28 | $ | 120,000 | $ | 119,400 | ||||
H Food Holdings LLC, 2018 Term Loan B, 1 mo. USD LIBOR + 3.687% | ||||||||
3.792% VRN 5/23/25 | 48,923 | 48,547 | ||||||
United Natural Foods, Inc., Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 10/22/25 | 14,213 | 14,201 | ||||||
182,148 | ||||||||
Health Care – Products — 0.1% | ||||||||
Medline Borrower LP, USD Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 10/23/28 | 245,000 | 244,892 | ||||||
Health Care – Services — 0.3% | ||||||||
ADMI Corp., 2021 Incremental Term Loan B3, 1 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 12/23/27 | 64,838 | 64,665 | ||||||
Aveanna Healthcare, LLC | ||||||||
2021 Delayed Draw Term Loan, | ||||||||
0.000% 7/17/28 (a) (b) | 33,019 | 32,819 | ||||||
2021 Term Loan B, | ||||||||
0.000% 7/17/28 (a) | 141,981 | 141,119 | ||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, 1 mo. USD LIBOR + 3.750% | ||||||||
3.854% VRN 10/10/25 | 46,187 | 37,029 | ||||||
ICON Luxembourg S.A.R.L. | ||||||||
LUX Term Loan, 3 mo. USD LIBOR + 2.250% | ||||||||
2.750% VRN 7/03/28 | 68,967 | 68,938 | ||||||
US Term Loan, 3 mo. USD LIBOR + 2.250% | ||||||||
2.750% VRN 7/03/28 | 17,183 | 17,176 | ||||||
Radiology Partners, Inc., 2018 1st Lien Term Loan B, 1 mo. USD LIBOR + 4.250%, 3 mo. USD LIBOR + 4.250% | ||||||||
4.360% - 4.360% VRN 7/09/25 | 145,000 | 142,705 | ||||||
Radnet Management, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 3.000% | ||||||||
3.750% VRN 4/21/28 | 288,862 | 288,590 |
The accompanying notes are an integral part of the financial statements.
46
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
3.852% VRN 11/16/25 | $ | 95,193 | $ | 95,015 | ||||
888,056 | ||||||||
Household Products & Wares — 0.0% | ||||||||
Kronos Acquisition Holdings, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 12/22/26 | 118,800 | 115,051 | ||||||
Housewares — 0.1% | ||||||||
Springs Windows Fashions, LLC, 2021 Term Loan B, 3 mo. USD LIBOR + 4.000% | ||||||||
4.750% VRN 10/06/28 | 290,000 | 287,100 | ||||||
Insurance — 0.4% | ||||||||
Acrisure LLC | ||||||||
2020 Term Loan B, 3 mo. USD LIBOR + 3.500% | ||||||||
3.724% VRN 2/15/27 | 122,188 | 120,660 | ||||||
2021 First Lien Term Loan B, 3 mo. USD LIBOR + 4.250% | ||||||||
4.750% VRN 2/15/27 | 125,000 | 124,791 | ||||||
AssuredPartners, Inc., 2020 Term Loan B, 1 mo. USD LIBOR + 3.500% | ||||||||
3.604% VRN 2/12/27 | 239,405 | 237,277 | ||||||
Asurion LLC | ||||||||
2020 Term Loan B8, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 12/23/26 | 153,450 | 152,299 | ||||||
2021 Term Loan B9, 1 mo. USD LIBOR + 3.250% | ||||||||
3.354% VRN 7/31/27 | 74,624 | 74,102 | ||||||
OneDigital Borrower LLC, 2021 Term Loan, SOFR + 4.250% | ||||||||
4.750% 11/16/27 | 330,000 | 328,865 | ||||||
Sedgwick Claims Management Services, Inc., 2019 Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
3.854% VRN 9/03/26 | 34,125 | 34,068 | ||||||
1,072,062 | ||||||||
Internet — 0.2% | ||||||||
Endure Digital, Inc., Term Loan, 3 mo. USD LIBOR + 3.500% | ||||||||
4.250% VRN 2/10/28 | 139,300 | 137,995 | ||||||
Getty Images, Inc., 2019 USD Term Loan B, 1 mo. USD LIBOR + 4.500% | ||||||||
4.625% VRN 2/19/26 | 34,007 | 34,015 |
Principal | Value | |||||||
ION Trading Finance Ltd., 2021 USD Term Loan, 3 mo. USD LIBOR + 4.750% | ||||||||
4.974% VRN 4/03/28 | $ | 228,850 | $ | 229,168 | ||||
Proofpoint, Inc., 1st Lien Term Loan, 3 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 8/31/28 | 130,000 | 129,360 | ||||||
530,538 | ||||||||
Leisure Time — 0.1% | ||||||||
Carnival Corp., 2021 Incremental Term Loan B, 6 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 10/18/28 | 220,000 | 217,800 | ||||||
ClubCorp Holdings, Inc., 2017 Term Loan B, 3 mo. USD LIBOR + 2.750% | ||||||||
2.970% VRN 9/18/24 | 19,336 | 18,582 | ||||||
236,382 | ||||||||
Lodging — 0.0% | ||||||||
Caesars Resort Collection LLC, 2020 Term Loan B1, 1 mo. USD LIBOR + 3.500% | ||||||||
3.604% VRN 7/21/25 | 59,250 | 59,235 | ||||||
Machinery – Diversified — 0.1% | ||||||||
Titan Acquisition Ltd., 2018 Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
3.354% VRN 3/28/25 | 39,186 | 38,489 | ||||||
Vertical US Newco, Inc., Term Loan B, 6 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 7/30/27 | 197,512 | 197,485 | ||||||
235,974 | ||||||||
Media — 0.2% | ||||||||
Cengage Learning, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 4.750% | ||||||||
5.750% VRN 6/29/26 | 170,000 | 170,301 | ||||||
DIRECTV Financing LLC, Term Loan, 3 mo. USD LIBOR + 5.000% | ||||||||
5.750% VRN 8/02/27 | 71,480 | 71,500 | ||||||
The E.W. Scripps Co., 2019 Term Loan B2, 1 mo. USD LIBOR + 2.562% | ||||||||
3.313% VRN 5/01/26 | 115,099 | 114,757 | ||||||
Radiate Holdco LLC, 2021 Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 9/25/26 | 145,000 | 144,411 | ||||||
500,969 |
The accompanying notes are an integral part of the financial statements.
47
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Packaging & Containers — 0.1% | ||||||||
Flex Acquisition Co., Inc., 2018 Incremental Term Loan, 3 mo. USD LIBOR + 3.000% | ||||||||
3.214% VRN 6/29/25 | $ | 24,595 | $ | 24,349 | ||||
Graham Packaging Co., Inc., 2021 Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.750% VRN 8/04/27 | 77,785 | 77,501 | ||||||
Pretium PKG Holdings, Inc., 2021 1st Lien Term Loan, 6 mo. USD LIBOR + 4.000% | ||||||||
4.500% VRN 10/02/28 | 110,000 | 109,684 | ||||||
TricorBraun Holdings, Inc. ., 2021 Term Loan, 1 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 3/03/28 | 69,671 | 69,110 | ||||||
280,644 | ||||||||
Pharmaceuticals — 0.2% | ||||||||
Gainwell Acquisition Corp., Term Loan B, 3 mo. USD LIBOR + 4.000% | ||||||||
4.750% VRN 10/01/27 | 237,496 | 237,853 | ||||||
Jazz Financing Lux S.a.r.l., USD Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
4.000% VRN 5/05/28 | 223,875 | 224,589 | ||||||
Organon & Co, USD Term Loan, 3 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 6/02/28 | 216,938 | 216,983 | ||||||
679,425 | ||||||||
Pipelines — 0.1% | ||||||||
CQP Holdco LP, 2021 Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 6/05/28 | 218,054 | 217,417 | ||||||
Traverse Midstream Partners LLC, 2017 Term Loan, 3 mo. USD LIBOR + 4.250% | ||||||||
5.250% VRN 9/27/24 | 53,816 | 53,514 | ||||||
270,931 | ||||||||
Retail — 0.2% | ||||||||
Great Outdoors Group LLC, 2021 Term Loan B1, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 3/06/28 | 173,253 | 173,289 | ||||||
Petco Health & Wellness Co., Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 3/03/28 | 124,063 | 123,791 |
Principal | Value | |||||||
PetSmart, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 2/11/28 | $ | 69,825 | $ | 69,869 | ||||
SRS Distribution, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 6/02/28 | 99,750 | 99,432 | ||||||
Whatabrands LLC, 2021 Term Loan B, 1 mo. USD LIBOR + 3.250% | ||||||||
3.750% VRN 8/03/28 | 115,000 | 114,477 | ||||||
580,858 | ||||||||
Software — 1.0% | ||||||||
Ascend Learning LLC, 2021 Term Loan, | ||||||||
0.000% 12/11/28 (a) | 275,000 | 274,370 | ||||||
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, 1 mo. USD LIBOR + 3.000% | ||||||||
4.000% VRN 10/30/26 | 118,800 | 118,615 | ||||||
Castle US Holding Corp., USD Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
3.974% VRN 1/29/27 | 157,667 | 156,046 | ||||||
Cornerstone OnDemand, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 10/16/28 | 130,000 | 129,489 | ||||||
Cvent, Inc., 1st Lien Term Loan, 1 mo. USD LIBOR + 3.750% | ||||||||
3.854% VRN 11/29/24 | 34,082 | 34,007 | ||||||
DCert Buyer, Inc., 2019 Term Loan B, 1 mo. USD LIBOR + 4.000% | ||||||||
4.104% VRN 10/16/26 | 74,244 | 74,051 | ||||||
Finastra USA, Inc. | ||||||||
USD 1st Lien Term Loan, 3 mo. USD LIBOR + 3.500% | ||||||||
4.500% VRN 6/13/24 | 63,150 | 62,824 | ||||||
USD 2nd Lien Term Loan, 3 mo. USD LIBOR + 7.250% | ||||||||
8.250% VRN 6/13/25 | 20,000 | 19,943 | ||||||
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, 1 mo. USD LIBOR + 4.000% | ||||||||
4.750% VRN 12/01/27 | 246,536 | 247,255 | ||||||
Hyland Software, Inc., 2018 1st Lien Term Loan, 1 mo. USD LIBOR + 3.500% | ||||||||
4.250% VRN 7/01/24 | 220,436 | 221,097 | ||||||
Mitchell International, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.250% VRN 10/15/28 | 390,000 | 387,360 |
The accompanying notes are an integral part of the financial statements.
48
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Polaris Newco LLC, USD Term Loan B, 3 mo. USD LIBOR + 4.000% | ||||||||
4.500% VRN 6/02/28 | $ | 309,225 | $ | 308,934 | ||||
Project Alpha Intermediate Holding, Inc., 2021 Term Loan B, 1 mo. USD LIBOR + 4.000% | ||||||||
4.104% VRN 4/26/24 | 186,375 | 186,492 | ||||||
Sophia, L.P., 2021 Term Loan B, 3 mo. USD LIBOR + 3.500% | ||||||||
4.250% VRN 10/07/27 | 148,503 | 148,391 | ||||||
Tibco Software, Inc., 2020 Term Loan B3, 1 mo. USD LIBOR + 3.750% | ||||||||
3.852% VRN 6/30/26 | 128,013 | 126,939 | ||||||
The Ultimate Software Group, Inc. (The) | ||||||||
Term Loan B, 1 mo. USD LIBOR + 3.750% | ||||||||
3.854% VRN 5/04/26 | 122,479 | 122,020 | ||||||
2021 Term Loan, 3 mo. USD LIBOR + 3.250% | ||||||||
4.000% VRN 5/04/26 | 183,952 | 182,859 | ||||||
Zelis Healthcare Corporation | ||||||||
2021 Delayed Draw Term Loan, | ||||||||
0.000% 9/30/26 (b) | 70,667 | 70,270 | ||||||
2021 Term Loan B, 1 mo. USD LIBOR + 3.500% | ||||||||
3.600% VRN 9/30/26 | 194,333 | 193,241 | ||||||
3,064,203 | ||||||||
Telecommunications — 0.2% | ||||||||
Altice France S.A., 2018 Term Loan B13, 2 mo. USD LIBOR + 4.000% | ||||||||
4.118% VRN 8/14/26 | 152,528 | 151,613 | ||||||
Avaya, Inc. | ||||||||
2021 Term Loan B2, 3 mo. USD LIBOR + 4.000% | ||||||||
4.110% VRN 12/15/27 | 140,000 | 139,790 | ||||||
2020 Term Loan B, 3 mo. USD LIBOR + 4.250% | ||||||||
4.360% VRN 12/15/27 | 38,781 | 38,854 | ||||||
Gogo Intermediate Holdings LLC, Term Loan B, 3 mo. USD LIBOR + 3.750% | ||||||||
4.500% VRN 4/30/28 | 59,850 | 59,797 | ||||||
Intelsat Jackson Holdings S.A. | ||||||||
2021 DIP Term Loan, 3 mo. USD LIBOR + 4.750% | ||||||||
5.750% VRN 10/13/22 (b) | 31,902 | 31,852 |
Principal | Value | |||||||
2017 Term Loan B3, PRIME + 4.750% | ||||||||
8.000% 11/27/23 | $ | 155,000 | $ | 154,547 | ||||
Zayo Group Holdings, Inc., USD Term Loan, 1 mo. USD LIBOR + 3.000% | ||||||||
3.104% VRN 3/09/27 | 59,882 | 59,033 | ||||||
635,486 | ||||||||
Transportation — 0.1% | ||||||||
First Student Bidco, Inc. | ||||||||
Term Loan B, 3 mo. USD LIBOR + 3.000% | ||||||||
3.500% VRN 7/21/28 | 113,211 | 112,692 | ||||||
Term Loan C, 3 mo. USD LIBOR + 3.000% | ||||||||
4.000% VRN 7/21/28 | 41,789 | 41,598 | ||||||
154,290 | ||||||||
TOTAL BANK LOANS (Cost $14,076,977) | 14,089,769 | |||||||
CORPORATE DEBT — 25.1% | ||||||||
Advertising — 0.1% | ||||||||
The Interpublic Group of Cos., Inc. | ||||||||
5.400% 10/01/48 | 115,000 | 156,610 | ||||||
Aerospace & Defense — 0.3% | ||||||||
The Boeing Co. | ||||||||
2.950% 2/01/30 | 205,000 | 209,065 | ||||||
3.750% 2/01/50 | 95,000 | 99,089 | ||||||
Northrop Grumman Corp. | ||||||||
5.150% 5/01/40 | 250,000 | 325,145 | ||||||
Raytheon Technologies Corp. | ||||||||
3.030% 3/15/52 | 80,000 | 80,707 | ||||||
TransDigm, Inc. | ||||||||
5.500% 11/15/27 | 100,000 | 103,000 | ||||||
6.250% 3/15/26 (c) | 150,000 | 155,906 | ||||||
972,912 | ||||||||
Agriculture — 0.2% | ||||||||
BAT Capital Corp. | ||||||||
3.462% 9/06/29 | 405,000 | 420,057 | ||||||
Bunge Ltd. Finance Corp. | ||||||||
2.750% 5/14/31 | 205,000 | 208,281 | ||||||
628,338 | ||||||||
Airlines — 0.1% | ||||||||
American Airlines, Inc. /AAdvantage Loyalty IP Ltd. | ||||||||
5.750% 4/20/29 (c) | 125,000 | 133,449 | ||||||
Southwest Airlines Co. | ||||||||
4.750% 5/04/23 | 200,000 | 209,465 |
The accompanying notes are an integral part of the financial statements.
49
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
United Airlines, Inc. | ||||||||
4.625% 4/15/29 (c) | $ | 65,000 | $ | 67,031 | ||||
409,945 | ||||||||
Auto Manufacturers — 0.5% | ||||||||
Ford Motor Co. | ||||||||
3.250% 2/12/32 | 110,000 | 112,640 | ||||||
Ford Motor Credit Co. LLC 3 mo. USD LIBOR + 1.235% | ||||||||
1.391% FRN 2/15/23 | 410,000 | 409,192 | ||||||
General Motors Financial Co., Inc. | ||||||||
2.400% 10/15/28 | 220,000 | 219,582 | ||||||
Hyundai Capital America | ||||||||
1.800% 10/15/25 (c) | 5,000 | 4,975 | ||||||
2.650% 2/10/25 (c) | 410,000 | 420,328 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
4.250% 11/13/23 (c) | 220,000 | 232,349 | ||||||
1,399,066 | ||||||||
Auto Parts & Equipment — 0.2% | ||||||||
American Axle & Manufacturing, Inc. | ||||||||
5.000% 10/01/29 (d) | 105,000 | 102,995 | ||||||
Aptiv PLC | ||||||||
3.100% 12/01/51 | 180,000 | 172,129 | ||||||
Clarios Global LP/Clarios US Finance Co. | ||||||||
6.250% 5/15/26 (c) | 103,000 | 107,764 | ||||||
Dealer Tire LLC / DT Issuer LLC | ||||||||
8.000% 2/01/28 (c) | 15,000 | 15,614 | ||||||
The Goodyear Tire & Rubber Co. | ||||||||
5.250% 7/15/31 (c) (d) | 105,000 | 113,999 | ||||||
512,501 | ||||||||
Banks — 3.8% | ||||||||
Australia & New Zealand Banking Group Ltd. 5 year CMT + 1.700% | ||||||||
2.570% VRN 11/25/35 (c) | 405,000 | 388,214 | ||||||
Banco Davivienda SA 10 year CMT + 5.097% | ||||||||
6.650% VRN (c) (e) | 200,000 | 203,000 | ||||||
Banco de Credito del Peru 5 year CMT + 3.000% | ||||||||
3.125% VRN 7/01/30 (c) (d) | 200,000 | 197,502 | ||||||
Banco do Brasil SA 10 year CMT + 6.362% | ||||||||
9.000% VRN (c) (e) | 200,000 | 213,202 | ||||||
Banco do Estado do Rio Grande do Sul SA 5 year CMT + 4.928% | ||||||||
5.375% VRN 1/28/31 (c) (d) | 200,000 | 194,424 |
Principal | Value | |||||||
Banco Internacional del Peru SAA Interbank 1 year CMT + 3.711% | ||||||||
4.000% VRN 7/08/30 (c) | $ | 150,000 | $ | 148,875 | ||||
Banco Macro SA 5 year USD Swap + 5.463% | ||||||||
6.750% VRN 11/04/26 (c) | 200,000 | 166,752 | ||||||
Banco Mercantil del Norte SA | ||||||||
7.625% VRN (c) (d) | 200,000 | 214,699 | ||||||
Bangkok Bank PCL | ||||||||
5.000% VRN (c) (d) | 200,000 | 207,250 | ||||||
Bank of America Corp. | ||||||||
5 year CMT + 1.200% 2.482% VRN 9/21/36 | 380,000 | 368,528 | ||||||
SOFR + 1.210% 2.572% VRN 10/20/32 | 145,000 | 145,870 | ||||||
Bank of Montreal 5 year USD Swap + 1.432% | ||||||||
3.803% VRN 12/15/32 | 275,000 | 295,171 | ||||||
Barclays PLC 3 mo. USD LIBOR + 1.380% | ||||||||
1.535% FRN 5/16/24 | 425,000 | 430,097 | ||||||
BNP Paribas SA SOFR + 1.507% | ||||||||
3.052% VRN 1/13/31 (c) | 390,000 | 401,582 | ||||||
BPCE SA | ||||||||
1.000% 1/20/26 (c) | 250,000 | 241,946 | ||||||
Citigroup, Inc. 3 mo. USD LIBOR + 1.100% | ||||||||
1.258% FRN 5/17/24 | 450,000 | 454,496 | ||||||
Commonwealth Bank of Australia | ||||||||
4.316% 1/10/48 (c) | 305,000 | 356,933 | ||||||
Credit Suisse Group AG SOFR + .980% | ||||||||
1.305% VRN 2/02/27 (c) | 500,000 | 483,081 | ||||||
Deutsche Bank AG SOFR + 1.219% | ||||||||
2.311% VRN 11/16/27 | 215,000 | 214,971 | ||||||
Gilex Holding Sarl | ||||||||
8.500% 5/02/23 (c) | 150,000 | 152,319 | ||||||
8.500% 5/02/23 (c) | 150,000 | 152,319 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
SOFR + .820% 0.870% FRN 9/10/27 | 145,000 | 145,160 | ||||||
3 mo. USD LIBOR + 1.170% 1.326% FRN 5/15/26 | 460,000 | 468,370 | ||||||
HSBC Holdings PLC 3 mo. USD LIBOR + 1.380% | ||||||||
1.581% FRN 9/12/26 | 510,000 | 523,501 | ||||||
Itau Unibanco Holding SA 5 year CMT + 3.981% | ||||||||
6.125% VRN (c) (d) (e) | 200,000 | 201,252 |
The accompanying notes are an integral part of the financial statements.
50
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Itau Unibanco Holding SA/Cayman Island 5 year CMT + 3.446% | ||||||||
3.875% VRN 4/15/31 (c) | $ | 200,000 | $ | 191,590 | ||||
JP Morgan Chase & Co. | ||||||||
SOFR + 1.015% 2.069% VRN 6/01/29 | 165,000 | 163,794 | ||||||
SOFR + 2.040% 2.522% VRN 4/22/31 | 235,000 | 237,766 | ||||||
The Korea Development Bank | ||||||||
1.625% 1/19/31 | 200,000 | 195,918 | ||||||
Lloyds Banking Group PLC 3 mo. USD LIBOR + 1.205% | ||||||||
3.574% VRN 11/07/28 | 400,000 | 427,501 | ||||||
Macquarie Group Ltd. | ||||||||
SOFR + .910% 1.629% VRN 9/23/27 (c) (d) | 85,000 | 83,336 | ||||||
SOFR + 1.532% 2.871% VRN 1/14/33 (c) | 470,000 | 469,137 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
1.412% 7/17/25 | 435,000 | 432,737 | ||||||
Morgan Stanley SOFR + 1.360% | ||||||||
2.484% VRN 9/16/36 | 380,000 | 365,884 | ||||||
National Australia Bank Ltd. | ||||||||
2.990% 5/21/31 (c) | 250,000 | 251,007 | ||||||
NatWest Markets PLC | ||||||||
0.800% 8/12/24 (c) | 200,000 | 196,735 | ||||||
NongHyup Bank | ||||||||
1.250% 7/20/25 (c) | 200,000 | 197,834 | ||||||
Oversea-Chinese Banking Corp. Ltd. 5 year CMT + 1.580% | ||||||||
1.832% VRN 9/10/30 (c) | 500,000 | 495,660 | ||||||
United Overseas Bank Ltd. | ||||||||
5 year CMT + 1.520% 1.750% VRN 3/16/31 (c) | 200,000 | 196,820 | ||||||
5 year USD Swap + 1.794% 3.875% VRN (c) (e) | 300,000 | 307,500 | ||||||
Wells Fargo & Co. | ||||||||
SOFR + 1.432% 2.879% VRN 10/30/30 | 170,000 | 176,900 | ||||||
3 mo. USD LIBOR + 1.170% 3.196% VRN 6/17/27 | 195,000 | 205,682 | ||||||
Westpac Banking Corp. 5 year CMT + 1.530% | ||||||||
3.020% VRN 11/18/36 | 220,000 | 217,739 | ||||||
11,783,054 | ||||||||
Beverages — 0.4% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.600% 4/15/48 | 355,000 | 435,088 | ||||||
Constellation Brands, Inc. | ||||||||
2.875% 5/01/30 | 25,000 | 25,682 |
Principal | Value | |||||||
3.150% 8/01/29 | $ | 175,000 | $ | 184,740 | ||||
Keurig Dr Pepper, Inc. | ||||||||
3.800% 5/01/50 | 190,000 | 210,531 | ||||||
Primo Water Holdings, Inc. | ||||||||
4.375% 4/30/29 (c) | 70,000 | 69,300 | ||||||
Triton Water Holdings, Inc. | ||||||||
6.250% 4/01/29 (c) | 145,000 | 139,069 | ||||||
1,064,410 | ||||||||
Biotechnology — 0.1% | ||||||||
Illumina, Inc. | ||||||||
0.550% 3/23/23 | 145,000 | 144,268 | ||||||
Royalty Pharma PLC | ||||||||
3.300% 9/02/40 (d) | 200,000 | 202,130 | ||||||
346,398 | ||||||||
Building Materials — 0.2% | ||||||||
Carrier Global Corp. | ||||||||
3.377% 4/05/40 | 235,000 | 246,185 | ||||||
Griffon Corp. | ||||||||
5.750% 3/01/28 | 170,000 | 176,484 | ||||||
Owens Corning | ||||||||
4.400% 1/30/48 | 160,000 | 187,988 | ||||||
610,657 | ||||||||
Chemicals — 0.4% | ||||||||
CVR Partners LP / CVR Nitrogen Finance Corp. | ||||||||
6.125% 6/15/28 (c) | 65,000 | 68,575 | ||||||
EverArc Escrow Sarl | ||||||||
5.000% 10/30/29 (c) | 140,000 | 140,104 | ||||||
LG Chem Ltd. | ||||||||
2.375% 7/07/31 (c) | 200,000 | 196,899 | ||||||
MEGlobal Canada ULC | ||||||||
5.000% 5/18/25 (c) | 200,000 | 218,093 | ||||||
Nutrien Ltd. | ||||||||
4.200% 4/01/29 | 330,000 | 372,568 | ||||||
The Sherwin-Williams Co. | ||||||||
2.900% 3/15/52 | 85,000 | 83,344 | ||||||
Unifrax Escrow Issuer Corp. | ||||||||
5.250% 9/30/28 (c) | 105,000 | 106,129 | ||||||
WR Grace Holdings LLC | ||||||||
5.625% 8/15/29 (c) | 135,000 | 138,206 | ||||||
1,323,918 | ||||||||
Coal — 0.0% | ||||||||
Peabody Energy Corp. | ||||||||
8.500% 12/31/24 (c) | 45,471 | 43,084 | ||||||
SunCoke Energy, Inc. | ||||||||
4.875% 6/30/29 (c) | 90,000 | 89,550 | ||||||
132,634 |
The accompanying notes are an integral part of the financial statements.
51
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Commercial Services — 0.4% | ||||||||
Adani International Container Terminal Pvt Ltd. | ||||||||
3.000% 2/16/31 (c) | $ | 196,000 | $ | 188,982 | ||||
Adani Ports & Special Economic Zone Ltd. | ||||||||
4.000% 7/30/27 (c) | 200,000 | 206,184 | ||||||
Allied Universal Holdco LLC / Allied Universal Finance Corp. | ||||||||
6.625% 7/15/26 (c) | 70,000 | 73,381 | ||||||
9.750% 7/15/27 (c) | 130,000 | 138,895 | ||||||
Garda World Security Corp. | ||||||||
6.000% 6/01/29 (c) | 115,000 | 109,825 | ||||||
NESCO Holdings II, Inc. | ||||||||
5.500% 4/15/29 (c) | 20,000 | 20,650 | ||||||
PSA Treasury Pte Ltd. | ||||||||
2.125% 9/05/29 (c) | 400,000 | 403,945 | ||||||
Triton Container International Ltd. | ||||||||
1.150% 6/07/24 (c) | 90,000 | 88,734 | ||||||
WASH Multifamily Acquisition, Inc. | ||||||||
5.750% 4/15/26 (c) | 85,000 | 89,331 | ||||||
1,319,927 | ||||||||
Computers — 0.1% | ||||||||
Fortinet, Inc. | ||||||||
1.000% 3/15/26 | 215,000 | 208,369 | ||||||
NetApp, Inc. | ||||||||
1.875% 6/22/25 | 185,000 | 186,450 | ||||||
394,819 | ||||||||
Cosmetics & Personal Care — 0.0% | ||||||||
Coty, Inc. | ||||||||
5.000% 4/15/26 (c) | 65,000 | 66,952 | ||||||
Diversified Financial Services — 1.4% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
3.400% 10/29/33 | 420,000 | 428,170 | ||||||
Air Lease Corp. | ||||||||
1.875% 8/15/26 | 140,000 | 137,762 | ||||||
Aircastle Ltd. | ||||||||
2.850% 1/26/28 (c) | 215,000 | 216,411 | ||||||
Aviation Capital Group LLC | ||||||||
1.950% 9/20/26 (c) | 350,000 | 340,164 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
3.250% 2/15/27 (c) | 265,000 | 267,002 | ||||||
BOC Aviation Ltd. 3 mo. USD LIBOR + 1.125% | ||||||||
1.345% FRN 9/26/23 (c) | 340,000 | 340,779 | ||||||
CI Financial Corp. | ||||||||
4.100% 6/15/51 (d) | 115,000 | 125,080 |
Principal | Value | |||||||
Discover Financial Services | ||||||||
4.100% 2/09/27 | $ | 465,000 | $ | 504,300 | ||||
Global Aircraft Leasing Co. Ltd. | ||||||||
6.500% 9/15/24 (c) | 112,750 | 108,804 | ||||||
Interoceanica IV Finance Ltd. | ||||||||
0.000% 11/30/25 (c) | 449,288 | 415,947 | ||||||
Nationstar Mortgage Holdings, Inc. | ||||||||
5.750% 11/15/31 (c) | 185,000 | 184,075 | ||||||
Navient Corp. | ||||||||
5.000% 3/15/27 | 60,000 | 61,153 | ||||||
NFP Corp. | ||||||||
6.875% 8/15/28 (c) | 70,000 | 70,175 | ||||||
OneMain Finance Corp. | ||||||||
6.625% 1/15/28 | 120,000 | 134,400 | ||||||
PennyMac Financial Services, Inc. | ||||||||
4.250% 2/15/29 (c) | 145,000 | 139,403 | ||||||
SPARC EM SPC Panama Metro Line 2 SP | ||||||||
0.000% 12/05/22 (c) | 37,207 | 36,742 | ||||||
Synchrony Financial | ||||||||
3.950% 12/01/27 | 320,000 | 343,852 | ||||||
Unifin Financiera SAB de CV 5 year CMT + 6.308% | ||||||||
8.875% VRN (c) (e) | 300,000 | 177,378 | ||||||
The Western Union Co. | ||||||||
2.750% 3/15/31 | 425,000 | 418,709 | ||||||
4,450,306 | ||||||||
Electric — 3.0% | ||||||||
AES Andes SA 5 year USD Swap + 4.644% | ||||||||
7.125% VRN 3/26/79 (c) | 200,000 | 207,002 | ||||||
AES Argentina Generacion SA | ||||||||
7.750% 2/02/24 (c) | 150,000 | 126,752 | ||||||
American Electric Power Co., Inc. | ||||||||
2.950% 12/15/22 | 313,000 | 317,977 | ||||||
Calpine Corp. | ||||||||
4.625% 2/01/29 (c) | 40,000 | 39,450 | ||||||
5.125% 3/15/28 (c) | 100,000 | 101,516 | ||||||
Duke Energy Corp. | ||||||||
3.950% 8/15/47 | 240,000 | 265,855 | ||||||
Empresa Electrica Angamos SA | ||||||||
4.875% 5/25/29 (c) | 130,400 | 123,880 | ||||||
Empresas Publicas de Medellin ESP | ||||||||
4.375% 2/15/31 (c) | 400,000 | 376,004 | ||||||
Entergy Corp. | ||||||||
2.800% 6/15/30 | 110,000 | 112,059 | ||||||
Eversource Energy | ||||||||
1.650% 8/15/30 | 225,000 | 210,597 |
The accompanying notes are an integral part of the financial statements.
52
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Fenix Power Peru SA | ||||||||
4.317% 9/20/27 (c) | $ | 247,941 | $ | 253,522 | ||||
Georgia Power Co. | ||||||||
2.200% 9/15/24 | 220,000 | 225,131 | ||||||
3.250% 3/15/51 | 355,000 | 357,409 | ||||||
Guacolda Energia SA | ||||||||
4.560% 4/30/25 (c) | 400,000 | 134,000 | ||||||
Inkia Energy Ltd. | ||||||||
5.875% 11/09/27 (c) | 200,000 | 208,000 | ||||||
Korea East-West Power Co. Ltd. | ||||||||
1.750% 5/06/25 (c) | 200,000 | 201,504 | ||||||
LLPL Capital Pte Ltd. | ||||||||
6.875% 2/04/39 (c) | 269,010 | 306,133 | ||||||
Minejesa Capital BV | ||||||||
4.625% 8/10/30 (c) | 400,000 | 410,304 | ||||||
Monongahela Power Co. | ||||||||
5.400% 12/15/43 (c) | 145,000 | 187,648 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.250% 6/01/30 | 750,000 | 746,210 | ||||||
3.550% 5/01/27 | 165,000 | 178,816 | ||||||
NRG Energy, Inc. | ||||||||
2.000% 12/02/25 (c) | 115,000 | 115,782 | ||||||
3.625% 2/15/31 (c) | 145,000 | 141,375 | ||||||
Pacific Gas and Electric Co. | ||||||||
1.367% 3/10/23 | 305,000 | 303,118 | ||||||
2.500% 2/01/31 | 230,000 | 219,207 | ||||||
Pampa Energia SA | ||||||||
9.125% 4/15/29 (c) | 150,000 | 130,335 | ||||||
Pike Corp. | ||||||||
5.500% 9/01/28 (c) | 210,000 | 210,479 | ||||||
Sierra Pacific Power Co. | ||||||||
2.600% 5/01/26 | 1,000,000 | 1,040,287 | ||||||
The Southern Co. | ||||||||
3.700% 4/30/30 | 500,000 | 544,302 | ||||||
5 year CMT + 2.915% 3.750% VRN 9/15/51 | 135,000 | 135,000 | ||||||
Southwestern Electric Power Co. | ||||||||
3.250% 11/01/51 | 110,000 | 109,508 | ||||||
Transelec SA | ||||||||
3.875% 1/12/29 (c) | 250,000 | 266,877 | ||||||
Xcel Energy, Inc. | ||||||||
3.300% 6/01/25 | 1,000,000 | 1,050,259 | ||||||
9,356,298 | ||||||||
Electrical Components & Equipment — 0.0% | ||||||||
Energizer Holdings, Inc. | ||||||||
4.750% 6/15/28 (c) | 110,000 | 112,338 |
Principal | Value | |||||||
Electronics — 0.1% | ||||||||
Arrow Electronics, Inc. | ||||||||
3.875% 1/12/28 | $ | 195,000 | $ | 211,300 | ||||
Vontier Corp. | ||||||||
2.400% 4/01/28 (c) | 115,000 | 111,102 | ||||||
322,402 | ||||||||
Energy – Alternate Sources — 0.2% | ||||||||
Empresa Electrica Cochrane SpA | ||||||||
5.500% 5/14/27 (c) | 316,960 | 317,359 | ||||||
UEP Penonome II SA | ||||||||
6.500% 10/01/38 (c) | 192,383 | 201,283 | ||||||
518,642 | ||||||||
Engineering & Construction — 0.2% | ||||||||
Sydney Airport Finance Co. Pty Ltd. | ||||||||
3.375% 4/30/25 (c) | 300,000 | 314,298 | ||||||
3.625% 4/28/26 (c) | 300,000 | 318,042 | ||||||
632,340 | ||||||||
Entertainment — 0.3% | ||||||||
Boyne USA, Inc. | ||||||||
4.750% 5/15/29 (c) | 195,000 | 200,850 | ||||||
Caesars Entertainment, Inc. | ||||||||
4.625% 10/15/29 (c) | 70,000 | 70,000 | ||||||
Cedar Fair LP | ||||||||
5.250% 7/15/29 (d) | 75,000 | 76,875 | ||||||
Lions Gate Capital Holdings LLC | ||||||||
5.500% 4/15/29 (c) | 80,000 | 81,400 | ||||||
Live Nation Entertainment, Inc. | ||||||||
6.500% 5/15/27 (c) | 90,000 | 98,438 | ||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. | ||||||||
4.875% 5/01/29 (c) | 65,000 | 65,325 | ||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. | ||||||||
5.625% 9/01/29 (c) | 105,000 | 104,180 | ||||||
5.875% 9/01/31 (c) | 105,000 | 105,364 | ||||||
Scientific Games International, Inc. | ||||||||
7.250% 11/15/29 (c) | 75,000 | 83,625 | ||||||
886,057 | ||||||||
Environmental Controls — 0.1% | ||||||||
Madison IAQ LLC | ||||||||
4.125% 6/30/28 (c) | 85,000 | 85,212 | ||||||
5.875% 6/30/29 (c) | 70,000 | 70,000 | ||||||
155,212 | ||||||||
Food — 0.5% | ||||||||
Flowers Foods, Inc. | ||||||||
2.400% 3/15/31 (d) | 100,000 | 98,598 |
The accompanying notes are an integral part of the financial statements.
53
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Kraft Heinz Foods Co. | ||||||||
5.000% 7/15/35 | $ | 29,000 | $ | 35,495 | ||||
5.200% 7/15/45 | 115,000 | 146,412 | ||||||
Performance Food Group, Inc. | ||||||||
4.250% 8/01/29 (c) | 65,000 | 64,484 | ||||||
5.500% 10/15/27 (c) | 115,000 | 120,031 | ||||||
Post Holdings, Inc. | ||||||||
4.625% 4/15/30 (c) | 110,000 | 112,035 | ||||||
Smithfield Foods, Inc. | ||||||||
4.250% 2/01/27 (c) | 350,000 | 376,120 | ||||||
Sysco Corp. | ||||||||
3.300% 2/15/50 | 330,000 | 335,414 | ||||||
United Natural Foods, Inc. | ||||||||
6.750% 10/15/28 (c) | 75,000 | 80,310 | ||||||
US Foods, Inc. | ||||||||
4.625% 6/01/30 (c) (d) | 140,000 | 141,400 | ||||||
1,510,299 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
Glatfelter Corp. | ||||||||
4.750% 11/15/29 (c) | 140,000 | 144,375 | ||||||
Gas — 0.2% | ||||||||
The Brooklyn Union Gas Co. | ||||||||
4.487% 3/04/49 (c) | 305,000 | 359,545 | ||||||
The East Ohio Gas Co. | ||||||||
3.000% 6/15/50 (c) | 120,000 | 118,750 | ||||||
478,295 | ||||||||
Health Care – Products — 0.2% | ||||||||
Mozart Debt Merger Sub, Inc. | ||||||||
5.250% 10/01/29 (c) | 100,000 | 101,364 | ||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA | ||||||||
7.250% 2/01/28 (c) | 84,000 | 90,300 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
1.215% 10/18/24 | 415,000 | 414,610 | ||||||
606,274 | ||||||||
Health Care – Services — 0.6% | ||||||||
Anthem, Inc. | ||||||||
2.375% 1/15/25 | 190,000 | 195,976 | ||||||
Centene Corp. | ||||||||
2.500% 3/01/31 | 380,000 | 369,936 | ||||||
3.000% 10/15/30 | 60,000 | 60,991 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
6.000% 1/15/29 (c) | 95,000 | 101,294 | ||||||
6.875% 4/15/29 (c) | 100,000 | 101,875 | ||||||
HCA, Inc. | ||||||||
4.125% 6/15/29 | 175,000 | 192,732 | ||||||
Health Care Service Corp. | ||||||||
3.200% 6/01/50 (c) | 130,000 | 132,771 |
Principal | Value | |||||||
Legacy LifePoint Health LLC | ||||||||
4.375% 2/15/27 (c) | $ | 90,000 | $ | 90,675 | ||||
ModivCare Escrow Issuer, Inc. | ||||||||
5.000% 10/01/29 (c) | 35,000 | 35,744 | ||||||
Radiology Partners, Inc. | ||||||||
9.250% 2/01/28 (c) | 95,000 | 99,761 | ||||||
RP Escrow Issuer LLC | ||||||||
5.250% 12/15/25 (c) | 135,000 | 136,181 | ||||||
Select Medical Corp. | ||||||||
6.250% 8/15/26 (c) | 150,000 | 158,829 | ||||||
Tenet Healthcare Corp. | ||||||||
6.125% 10/01/28 (c) | 130,000 | 137,307 | ||||||
1,814,072 | ||||||||
Home Builders — 0.0% | ||||||||
Mattamy Group Corp. | ||||||||
4.625% 3/01/30 (c) | 120,000 | 122,214 | ||||||
Household Products & Wares — 0.1% | ||||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
5.000% 12/31/26 (c) | 100,000 | 98,783 | ||||||
7.000% 12/31/27 (c) | 65,000 | 61,262 | ||||||
160,045 | ||||||||
Housewares — 0.0% | ||||||||
SWF Escrow Issuer Corp. | ||||||||
6.500% 10/01/29 (c) | 110,000 | 105,733 | ||||||
Insurance — 0.6% | ||||||||
Acrisure LLC / Acrisure Finance, Inc. | ||||||||
4.250% 2/15/29 (c) | 55,000 | 53,488 | ||||||
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer | ||||||||
6.750% 10/15/27 (c) | 80,000 | 83,000 | ||||||
AmWINS Group, Inc. | ||||||||
4.875% 6/30/29 (c) | 105,000 | 106,050 | ||||||
Athene Global Funding SOFR + .560% | ||||||||
0.610% FRN 8/19/24 (c) | 410,000 | 409,887 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
2.850% 10/15/50 | 140,000 | 138,494 | ||||||
Brighthouse Financial Global Funding | ||||||||
1.000% 4/12/24 (c) | 85,000 | 84,287 | ||||||
2.000% 6/28/28 (c) | 120,000 | 118,104 | ||||||
First American Financial Corp. | ||||||||
2.400% 8/15/31 | 100,000 | 97,587 | ||||||
GTCR AP Finance, Inc. | ||||||||
8.000% 5/15/27 (c) | 95,000 | 98,562 | ||||||
Prudential Financial, Inc. | ||||||||
3.905% 12/07/47 | 150,000 | 173,923 |
The accompanying notes are an integral part of the financial statements.
54
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Willis North America, Inc. | ||||||||
4.500% 9/15/28 | $ | 335,000 | $ | 374,733 | ||||
1,738,115 | ||||||||
Internet — 0.1% | ||||||||
Expedia Group, Inc. | ||||||||
2.950% 3/15/31 | 85,000 | 84,973 | ||||||
3.800% 2/15/28 | 175,000 | 187,237 | ||||||
5.000% 2/15/26 | 90,000 | 100,143 | ||||||
Uber Technologies, Inc. | ||||||||
4.500% 8/15/29 (c) | 65,000 | 66,192 | ||||||
438,545 | ||||||||
Investment Companies — 0.2% | ||||||||
Ares Capital Corp. | ||||||||
2.150% 7/15/26 | 210,000 | 207,252 | ||||||
Temasek Financial I Ltd. Co. | ||||||||
1.000% 10/06/30 (c) | 350,000 | 325,423 | ||||||
532,675 | ||||||||
Iron & Steel — 0.1% | ||||||||
CAP SA | ||||||||
3.900% 4/27/31 (c) | 200,000 | 187,750 | ||||||
POSCO | ||||||||
2.750% 7/15/24 (c) | 200,000 | 206,164 | ||||||
393,914 | ||||||||
Leisure Time — 0.1% | ||||||||
Carnival Corp. | ||||||||
5.750% 3/01/27 (c) | 290,000 | 290,000 | ||||||
Viking Cruises Ltd. | ||||||||
5.875% 9/15/27 (c) | 160,000 | 152,352 | ||||||
442,352 | ||||||||
Lodging — 0.2% | ||||||||
Marriott International, Inc. | ||||||||
2.750% 10/15/33 | 195,000 | 189,418 | ||||||
3.125% 6/15/26 | 200,000 | 207,812 | ||||||
MGM Resorts International | ||||||||
6.750% 5/01/25 | 135,000 | 141,075 | ||||||
538,305 | ||||||||
Machinery – Construction & Mining — 0.1% | ||||||||
The Weir Group PLC | ||||||||
2.200% 5/13/26 (c) | 245,000 | 241,711 | ||||||
Machinery – Diversified — 0.1% | ||||||||
Flowserve Corp. | ||||||||
2.800% 1/15/32 | 210,000 | 204,576 | ||||||
Media — 0.5% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||
4.250% 1/15/34 (c) | 65,000 | 63,949 | ||||||
4.750% 3/01/30 (c) | 105,000 | 109,200 |
Principal | Value | |||||||
Cengage Learning, Inc. | ||||||||
9.500% 6/15/24 (c) | $ | 85,000 | $ | 85,531 | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
3.500% 3/01/42 | 165,000 | 160,484 | ||||||
4.908% 7/23/25 | 190,000 | 209,096 | ||||||
Comcast Corp. | ||||||||
3.400% 4/01/30 | 195,000 | 213,030 | ||||||
3.950% 10/15/25 | 130,000 | 141,988 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. | ||||||||
5.375% 8/15/26 (c) | 50,000 | 25,000 | ||||||
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. | ||||||||
5.875% 8/15/27 (c) | 60,000 | 61,400 | ||||||
DISH DBS Corp. | ||||||||
5.125% 6/01/29 | 60,000 | 54,600 | ||||||
5.750% 12/01/28 (c) | 70,000 | 70,700 | ||||||
GCI LLC | ||||||||
4.750% 10/15/28 (c) | 90,000 | 92,363 | ||||||
Scripps Escrow, Inc. | ||||||||
5.875% 7/15/27 (c) | 95,000 | 99,803 | ||||||
Univision Communications, Inc. | ||||||||
4.500% 5/01/29 (c) | 65,000 | 65,650 | ||||||
1,452,794 | ||||||||
Mining — 0.4% | ||||||||
Anglo American Capital PLC | ||||||||
4.500% 3/15/28 (c) | 385,000 | 424,629 | ||||||
Arconic Corp. | ||||||||
6.125% 2/15/28 (c) | 130,000 | 138,346 | ||||||
Glencore Funding LLC | ||||||||
1.625% 4/27/26 (c) | 200,000 | 196,328 | ||||||
3.375% 9/23/51 (c) | 130,000 | 125,668 | ||||||
Vedanta Resources Co. | ||||||||
9.250% 4/23/26 (c) | 200,000 | 186,000 | ||||||
Vedanta Resources Ltd. | ||||||||
6.125% 8/09/24 (c) | 200,000 | 174,000 | ||||||
1,244,971 | ||||||||
Miscellaneous - Manufacturing — 0.1% | ||||||||
GE Capital International Funding Co. | ||||||||
4.418% 11/15/35 | 345,000 | 412,316 | ||||||
Oil & Gas — 1.8% | ||||||||
Apache Corp. | ||||||||
4.375% 10/15/28 (d) | 60,000 | 65,366 | ||||||
BP Capital Markets America, Inc. | ||||||||
2.939% 6/04/51 | 140,000 | 134,916 | ||||||
3.001% 3/17/52 | 170,000 | 165,959 |
The accompanying notes are an integral part of the financial statements.
55
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Chesapeake Energy Corp. | ||||||||
5.875% 2/01/29 (c) | $ | 100,000 | $ | 106,975 | ||||
CNX Resources Corp. | ||||||||
6.000% 1/15/29 (c) | 80,000 | 83,200 | ||||||
Continental Resources, Inc. | ||||||||
2.268% 11/15/26 (c) | 150,000 | 148,875 | ||||||
Cosan Overseas Ltd. | ||||||||
8.250% (c) (e) | 500,000 | 510,625 | ||||||
Diamondback Energy, Inc. | ||||||||
2.875% 12/01/24 | 124,000 | 128,667 | ||||||
Ecopetrol SA | ||||||||
5.875% 5/28/45 | 50,000 | 47,813 | ||||||
5.875% 11/02/51 | 300,000 | 281,082 | ||||||
EQT Corp. | ||||||||
7.500% STEP 2/01/30 | 50,000 | 64,250 | ||||||
Exxon Mobil Corp. | ||||||||
4.227% 3/19/40 | 190,000 | 225,237 | ||||||
Gran Tierra Energy International Holdings Ltd. | ||||||||
6.250% 2/15/25 (c) | 400,000 | 364,480 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co. | ||||||||
5.750% 2/01/29 (c) | 45,000 | 46,382 | ||||||
6.250% 11/01/28 (c) | 100,000 | 105,125 | ||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru | ||||||||
6.375% 6/01/28 (c) | 191,600 | 193,516 | ||||||
Marathon Petroleum Corp. | ||||||||
5.125% 12/15/26 | 160,000 | 182,190 | ||||||
MEG Energy Corp. | ||||||||
5.875% 2/01/29 (c) | 15,000 | 15,725 | ||||||
7.125% 2/01/27 (c) | 105,000 | 111,817 | ||||||
Occidental Petroleum Corp. | ||||||||
6.125% 1/01/31 (d) | 85,000 | 103,581 | ||||||
6.450% 9/15/36 | 50,000 | 63,750 | ||||||
6.625% 9/01/30 | 60,000 | 74,250 | ||||||
Ovintiv, Inc. | ||||||||
7.375% 11/01/31 | 55,000 | 71,767 | ||||||
Parkland Corp. | ||||||||
4.500% 10/01/29 (c) | 90,000 | 90,071 | ||||||
Patterson-UTI Energy, Inc. | ||||||||
3.950% 2/01/28 (d) | 200,000 | 201,031 | ||||||
Petrobras Global Finance BV | ||||||||
5.500% 6/10/51 | 340,000 | 315,350 | ||||||
Petroleos Mexicanos | ||||||||
6.750% 9/21/47 | 150,000 | 133,125 | ||||||
Petronas Capital Ltd. | ||||||||
3.500% 4/21/30 (c) | 200,000 | 216,129 |
Principal | Value | |||||||
Phillips 66 | ||||||||
3.300% 3/15/52 | $ | 200,000 | $ | 200,555 | ||||
Pioneer Natural Resources Co. | ||||||||
1.900% 8/15/30 | 135,000 | 127,961 | ||||||
PTTEP Treasury Center Co. Ltd. | ||||||||
2.587% 6/10/27 (c) | 200,000 | 203,571 | ||||||
Qatar Energy | ||||||||
2.250% 7/12/31 (c) | 200,000 | 198,114 | ||||||
SA Global Sukuk Ltd. | ||||||||
2.694% 6/17/31 (c) | 200,000 | 201,000 | ||||||
Southwestern Energy Co. | ||||||||
4.750% 2/01/32 | 70,000 | 73,690 | ||||||
5.375% 2/01/29 | 75,000 | 79,313 | ||||||
Sunoco LP/Sunoco Finance Corp. | ||||||||
4.500% 5/15/29 | 35,000 | 35,543 | ||||||
6.000% 4/15/27 | 90,000 | 93,861 | ||||||
Transocean Poseidon Ltd. | ||||||||
6.875% 2/01/27 (c) | 150,000 | 144,937 | ||||||
Transocean, Inc. | ||||||||
11.500% 1/30/27 (c) | 36,000 | 35,280 | ||||||
5,645,079 | ||||||||
Oil & Gas Services — 0.2% | ||||||||
Halliburton Co. | ||||||||
2.920% 3/01/30 (d) | 100,000 | 102,972 | ||||||
5.000% 11/15/45 | 90,000 | 107,848 | ||||||
USA Compression Partners LP/USA Compression Finance Corp. | ||||||||
6.875% 9/01/27 | 185,000 | 195,406 | ||||||
Weatherford International Ltd. | ||||||||
6.500% 9/15/28 (c) | 70,000 | 74,067 | ||||||
480,293 | ||||||||
Packaging & Containers — 0.3% | ||||||||
Berry Global, Inc. | ||||||||
1.650% 1/15/27 | 120,000 | 117,227 | ||||||
CCL Industries, Inc. | ||||||||
3.050% 6/01/30 (c) | 140,000 | 144,940 | ||||||
Packaging Corp. of America | ||||||||
3.400% 12/15/27 | 215,000 | 231,708 | ||||||
WRKCo, Inc. | ||||||||
3.750% 3/15/25 | 370,000 | 394,333 | ||||||
888,208 | ||||||||
Pharmaceuticals — 0.6% | ||||||||
AbbVie, Inc. | ||||||||
4.700% 5/14/45 | 335,000 | 416,888 | ||||||
Bausch Health Cos., Inc. | ||||||||
6.250% 2/15/29 (c) | 90,000 | 85,522 | ||||||
Bristol-Myers Squibb Co. | ||||||||
4.350% 11/15/47 | 320,000 | 395,488 |
The accompanying notes are an integral part of the financial statements.
56
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Cigna Corp. | ||||||||
4.900% 12/15/48 | $ | 230,000 | $ | 298,182 | ||||
CVS Health Corp. | ||||||||
5.050% 3/25/48 | 155,000 | 203,313 | ||||||
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc. | ||||||||
6.125% 4/01/29 (c) | 65,000 | 63,700 | ||||||
Option Care Health, Inc. | ||||||||
4.375% 10/31/29 (c) | 110,000 | 110,275 | ||||||
Viatris, Inc. | ||||||||
1.650% 6/22/25 | 135,000 | 134,548 | ||||||
1,707,916 | ||||||||
Pipelines — 1.4% | ||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. | ||||||||
5.750% 3/01/27 (c) | 54,000 | 55,958 | ||||||
Enable Midstream Partners LP | ||||||||
4.400% 3/15/27 | 120,000 | 129,561 | ||||||
5.000% STEP 5/15/44 | 190,000 | 204,687 | ||||||
Enbridge, Inc. | ||||||||
3.400% 8/01/51 | 170,000 | 172,973 | ||||||
Energy Transfer LP | ||||||||
3.900% 7/15/26 | 750,000 | 806,205 | ||||||
Energy Transfer LP | ||||||||
4.750% 1/15/26 | 185,000 | 202,260 | ||||||
EQM Midstream Partners LP | ||||||||
4.750% 1/15/31 (c) | 140,000 | 148,050 | ||||||
Fermaca Enterprises S de RL de CV | ||||||||
6.375% 3/30/38 (c) | 204,422 | 236,108 | ||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
2.625% 3/31/36 (c) | 200,000 | 195,398 | ||||||
2.940% 9/30/40 (c) | 300,000 | 298,565 | ||||||
GNL Quintero SA | ||||||||
4.634% 7/31/29 (c) | 235,300 | 249,714 | ||||||
Hess Midstream Operations LP | ||||||||
4.250% 2/15/30 (c) | 130,000 | 129,025 | ||||||
5.125% 6/15/28 (c) | 110,000 | 114,538 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
6.950% 1/15/38 | 270,000 | 374,362 | ||||||
NGL Energy Operating LLC / NGL Energy Finance Corp. | ||||||||
7.500% 2/01/26 (c) | 135,000 | 139,225 | ||||||
NGPL PipeCo LLC | ||||||||
3.250% 7/15/31 (c) | 70,000 | 71,183 | ||||||
NuStar Logistics LP | ||||||||
6.375% 10/01/30 | 90,000 | 99,900 | ||||||
Oleoducto Central SA | ||||||||
4.000% 7/14/27 (c) | 200,000 | 198,900 |
Principal | Value | |||||||
ONEOK, Inc. | ||||||||
3.400% 9/01/29 | $ | 90,000 | $ | 93,316 | ||||
Sabine Pass Liquefaction LLC | ||||||||
5.000% 3/15/27 | 170,000 | 191,046 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||||||||
5.500% 3/01/30 | 100,000 | 109,250 | ||||||
Venture Global Calcasieu Pass LLC | ||||||||
4.125% 8/15/31 (c) | 100,000 | 106,000 | ||||||
The Williams Cos., Inc. | ||||||||
3.500% 10/15/51 | 110,000 | 111,545 | ||||||
4,437,769 | ||||||||
Real Estate — 0.0% | ||||||||
Realogy Group LLC / Realogy Co-Issuer Corp. | ||||||||
5.750% 1/15/29 (c) | 70,000 | 71,750 | ||||||
Real Estate Investment Trusts (REITS) — 1.5% | ||||||||
Agree LP | ||||||||
2.600% 6/15/33 | 85,000 | 83,480 | ||||||
Alexandria Real Estate Equities, Inc. | ||||||||
3.000% 5/18/51 | 130,000 | 128,906 | ||||||
American Tower Corp. | ||||||||
3.375% 10/15/26 | 472,000 | 501,774 | ||||||
3.600% 1/15/28 | 370,000 | 398,868 | ||||||
Boston Properties LP | ||||||||
3.400% 6/21/29 | 275,000 | 292,141 | ||||||
Corporate Office Properties LP | ||||||||
2.900% 12/01/33 | 155,000 | 151,595 | ||||||
Crown Castle International Corp. | ||||||||
3.650% 9/01/27 | 410,000 | 440,735 | ||||||
3.700% 6/15/26 | 700,000 | 750,521 | ||||||
4.000% 3/01/27 | 225,000 | 244,665 | ||||||
Equinix, Inc. | ||||||||
1.800% 7/15/27 | 230,000 | 226,415 | ||||||
Host Hotels & Resorts LP | ||||||||
2.900% 12/15/31 | 215,000 | 207,668 | ||||||
Invitation Homes Operating Partnership LP | ||||||||
2.700% 1/15/34 | 145,000 | 142,406 | ||||||
Iron Mountain, Inc. | ||||||||
4.500% 2/15/31 (c) | 60,000 | 60,641 | ||||||
LXP Industrial Trust | ||||||||
2.375% 10/01/31 | 120,000 | 115,239 | ||||||
National Retail Properties, Inc. | ||||||||
2.500% 4/15/30 | 115,000 | 116,676 | ||||||
Office Properties Income Trust | ||||||||
2.400% 2/01/27 | 165,000 | 159,817 | ||||||
2.650% 6/15/26 | 40,000 | 39,709 |
The accompanying notes are an integral part of the financial statements.
57
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer | ||||||||
4.875% 5/15/29 (c) | $ | 75,000 | $ | 76,687 | ||||
Sabra Health Care LP | ||||||||
3.200% 12/01/31 (d) | 45,000 | 44,027 | ||||||
Simon Property Group LP | ||||||||
2.450% 9/13/29 | 190,000 | 191,472 | ||||||
Vornado Realty LP | ||||||||
2.150% 6/01/26 | 70,000 | 69,987 | ||||||
Welltower, Inc. | ||||||||
2.800% 6/01/31 | 210,000 | 214,269 | ||||||
4,657,698 | ||||||||
Retail — 0.6% | ||||||||
At Home Group, Inc. | ||||||||
7.125% 7/15/29 (c) | 40,000 | 39,300 | ||||||
CK Hutchison International 20 Ltd. | ||||||||
2.500% 5/08/30 (c) | 200,000 | 202,473 | ||||||
Dollar Tree, Inc. | ||||||||
3.375% 12/01/51 | 40,000 | 40,422 | ||||||
4.000% 5/15/25 | 325,000 | 349,275 | ||||||
Ferrellgas LP / Ferrellgas Finance Corp. | ||||||||
5.375% 4/01/26 (c) | 55,000 | 53,213 | ||||||
Golden Nugget, Inc. | ||||||||
6.750% 10/15/24 (c) | 175,000 | 175,000 | ||||||
McDonald’s Corp. | ||||||||
4.450% 3/01/47 | 190,000 | 232,501 | ||||||
Michaels Cos., Inc. | ||||||||
5.250% 5/01/28 (c) | 35,000 | 34,956 | ||||||
Sonic Automotive, Inc. | ||||||||
4.625% 11/15/29 (c) | 140,000 | 141,330 | ||||||
SRS Distribution, Inc. | ||||||||
4.625% 7/01/28 (c) | 100,000 | 100,375 | ||||||
Staples, Inc. | ||||||||
7.500% 4/15/26 (c) | 55,000 | 56,513 | ||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp. | ||||||||
5.000% 6/01/31 (c) | 125,000 | 126,406 | ||||||
Superior Plus LP / Superior General Partner, Inc. | ||||||||
4.500% 3/15/29 (c) | 120,000 | 123,341 | ||||||
Victoria’s Secret & Co. | ||||||||
4.625% 7/15/29 (c) | 135,000 | 138,037 | ||||||
1,813,142 | ||||||||
Semiconductors — 0.5% | ||||||||
Broadcom, Inc. | ||||||||
3.419% 4/15/33 (c) | 306,000 | 321,156 |
Principal | Value | |||||||
Marvell Technology, Inc. | ||||||||
4.200% 6/22/23 | $ | 385,000 | $ | 400,032 | ||||
NXP BV / NXP Funding LLC / NXP USA, Inc. | ||||||||
3.875% 6/18/26 (c) | 190,000 | 205,145 | ||||||
Renesas Electronics Corp. | ||||||||
2.170% 11/25/26 (c) | 410,000 | 408,871 | ||||||
TSMC Global Ltd. | ||||||||
1.250% 4/23/26 (c) | 255,000 | 249,927 | ||||||
1,585,131 | ||||||||
Software — 0.2% | ||||||||
Oracle Corp. | ||||||||
3.850% 4/01/60 | 240,000 | 237,954 | ||||||
VMware, Inc. | ||||||||
2.200% 8/15/31 | 420,000 | 412,366 | ||||||
650,320 | ||||||||
Telecommunications — 1.1% | ||||||||
AT&T, Inc. | ||||||||
2.750% 6/01/31 | 100,000 | 102,139 | ||||||
3.500% 9/15/53 | 619,000 | 626,940 | ||||||
Avaya, Inc. | ||||||||
6.125% 9/15/28 (c) (d) | 80,000 | 84,800 | ||||||
CommScope, Inc. | ||||||||
4.750% 9/01/29 (c) | 80,000 | 79,505 | ||||||
Digicel Group Holdings Ltd. | ||||||||
7.000% (c) (e) | 83,597 | 72,520 | ||||||
8.000% 4/01/25 (c) | 55,246 | 51,241 | ||||||
Frontier Communications Holdings LLC | ||||||||
5.000% 5/01/28 (c) | 60,000 | 61,800 | ||||||
5.875% 10/15/27 (c) | 30,000 | 31,725 | ||||||
6.000% 1/15/30 (c) | 70,000 | 70,350 | ||||||
KT Corp. | ||||||||
2.500% 7/18/26 (c) | 200,000 | 206,677 | ||||||
Lumen Technologies, Inc. | ||||||||
4.000% 2/15/27 (c) | 85,000 | 86,237 | ||||||
5.125% 12/15/26 (c) | 105,000 | 109,266 | ||||||
NBN Co. Ltd. | ||||||||
1.450% 5/05/26 (c) | 200,000 | 197,046 | ||||||
SingTel Group Treasury Pte Ltd. | ||||||||
1.875% 6/10/30 (c) | 200,000 | 196,973 | ||||||
T-Mobile USA, Inc. | ||||||||
2.250% 2/15/26 | 205,000 | 205,513 | ||||||
2.550% 2/15/31 | 500,000 | 498,041 | ||||||
2.875% 2/15/31 | 30,000 | 29,628 | ||||||
3.375% 4/15/29 | 35,000 | 35,663 | ||||||
3.375% 4/15/29 (c) | 15,000 | 15,284 | ||||||
3.400% 10/15/52 (c) | 170,000 | 169,805 |
The accompanying notes are an integral part of the financial statements.
58
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Telefonica Moviles Chile SA | ||||||||
3.537% 11/18/31 (c) (d) | $ | 150,000 | $ | 149,363 | ||||
Verizon Communications, Inc. | ||||||||
2.650% 11/20/40 | 25,000 | 23,824 | ||||||
4.400% 11/01/34 | 335,000 | 390,729 | ||||||
3,495,069 | ||||||||
Transportation — 0.5% | ||||||||
CSX Corp. | ||||||||
3.800% 11/01/46 | 350,000 | 394,706 | ||||||
Empresa de Transporte de Pasajeros Metro SA | ||||||||
5.000% 1/25/47 (c) (d) | 750,000 | 872,812 | ||||||
FedEx Corp. | ||||||||
4.750% 11/15/45 | 160,000 | 195,566 | ||||||
First Student Bidco, Inc./First Transit Parent, Inc. | ||||||||
4.000% 7/31/29 (c) | 80,000 | 77,760 | ||||||
1,540,844 | ||||||||
Trucking & Leasing — 0.1% | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | ||||||||
4.200% 4/01/27 (c) | 170,000 | 187,404 | ||||||
TOTAL CORPORATE DEBT (Cost $75,813,878) | 77,297,940 | |||||||
MUNICIPAL OBLIGATIONS — 0.1% | ||||||||
State of California BAB, General Obligation | ||||||||
7.550% 4/01/39 | 190,000 | 317,082 | ||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $282,944) | 317,082 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 27.8% | ||||||||
Commercial Mortgage-Backed Securities — 8.3% | ||||||||
BANK | ||||||||
Series 2020-BN28, Class AS, 2.140% 3/15/63 | 380,000 | 369,993 | ||||||
Series 2021-BN37, Class C, 3.109% VRN 11/15/64 (f) | 393,000 | 389,221 | ||||||
Series 2017-BNK5, Class C, 4.253% VRN 6/15/60 (f) | 200,000 | 210,328 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2021-B28, Class XA, 1.291% VRN 8/15/54 (f) | 3,968,218 | 379,480 | ||||||
Series 2020-B19, Class AS, 2.148% 9/15/53 | 380,000 | 366,789 |
Principal | Value | |||||||
Series 2020-B18, Class AGNF, 4.139% 7/15/53 (c) | $ | 378,000 | $ | 370,898 | ||||
BX Commercial Mortgage Trust | ||||||||
Series 2021-XL2, Class E, 1 mo. USD LIBOR + 1.846% 1.956% FRN 10/15/38 (c) | 401,000 | 398,520 | ||||||
Series 2021-VOLT, Class F, 1 mo. USD LIBOR + 2.400% 2.510% FRN 9/15/36 (c) | 405,000 | 401,204 | ||||||
Series 2021-21M, Class H, 1 mo. USD LIBOR + 4.010% 4.120% FRN 10/15/36 (c) | 396,000 | 392,232 | ||||||
BX Trust, Series 2019-OC11, Class E, | ||||||||
4.076% VRN 12/09/41 (c) (f) | 374,000 | 372,530 | ||||||
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class XA, | ||||||||
0.989% VRN 1/10/48 (f) | 5,417,727 | 188,683 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2016-GC36, Class D, 2.850% 2/10/49 (c) | 201,000 | 142,492 | ||||||
Series 2019-GC41, Class B, 3.199% 8/10/56 | 377,000 | 389,175 | ||||||
Series 2020-420K, Class D, 3.312% VRN 11/10/42 (c) (f) | 200,000 | 194,602 | ||||||
Series 2020-420K, Class E, 3.312% VRN 11/10/42 (c) (f) | 200,000 | 185,356 | ||||||
Series 2015-GC31, Class C, 4.041% VRN 6/10/48 (f) | 700,000 | 708,337 | ||||||
Series 2017-C4, Class B, 4.096% VRN 10/12/50 (f) | 340,000 | 359,542 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
Series 2014-CR20, Class C, 4.491% VRN 11/10/47 (f) | 411,000 | 419,221 | ||||||
Series 2015-LC23, Class C, 4.609% VRN 10/10/48 (f) | 470,000 | 495,489 | ||||||
Series 2016-CR28, Class C, 4.638% VRN 2/10/49 (f) | 465,000 | 488,516 | ||||||
Cosmopolitan Hotel Trust, Series 2017-CSMO, Class E, 1 mo. USD LIBOR + 3.000% | ||||||||
3.110% FRN 11/15/36 (c) | 209,000 | 208,880 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
Series 2015-C1, Class XA, 0.822% VRN 4/15/50 (f) | 7,997,107 | 163,562 | ||||||
Series 2020-C19, Class C, 3.614% VRN 3/15/53 (f) | 332,000 | 336,768 | ||||||
Series 2019-C16, Class B, 3.885% 6/15/52 | 334,000 | 362,105 | ||||||
Series 2016-C6, Class B, 3.924% VRN 1/15/49 (f) | 298,000 | 313,335 | ||||||
Series 2015-C4, Class C, 4.561% VRN 11/15/48 (f) | 427,000 | 449,800 |
The accompanying notes are an integral part of the financial statements.
59
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Series 2016-C6, Class C, 4.921% VRN 1/15/49 (f) | $ | 378,000 | $ | 388,039 | ||||
CSMC 2021-B33 | ||||||||
Series 2021-B33, Class B, 3.645% VRN 10/10/43 (c) (f) | 300,000 | 311,199 | ||||||
Series 2021-B33, Class C, 3.645% VRN 10/10/43 (c) (f) | 101,000 | 96,652 | ||||||
DBGS Mortgage Trust, Series 2018-5BP, Class F, 1 mo. USD LIBOR + 2.600% | ||||||||
2.710% FRN 6/15/33 (c) | 550,000 | 519,756 | ||||||
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class G, | ||||||||
3.963% VRN 12/10/36 (c) (f) | 176,000 | 166,821 | ||||||
Great Wolf Trust, Series 2019-WOLF, Class D, 1 mo. USD LIBOR + 1.933% | ||||||||
2.043% FRN 12/15/36 (c) | 392,000 | 387,106 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2015-GS1, Class XA, 0.760% VRN 11/10/48 (f) | 7,768,920 | 203,272 | ||||||
Series 2018-RIVR, Class C, 1 mo. USD LIBOR + 1.250% 1.360% FRN 7/15/35 (c) | 167,000 | 161,988 | ||||||
Series 2013-GC10, Class XA, 1.475% VRN 2/10/46 (f) | 4,229,449 | 44,119 | ||||||
Series 2014-GC26, Class D, 4.509% VRN 11/10/47 (c) (f) | 763,000 | 519,189 | ||||||
GSCG Trust, Series 2019-600C, Class E, | ||||||||
3.985% VRN 9/06/34 (c) (f) | 497,000 | 487,408 | ||||||
Hospitality Mortgage Trust, Series 2019-HIT, Class F, 1 mo. USD LIBOR + 3.150% | ||||||||
3.260% FRN 11/15/36 (c) | 409,208 | 395,935 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2015-JP1, Class XA, 0.889% VRN 1/15/49 (f) | 3,660,833 | 111,642 | ||||||
Series 2016-JP2, Class B, 3.460% 8/15/49 | 174,000 | 178,382 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2015-C30, Class XA, 0.496% VRN 7/15/48 (f) | 9,091,808 | 139,989 | ||||||
Series 2015-C29, Class XA, 0.619% VRN 5/15/48 (f) | 6,605,770 | 118,558 | ||||||
Series 2014-C25, Class XA, 0.830% VRN 11/15/47 (f) | 3,958,486 | 79,657 | ||||||
Series 2015-C28, Class XA, 0.964% VRN 10/15/48 (f) | 6,568,381 | 154,769 | ||||||
Series 2015-C27, Class D, 3.806% VRN 2/15/48 (c) (f) | 704,000 | 629,549 |
Principal | Value | |||||||
Series 2014-C23, Class D, 3.984% VRN 9/15/47 (c) (f) | $ | 391,000 | $ | 385,741 | ||||
Series 2015-C28, Class B, 3.986% 10/15/48 | 340,000 | 349,483 | ||||||
Series 2015-C29, Class C, 4.199% VRN 5/15/48 (f) | 162,000 | 159,144 | ||||||
Series 2015-C33, Class C, 4.611% VRN 12/15/48 (f) | 527,000 | 548,804 | ||||||
Series 2015-C32, Class C, 4.650% VRN 11/15/48 (f) | 87,000 | 69,604 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C17, Series 2013-C17, Class C, | ||||||||
4.886% VRN 1/15/47 (f) | 400,000 | 413,912 | ||||||
Med Trust 2021-MDLN, Series 2021-MDLN, Class D, 1 mo. USD LIBOR + 2.000% | ||||||||
2.110% FRN 11/15/38 (c) | 396,000 | 394,768 | ||||||
MF1 Ltd., Series 2020-FL3, Class AS, SOFR30A + 2.964% | ||||||||
3.015% FRN 7/15/35 (c) | 318,000 | 319,166 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2015-C27, Class D, 3.237% VRN 12/15/47 (c) (f) | 504,000 | 462,876 | ||||||
Series 2015-C23, Class C, 4.144% VRN 7/15/50 (f) | 650,000 | 658,757 | ||||||
Series 2015-C27, Class C, 4.503% VRN 12/15/47 (f) | 351,000 | 351,557 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2015-UBS8, Class XA, 0.871% VRN 12/15/48 (f) | 6,097,001 | 172,784 | ||||||
Series 2021-L6, Class C, 3.464% VRN 6/15/54 (f) | 388,000 | 397,909 | ||||||
MSCG Trust, Series 2018-SELF, Class F, 1 mo. USD LIBOR + 3.050% | ||||||||
3.160% FRN 10/15/37 (c) | 226,000 | 224,719 | ||||||
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class C, 1 mo. USD LIBOR + 2.200% | ||||||||
2.310% FRN 6/15/35 (c) | 368,000 | 342,650 | ||||||
SG Commercial Mortgage Securities Trust | ||||||||
Series 2016-C5, Class XA, 1.903% VRN 10/10/48 (f) | 3,556,643 | 207,789 | ||||||
Series 2016-C5, Class B, 3.933% 10/10/48 | 411,000 | 419,296 | ||||||
SLG Office Trust | ||||||||
Series 2021-OVA, Class E, 2.851% 7/15/41 (c) | 260,000 | 246,553 |
The accompanying notes are an integral part of the financial statements.
60
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Series 2021-OVA, Class F, 2.851% 7/15/41 (c) | $ | 260,000 | $ | 234,208 | ||||
TTAN, Series 2021-MHC, Class F, 1 mo. USD LIBOR + 2.900% | ||||||||
3.010% FRN 3/15/38 (c) | 384,822 | 381,458 | ||||||
UBS Commercial Mortgage Trust | ||||||||
Series 2017-C2, Class B, 3.993% VRN 8/15/50 (f) | 332,000 | 346,085 | ||||||
Series 2017-C1, Class B, 4.036% 6/15/50 | 328,000 | 345,110 | ||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class C, | ||||||||
4.080% VRN 3/10/46 (c) (f) | 393,000 | 389,613 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2015-NXS2, Class XA, 0.647% VRN 7/15/58 (f) | 9,819,845 | 186,704 | ||||||
Series 2015-P2, Class XA, 0.961% VRN 12/15/48 (f) | 4,108,065 | 134,903 | ||||||
Series 2019-C53, Class XA, 1.014% VRN 10/15/52 (f) | 4,320,416 | 272,611 | ||||||
Series 2020-C57, Class XA, 2.092% VRN 8/15/53 (f) | 2,215,987 | 323,194 | ||||||
Series 2016-C35, Class B, 3.438% 7/15/48 | 328,000 | 337,774 | ||||||
Series 2016-NXS6, Class B, 3.811% 11/15/49 | 248,000 | 256,623 | ||||||
Series 2015-C28, Class C, 4.093% VRN 5/15/48 (f) | 248,000 | 248,433 | ||||||
Series 2017-C39, Class C, 4.118% 9/15/50 | 206,000 | 214,803 | ||||||
Series 2019-C50, Class C, 4.345% 5/15/52 | 409,000 | 430,029 | ||||||
Series 2016-LC24, Class C, 4.432% VRN 10/15/49 (f) | 325,000 | 339,383 | ||||||
Series 2016-C37, Class C, 4.493% VRN 12/15/49 (f) | 376,000 | 397,458 | ||||||
Series 2015-NXS4, Class C, 4.692% VRN 12/15/48 (f) | 421,000 | 446,210 | ||||||
25,561,199 | ||||||||
Home Equity Asset-Backed Securities — 0.7% | ||||||||
GSAA Home Equity Trust, Series 2007-10, Class A2A | ||||||||
6.500% 11/25/37 | 3,554,873 | 2,145,394 | ||||||
Other Asset-Backed Securities — 10.9% | ||||||||
AASET US Ltd., Series 2018-1A, Class A | ||||||||
3.844% 1/16/38 (c) | 476,217 | 415,182 |
Principal | Value | |||||||
Bain Capital Credit Clo 2019-3 Ltd., Series 2019-3A, Class DR, 3 mo. USD LIBOR + 3.100% | ||||||||
3.190% FRN 10/21/34 (c) | $ | 1,000,000 | $ | 1,000,000 | ||||
Blackbird Capital Aircraft, Series 2021-1A, Class B | ||||||||
3.446% 7/15/46 (c) | 734,375 | 725,528 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, | ||||||||
5.682% STEP 12/16/41 (c) | 713,542 | 676,668 | ||||||
BlueMountain CLO Ltd., Series 2015-3A, Class CR, 3 mo. USD LIBOR + 2.600% | ||||||||
2.732% FRN 4/20/31 (c) | 1,000,000 | 943,884 | ||||||
Cent CLO 27 Ltd., Series 2018-27A, Class DR, 3 mo. USD LIBOR + 3.830% | ||||||||
3.994% FRN 1/25/35 (c) | 500,000 | 497,086 | ||||||
CLI Funding VI LLC, Series 2020-3A, Class A | ||||||||
2.070% 10/18/45 (c) | 214,583 | 212,954 | ||||||
Dividend Solar Loans LLC, Series 2018-1, Class B | ||||||||
4.290% 7/20/38 (c) | 626,993 | 668,542 | ||||||
Dryden 40 Senior Loan Fund, Series 2015-40A, Class DR, 3 mo. USD LIBOR + 3.100% | ||||||||
3.256% FRN 8/15/31 (c) | 500,000 | 499,748 | ||||||
Gilbert Park CLO Ltd. | ||||||||
Series 2017-1A, Class D, 3 mo. USD LIBOR + 2.950% 3.074% FRN 10/15/30 (c) | 500,000 | 499,183 | ||||||
Series 2017-1A, Class E, 3 mo. USD LIBOR + 6.400% 6.524% FRN 10/15/30 (c) | 1,000,000 | 1,000,252 | ||||||
Grippen Park CLO Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.300% | ||||||||
3.432% FRN 1/20/30 (c) | 1,000,000 | 1,000,165 | ||||||
Helios Issuer LLC, Series 2020-AA, Class A | ||||||||
2.980% 6/20/47 (c) | 410,177 | 422,089 | ||||||
Helios VII Issuer LLC, Series 2021-C, Class C | ||||||||
2.630% 10/20/48 (c) | 494,182 | 494,081 | ||||||
Hero Funding Trust, Series 2016-4A, Class A2 | ||||||||
4.290% 9/20/47 (c) | 136,624 | 142,722 | ||||||
Highbridge Loan Management Ltd., Series 13A-18, Class D, 3 mo. USD LIBOR + 3.000% | ||||||||
3.124% FRN 10/15/30 (c) | 500,000 | 492,754 |
The accompanying notes are an integral part of the financial statements.
61
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Invitation Homes Trust, Series 2018-SFR1, Class C, 1 mo. USD LIBOR + 1.250% | ||||||||
1.359% FRN 3/17/37 (c) | $ | 1,144,836 | $ | 1,145,058 | ||||
JOL Air Ltd., Series 2019-1, Class A | ||||||||
3.967% 4/15/44 (c) | 414,057 | 400,063 | ||||||
Long Beach Mortgage Loan Trust, Series 2006-7, Class 1A, 1 mo. USD LIBOR + .155% | ||||||||
0.257% FRN 8/25/36 | 2,867,234 | 1,755,206 | ||||||
MACH 1 Cayman Ltd., Series 2019-1, Class A | ||||||||
3.474% 10/15/39 (c) | 389,034 | 380,686 | ||||||
Madison Park Funding Ltd., Series 2014-14A, Class DRR, 3 mo. USD LIBOR + 2.950% | ||||||||
3.078% FRN 10/22/30 (c) | 500,000 | 497,861 | ||||||
Marble Point CLO XXI Ltd., Series 2021-3A, Class D1, 3 mo. USD LIBOR + 3.500% | ||||||||
3.629% FRN 10/17/34 (c) | 500,000 | 494,210 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class A2C, 1 mo. USD LIBOR + .150% | ||||||||
0.252% FRN 8/25/37 | 1,587,715 | 1,536,693 | ||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A | ||||||||
4.450% 6/20/42 (c) | 273,149 | 285,865 | ||||||
Mosaic Solar Loans Trust | ||||||||
Series 2021-3A, Class B, 1.920% 6/20/52 (c) | 487,299 | 476,495 | ||||||
Series 2020-1A, Class A, 2.100% 4/20/46 (c) | 318,559 | 319,488 | ||||||
Series 2020-2A, Class B, 2.210% 8/20/46 (c) | 361,676 | 361,415 | ||||||
Oak Hill Credit Partners Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 3.050% | ||||||||
3.182% FRN 10/20/30 (c) | 500,000 | 499,454 | ||||||
Octagon Investment Partners 30 Ltd., Series 2017-1A, Class CR, 3 mo. USD LIBOR + 3.300% | ||||||||
3.432% FRN 3/17/30 (c) | 1,000,000 | 998,956 | ||||||
Pagaya AI Debt Selection Trust, Series 2021-2, Class Note | ||||||||
3.000% 1/25/29 (c) | 646,834 | 643,379 | ||||||
Primose Funding LLC, Series 2019-1A, Class A2 | ||||||||
4.475% 7/30/49 (c) | 980,000 | 1,004,371 |
Principal | Value | |||||||
Sound Point CLO XXIII, Series 2019-2A, Class DR, 3 mo. USD LIBOR + 3.300% | ||||||||
3.424% FRN 7/15/34 (c) | $ | 500,000 | $ | 495,419 | ||||
Sprite Ltd. | ||||||||
Series 2021-1, Class A, 3.750% 11/15/46 (c) | 496,210 | 490,947 | ||||||
Series 2017-1, Class A, 4.250% 12/15/37 (c) | 292,209 | 288,903 | ||||||
START Ireland, Series 2019-1, Class A | ||||||||
4.089% 3/15/44 (c) | 294,563 | 292,798 | ||||||
Sunnova Sol III Issuer LLC, Series 2021-1, Class A | ||||||||
2.580% 4/28/56 (c) | 486,926 | 484,378 | ||||||
Sunrun Atlas Issuer LLC, Series 2019-2, Class A | ||||||||
3.610% 2/01/55 (c) | 711,385 | 744,556 | ||||||
Symphony CLO Ltd., Series 2015-16A, Class DR, 3 mo. USD LIBOR + 3.050% | ||||||||
3.174% FRN 10/15/31 (c) | 500,000 | 497,119 | ||||||
Textainer Marine Containers Ltd., Series 2020-2A, Class A | ||||||||
2.100% 9/20/45 (c) | 440,682 | 439,143 | ||||||
Thunderbolt Aircraft Lease Ltd. | ||||||||
Series 2018-A, Class A, 4.147% STEP 9/15/38 (c) | 428,401 | 420,490 | ||||||
Series 2017-A, Class A, 4.212% STEP 5/17/32 (c) | 793,801 | 777,353 | ||||||
TIF Funding II LLC, Series 2021-1A, Class A | ||||||||
1.650% 2/20/46 (c) | 928,958 | 898,059 | ||||||
TPG Real Estate Finance Issuer Ltd., Series 2018-FL2, Class AS, 1 mo. USD LIBOR + 1.450% | ||||||||
1.559% FRN 11/15/37 (c) | 314,000 | 313,811 | ||||||
Triumph Rail LLC, Series 2021-2, Class A | ||||||||
2.150% 6/19/51 (c) | 737,489 | 733,299 | ||||||
Upstart Securitization Trust | ||||||||
Series 2021-3, Class B, 1.660% 7/20/31 (c) | 500,000 | 493,488 | ||||||
Series 2021-4, Class B, 1.840% 9/20/31 (c) | 700,000 | 687,484 | ||||||
Series 2021-3, Class C, 3.280% 7/20/31 (c) | 500,000 | 496,448 | ||||||
USQ Rail LLC, Series 2021-1A, Class A | ||||||||
2.250% 2/28/51 (c) | 959,777 | 957,831 | ||||||
Vantage Data Centers LLC, Series 2020-2A, Class A2 | ||||||||
1.992% 9/15/45 (c) | 375,000 | 368,358 |
The accompanying notes are an integral part of the financial statements.
62
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Vault DI Issuer LLC, Series 2021-1A, Class A2 | ||||||||
2.804% 7/15/46 (c) | $ | 500,000 | $ | 494,451 | ||||
VB-S1 Issuer LLC, Series 2020-1A, Class C2 | ||||||||
3.031% 6/15/50 (c) | 500,000 | 513,208 | ||||||
Washington Mutural Asset-Backed Certificates WMABS Trust, Series 2006-HE5, Class 2A2, 1 mo. USD LIBOR + .180% | ||||||||
0.282% FRN 10/25/36 | 60,469 | 31,728 | ||||||
Wellfleet CLO X Ltd., Series 2019-XA, Class A1R, 3 mo. USD LIBOR + 1.170% | ||||||||
1.302% FRN 7/20/32 (c) | 500,000 | 499,999 | ||||||
Willis Engine Structured Trust IV, Series 2018-A, Class A, | ||||||||
4.750% STEP 9/15/43 (c) | 722,350 | 707,842 | ||||||
Wind River CLO Ltd., Series 2017-1A, Class DR, 3 mo. USD LIBOR + 3.720% | ||||||||
3.842% FRN 4/18/36 (c) | 1,000,000 | 1,000,006 | ||||||
33,617,156 | ||||||||
Student Loans Asset-Backed Securities — 0.4% | ||||||||
College Avenue Student Loans LLC, Series 2018-A, Class A1, 1 mo. USD LIBOR + 1.200% | ||||||||
1.303% FRN 12/26/47 (c) | 277,647 | 280,335 | ||||||
SoFi Professional Loan Program LLC | ||||||||
Series 2017-D, Class BFX, 3.610% 9/25/40 (c) | 350,000 | 360,417 | ||||||
Series 2018-B, Class BFX, 3.830% 8/25/47 (c) | 500,000 | 508,586 | ||||||
1,149,338 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 7.1% | ||||||||
Banc of America Funding Trust, Series 2007-8, Class 2A1 | ||||||||
7.000% 10/25/37 | 6,886 | 5,695 | ||||||
CHL GMSR Issuer Trust, Series 2018-GT1, Class A, 1 mo. USD LIBOR + 2.750% | ||||||||
2.852% FRN 5/25/23 (c) | 500,000 | 501,502 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-AR5, Class 1A2A, | ||||||||
3.011% VRN 4/25/37 (f) | 802,769 | 763,141 | ||||||
Countrywide Alternative Loan Trust | ||||||||
Series 2006-12CB, Class A5, 6.000% 5/25/36 | 2,014,623 | 1,477,619 | ||||||
Series 2006-13T1, Class A11, 6.000% 5/25/36 | 1,730,949 | 1,057,556 | ||||||
Series 2006-36T2, Class 2A1, 6.250% 12/25/36 | 3,207,541 | 1,939,249 |
Principal | Value | |||||||
Countrywide Home Loans Mortgage Pass-Through Trust | ||||||||
Series 2007-HYB2, Class 3A1, 2.718% VRN 2/25/47 (f) | $ | 930,250 | $ | 864,641 | ||||
Series 2007-3, Class A21, 6.000% 4/25/37 | 1,463,849 | 995,168 | ||||||
Series 2007-14, Class A6, 6.000% 9/25/37 | 1,274,163 | 919,489 | ||||||
HarborView Mortgage Loan Trust, Series 2006-11, Class A1A, 1 mo. USD LIBOR + .340% | ||||||||
0.444% FRN 12/19/36 | 763,611 | 709,615 | ||||||
Imperial Fund Mortgage Trust, Series 2021-NQM2, Class M1, | ||||||||
2.489% VRN 9/25/56 (c) (f) | 1,028,000 | 1,017,632 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2007-AR5, Class 2A1, | ||||||||
2.979% VRN 5/25/37 (f) | 1,962,948 | 1,806,450 | ||||||
Lehman XS Trust, Series 2007-12N, Class 1A3A, 1 mo. USD LIBOR + .200% | ||||||||
0.302% FRN 7/25/47 | 2,081,966 | 2,103,042 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 2A1, | ||||||||
2.501% VRN 7/25/35 (f) | 306,265 | 290,926 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AR1, Class 2A1, | ||||||||
2.985% VRN 2/25/36 (f) | 1,759,543 | 1,497,211 | ||||||
RBSSP Resecuritization Trust, Series 2009-5, Class 2A3, | ||||||||
6.500% VRN 10/26/37 (c) (f) | 745,411 | 465,855 | ||||||
RFMSI Trust, Series 2007-S4, Class A5, 1 mo. USD LIBOR + .600% | ||||||||
6.000% FRN 4/25/37 | 187,661 | 183,552 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1, Class A2, | ||||||||
2.714% VRN 10/25/37 (f) | 617,677 | 539,564 | ||||||
Verus Securitization Trust | ||||||||
Series 2021-4, Class M1, 2.195% VRN 7/25/66 (c) (f) | 1,000,000 | 989,669 | ||||||
Series 2021-R1, Class M1, 2.338% 10/25/63 (c) | 1,500,000 | 1,505,077 | ||||||
Voyager OPTONE Delaware Trust, Series 2009-1, Class SAC3, | ||||||||
9.489% VRN 2/25/38 (c) (f) | 1,901,897 | 1,544,622 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-4, Class 3A5, | ||||||||
6.850% STEP 5/25/36 | 775,509 | 757,794 | ||||||
21,935,069 |
The accompanying notes are an integral part of the financial statements.
63
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Whole Loan Collateral Planned Amortization Classes — 0.4% | ||||||||
Countrywide Alternative Loan Trust, Series 2006-19CB, Class A15 | ||||||||
6.000% 8/25/36 | $ | 1,447,807 | $ | 1,130,699 | ||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $90,477,304) | 85,538,855 | |||||||
SOVEREIGN DEBT OBLIGATIONS — 2.3% | ||||||||
Abu Dhabi Government International Bond | ||||||||
1.700% 3/02/31 (c) | 200,000 | 194,400 | ||||||
3.125% 4/16/30 (c) | 200,000 | 216,550 | ||||||
Brazilian Government International Bond | ||||||||
3.750% 9/12/31 | 300,000 | 282,000 | ||||||
5.625% 2/21/47 | 300,000 | 298,953 | ||||||
Chile Government International Bond | ||||||||
2.550% 1/27/32 (d) | 200,000 | 199,500 | ||||||
3.100% 5/07/41 | 200,000 | 195,700 | ||||||
3.100% 1/22/61 | 300,000 | 278,208 | ||||||
Colombia Government International Bond | ||||||||
3.250% 4/22/32 (d) | 200,000 | 179,750 | ||||||
4.125% 5/15/51 | 250,000 | 202,875 | ||||||
5.000% 6/15/45 | 200,000 | 180,500 | ||||||
Dominican Republic International Bond | ||||||||
5.875% 1/30/60 (c) | 150,000 | 144,188 | ||||||
Indonesia Government International Bond | ||||||||
3.700% 10/30/49 | 250,000 | 264,367 | ||||||
Korea Electric Power Corp. | ||||||||
1.125% 6/15/25 (c) | 200,000 | 197,046 | ||||||
Malaysia Wakala Sukuk Bhd | ||||||||
2.070% 4/28/31 (c) | 250,000 | 249,545 | ||||||
Mexico Government International Bond | ||||||||
2.659% 5/24/31 (d) | 200,000 | 195,002 | ||||||
3.750% 1/11/28 | 535,000 | 574,863 | ||||||
3.771% 5/24/61 | 300,000 | 276,036 | ||||||
4.280% 8/14/41 | 450,000 | 466,312 | ||||||
Panama Government International Bond | ||||||||
2.252% 9/29/32 | 200,000 | 189,750 | ||||||
3.870% 7/23/60 | 200,000 | 200,000 | ||||||
4.300% 4/29/53 | 200,000 | 214,702 | ||||||
Perusahaan Penerbit SBSN Indonesia | ||||||||
3.800% 6/23/50 (c) | 400,000 | 418,820 |
Principal | Value | |||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
2.550% 6/09/31 (c) | $ | 200,000 | $ | 202,458 | ||||
Philippine Government International Bond | ||||||||
1.648% 6/10/31 | 400,000 | 387,090 | ||||||
Saudi Government International Bond | ||||||||
2.250% 2/02/33 (c) | 500,000 | 487,380 | ||||||
3.750% 1/21/55 (c) | 200,000 | 214,412 | ||||||
6,910,407 | ||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $6,970,574) | 6,910,407 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (g) — 14.3% | ||||||||
Collateralized Mortgage Obligations — 3.7% | ||||||||
Federal Home Loan Mortgage Corp. REMICS | ||||||||
Series 4481, Class B, 3.000% 12/15/42 | 1,536,778 | 1,571,113 | ||||||
Series 4483, Class CA, 3.000% 6/15/44 | 2,238,353 | 2,320,451 | ||||||
Federal Home Loan Mortgage Corp. SCRT (f) Series 2018-2, Class HV 3.000% 11/25/57 | 2,659,976 | 2,773,226 | ||||||
Federal National Mortgage Association | ||||||||
Series 2018-44, Class PZ, 3.500% 6/25/48 | 2,946,876 | 3,180,335 | ||||||
Series 2021-48, Class NS, SOFR30A + 3.650% 3.600% FRN 8/25/51 | 1,103,605 | 133,199 | ||||||
Federal National Mortgage Association REMICS Series 2018-21, Class PO 0.000% 4/25/48 | 847,731 | 776,933 | ||||||
Government National Mortgage Association | ||||||||
Series 2021-164, Class IO, 0.966% VRN 10/16/63 (f) | 1,269,066 | 109,042 | ||||||
Series 2020-115, Class IG, 2.500% 8/20/50 | 1,116,066 | 143,579 | ||||||
Series 2021-140, Class IH, 2.500% 8/20/51 | 1,038,614 | 146,100 | ||||||
Series 2021-176, Class SD, SOFR30A + 2.700% 2.650% FRN 9/20/51 | 2,581,884 | 130,005 | ||||||
Series 2021-103, Class SA, SOFR30A + 3.250% 3.200% FRN 4/20/51 | 1,430,073 | 133,752 | ||||||
11,417,735 |
The accompanying notes are an integral part of the financial statements.
64
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Pass-Through Securities — 10.6% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #SD0715 2.000% 9/01/51 | $ | 2,106,970 | $ | 2,123,490 | ||||
Pool #BL5484 2.260% 1/01/30 | 3,000,000 | 3,099,360 | ||||||
Pool #G08520 2.500% 1/01/43 | 591,120 | 606,784 | ||||||
Pool #SD8174 3.000% 10/01/51 | 2,676,059 | 2,778,592 | ||||||
Pool #G08632 3.500% 3/01/45 | 818,702 | 875,949 | ||||||
Federal National Mortgage Association | ||||||||
Pool #MA4281 2.000% 3/01/51 | 3,682,173 | 3,679,976 | ||||||
Pool #FM9079 2.000% 10/01/51 | 3,432,425 | 3,445,394 | ||||||
Pool #FM4052 2.500% 9/01/50 | 2,817,960 | 2,906,987 | ||||||
Pool #FM8692 2.500% 9/01/51 | 2,466,005 | 2,544,491 | ||||||
Pool #FM9846 2.500% 12/01/51 (h) | 656,660 | 672,943 | ||||||
Pool #FS0174 2.500% 1/01/52 (h) | 675,000 | 691,948 | ||||||
Pool #MA2248 3.000% 4/01/45 | 376,189 | 390,302 | ||||||
Pool #AS7661 3.000% 8/01/46 | 362,907 | 375,841 | ||||||
Pool #FM9934 3.000% 12/01/48 (h) | 1,100,000 | 1,150,547 | ||||||
Pool #FM9564 3.000% 2/01/50 | 1,255,343 | 1,313,029 | ||||||
Pool #AX2501 4.000% 10/01/44 | 798,175 | 862,283 | ||||||
Pool #FM8214 4.000% 5/01/49 | 1,149,321 | 1,231,128 | ||||||
Pool #FM8972 4.000% 6/01/49 | 629,425 | 676,439 | ||||||
Government National Mortgage Association | ||||||||
2.500% 10/20/51 | 2,489,285 | 2,580,561 | ||||||
2.500% 11/20/51 | 747,919 | 774,876 | ||||||
32,780,920 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $43,974,924) | 44,198,655 | |||||||
U.S. TREASURY OBLIGATIONS — 20.0% | ||||||||
U.S. Treasury Bonds & Notes — 20.0% | ||||||||
U.S. Treasury Bond | ||||||||
1.250% 5/15/50 | 3,100,000 | 2,627,091 | ||||||
1.875% 11/15/51 | 3,870,000 | 3,842,184 | ||||||
2.000% 11/15/41 | 3,020,000 | 3,053,975 | ||||||
2.000% 8/15/51 | 210,000 | 213,589 | ||||||
2.250% 5/15/41 | 2,360,000 | 2,474,487 | ||||||
2.750% 11/15/42 | 180,000 | 205,050 |
Principal | Value | |||||||
U.S. Treasury Note | ||||||||
0.125% 1/31/23 | $ | 315,000 | $ | 313,902 | ||||
0.125% 2/28/23 | 10,260,000 | 10,218,578 | ||||||
0.125% 3/31/23 | 5,230,000 | 5,204,904 | ||||||
0.125% 4/30/23 | 4,040,000 | 4,017,923 | ||||||
0.375% 11/30/25 | 2,580,000 | 2,503,128 | ||||||
0.500% 11/30/23 (d) | 400,000 | 398,497 | ||||||
0.500% 6/30/27 | 3,350,000 | 3,207,329 | ||||||
0.750% 12/31/23 | 3,760,000 | 3,761,324 | ||||||
1.000% 12/15/24 | 6,985,000 | 6,993,731 | ||||||
1.250% 11/30/26 (d) | 455,000 | 455,074 | ||||||
1.250% 12/31/26 | 4,230,000 | 4,228,346 | ||||||
1.375% 12/31/28 | 5,010,000 | 4,989,647 | ||||||
1.375% 11/15/31 | 2,735,000 | 2,700,813 | ||||||
1.500% 11/30/28 | 345,000 | 346,685 | ||||||
61,756,257 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $61,908,122) | 61,756,257 | |||||||
TOTAL BONDS & NOTES (Cost $293,504,723) | 290,108,965 | |||||||
Number of | ||||||||
MUTUAL FUNDS — 5.4% | ||||||||
Diversified Financial Services — 5.4% | ||||||||
DoubleLine Global Bond Fund | 1,421,663 | 13,989,168 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (i) | 2,749,574 | 2,749,574 | ||||||
TOTAL MUTUAL FUNDS (Cost $17,449,574) | 16,738,742 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $310,954,297) | 306,847,707 | |||||||
The accompanying notes are an integral part of the financial statements.
65
MML Dynamic Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
SHORT-TERM INVESTMENTS — 1.8% | ||||||||
Repurchase Agreement — 1.8% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/21, 0.000%, due 1/03/22 (j) | $ | 5,659,271 | $ | 5,659,271 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,659,271) | 5,659,271 | |||||||
TOTAL INVESTMENTS — 101.4% (Cost $316,613,568) (k) | 312,506,978 | |||||||
Less Unfunded Loan Commitments — (0.1)% | (208,619 | ) | ||||||
NET INVESTMENTS — 101.3% (Cost $316,404,949) | 312,298,359 | |||||||
Other Assets/(Liabilities) — (1.3)% | (4,079,834 | ) | ||||||
NET ASSETS — 100.0% | $ | 308,218,525 |
Abbreviation Legend
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
DIP | Debtor In Possession |
FRN | Floating Rate Note |
IO | Interest Only |
PO | Principal Only |
REMICS | Real Estate Mortgage Investment Conduits |
SCRT | Seasoned Credit Risk Transfer |
STEP | Step Up Bond |
VRN | Variable Rate Note |
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, 2021 where the rate will be determined at time of settlement. |
(b) | Unfunded or partially unfunded loan commitments. |
(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, 2021, the aggregate market value of these securities amounted to $85,787,982 or 27.83% of net assets. |
(d) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2021, was $3,926,053 or 1.27% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $1,269,687 of non-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) | Security is perpetual and has no stated maturity date. |
(f) | 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, 2021. |
(g) | May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
(h) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(i) | Represents investment of security lending cash collateral. (Note 2). |
(j) | Maturity value of $5,659,271. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 7/31/28, and an aggregate market value, including accrued interest, of $5,772,497. |
(k) | See Note 6 for aggregate cost for federal tax purposes. |
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
66
December 31, 2021 |
Number of | Value | |||||||
EQUITIES — 98.8% | ||||||||
COMMON STOCK — 98.7% | ||||||||
Basic Materials — 3.2% | ||||||||
Chemicals — 2.1% | ||||||||
Air Products & Chemicals, Inc. | 4,200 | $ | 1,277,892 | |||||
Celanese Corp. | 9,300 | 1,562,958 | ||||||
DuPont de Nemours, Inc. | 30,200 | 2,439,556 | ||||||
Eastman Chemical Co. | 10,800 | 1,305,828 | ||||||
FMC Corp. | 7,400 | 813,186 | ||||||
International Flavors & Fragrances, Inc. | 13,043 | 1,964,928 | ||||||
Linde PLC | 13,824 | 4,789,048 | ||||||
The Mosaic Co. | 29,900 | 1,174,771 | ||||||
The Sherwin-Williams Co. | 12,792 | 4,504,831 | ||||||
19,832,998 | ||||||||
Forest Products & Paper — 0.2% | ||||||||
International Paper Co. | 31,100 | 1,461,078 | ||||||
Iron & Steel — 0.5% | ||||||||
Nucor Corp. | 23,800 | 2,716,770 | ||||||
Reliance Steel & Aluminum Co. | 5,000 | 811,100 | ||||||
Steel Dynamics, Inc. | 16,600 | 1,030,362 | ||||||
4,558,232 | ||||||||
Mining — 0.4% | ||||||||
BHP Group Ltd. Sponsored ADR (b) | 20,334 | 1,227,157 | ||||||
Newmont Corp. | 46,500 | 2,883,930 | ||||||
4,111,087 | ||||||||
29,963,395 | ||||||||
Communications — 7.7% | ||||||||
Advertising — 0.2% | ||||||||
The Interpublic Group of Cos., Inc. | 17,600 | 659,120 | ||||||
Omnicom Group, Inc. | 16,900 | 1,238,263 | ||||||
1,897,383 | ||||||||
Internet — 2.9% | ||||||||
Alphabet, Inc. Class C (a) | 7,101 | 20,547,382 | ||||||
Booking Holdings, Inc. (a) | 760 | 1,823,415 | ||||||
eBay, Inc. | 54,500 | 3,624,250 | ||||||
NortonLifeLock, Inc. | 32,400 | 841,752 | ||||||
26,836,799 | ||||||||
Media — 2.5% | ||||||||
Charter Communications, Inc. Class A (a) | 2,000 | 1,303,940 | ||||||
Comcast Corp. Class A | 297,600 | 14,978,208 | ||||||
Fox Corp. Class A | 26,600 | 981,540 | ||||||
The Walt Disney Co. (a) | 34,581 | 5,356,251 | ||||||
22,619,939 | ||||||||
Telecommunications — 2.1% | ||||||||
Cisco Systems, Inc. | 259,600 | 16,450,852 |
Number of | Value | |||||||
Motorola Solutions, Inc. | 5,155 | $ | 1,400,614 | |||||
T-Mobile US, Inc. (a) | 15,345 | 1,779,713 | ||||||
19,631,179 | ||||||||
70,985,300 | ||||||||
Consumer, Cyclical — 10.1% | ||||||||
Apparel — 0.2% | ||||||||
Capri Holdings Ltd. (a) | 8,800 | 571,208 | ||||||
PVH Corp. | 3,900 | 415,935 | ||||||
Skechers U.S.A., Inc. Class A (a) | 7,300 | 316,820 | ||||||
Tapestry, Inc. | 8,100 | 328,860 | ||||||
1,632,823 | ||||||||
Auto Manufacturers — 1.5% | ||||||||
Ford Motor Co. | 307,800 | 6,393,006 | ||||||
General Motors Co. (a) | 121,700 | 7,135,271 | ||||||
13,528,277 | ||||||||
Auto Parts & Equipment — 0.1% | ||||||||
BorgWarner, Inc. | 6,900 | 310,983 | ||||||
Lear Corp. | 3,700 | 676,915 | ||||||
987,898 | ||||||||
Distribution & Wholesale — 0.1% | ||||||||
LKQ Corp. | 24,000 | 1,440,720 | ||||||
Home Builders — 0.9% | ||||||||
D.R. Horton, Inc. | 28,800 | 3,123,360 | ||||||
Lennar Corp. Class A | 21,800 | 2,532,288 | ||||||
NVR, Inc. (a) | 200 | 1,181,774 | ||||||
PulteGroup, Inc. | 21,200 | 1,211,792 | ||||||
Toll Brothers, Inc. | 7,000 | 506,730 | ||||||
8,555,944 | ||||||||
Home Furnishing — 0.2% | ||||||||
Tempur Sealy International, Inc. | 12,100 | 569,063 | ||||||
Whirlpool Corp. | 4,900 | 1,149,834 | ||||||
1,718,897 | ||||||||
Leisure Time — 0.1% | ||||||||
Brunswick Corp. | 6,100 | 614,453 | ||||||
Lodging — 0.8% | ||||||||
Hilton Worldwide Holdings, Inc. (a) | 26,304 | 4,103,161 | ||||||
Marriott International, Inc. Class A (a) | 18,183 | 3,004,559 | ||||||
7,107,720 | ||||||||
Retail — 6.1% | ||||||||
Advance Auto Parts, Inc. | 5,200 | 1,247,376 | ||||||
AutoNation, Inc. (a) | 6,900 | 806,265 | ||||||
AutoZone, Inc. (a) | 1,500 | 3,144,585 | ||||||
BJ’s Wholesale Club Holdings, Inc. (a) | 8,400 | 562,548 | ||||||
CarMax, Inc. (a) | 10,000 | 1,302,300 | ||||||
Dick’s Sporting Goods, Inc. (b) | 3,700 | 425,463 | ||||||
Dollar General Corp. | 8,300 | 1,957,389 |
The accompanying notes are an integral part of the financial statements.
67
MML Equity Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Genuine Parts Co. | 11,400 | $ | 1,598,280 | |||||
The Home Depot, Inc. | 6,968 | 2,891,790 | ||||||
Lowe’s Cos., Inc. | 57,800 | 14,940,144 | ||||||
O’Reilly Automotive, Inc. (a) | 5,600 | 3,954,888 | ||||||
Penske Automotive Group, Inc. | 5,000 | 536,100 | ||||||
Ross Stores, Inc. | 6,600 | 754,248 | ||||||
Starbucks Corp. | 6,520 | 762,644 | ||||||
Target Corp. | 39,600 | 9,165,024 | ||||||
The TJX Cos., Inc. | 16,219 | 1,231,347 | ||||||
Walgreens Boots Alliance, Inc. | 53,000 | 2,764,480 | ||||||
Walmart, Inc. | 21,797 | 3,153,808 | ||||||
Williams-Sonoma, Inc. (b) | 4,700 | 794,911 | ||||||
Yum! Brands, Inc. | 36,241 | 5,032,425 | ||||||
57,026,015 | ||||||||
Textiles — 0.1% | ||||||||
Mohawk Industries, Inc. (a) | 5,500 | 1,001,990 | ||||||
93,614,737 | ||||||||
Consumer, Non-cyclical — 23.4% | ||||||||
Agriculture — 2.0% | ||||||||
Altria Group, Inc. | 113,700 | 5,388,243 | ||||||
Archer-Daniels-Midland Co. | 43,900 | 2,967,201 | ||||||
Bunge Ltd. | 11,000 | 1,026,960 | ||||||
Darling Ingredients, Inc. (a) | 4,700 | 325,663 | ||||||
Philip Morris International, Inc. | 96,000 | 9,120,000 | ||||||
18,828,067 | ||||||||
Beverages — 0.5% | ||||||||
The Coca-Cola Co. | 35,500 | 2,101,955 | ||||||
Keurig Dr Pepper, Inc. | 56,460 | 2,081,116 | ||||||
Molson Coors Beverage Co. Class B | 5,800 | 268,830 | ||||||
4,451,901 | ||||||||
Biotechnology — 1.4% | ||||||||
Bio-Rad Laboratories, Inc. Class A (a) | 2,100 | 1,586,697 | ||||||
Biogen, Inc. (a) | 8,100 | 1,943,352 | ||||||
Gilead Sciences, Inc. | 73,100 | 5,307,791 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 6,500 | 4,104,880 | ||||||
12,942,720 | ||||||||
Commercial Services — 0.7% | ||||||||
AMERCO | 1,700 | 1,234,591 | ||||||
Booz Allen Hamilton Holding Corp. | 7,800 | 661,362 | ||||||
Quanta Services, Inc. | 8,500 | 974,610 | ||||||
Service Corp. International | 13,900 | 986,761 | ||||||
United Rentals, Inc. (a) | 8,233 | 2,735,744 | ||||||
6,593,068 | ||||||||
Food — 1.7% | ||||||||
General Mills, Inc. | 37,300 | 2,513,274 | ||||||
The J.M. Smucker Co. | 6,700 | 909,994 | ||||||
Kellogg Co. | 19,800 | 1,275,516 |
Number of | Value | |||||||
The Kraft Heinz Co. | 75,400 | $ | 2,706,860 | |||||
The Kroger Co. | 45,900 | 2,077,434 | ||||||
Mondelez International, Inc. Class A | 70,400 | 4,668,224 | ||||||
Tyson Foods, Inc. Class A | 18,100 | 1,577,596 | ||||||
15,728,898 | ||||||||
Health Care – Products — 2.8% | ||||||||
Abbott Laboratories | 4,595 | 646,700 | ||||||
Danaher Corp. | 26,972 | 8,874,058 | ||||||
Henry Schein, Inc. (a) | 8,600 | 666,758 | ||||||
Hologic, Inc. (a) | 14,700 | 1,125,432 | ||||||
Medtronic PLC | 46,604 | 4,821,184 | ||||||
PerkinElmer, Inc. | 10,486 | 2,108,315 | ||||||
Steris PLC | 2,700 | 657,207 | ||||||
Stryker Corp. | 1,264 | 338,019 | ||||||
Thermo Fisher Scientific, Inc. | 9,310 | 6,212,004 | ||||||
25,449,677 | ||||||||
Health Care – Services — 4.6% | ||||||||
Anthem, Inc. | 30,256 | 14,024,866 | ||||||
Centene Corp. (a) | 87,566 | 7,215,438 | ||||||
DaVita, Inc. (a) | 8,900 | 1,012,464 | ||||||
HCA Healthcare, Inc. | 43,725 | 11,233,827 | ||||||
Laboratory Corp. of America Holdings (a) | 7,700 | 2,419,417 | ||||||
Quest Diagnostics, Inc. | 10,700 | 1,851,207 | ||||||
UnitedHealth Group, Inc. | 8,762 | 4,399,751 | ||||||
Universal Health Services, Inc. Class B | 6,100 | 790,926 | ||||||
42,947,896 | ||||||||
Household Products & Wares — 0.3% | ||||||||
Avery Dennison Corp. | 951 | 205,958 | ||||||
Kimberly-Clark Corp. | 16,200 | 2,315,304 | ||||||
2,521,262 | ||||||||
Pharmaceuticals — 9.4% | ||||||||
AbbVie, Inc. | 141,837 | 19,204,730 | ||||||
AmerisourceBergen Corp. | 16,200 | 2,152,818 | ||||||
AstraZeneca PLC Sponsored ADR | 88,300 | 5,143,475 | ||||||
Becton Dickinson and Co. | 9,084 | 2,284,444 | ||||||
Cigna Corp. | 27,301 | 6,269,129 | ||||||
CVS Health Corp. | 76,985 | 7,941,773 | ||||||
Elanco Animal Health, Inc. (a) | 36,532 | 1,036,778 | ||||||
Eli Lilly & Co. | 5,351 | 1,478,053 | ||||||
Johnson & Johnson | 153,916 | 26,330,410 | ||||||
McKesson Corp. | 12,700 | 3,156,839 | ||||||
Merck & Co., Inc. | 158,100 | 12,116,784 | ||||||
87,115,233 | ||||||||
216,578,722 |
The accompanying notes are an integral part of the financial statements.
68
MML Equity Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Energy — 3.3% | ||||||||
Energy – Alternate Sources — 0.1% | ||||||||
First Solar, Inc. (a) | 6,600 | $ | 575,256 | |||||
Oil & Gas — 2.5% | ||||||||
APA Corp. | 21,100 | 567,379 | ||||||
EOG Resources, Inc. | 46,200 | 4,103,946 | ||||||
Exxon Mobil Corp. | 260,600 | 15,946,114 | ||||||
Marathon Oil Corp. | 45,415 | 745,714 | ||||||
Ovintiv, Inc. | 15,300 | 515,610 | ||||||
Valero Energy Corp. | 25,200 | 1,892,772 | ||||||
23,771,535 | ||||||||
Pipelines — 0.7% | ||||||||
Kinder Morgan, Inc. | 139,500 | 2,212,470 | ||||||
ONEOK, Inc. | 25,900 | 1,521,884 | ||||||
The Williams Cos., Inc. | 95,900 | 2,497,236 | ||||||
6,231,590 | ||||||||
30,578,381 | ||||||||
Financial — 24.9% | ||||||||
Banks — 12.0% | ||||||||
Bank of America Corp. | 732,019 | 32,567,525 | ||||||
The Bank of New York Mellon Corp. | 54,700 | 3,176,976 | ||||||
Citizens Financial Group, Inc. | 26,200 | 1,237,950 | ||||||
Comerica, Inc. | 8,600 | 748,200 | ||||||
Commerce Bancshares, Inc. | 7,530 | 517,612 | ||||||
Cullen/Frost Bankers, Inc. | 3,300 | 416,031 | ||||||
East West Bancorp, Inc. | 8,800 | 692,384 | ||||||
Fifth Third Bancorp | 43,800 | 1,907,490 | ||||||
First Horizon Corp. | 33,400 | 545,422 | ||||||
The Goldman Sachs Group, Inc. | 22,735 | 8,697,274 | ||||||
JP Morgan Chase & Co. | 169,900 | 26,903,665 | ||||||
KeyCorp. | 60,200 | 1,392,426 | ||||||
M&T Bank Corp. | 7,600 | 1,167,208 | ||||||
Morgan Stanley | 38,084 | 3,738,326 | ||||||
Northern Trust Corp. | 12,800 | 1,531,008 | ||||||
The PNC Financial Services Group, Inc. | 31,800 | 6,376,536 | ||||||
Regions Financial Corp. | 59,100 | 1,288,380 | ||||||
State Street Corp. | 34,600 | 3,217,800 | ||||||
Truist Financial Corp. | 82,400 | 4,824,520 | ||||||
US Bancorp | 91,973 | 5,166,124 | ||||||
Wells Fargo & Co. | 67,882 | 3,256,978 | ||||||
Western Alliance Bancorp | 5,900 | 635,135 | ||||||
Zions Bancorp NA | 10,100 | 637,916 | ||||||
110,642,886 | ||||||||
Diversified Financial Services — 3.4% | ||||||||
Ally Financial, Inc. | 23,000 | 1,095,030 | ||||||
American Express Co. | 47,800 | 7,820,080 | ||||||
Ameriprise Financial, Inc. | 7,000 | 2,111,620 |
Number of | Value | |||||||
Capital One Financial Corp. | 28,100 | $ | 4,077,029 | |||||
The Charles Schwab Corp. | 76,897 | 6,467,038 | ||||||
Credit Acceptance Corp. (a) | 1,000 | 687,680 | ||||||
Discover Financial Services | 18,100 | 2,091,636 | ||||||
Mastercard, Inc. Class A | 1,900 | 682,708 | ||||||
OneMain Holdings, Inc. | 7,500 | 375,300 | ||||||
Raymond James Financial, Inc. | 12,600 | 1,265,040 | ||||||
SEI Investments Co. | 8,900 | 542,366 | ||||||
Synchrony Financial | 36,000 | 1,670,040 | ||||||
T. Rowe Price Group, Inc. | 14,100 | 2,772,624 | ||||||
31,658,191 | ||||||||
Insurance — 7.4% | ||||||||
Aflac, Inc. | 43,200 | 2,522,448 | ||||||
Alleghany Corp. (a) | 900 | 600,831 | ||||||
The Allstate Corp. | 18,600 | 2,188,290 | ||||||
American Financial Group, Inc. | 5,300 | 727,796 | ||||||
American International Group, Inc. | 167,988 | 9,551,798 | ||||||
Arch Capital Group Ltd. (a) | 24,700 | 1,097,915 | ||||||
Assurant, Inc. | 3,700 | 576,682 | ||||||
Chubb Ltd. | 57,432 | 11,102,180 | ||||||
Cincinnati Financial Corp. | 10,000 | 1,139,300 | ||||||
Equitable Holdings, Inc. | 94,930 | 3,112,755 | ||||||
Everest Re Group Ltd. | 2,900 | 794,368 | ||||||
Fidelity National Financial, Inc. | 17,500 | 913,150 | ||||||
First American Financial Corp. | 6,800 | 531,964 | ||||||
Globe Life, Inc. | 5,700 | 534,204 | ||||||
The Hartford Financial Services Group, Inc. | 80,652 | 5,568,214 | ||||||
Lincoln National Corp. | 11,900 | 812,294 | ||||||
Loews Corp. | 16,400 | 947,264 | ||||||
Markel Corp. (a) | 890 | 1,098,260 | ||||||
Marsh & McLennan Cos., Inc. | 5,844 | 1,015,804 | ||||||
MetLife, Inc. | 75,297 | 4,705,309 | ||||||
Old Republic International Corp. | 12,800 | 314,624 | ||||||
Principal Financial Group, Inc. | 16,900 | 1,222,377 | ||||||
The Progressive Corp. | 36,100 | 3,705,665 | ||||||
Prudential Financial, Inc. | 24,300 | 2,630,232 | ||||||
RenaissanceRe Holdings Ltd. | 2,800 | 474,124 | ||||||
The Travelers Cos., Inc. | 48,717 | 7,620,800 | ||||||
Voya Financial, Inc. (b) | 8,200 | 543,742 | ||||||
W.R. Berkley Corp. | 11,000 | 906,290 | ||||||
Willis Towers Watson PLC | 8,000 | 1,899,920 | ||||||
68,858,600 | ||||||||
Real Estate — 0.2% | ||||||||
CBRE Group, Inc. Class A (a) | 9,700 | 1,052,547 | ||||||
Jones Lang LaSalle, Inc. (a) | 4,000 | 1,077,360 | ||||||
2,129,907 |
The accompanying notes are an integral part of the financial statements.
69
MML Equity Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Real Estate Investment Trusts (REITS) — 1.9% | ||||||||
Alexandria Real Estate Equities, Inc. | 6,865 | $ | 1,530,620 | |||||
Camden Property Trust | 15,541 | 2,776,866 | ||||||
Equity LifeStyle Properties, Inc. | 21,333 | 1,870,051 | ||||||
Prologis, Inc. | 54,040 | 9,098,174 | ||||||
Welltower, Inc. | 10,260 | 880,000 | ||||||
Weyerhaeuser Co. | 21,115 | 869,516 | ||||||
17,025,227 | ||||||||
230,314,811 | ||||||||
Industrial — 12.3% | ||||||||
Aerospace & Defense — 1.8% | ||||||||
General Dynamics Corp. | 22,700 | 4,732,269 | ||||||
L3 Harris Technologies, Inc. | 12,400 | 2,644,176 | ||||||
Lockheed Martin Corp. | 16,100 | 5,722,101 | ||||||
Northrop Grumman Corp. | 9,900 | 3,831,993 | ||||||
16,930,539 | ||||||||
Building Materials — 0.7% | ||||||||
Fortune Brands Home & Security, Inc. | 11,000 | 1,175,900 | ||||||
Martin Marietta Materials, Inc. | 4,047 | 1,782,784 | ||||||
Masco Corp. | 20,700 | 1,453,554 | ||||||
Owens Corning | 8,600 | 778,300 | ||||||
Vulcan Materials Co. | 4,600 | 954,868 | ||||||
6,145,406 | ||||||||
Electronics — 1.2% | ||||||||
Agilent Technologies, Inc. | 22,317 | 3,562,909 | ||||||
Arrow Electronics, Inc. (a) | 5,900 | 792,193 | ||||||
Fortive Corp. | 24,300 | 1,853,847 | ||||||
Honeywell International, Inc. | 7,083 | 1,476,877 | ||||||
Hubbell, Inc. | 11,408 | 2,375,944 | ||||||
Jabil, Inc. | 11,900 | 837,165 | ||||||
Sensata Technologies Holding PLC (a) | 8,700 | 536,703 | ||||||
11,435,638 | ||||||||
Engineering & Construction — 0.2% | ||||||||
Jacobs Engineering Group, Inc. | 11,396 | 1,586,665 | ||||||
Environmental Controls — 0.4% | ||||||||
Republic Services, Inc. | 27,690 | 3,861,370 | ||||||
Hand & Machine Tools — 0.1% | ||||||||
Snap-on, Inc. | 4,300 | 926,134 | ||||||
Machinery – Construction & Mining — 0.1% | ||||||||
Oshkosh Corp. | 3,800 | 428,298 | ||||||
Machinery – Diversified — 1.2% | ||||||||
Deere & Co. | 22,700 | 7,783,603 | ||||||
Dover Corp. | 11,400 | 2,070,240 | ||||||
Westinghouse Air Brake Technologies Corp. | 15,100 | 1,390,861 | ||||||
11,244,704 |
Number of | Value | |||||||
Miscellaneous - Manufacturing — 2.5% | ||||||||
3M Co. | 45,660 | $ | 8,110,586 | |||||
General Electric Co. | 91,017 | 8,598,376 | ||||||
Parker-Hannifin Corp. | 8,000 | 2,544,960 | ||||||
Siemens AG Registered | 16,849 | 2,928,738 | ||||||
Textron, Inc. | 18,000 | 1,389,600 | ||||||
23,572,260 | ||||||||
Packaging & Containers — 1.0% | ||||||||
Amcor PLC | 123,900 | 1,488,039 | ||||||
Berry Global Group, Inc. (a) | 7,000 | 516,460 | ||||||
Crown Holdings, Inc. | 10,700 | 1,183,634 | ||||||
Packaging Corp. of America | 14,982 | 2,039,799 | ||||||
Sealed Air Corp. | 12,300 | 829,881 | ||||||
WestRock Co. | 76,912 | 3,411,817 | ||||||
9,469,630 | ||||||||
Shipbuilding — 0.1% | ||||||||
Huntington Ingalls Industries, Inc. | 2,500 | 466,850 | ||||||
Transportation — 3.0% | ||||||||
C.H. Robinson Worldwide, Inc. | 7,600 | 817,988 | ||||||
CSX Corp. | 111,305 | 4,185,068 | ||||||
Expeditors International of Washington, Inc. | 9,900 | 1,329,471 | ||||||
Knight-Swift Transportation Holdings, Inc. | 10,300 | 627,682 | ||||||
Norfolk Southern Corp. | 18,481 | 5,501,978 | ||||||
Union Pacific Corp. | 13,747 | 3,463,282 | ||||||
United Parcel Service, Inc. Class B | 53,921 | 11,557,427 | ||||||
27,482,896 | ||||||||
113,550,390 | ||||||||
Technology — 8.3% | ||||||||
Computers — 1.7% | ||||||||
Accenture PLC Class A | 5,800 | 2,404,390 | ||||||
Cognizant Technology Solutions Corp. Class A | 3,500 | 310,520 | ||||||
Genpact Ltd. | 15,000 | 796,200 | ||||||
Hewlett Packard Enterprise Co. | 102,100 | 1,610,117 | ||||||
HP, Inc. | 101,800 | 3,834,806 | ||||||
International Business Machines Corp. | 52,200 | 6,977,052 | ||||||
15,933,085 | ||||||||
Semiconductors — 2.1% | ||||||||
Analog Devices, Inc. | 9,692 | 1,703,563 | ||||||
Applied Materials, Inc. | 20,275 | 3,190,474 | ||||||
ASML Holding NV | 2,517 | 2,003,884 | ||||||
Broadcom, Inc. | 9,072 | 6,036,600 | ||||||
KLA Corp. | 5,630 | 2,421,519 | ||||||
Lam Research Corp. | 1,600 | 1,150,640 | ||||||
QUALCOMM, Inc. | 14,675 | 2,683,617 | ||||||
19,190,297 |
The accompanying notes are an integral part of the financial statements.
70
MML Equity Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Software — 4.5% | ||||||||
Microsoft Corp. | 49,238 | $ | 16,559,724 | |||||
Oracle Corp. | 232,100 | 20,241,441 | ||||||
salesforce.com, Inc. (a) | 21,100 | 5,362,143 | ||||||
42,163,308 | ||||||||
77,286,690 | ||||||||
Utilities — 5.5% | ||||||||
Electric — 5.3% | ||||||||
AES Corp. | 29,461 | 715,902 | ||||||
Alliant Energy Corp. | 15,500 | 952,785 | ||||||
CMS Energy Corp. | 6,122 | 398,236 | ||||||
Dominion Energy, Inc. | 74,369 | 5,842,428 | ||||||
Edison International | 22,100 | 1,508,325 | ||||||
Entergy Corp. | 22,998 | 2,590,725 | ||||||
Evergy, Inc. | 14,200 | 974,262 | ||||||
Eversource Energy | 29,918 | 2,721,940 | ||||||
Exelon Corp. | 77,100 | 4,453,296 | ||||||
FirstEnergy Corp. | 33,500 | 1,393,265 | ||||||
NextEra Energy, Inc. | 55,813 | 5,210,702 | ||||||
NRG Energy, Inc. | 14,300 | 616,044 | ||||||
PG&E Corp. (a) | 118,949 | 1,444,041 | ||||||
PPL Corp. | 43,800 | 1,316,628 | ||||||
Public Service Enterprise Group, Inc. | 41,700 | 2,782,641 | ||||||
Sempra Energy | 32,453 | 4,292,883 | ||||||
The Southern Co. | 127,377 | 8,735,515 | ||||||
Vistra Corp. | 28,100 | 639,837 | ||||||
Xcel Energy, Inc. | 39,795 | 2,694,121 | ||||||
49,283,576 | ||||||||
Gas — 0.1% | ||||||||
NiSource, Inc. | 15,100 | 416,911 | ||||||
UGI Corp. | 16,500 | 757,515 | ||||||
1,174,426 | ||||||||
Water — 0.1% | ||||||||
Essential Utilities, Inc. | 13,400 | 719,446 | ||||||
51,177,448 | ||||||||
TOTAL COMMON STOCK (Cost $664,041,051) | 914,049,874 | |||||||
Number of | Value | |||||||
PREFERRED STOCK — 0.1% | ||||||||
Utilities — 0.1% | ||||||||
Electric — 0.1% | ||||||||
AES Corp. Convertible 6.875% (b) | 3,525 | $ | 338,400 | |||||
The Southern Co. Convertible 6.750% | 7,930 | 426,238 | ||||||
764,638 | ||||||||
TOTAL PREFERRED STOCK (Cost $749,000) | 764,638 | |||||||
TOTAL EQUITIES (Cost $664,790,051) | 914,814,512 | |||||||
MUTUAL FUNDS — 1.2% | ||||||||
Diversified Financial Services — 1.2% | ||||||||
iShares Russell 1000 Value ETF | 53,539 | 8,990,804 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (c) | 1,967,430 | 1,967,430 | ||||||
10,958,234 | ||||||||
TOTAL MUTUAL FUNDS (Cost $9,880,788) | 10,958,234 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $674,670,839) | 925,772,746 | |||||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||||
Mutual Fund — 0.1% | ||||||||
T. Rowe Price Government Reserve Investment Fund | 538,082 | 538,082 | ||||||
Principal | ||||||||
Repurchase Agreement — 0.4% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/21, 0.000%, due 1/03/22 (d) | $ | 4,380,153 | 4,380,153 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,918,235) | 4,918,235 | |||||||
TOTAL INVESTMENTS — 100.5% (Cost $679,589,074) (e) | 930,690,981 | |||||||
Other Assets/(Liabilities) — (0.5)% | (4,726,047 | ) | ||||||
NET ASSETS — 100.0% | $ | 925,964,934 |
The accompanying notes are an integral part of the financial statements.
71
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, 2021, was $3,252,316 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 $1,363,459 of non-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 $4,380,153. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 7/31/28, and an aggregate market value, including accrued interest, of $4,467,910. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
72
December 31, 2021 |
Number of | Value | |||||||
EQUITIES — 100.0% | ||||||||
COMMON STOCK — 100.0% | ||||||||
Basic Materials — 2.9% | ||||||||
Chemicals — 0.6% | ||||||||
Albemarle Corp. | 924 | $ | 216,003 | |||||
The Mosaic Co. | 2,368 | 93,039 | ||||||
309,042 | ||||||||
Forest Products & Paper — 0.2% | ||||||||
International Paper Co. | 2,421 | 113,738 | ||||||
Iron & Steel — 0.8% | ||||||||
Nucor Corp. | 3,247 | 370,645 | ||||||
Mining — 1.3% | ||||||||
Freeport-McMoRan, Inc. | 14,990 | 625,533 | ||||||
1,418,958 | ||||||||
Communications — 19.1% | ||||||||
Advertising — 0.2% | ||||||||
The Interpublic Group of Cos., Inc. | 3,043 | 113,960 | ||||||
Internet — 18.0% | ||||||||
Alphabet, Inc. Class A (a) | 1,502 | 4,351,354 | ||||||
Alphabet, Inc. Class C (a) | 1,494 | 4,323,023 | ||||||
Expedia Group, Inc. (a) | 797 | 144,034 | ||||||
8,818,411 | ||||||||
Media — 0.2% | ||||||||
News Corp. Class A | 3,056 | 68,179 | ||||||
News Corp. Class B | 841 | 18,923 | ||||||
87,102 | ||||||||
Telecommunications — 0.7% | ||||||||
Motorola Solutions, Inc. | 1,201 | 326,312 | ||||||
9,345,785 | ||||||||
Consumer, Cyclical — 13.5% | ||||||||
Apparel — 3.0% | ||||||||
NIKE, Inc. Class B | 7,948 | 1,324,693 | ||||||
Tapestry, Inc. | 3,430 | 139,258 | ||||||
1,463,951 | ||||||||
Auto Manufacturers — 2.6% | ||||||||
Ford Motor Co. | 27,691 | 575,142 | ||||||
General Motors Co. (a) | 11,969 | 701,742 | ||||||
1,276,884 | ||||||||
Auto Parts & Equipment — 0.8% | ||||||||
Aptiv PLC (a) | 2,302 | 379,715 | ||||||
Distribution & Wholesale — 0.6% | ||||||||
Copart, Inc. (a) | 1,228 | 186,190 | ||||||
LKQ Corp. | 1,712 | 102,771 | ||||||
288,961 | ||||||||
Entertainment — 0.3% | ||||||||
Caesars Entertainment, Inc. (a) | 1,843 | 172,376 |
Number of | Value | |||||||
Lodging — 0.3% | ||||||||
MGM Resorts International | 2,806 | $ | 125,933 | |||||
Retail — 5.7% | ||||||||
Bath & Body Works, Inc. | 3,256 | 227,236 | ||||||
Darden Restaurants, Inc. | 785 | 118,252 | ||||||
Starbucks Corp. | 7,738 | 905,114 | ||||||
Target Corp. | 5,722 | 1,324,300 | ||||||
Yum! Brands, Inc. | 1,615 | 224,259 | ||||||
2,799,161 | ||||||||
Textiles — 0.2% | ||||||||
Mohawk Industries, Inc. (a) | 538 | 98,013 | ||||||
6,604,994 | ||||||||
Consumer, Non-cyclical — 10.3% | ||||||||
Biotechnology — 2.3% | ||||||||
Moderna, Inc. (a) | 4,319 | 1,096,940 | ||||||
Commercial Services — 2.9% | ||||||||
Automatic Data Processing, Inc. | 2,994 | 738,261 | ||||||
Gartner, Inc. (a) | 786 | 262,776 | ||||||
Quanta Services, Inc. | 1,518 | 174,054 | ||||||
Robert Half International, Inc. | 772 | 86,093 | ||||||
United Rentals, Inc. (a) | 491 | 163,154 | ||||||
1,424,338 | ||||||||
Cosmetics & Personal Care — 1.1% | ||||||||
The Estee Lauder Cos., Inc. Class A | 1,508 | 558,262 | ||||||
Health Care – Products — 1.7% | ||||||||
Align Technology, Inc. (a) | 476 | 312,818 | ||||||
IDEXX Laboratories, Inc. (a) | 477 | 314,085 | ||||||
Waters Corp. (a) | 552 | 205,675 | ||||||
832,578 | ||||||||
Health Care – Services — 2.0% | ||||||||
Charles River Laboratories International, Inc. (a) | 479 | 180,478 | ||||||
HCA Healthcare, Inc. | 1,931 | 496,112 | ||||||
IQVIA Holdings, Inc. (a) | 1,077 | 303,865 | ||||||
980,455 | ||||||||
Household Products & Wares — 0.3% | ||||||||
Avery Dennison Corp. | 706 | 152,898 | ||||||
5,045,471 | ||||||||
Energy — 1.1% | ||||||||
Energy – Alternate Sources — 0.4% | ||||||||
Enphase Energy, Inc. (a) | 1,025 | 187,514 | ||||||
Oil & Gas — 0.4% | ||||||||
Devon Energy Corp. | 4,204 | 185,186 | ||||||
Pipelines — 0.3% | ||||||||
ONEOK, Inc. | 2,709 | 159,181 | ||||||
531,881 |
The accompanying notes are an integral part of the financial statements.
73
MML Equity Momentum Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Financial — 26.7% | ||||||||
Banks — 10.2% | ||||||||
Fifth Third Bancorp | 3,903 | $ | 169,976 | |||||
First Republic Bank | 1,196 | 246,986 | ||||||
The Goldman Sachs Group, Inc. | 2,982 | 1,140,764 | ||||||
Morgan Stanley | 13,006 | 1,276,669 | ||||||
The PNC Financial Services Group, Inc. | 2,548 | 510,925 | ||||||
SVB Financial Group (a) | 588 | 398,805 | ||||||
Wells Fargo & Co. | 25,389 | 1,218,164 | ||||||
4,962,289 | ||||||||
Diversified Financial Services — 7.0% | ||||||||
American Express Co. | 3,793 | 620,535 | ||||||
Ameriprise Financial, Inc. | 700 | 211,162 | ||||||
Capital One Financial Corp. | 5,029 | 729,658 | ||||||
The Charles Schwab Corp. | 12,745 | 1,071,855 | ||||||
Discover Financial Services | 3,159 | 365,054 | ||||||
Invesco Ltd. | 3,272 | 75,321 | ||||||
Raymond James Financial, Inc. | 1,483 | 148,893 | ||||||
Synchrony Financial | 4,524 | 209,868 | ||||||
3,432,346 | ||||||||
Insurance — 6.5% | ||||||||
Berkshire Hathaway, Inc. Class B (a) | 10,561 | 3,157,739 | ||||||
Real Estate — 0.6% | ||||||||
CBRE Group, Inc. Class A (a) | 2,901 | 314,788 | ||||||
Real Estate Investment Trusts (REITS) — 2.4% | ||||||||
Extra Space Storage, Inc. | 1,061 | 240,561 | ||||||
Mid-America Apartment Communities, Inc. | 952 | 218,427 | ||||||
Public Storage | 1,165 | 436,362 | ||||||
Simon Property Group, Inc. | 1,872 | 299,089 | ||||||
1,194,439 | ||||||||
13,061,601 | ||||||||
Industrial — 17.1% | ||||||||
Aerospace & Defense — 0.2% | ||||||||
Howmet Aerospace, Inc. | 2,825 | 89,920 | ||||||
Building Materials — 2.4% | ||||||||
Carrier Global Corp. | 8,065 | 437,446 | ||||||
Johnson Controls International PLC | 7,185 | 584,212 | ||||||
Martin Marietta Materials, Inc. | 370 | 162,992 | ||||||
1,184,650 | ||||||||
Electrical Components & Equipment — 1.1% | ||||||||
Emerson Electric Co. | 3,671 | 341,293 | ||||||
Generac Holdings, Inc. (a) | 617 | 217,135 | ||||||
558,428 |
Number of | Value | |||||||
Electronics — 4.9% | ||||||||
Agilent Technologies, Inc. | 2,198 | $ | 350,911 | |||||
Garmin Ltd. | 1,177 | 160,272 | ||||||
Honeywell International, Inc. | 4,242 | 884,499 | ||||||
Keysight Technologies, Inc. (a) | 1,190 | 245,747 | ||||||
Mettler-Toledo International, Inc. (a) | 128 | 217,243 | ||||||
TE Connectivity Ltd. | 2,260 | 364,628 | ||||||
Trimble, Inc. (a) | 1,857 | 161,912 | ||||||
2,385,212 | ||||||||
Environmental Controls — 0.2% | ||||||||
Pentair PLC | 1,247 | 91,068 | ||||||
Machinery – Diversified — 2.8% | ||||||||
Deere & Co. | 2,829 | 970,036 | ||||||
Dover Corp. | 1,088 | 197,581 | ||||||
Xylem, Inc. | 1,504 | 180,359 | ||||||
1,347,976 | ||||||||
Miscellaneous - Manufacturing — 4.4% | ||||||||
Eaton Corp. PLC | 3,149 | 544,210 | ||||||
General Electric Co. | 8,102 | 765,396 | ||||||
Parker-Hannifin Corp. | 819 | 260,540 | ||||||
Textron, Inc. | 1,578 | 121,822 | ||||||
Trane Technologies PLC | 2,166 | 437,597 | ||||||
2,129,565 | ||||||||
Packaging & Containers — 0.1% | ||||||||
Sealed Air Corp. | 822 | 55,460 | ||||||
Transportation — 1.0% | ||||||||
Expeditors International of Washington, Inc. | 1,094 | 146,914 | ||||||
FedEx Corp. | 1,294 | 334,680 | ||||||
481,594 | ||||||||
8,323,873 | ||||||||
Technology — 9.3% | ||||||||
Computers — 2.0% | ||||||||
DXC Technology Co. (a) | 1,668 | 53,693 | ||||||
Fortinet, Inc. (a) | 984 | 353,649 | ||||||
HP, Inc. | 6,901 | 259,961 | ||||||
NetApp, Inc. | 1,317 | 121,151 | ||||||
Seagate Technology Holdings PLC | 1,514 | 171,052 | ||||||
959,506 | ||||||||
Office & Business Equipment — 0.5% | ||||||||
Zebra Technologies Corp. Class A (a) | 420 | 249,984 | ||||||
Semiconductors — 2.0% | ||||||||
Applied Materials, Inc. | 6,243 | 982,398 |
The accompanying notes are an integral part of the financial statements.
74
MML Equity Momentum Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Software — 4.8% | ||||||||
Intuit, Inc. | 1,723 | $ | 1,108,268 | |||||
Oracle Corp. | 10,086 | 879,600 | ||||||
Paychex, Inc. | 2,519 | 343,844 | ||||||
2,331,712 | ||||||||
4,523,600 | ||||||||
TOTAL COMMON STOCK (Cost $46,439,036) | 48,856,163 | |||||||
TOTAL EQUITIES (Cost $46,439,036) | 48,856,163 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $46,439,036) | 48,856,163 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $46,439,036) (b) | 48,856,163 | |||||||
Other Assets/(Liabilities) — (0.0)% | (8,056 | ) | ||||||
NET ASSETS — 100.0% | $ | 48,848,107 |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
75
December 31, 2021 |
Number of | Value | |||||||
EQUITIES — 100.0% | ||||||||
COMMON STOCK — 100.0% | ||||||||
Basic Materials — 1.4% | ||||||||
Chemicals — 1.2% | ||||||||
Air Products & Chemicals, Inc. | 602 | $ | 183,164 | |||||
Ecolab, Inc. | 699 | 163,978 | ||||||
The Sherwin-Williams Co. | 755 | 265,881 | ||||||
613,023 | ||||||||
Mining — 0.2% | ||||||||
Newmont Corp. | 2,190 | 135,824 | ||||||
748,847 | ||||||||
Communications — 17.7% | ||||||||
Internet — 13.4% | ||||||||
Alphabet, Inc. Class A (a) | 479 | 1,387,682 | ||||||
Alphabet, Inc. Class C (a) | 455 | 1,316,583 | ||||||
Amazon.com, Inc. (a) | 697 | 2,324,035 | ||||||
eBay, Inc. | 2,117 | 140,781 | ||||||
F5, Inc. (a) | 87 | 21,290 | ||||||
Meta Platforms, Inc. Class A (a) | 5,312 | 1,786,691 | ||||||
VeriSign, Inc. (a) | 284 | 72,085 | ||||||
7,049,147 | ||||||||
Media — 0.3% | ||||||||
FactSet Research Systems, Inc. | 216 | 104,978 | ||||||
The New York Times Co. Class A | 384 | 18,547 | ||||||
Sirius XM Holdings, Inc. | 2,141 | 13,596 | ||||||
137,121 | ||||||||
Telecommunications — 4.0% | ||||||||
Cisco Systems, Inc. | 22,574 | 1,430,514 | ||||||
Motorola Solutions, Inc. | 359 | 97,540 | ||||||
Verizon Communications, Inc. | 10,915 | 567,144 | ||||||
2,095,198 | ||||||||
9,281,466 | ||||||||
Consumer, Cyclical — 10.2% | ||||||||
Apparel — 0.0% | ||||||||
Columbia Sportswear Co. | 125 | 12,180 | ||||||
Auto Parts & Equipment — 0.1% | ||||||||
Gentex Corp. | 1,128 | 39,311 | ||||||
Distribution & Wholesale — 0.9% | ||||||||
Copart, Inc. (a) | 758 | 114,928 | ||||||
Fastenal Co. | 2,720 | 174,243 | ||||||
Pool Corp. | 203 | 114,898 | ||||||
Watsco, Inc. | 174 | 54,441 | ||||||
458,510 | ||||||||
Home Furnishing — 0.0% | ||||||||
Dolby Laboratories, Inc. Class A | 172 | 16,378 |
Number of | Value | |||||||
Housewares — 0.0% | ||||||||
The Scotts Miracle-Gro Co. | 121 | $ | 19,481 | |||||
Retail — 9.2% | ||||||||
Advance Auto Parts, Inc. | 167 | 40,060 | ||||||
Costco Wholesale Corp. | 1,557 | 883,909 | ||||||
Dollar General Corp. | 1,328 | 313,182 | ||||||
Dollar Tree, Inc. (a) | 671 | 94,289 | ||||||
Domino’s Pizza, Inc. | 105 | 59,255 | ||||||
Genuine Parts Co. | 440 | 61,688 | ||||||
The Home Depot, Inc. | 2,890 | 1,199,379 | ||||||
Lowe’s Cos., Inc. | 1,842 | 476,120 | ||||||
O’Reilly Automotive, Inc. (a) | 309 | 218,225 | ||||||
Target Corp. | 1,462 | 338,365 | ||||||
Tractor Supply Co. | 474 | 113,096 | ||||||
Walmart, Inc. | 7,024 | 1,016,303 | ||||||
4,813,871 | ||||||||
5,359,731 | ||||||||
Consumer, Non-cyclical — 29.3% | ||||||||
Agriculture — 1.5% | ||||||||
Altria Group, Inc. | 6,804 | 322,442 | ||||||
Philip Morris International, Inc. | 5,066 | 481,270 | ||||||
803,712 | ||||||||
Beverages — 0.4% | ||||||||
Brown-Forman Corp. Class B | 478 | 34,827 | ||||||
Monster Beverage Corp. (a) | 1,814 | 174,217 | ||||||
209,044 | ||||||||
Biotechnology — 1.5% | ||||||||
Amgen, Inc. | 1,642 | 369,401 | ||||||
Bio-Rad Laboratories, Inc. Class A (a) | 68 | 51,379 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 267 | 168,616 | ||||||
United Therapeutics Corp. (a) | 103 | 22,256 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 747 | 164,041 | ||||||
775,693 | ||||||||
Commercial Services — 3.2% | ||||||||
Automatic Data Processing, Inc. | 2,098 | 517,325 | ||||||
FTI Consulting, Inc. (a) | 128 | 19,638 | ||||||
Grand Canyon Education, Inc. (a) | 133 | 11,400 | ||||||
MarketAxess Holdings, Inc. | 146 | 60,045 | ||||||
Moody’s Corp. | 785 | 306,605 | ||||||
Morningstar, Inc. | 103 | 35,225 | ||||||
Rollins, Inc. | 1,197 | 40,949 | ||||||
S&P Global, Inc. | 1,275 | 601,711 | ||||||
Verisk Analytics, Inc. | 344 | 78,683 | ||||||
1,671,581 | ||||||||
Cosmetics & Personal Care — 4.6% | ||||||||
Colgate-Palmolive Co. | 3,971 | 338,885 |
The accompanying notes are an integral part of the financial statements.
76
MML Equity Rotation Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
The Procter & Gamble Co. | 12,761 | $ | 2,087,444 | |||||
2,426,329 | ||||||||
Food — 0.6% | ||||||||
Flowers Foods, Inc. | 588 | 16,152 | ||||||
General Mills, Inc. | 1,394 | 93,928 | ||||||
The Hershey Co. | 453 | 87,642 | ||||||
Hormel Foods Corp. | 1,221 | 59,597 | ||||||
The J.M. Smucker Co. | 261 | 35,449 | ||||||
292,768 | ||||||||
Health Care – Products — 5.7% | ||||||||
Abbott Laboratories | 5,401 | 760,137 | ||||||
Bio-Techne Corp. | 90 | 46,561 | ||||||
Edwards Lifesciences Corp. (a) | 1,879 | 243,424 | ||||||
Globus Medical, Inc. Class A (a) | 215 | 15,523 | ||||||
Henry Schein, Inc. (a) | 435 | 33,726 | ||||||
IDEXX Laboratories, Inc. (a) | 305 | 200,830 | ||||||
Intuitive Surgical, Inc. (a) | 1,077 | 386,966 | ||||||
Masimo Corp. (a) | 198 | 57,970 | ||||||
ResMed, Inc. | 510 | 132,845 | ||||||
Thermo Fisher Scientific, Inc. | 1,305 | 870,748 | ||||||
Waters Corp. (a) | 151 | 56,263 | ||||||
West Pharmaceutical Services, Inc. | 354 | 166,029 | ||||||
2,971,022 | ||||||||
Health Care – Services — 3.3% | ||||||||
Anthem, Inc. | 688 | 318,916 | ||||||
Chemed Corp. | 86 | 45,497 | ||||||
Humana, Inc. | 407 | 188,791 | ||||||
Quest Diagnostics, Inc. | 386 | 66,782 | ||||||
UnitedHealth Group, Inc. | 2,266 | 1,137,849 | ||||||
1,757,835 | ||||||||
Household Products & Wares — 0.6% | ||||||||
Church & Dwight Co., Inc. | 839 | 85,997 | ||||||
The Clorox Co. | 532 | 92,760 | ||||||
Kimberly-Clark Corp. | 977 | 139,633 | ||||||
318,390 | ||||||||
Pharmaceuticals — 7.9% | ||||||||
Bristol-Myers Squibb Co. | 4,716 | 294,043 | ||||||
Eli Lilly & Co. | 2,201 | 607,960 | ||||||
Johnson & Johnson | 10,550 | 1,804,788 | ||||||
Merck & Co., Inc. | 5,471 | 419,297 | ||||||
Pfizer, Inc. | 11,800 | 696,790 | ||||||
Premier, Inc. Class A | 494 | 20,338 | ||||||
Zoetis, Inc. | 1,252 | 305,526 | ||||||
4,148,742 | ||||||||
15,375,116 |
Number of | Value | |||||||
Financial — 12.7% | ||||||||
Diversified Financial Services — 5.5% | ||||||||
Cboe Global Markets, Inc. | 423 | $ | 55,159 | |||||
Lazard Ltd. Class A | 255 | 11,126 | ||||||
Mastercard, Inc. Class A | 3,138 | 1,127,546 | ||||||
Nasdaq, Inc. | 409 | 85,894 | ||||||
SEI Investments Co. | 551 | 33,578 | ||||||
T. Rowe Price Group, Inc. | 1,117 | 219,647 | ||||||
Visa, Inc. Class A | 6,344 | 1,374,808 | ||||||
2,907,758 | ||||||||
Insurance — 5.8% | ||||||||
The Allstate Corp. | 749 | 88,120 | ||||||
Aon PLC Class A | 855 | 256,979 | ||||||
Arthur J Gallagher & Co. | 472 | 80,084 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 5,998 | 1,793,402 | ||||||
Brown & Brown, Inc. | 856 | 60,160 | ||||||
Erie Indemnity Co. Class A | 127 | 24,468 | ||||||
Marsh & McLennan Cos., Inc. | 2,114 | 367,455 | ||||||
The Progressive Corp. | 3,378 | 346,752 | ||||||
White Mountains Insurance Group Ltd. | 18 | 18,250 | ||||||
3,035,670 | ||||||||
Real Estate Investment Trusts (REITS) — 1.4% | ||||||||
AvalonBay Communities, Inc. | 321 | 81,081 | ||||||
Equity LifeStyle Properties, Inc. | 489 | 42,866 | ||||||
Equity Residential | 866 | 78,373 | ||||||
Essex Property Trust, Inc. | 139 | 48,960 | ||||||
Extra Space Storage, Inc. | 404 | 91,599 | ||||||
First Industrial Realty Trust, Inc. | 369 | 24,428 | ||||||
Highwoods Properties, Inc. | 263 | 11,727 | ||||||
Public Storage | 937 | 350,963 | ||||||
729,997 | ||||||||
6,673,425 | ||||||||
Industrial — 5.4% | ||||||||
Aerospace & Defense — 1.0% | ||||||||
L3 Harris Technologies, Inc. | 472 | 100,649 | ||||||
Lockheed Martin Corp. | 1,207 | 428,980 | ||||||
529,629 | ||||||||
Building Materials — 0.2% | ||||||||
Lennox International, Inc. | 116 | 37,626 | ||||||
Masco Corp. | 739 | 51,892 | ||||||
89,518 | ||||||||
Electrical Components & Equipment — 0.2% | ||||||||
AMETEK, Inc. | 541 | 79,549 | ||||||
Electronics — 0.9% | ||||||||
Agilent Technologies, Inc. | 702 | 112,075 | ||||||
Garmin Ltd. | 760 | 103,489 |
The accompanying notes are an integral part of the financial statements.
77
MML Equity Rotation Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Keysight Technologies, Inc. (a) | 414 | $ | 85,495 | |||||
Mettler-Toledo International, Inc. (a) | 96 | 162,932 | ||||||
463,991 | ||||||||
Environmental Controls — 0.2% | ||||||||
Pentair PLC | 377 | 27,532 | ||||||
Republic Services, Inc. | 547 | 76,279 | ||||||
103,811 | ||||||||
Hand & Machine Tools — 0.1% | ||||||||
Snap-on, Inc. | 160 | 34,461 | ||||||
Machinery – Diversified — 0.5% | ||||||||
Cognex Corp. | 377 | 29,316 | ||||||
Graco, Inc. | 773 | 62,319 | ||||||
IDEX Corp. | 192 | 45,373 | ||||||
Otis Worldwide Corp. | 1,131 | 98,476 | ||||||
The Toro Co. | 358 | 35,768 | ||||||
271,252 | ||||||||
Miscellaneous - Manufacturing — 0.9% | ||||||||
3M Co. | 1,545 | 274,438 | ||||||
A.O. Smith Corp. | 547 | 46,960 | ||||||
Illinois Tool Works, Inc. | 679 | 167,577 | ||||||
488,975 | ||||||||
Packaging & Containers — 0.0% | ||||||||
Ardagh Group SA (a) (b) (c) | 463 | 11,459 | ||||||
Sonoco Products Co. | 223 | 12,910 | ||||||
24,369 | ||||||||
Shipbuilding — 0.0% | ||||||||
Huntington Ingalls Industries, Inc. | 95 | 17,740 | ||||||
Transportation — 1.4% | ||||||||
Expeditors International of Washington, Inc. | 810 | 108,775 | ||||||
J.B. Hunt Transport Services, Inc. | 322 | 65,817 | ||||||
Knight-Swift Transportation Holdings, Inc. | 428 | 26,082 | ||||||
Landstar System, Inc. | 107 | 19,155 | ||||||
Old Dominion Freight Line, Inc. | 337 | 120,774 | ||||||
United Parcel Service, Inc. Class B | 1,925 | 412,605 | ||||||
753,208 | ||||||||
2,856,503 | ||||||||
Technology — 23.3% | ||||||||
Computers — 8.6% | ||||||||
Accenture PLC Class A | 2,552 | 1,057,932 | ||||||
Amdocs Ltd. | 382 | 28,589 | ||||||
Apple, Inc. | 17,976 | 3,191,998 |
Number of | Value | |||||||
Cognizant Technology Solutions Corp. Class A | 1,252 | $ | 111,077 | |||||
EPAM Systems, Inc. (a) | 120 | 80,214 | ||||||
Fortinet, Inc. (a) | 193 | 69,364 | ||||||
4,539,174 | ||||||||
Semiconductors — 2.1% | ||||||||
Intel Corp. | 8,303 | 427,605 | ||||||
Monolithic Power Systems, Inc. | 84 | 41,440 | ||||||
Texas Instruments, Inc. | 3,237 | 610,077 | ||||||
1,079,122 | ||||||||
Software — 12.6% | ||||||||
Activision Blizzard, Inc. | 2,311 | 153,751 | ||||||
Adobe, Inc. (a) | 1,549 | 878,376 | ||||||
Aspen Technology, Inc. (a) | 117 | 17,807 | ||||||
Broadridge Financial Solutions, Inc. | 662 | 121,027 | ||||||
Cadence Design Systems, Inc. (a) | 671 | 125,041 | ||||||
Cerner Corp. | 1,422 | 132,061 | ||||||
Citrix Systems, Inc. | 338 | 31,972 | ||||||
Electronic Arts, Inc. | 1,008 | 132,955 | ||||||
Intuit, Inc. | 724 | 465,691 | ||||||
Jack Henry & Associates, Inc. | 412 | 68,800 | ||||||
Microsoft Corp. | 9,013 | 3,031,252 | ||||||
MSCI, Inc. | 377 | 230,984 | ||||||
Oracle Corp. | 3,547 | 309,334 | ||||||
Paychex, Inc. | 1,844 | 251,706 | ||||||
salesforce.com, Inc. (a) | 1,387 | 352,478 | ||||||
Synopsys, Inc. (a) | 380 | 140,030 | ||||||
Take-Two Interactive Software, Inc. (a) | 256 | 45,496 | ||||||
Tyler Technologies, Inc. (a) | 104 | 55,947 | ||||||
Veeva Systems, Inc. Class A (a) | 295 | 75,367 | ||||||
VMware, Inc. Class A | 117 | 13,558 | ||||||
6,633,633 | ||||||||
12,251,929 | ||||||||
TOTAL COMMON STOCK (Cost $49,443,746) | 52,547,017 | |||||||
TOTAL EQUITIES (Cost $49,443,746) | 52,547,017 | |||||||
The accompanying notes are an integral part of the financial statements.
78
MML Equity Rotation Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
MUTUAL FUNDS — 0.0% | ||||||||
Diversified Financial Services — 0.0% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (d) | 11,565 | $ | 11,565 | |||||
TOTAL MUTUAL FUNDS (Cost $11,565) | 11,565 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $49,455,311) | 52,558,582 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $49,455,311) (e) | 52,558,582 | |||||||
Other Assets/(Liabilities) — (0.0)% | (30 | ) | ||||||
NET ASSETS — 100.0% | $ | 52,558,552 |
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, 2021, was $11,336 or 0.02% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2021, these securities amounted to a value of $11,459 or 0.02% of net assets. |
(d) | Represents investment of security lending cash collateral. (Note 2). |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
79
December 31, 2021 |
Number of | Value | |||||||
EQUITIES — 0.6% | ||||||||
COMMON STOCK — 0.6% | ||||||||
Consumer, Cyclical — 0.2% | ||||||||
Leisure Time — 0.2% | ||||||||
Carlson Travel, Inc. (a) | 4,095 | $ | 134,111 | |||||
Energy — 0.4% | ||||||||
Oil & Gas — 0.4% | ||||||||
Fieldwood Energy LLC (a) (b) | 3,193 | — | ||||||
Fieldwood Energy LLC (a) (b) (c) | 13,011 | — | ||||||
Tourmaline Oil Corp. | 11,112 | 358,761 | ||||||
358,761 | ||||||||
TOTAL COMMON STOCK (Cost $605,586) | 492,872 | |||||||
TOTAL EQUITIES (Cost $605,586) | 492,872 | |||||||
Principal | ||||||||
BONDS & NOTES — 92.0% | ||||||||
BANK LOANS — 7.8% | ||||||||
Advertising — 0.2% | ||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, 3 mo. USD LIBOR + 3.500% | ||||||||
3.629% VRN 8/21/26 | $ | 133,788 | 131,837 | |||||
Building Materials — 0.6% | ||||||||
Vector WP Holdco, Inc., Term Loan B, 1 mo. USD LIBOR + 5.000% | ||||||||
5.750% VRN 10/12/28 | 453,947 | 449,408 | ||||||
Commercial Services — 1.1% | ||||||||
Syniverse Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. USD LIBOR + 5.000% | ||||||||
6.000% VRN 3/09/23 | 896,721 | 890,372 | ||||||
Computers — 1.4% | ||||||||
Magenta Buyer LLC, 2021 USD 1st Lien Term Loan, 3 mo. USD LIBOR + 5.000% | ||||||||
5.750% VRN 7/27/28 | 762,512 | 759,889 | ||||||
Vision Solutions, Inc. ., 2021 2nd Lien Term Loan | ||||||||
0.000% FRN 4/23/29 (d) | 355,114 | 354,005 | ||||||
1,113,894 |
Principal | Value | |||||||
Cosmetics & Personal Care — 0.1% | ||||||||
Hoffmaster Group, Inc., 2018 1st Lien Term Loan, 3 mo. USD LIBOR + 4.000% | ||||||||
5.000% VRN 11/21/23 | $ | 122,037 | $ | 113,233 | ||||
Health Care – Services — 0.2% | ||||||||
MedAssets Software Intermediate Holdings, Inc. ., 2021 Term Loan, 3 mo. USD LIBOR + 4.000% | ||||||||
4.500% VRN 11/17/28 | 138,354 | 138,224 | ||||||
Lodging — 0.3% | ||||||||
Jack Ohio Finance LLC, Term Loan, 1 mo. USD LIBOR + 4.750% | ||||||||
4.854% VRN 10/04/28 | 211,893 | 211,232 | ||||||
Media — 0.5% | ||||||||
MSG National Properties LLC, Term Loan, 3 mo. USD LIBOR + 6.250% | ||||||||
7.000% VRN 11/12/25 | 351,379 | 358,406 | ||||||
Packaging & Containers — 0.4% | ||||||||
Florida Food Products, LLC, Term Loan, 3 mo. USD LIBOR + 5.000% | ||||||||
5.750% VRN 10/18/28 | 299,786 | 294,540 | ||||||
Software — 3.0% | ||||||||
Finastra USA, Inc., USD 2nd Lien Term Loan, 3 mo. USD LIBOR + 7.250% | ||||||||
8.250% VRN 6/13/25 | 1,400,000 | 1,396,024 | ||||||
Ivanti Software, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 4.250% | ||||||||
5.000% VRN 12/01/27 | 53,209 | 53,225 | ||||||
Loyalty Ventures, Inc., Term Loan B, 1 mo. USD LIBOR + 4.500% | ||||||||
5.000% VRN 11/03/27 | 337,544 | 335,292 | ||||||
Renaissance Holding Corp., 2018 2nd Lien Term Loan, 1 mo. USD LIBOR + 7.000% | ||||||||
7.104% VRN 5/29/26 | 539,037 | 539,798 | ||||||
2,324,339 | ||||||||
TOTAL BANK LOANS (Cost $5,935,617) | 6,025,485 | |||||||
CORPORATE DEBT — 84.2% | ||||||||
Advertising — 2.1% | ||||||||
Clear Channel Outdoor Holdings, Inc. | ||||||||
7.750% 4/15/28 (e) | 220,000 | 235,400 | ||||||
7.500% 6/01/29 (e) | 426,000 | 454,755 | ||||||
Midas OpCo Holdings LLC | ||||||||
5.625% 8/15/29 (e) | 220,000 | 225,225 |
The accompanying notes are an integral part of the financial statements.
80
MML High Yield Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Terrier Media Buyer, Inc. | ||||||||
8.875% 12/15/27 (e) | $ | 635,000 | $ | 686,289 | ||||
1,601,669 | ||||||||
Aerospace & Defense — 1.8% | ||||||||
Triumph Group, Inc. | ||||||||
6.250% 9/15/24 (e) | 306,000 | 307,912 | ||||||
7.750% 8/15/25 (f) | 1,110,000 | 1,101,675 | ||||||
1,409,587 | ||||||||
Airlines — 2.3% | ||||||||
American Airlines, Inc. | ||||||||
11.750% 7/15/25 (e) | 379,000 | 467,591 | ||||||
American Airlines, Inc. /AAdvantage Loyalty IP Ltd. | ||||||||
5.500% 4/20/26 (e) | 535,000 | 556,333 | ||||||
5.750% 4/20/29 (e) | 229,000 | 244,478 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.500% 6/20/27 (e) | 265,000 | 282,888 | ||||||
United Airlines, Inc. | ||||||||
4.375% 4/15/26 (e) | 122,000 | 127,214 | ||||||
4.625% 4/15/29 (e) | 121,000 | 124,781 | ||||||
1,803,285 | ||||||||
Auto Manufacturers — 0.6% | ||||||||
JB Poindexter & Co., Inc. | ||||||||
7.125% 4/15/26 (e) | 435,000 | 455,149 | ||||||
Auto Parts & Equipment — 0.9% | ||||||||
Adient Global Holdings Ltd. | ||||||||
4.875% 8/15/26 (e) | 170,000 | 173,400 | ||||||
Clarios Global LP/Clarios US Finance Co. | ||||||||
8.500% 5/15/27 (e) | 467,000 | 495,020 | ||||||
668,420 | ||||||||
Beverages — 0.0% | ||||||||
Triton Water Holdings, Inc. | ||||||||
6.250% 4/01/29 (e) | 21,000 | 20,141 | ||||||
Biotechnology — 0.4% | ||||||||
Emergent BioSolutions, Inc. | ||||||||
3.875% 8/15/28 (e) (f) | 347,000 | 333,040 | ||||||
Building Materials — 1.1% | ||||||||
New Enterprise Stone & Lime Co., Inc. | ||||||||
5.250% 7/15/28 (e) | 222,000 | 225,108 | ||||||
9.750% 7/15/28 (e) | 602,000 | 644,140 | ||||||
869,248 | ||||||||
Chemicals — 1.9% | ||||||||
Consolidated Energy Finance SA | ||||||||
5.625% 10/15/28 (e) | 595,000 | 581,612 |
Principal | Value | |||||||
LSF11 A5 HoldCo LLC | ||||||||
6.625% 10/15/29 (e) | $ | 217,000 | $ | 213,745 | ||||
Olympus Water US Holding Corp. | ||||||||
4.250% 10/01/28 (e) | 326,000 | 324,168 | ||||||
6.250% 10/01/29 (e) | 233,000 | 227,175 | ||||||
Unifrax Escrow Issuer Corp. | ||||||||
7.500% 9/30/29 (e) | 96,000 | 96,960 | ||||||
1,443,660 | ||||||||
Coal — 1.4% | ||||||||
Coronado Finance Pty Ltd. | ||||||||
10.750% 5/15/26 (e) | 247,000 | 266,246 | ||||||
PIC AU Holdings LLC / PIC AU Holdings Corp. | ||||||||
10.000% 12/31/24 (e) | 656,000 | 672,400 | ||||||
Warrior Met Coal, Inc. | ||||||||
7.875% 12/01/28 (e) | 135,000 | 138,375 | ||||||
1,077,021 | ||||||||
Commercial Services — 2.3% | ||||||||
Alta Equipment Group, Inc. | ||||||||
5.625% 4/15/26 (e) | 298,000 | 306,496 | ||||||
APi Escrow Corp. | ||||||||
4.750% 10/15/29 (e) | 179,000 | 182,580 | ||||||
The Hertz Corp. | ||||||||
5.000% 12/01/29 (e) | 145,000 | 145,124 | ||||||
MoneyGram International, Inc. | ||||||||
5.375% 8/01/26 (e) | 194,000 | 196,910 | ||||||
PECF USS Intermediate Holding III Corp. | ||||||||
8.000% 11/15/29 (e) | 52,000 | 53,846 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
6.250% 1/15/28 (e) | 418,000 | 435,765 | ||||||
PROG Holdings, Inc. | ||||||||
6.000% 11/15/29 (e) | 304,000 | 312,804 | ||||||
WASH Multifamily Acquisition, Inc. | ||||||||
5.750% 4/15/26 (e) | 124,000 | 130,318 | ||||||
1,763,843 | ||||||||
Computers — 1.3% | ||||||||
CA Magnum Holdings | ||||||||
5.375% 10/31/26 (e) | 272,000 | 281,180 | ||||||
Diebold Nixdorf, Inc. | ||||||||
9.375% 7/15/25 (e) | 675,000 | 726,800 | ||||||
1,007,980 | ||||||||
Cosmetics & Personal Care — 0.6% | ||||||||
Coty, Inc. /HFC Prestige Products, Inc. /HFC Prestige International US LLC | ||||||||
4.750% 1/15/29 (e) | 446,000 | 453,248 |
The accompanying notes are an integral part of the financial statements.
81
MML High Yield Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Distribution & Wholesale — 0.2% | ||||||||
Ritchie Bros Holdings, Inc. | ||||||||
4.750% 12/15/31 (e) | $ | 167,000 | $ | 174,306 | ||||
Diversified Financial Services — 4.9% | ||||||||
Aretec Escrow Issuer, Inc. | ||||||||
7.500% 4/01/29 (e) | 199,000 | 203,649 | ||||||
Coinbase Global, Inc. | ||||||||
3.375% 10/01/28 (e) | 168,000 | 156,870 | ||||||
3.625% 10/01/31 (e) (f) | 136,000 | 125,120 | ||||||
Global Aircraft Leasing Co. Ltd. | ||||||||
6.500% 9/15/24 (e) | 1,445,880 | 1,395,274 | ||||||
Jefferson Capital Holdings LLC | ||||||||
6.000% 8/15/26 (e) | 209,000 | 211,613 | ||||||
Midcap Financial Issuer Trust | ||||||||
5.625% 1/15/30 (e) | 264,000 | 264,688 | ||||||
6.500% 5/01/28 (e) | 270,000 | 281,475 | ||||||
OneMain Finance Corp. | ||||||||
4.000% 9/15/30 | 169,000 | 166,191 | ||||||
5.375% 11/15/29 | 552,000 | 600,187 | ||||||
PRA Group, Inc. | ||||||||
5.000% 10/01/29 (e) | 385,000 | 385,962 | ||||||
3,791,029 | ||||||||
Electric — 1.4% | ||||||||
PG&E Corp. | ||||||||
5.000% 7/01/28 | 567,000 | 596,382 | ||||||
Pike Corp. | ||||||||
5.500% 9/01/28 (e) | 447,000 | 448,019 | ||||||
1,044,401 | ||||||||
Electronics — 1.1% | ||||||||
Atkore, Inc. | ||||||||
4.250% 6/01/31 (e) | 347,000 | 355,675 | ||||||
Ii Vi, Inc. Co. Guar 144a 12/29 5 | ||||||||
5.000% 12/15/29 (e) | 448,000 | 457,336 | ||||||
813,011 | ||||||||
Engineering & Construction — 0.3% | ||||||||
Arcosa, Inc. Co. | ||||||||
4.375% 4/15/29 (e) | 108,000 | 109,485 | ||||||
Railworks Holdings LP / Railworks Rally, Inc. | ||||||||
8.250% 11/15/28 (e) | 117,000 | 120,510 | ||||||
229,995 | ||||||||
Entertainment — 1.0% | ||||||||
Banijay Entertainment SASU | ||||||||
5.375% 3/01/25 (e) | 241,000 | 245,820 | ||||||
Caesars Entertainment, Inc. | ||||||||
4.625% 10/15/29 (e) | 78,000 | 78,000 | ||||||
CCM Merger, Inc. | ||||||||
6.375% 5/01/26 (e) | 193,000 | 200,961 |
Principal | Value | |||||||
Live Nation Entertainment, Inc. | ||||||||
4.750% 10/15/27 (e) | $ | 264,000 | $ | 271,260 | ||||
796,041 | ||||||||
Food — 3.2% | ||||||||
JBS Finance Luxembourg Sarl | ||||||||
3.625% 1/15/32 (e) | 420,000 | 421,579 | ||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | ||||||||
5.500% 1/15/30 (e) | 826,000 | 898,275 | ||||||
6.500% 4/15/29 (e) | 1,027,000 | 1,129,710 | ||||||
2,449,564 | ||||||||
Forest Products & Paper — 0.7% | ||||||||
Clearwater Paper Corp. | ||||||||
4.750% 8/15/28 (e) | 230,000 | 234,025 | ||||||
Sylvamo Corp. | ||||||||
7.000% 9/01/29 (e) | 270,000 | 282,085 | ||||||
516,110 | ||||||||
Health Care – Products — 0.3% | ||||||||
Mozart Debt Merger Sub, Inc. | ||||||||
5.250% 10/01/29 (e) | 229,000 | 232,124 | ||||||
Health Care – Services — 2.2% | ||||||||
CHS/Community Health Systems, Inc. | ||||||||
4.750% 2/15/31 (e) | 108,000 | 108,945 | ||||||
6.125% 4/01/30 (e) | 213,000 | 210,725 | ||||||
ModivCare Escrow Issuer, Inc. | ||||||||
5.000% 10/01/29 (e) | 143,000 | 146,040 | ||||||
Radiology Partners, Inc. | ||||||||
9.250% 2/01/28 (e) | 655,000 | 687,829 | ||||||
Tenet Healthcare Corp. | ||||||||
4.375% 1/15/30 (e) | 165,000 | 167,092 | ||||||
6.125% 10/01/28 (e) | 350,000 | 369,674 | ||||||
1,690,305 | ||||||||
Home Builders — 1.5% | ||||||||
Empire Communities Corp. | ||||||||
7.000% 12/15/25 (e) | 123,000 | 127,305 | ||||||
M/I Homes, Inc. | ||||||||
4.950% 2/01/28 | 368,000 | 382,720 | ||||||
Mattamy Group Corp. | ||||||||
4.625% 3/01/30 (e) | 668,000 | 680,325 | ||||||
1,190,350 | ||||||||
Home Furnishing — 0.0% | ||||||||
Tempur Sealy International, Inc. | ||||||||
3.875% 10/15/31 (e) | 13,000 | 13,025 | ||||||
Insurance — 0.7% | ||||||||
AmWINS Group, Inc. | ||||||||
4.875% 6/30/29 (e) | 175,000 | 176,750 |
The accompanying notes are an integral part of the financial statements.
82
MML High Yield Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Highlands Holdings Bond Issuer Ltd. / Highlands Holdings Bond Co-Issuer, Inc. | ||||||||
7.625% 10/15/25 (e) | $ | 305,269 | $ | 323,585 | ||||
500,335 | ||||||||
Internet — 2.0% | ||||||||
Acuris Finance Us, Inc. / Acuris Finance SARL | ||||||||
5.000% 5/01/28 (e) | 359,000 | 357,205 | ||||||
Getty Images, Inc. | ||||||||
9.750% 3/01/27 (e) | 74,000 | 78,384 | ||||||
ION Trading Technologies Sarl | ||||||||
5.750% 5/15/28 (e) | 298,000 | 306,940 | ||||||
Millennium Escrow Corp. | ||||||||
6.625% 8/01/26 (e) | 296,000 | 296,740 | ||||||
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc. | ||||||||
4.750% 4/30/27 (e) | 114,000 | 112,860 | ||||||
6.000% 2/15/28 (e) (f) | 171,000 | 167,580 | ||||||
10.750% 6/01/28 (e) | 169,000 | 184,210 | ||||||
1,503,919 | ||||||||
Leisure Time — 2.8% | ||||||||
Carnival Corp. | ||||||||
5.750% 3/01/27 (e) | 487,000 | 487,000 | ||||||
6.000% 5/01/29 (e) | 305,000 | 303,475 | ||||||
CWT Travel Group, Inc. | ||||||||
8.500% 11/19/26 (e) (g) | 426,990 | 434,838 | ||||||
NCL Corp. Ltd. | ||||||||
5.875% 3/15/26 (e) | 499,000 | 496,790 | ||||||
NCL Finance Ltd. | ||||||||
6.125% 3/15/28 (e) | 94,000 | 92,590 | ||||||
Royal Caribbean Cruises Ltd. | ||||||||
5.500% 8/31/26 (e) | 343,000 | 348,762 | ||||||
2,163,455 | ||||||||
Lodging — 0.8% | ||||||||
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc | ||||||||
4.875% 7/01/31 (e) | 199,000 | 199,000 | ||||||
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp. | ||||||||
5.875% 5/15/25 (e) | 184,000 | 183,080 | ||||||
Travel & Leisure Co. | ||||||||
6.625% 7/31/26 (e) | 213,000 | 236,183 | ||||||
618,263 | ||||||||
Machinery – Diversified — 0.3% | ||||||||
OT Merger Corp. | ||||||||
7.875% 10/15/29 (e) | 219,000 | 215,441 |
Principal | Value | |||||||
Media — 7.0% | ||||||||
Altice Financing SA | ||||||||
5.000% 1/15/28 (e) | $ | 152,000 | $ | 148,335 | ||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||
4.250% 1/15/34 (e) | 486,000 | 478,140 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
5.125% 8/15/27 (e) | 64,000 | 66,225 | ||||||
CSC Holdings LLC | ||||||||
4.625% 12/01/30 (e) | 311,000 | 294,284 | ||||||
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. | ||||||||
5.875% 8/15/27 (e) | 543,000 | 555,668 | ||||||
DISH DBS Corp. | ||||||||
5.750% 12/01/28 (e) | 68,000 | 68,680 | ||||||
DISH DBS Corp. | ||||||||
5.250% 12/01/26 (e) | 53,000 | 53,816 | ||||||
7.375% 7/01/28 | 32,000 | 32,400 | ||||||
DISH Network Corp. | ||||||||
3.375% 8/15/26 | 680,000 | 643,656 | ||||||
Gray Escrow II, Inc. | ||||||||
5.375% 11/15/31 (e) | 246,000 | 253,072 | ||||||
iHeartCommunications, Inc. | ||||||||
8.375% 5/01/27 | 482,000 | 508,192 | ||||||
LCPR Senior Secured Financing DAC | ||||||||
5.125% 7/15/29 (e) | 465,000 | 467,325 | ||||||
6.750% 10/15/27 (e) | 283,000 | 297,150 | ||||||
Nexstar Media, Inc. | ||||||||
4.750% 11/01/28 (e) | 118,000 | 120,213 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
6.500% 9/15/28 (e) | 336,000 | 337,524 | ||||||
Sinclair Television Group Inc, SERIES 144A, 144A, | ||||||||
5.125% 2/15/27 (e) | 144,000 | 139,680 | ||||||
Sirius XM Radio, Inc. | ||||||||
3.125% 9/01/26 (e) | 138,000 | 138,040 | ||||||
3.875% 9/01/31 (e) | 333,000 | 326,490 | ||||||
Townsquare Media, Inc. | ||||||||
6.875% 2/01/26 (e) | 178,000 | 188,902 | ||||||
Virgin Media Secured Finance PLC | ||||||||
4.500% 8/15/30 (e) | 280,000 | 281,767 | ||||||
5,399,559 | ||||||||
Metal Fabricate & Hardware — 0.1% | ||||||||
Park-Ohio Industries, Inc. | ||||||||
6.625% 4/15/27 | 83,000 | 80,552 |
The accompanying notes are an integral part of the financial statements.
83
MML High Yield Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Mining — 1.9% | ||||||||
Compass Minerals International, Inc. | ||||||||
4.875% 7/15/24 (e) | $ | 294,000 | $ | 300,615 | ||||
6.750% 12/01/27 (e) | 192,000 | 203,295 | ||||||
First Quantum Minerals Ltd. | ||||||||
7.250% 4/01/23 (e) | 407,000 | 411,680 | ||||||
Hecla Mining Co. | ||||||||
7.250% 2/15/28 | 423,000 | 453,139 | ||||||
Novelis Corp. | ||||||||
3.250% 11/15/26 (e) | 48,000 | 48,420 | ||||||
3.875% 8/15/31 (e) | 50,000 | 49,688 | ||||||
1,466,837 | ||||||||
Oil & Gas — 10.4% | ||||||||
Apache Corp. | ||||||||
4.750% 4/15/43 (f) | 65,000 | 71,500 | ||||||
5.100% 9/01/40 | 130,000 | 146,900 | ||||||
5.350% 7/01/49 | 197,000 | 225,073 | ||||||
Chesapeake Energy Corp. | ||||||||
5.500% 2/01/26 (e) | 90,000 | 94,725 | ||||||
5.875% 2/01/29 (e) | 182,000 | 194,695 | ||||||
Comstock Resources, Inc. | ||||||||
5.875% 1/15/30 (e) | 114,000 | 116,850 | ||||||
6.750% 3/01/29 (e) | 126,000 | 136,492 | ||||||
CVR Energy, Inc. | ||||||||
5.750% 2/15/28 (e) (f) | 949,000 | 923,377 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co. | ||||||||
6.250% 11/01/28 (e) | 365,000 | 383,706 | ||||||
MEG Energy Corp. | ||||||||
7.125% 2/01/27 (e) | 379,000 | 403,605 | ||||||
Murphy Oil Corp. | ||||||||
6.375% 7/15/28 | 182,000 | 193,435 | ||||||
Nabors Industries Ltd. | ||||||||
7.250% 1/15/26 (e) | 276,000 | 255,300 | ||||||
7.500% 1/15/28 (e) | 119,000 | 107,695 | ||||||
Nabors Industries, Inc. | ||||||||
7.375% 5/15/27 (e) | 227,000 | 234,902 | ||||||
Neptune Energy Bondco PLC | ||||||||
6.625% 5/15/25 (e) | 594,000 | 606,622 | ||||||
Occidental Petroleum Corp. | ||||||||
4.200% 3/15/48 | 31,000 | 31,000 | ||||||
4.400% 4/15/46 | 198,000 | 202,950 | ||||||
4.400% 8/15/49 | 78,000 | 78,975 | ||||||
4.500% 7/15/44 | 81,000 | 83,430 | ||||||
5.875% 9/01/25 | 178,000 | 196,245 | ||||||
6.125% 1/01/31 (f) | 387,000 | 471,598 | ||||||
6.200% 3/15/40 | 550,000 | 676,500 | ||||||
6.375% 9/01/28 | 182,000 | 216,096 | ||||||
6.450% 9/15/36 | 215,000 | 274,125 |
Principal | Value | |||||||
6.600% 3/15/46 | $ | 352,000 | $ | 456,720 | ||||
6.950% 7/01/24 | 88,000 | 97,588 | ||||||
Parkland Corp. | ||||||||
4.625% 5/01/30 (e) | 105,000 | 104,344 | ||||||
Range Resources Corp. Co. Guar 01/29 8.25 | ||||||||
8.250% 1/15/29 | 123,000 | 137,145 | ||||||
Rockcliff Energy II LLC | ||||||||
5.500% 10/15/29 (e) | 124,000 | 127,720 | ||||||
Southwestern Energy Co. | ||||||||
4.750% 2/01/32 | 242,000 | 254,758 | ||||||
Transocean Guardian Ltd. | ||||||||
5.875% 1/15/24 (e) | 31,490 | 29,837 | ||||||
Transocean Poseidon Ltd. | ||||||||
6.875% 2/01/27 (e) | 29,000 | 28,021 | ||||||
Transocean, Inc. | ||||||||
7.250% 11/01/25 (e) | 172,000 | 132,440 | ||||||
7.500% 1/15/26 (e) | 241,000 | 179,545 | ||||||
8.000% 2/01/27 (e) | 200,000 | 144,000 | ||||||
8,017,914 | ||||||||
Oil & Gas Services — 0.6% | ||||||||
Weatherford International Ltd. | ||||||||
6.500% 9/15/28 (e) | 126,000 | 133,320 | ||||||
8.625% 4/30/30 (e) | 302,000 | 313,521 | ||||||
446,841 | ||||||||
Packaging & Containers — 1.5% | ||||||||
Mauser Packaging Solutions Holding Co. | ||||||||
7.250% 4/15/25 (e) | 781,000 | 782,980 | ||||||
Trident TPI Holdings, Inc. | ||||||||
9.250% 8/01/24 (e) | 386,000 | 403,370 | ||||||
1,186,350 | ||||||||
Pharmaceuticals — 3.5% | ||||||||
AdaptHealth LLC | ||||||||
5.125% 3/01/30 (e) | 451,000 | 458,892 | ||||||
Bausch Health Americas, Inc. | ||||||||
8.500% 1/31/27 (e) | 250,000 | 262,500 | ||||||
Bausch Health Cos., Inc. | ||||||||
4.875% 6/01/28 (e) | 295,000 | 301,638 | ||||||
5.000% 1/30/28 (e) | 446,000 | 410,320 | ||||||
5.250% 1/30/30 (e) | 320,000 | 281,600 | ||||||
5.250% 2/15/31 (e) | 384,000 | 337,440 | ||||||
Par Pharmaceutical, Inc. | ||||||||
7.500% 4/01/27 (e) | 629,000 | 642,794 | ||||||
2,695,184 |
The accompanying notes are an integral part of the financial statements.
84
MML High Yield Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Pipelines — 8.2% | ||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. | ||||||||
5.375% 6/15/29 (e) | $ | 853,000 | $ | 891,385 | ||||
Buckeye Partners LP | ||||||||
5.850% 11/15/43 | 66,000 | 64,763 | ||||||
CQP Holdco LP / BIP-V Chinook Holdco LLC | ||||||||
5.500% 6/15/31 (e) | 379,000 | 395,581 | ||||||
DCP Midstream Operating LP | ||||||||
5.625% 7/15/27 | 216,000 | 244,080 | ||||||
EnLink Midstream LLC | ||||||||
5.375% 6/01/29 | 173,000 | 176,892 | ||||||
EnLink Midstream Partners LP | ||||||||
4.850% 7/15/26 | 56,000 | 58,940 | ||||||
5.450% 6/01/47 | 97,000 | 97,863 | ||||||
5.600% 4/01/44 | 257,000 | 259,204 | ||||||
EQM Midstream Partners LP | ||||||||
4.500% 1/15/29 (e) | 157,000 | 163,280 | ||||||
4.750% 1/15/31 (e) | 142,000 | 150,165 | ||||||
6.000% 7/01/25 (e) | 182,000 | 197,925 | ||||||
6.500% 7/01/27 (e) | 151,000 | 169,120 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | ||||||||
6.500% 10/01/25 | 440,000 | 434,500 | ||||||
Harvest Midstream I LP | ||||||||
7.500% 9/01/28 (e) | 228,000 | 243,960 | ||||||
ITT Holdings LLC | ||||||||
6.500% 8/01/29 (e) | 565,000 | 559,350 | ||||||
NGL Energy Operating LLC / NGL Energy Finance Corp. | ||||||||
7.500% 2/01/26 (e) | 546,000 | 563,090 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
4.875% 2/01/31 | 295,000 | 320,355 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||||||||
5.000% 1/15/28 | 33,000 | 34,772 | ||||||
5.500% 3/01/30 | 28,000 | 30,590 | ||||||
6.875% 1/15/29 | 61,000 | 68,246 | ||||||
Venture Global Calcasieu Pass LLC | ||||||||
3.875% 8/15/29 (e) | 133,000 | 137,987 | ||||||
4.125% 8/15/31 (e) | 152,000 | 161,120 | ||||||
Western Midstream Operating LP | ||||||||
5.300% STEP 2/01/30 | 145,000 | 159,648 | ||||||
5.300% 3/01/48 | 399,000 | 480,795 | ||||||
5.450% 4/01/44 | 202,000 | 241,390 | ||||||
6,305,001 |
Principal | Value | |||||||
Real Estate — 0.4% | ||||||||
Realogy Group LLC / Realogy Co-Issuer Corp. | ||||||||
5.750% 1/15/29 (e) | $ | 311,000 | $ | 318,775 | ||||
Real Estate Investment Trusts (REITS) — 1.6% | ||||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | ||||||||
4.750% 6/15/29 (e) | 425,000 | 435,625 | ||||||
RLJ Lodging Trust LP | ||||||||
3.750% 7/01/26 (e) | 107,000 | 107,589 | ||||||
Service Properties Trust | ||||||||
3.950% 1/15/28 | 73,000 | 66,823 | ||||||
4.375% 2/15/30 | 115,000 | 105,800 | ||||||
4.950% 2/15/27 | 58,000 | 56,260 | ||||||
7.500% 9/15/25 | 267,000 | 289,393 | ||||||
Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC | ||||||||
7.875% 2/15/25 (e) | 25,000 | 26,094 | ||||||
Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC | ||||||||
4.750% 4/15/28 (e) | 180,000 | 178,511 | ||||||
1,266,095 | ||||||||
Retail — 4.6% | ||||||||
Asbury Automotive Group, Inc. | ||||||||
4.625% 11/15/29 (e) | 81,000 | 82,519 | ||||||
At Home Group, Inc. | ||||||||
7.125% 7/15/29 (e) | 294,000 | 288,855 | ||||||
Bath & Body Works, Inc. | ||||||||
6.875% 11/01/35 | 299,000 | 371,508 | ||||||
Bath & Body Works, Inc. | ||||||||
6.750% 7/01/36 | 97,000 | 119,795 | ||||||
BCPE Ulysses Intermediate, Inc. | ||||||||
7.750% 4/01/27 (e) | 405,000 | 399,937 | ||||||
Macy’s Retail Holdings LLC | ||||||||
5.875% 4/01/29 (e) (f) | 40,000 | 42,650 | ||||||
Michaels Cos., Inc. | ||||||||
5.250% 5/01/28 (e) | 87,000 | 86,891 | ||||||
Michaels Cos., Inc. | ||||||||
7.875% 5/01/29 (e) | 29,000 | 28,565 | ||||||
NMG Holding Co., Inc. / Neiman Marcus Group LLC | ||||||||
7.125% 4/01/26 (e) | 473,000 | 502,028 | ||||||
Nordstrom, Inc. | ||||||||
4.000% 3/15/27 | 65,000 | 65,325 | ||||||
4.375% 4/01/30 (f) | 65,000 | 65,571 | ||||||
5.000% 1/15/44 (f) | 331,000 | 308,658 | ||||||
Sonic Automotive, Inc. | ||||||||
4.625% 11/15/29 (e) | 108,000 | 109,026 |
The accompanying notes are an integral part of the financial statements.
85
MML High Yield Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
4.875% 11/15/31 (e) | $ | 63,000 | $ | 63,611 | ||||
Staples, Inc. | ||||||||
7.500% 4/15/26 (e) | 461,000 | 473,677 | ||||||
10.750% 4/15/27 (e) (f) | 422,000 | 397,735 | ||||||
Superior Plus LP / Superior General Partner, Inc. | ||||||||
4.500% 3/15/29 (e) | 145,000 | 149,037 | ||||||
3,555,388 | ||||||||
Software — 0.7% | ||||||||
Avaya Holdings Corp., Convertible, | ||||||||
2.250% 6/15/23 | 335,000 | 352,923 | ||||||
Consensus Cloud Solutions, Inc. | ||||||||
6.000% 10/15/26 (e) | 94,000 | 97,769 | ||||||
6.500% 10/15/28 (e) | 68,000 | 71,060 | ||||||
521,752 | ||||||||
Telecommunications — 2.3% | ||||||||
Altice France SA | ||||||||
5.125% 7/15/29 (e) | 368,000 | 358,966 | ||||||
CommScope Technologies Finance LLC | ||||||||
6.000% 6/15/25 (e) | 196,000 | 196,000 | ||||||
Consolidated Communications, Inc. | ||||||||
6.500% 10/01/28 (e) | 391,000 | 410,550 | ||||||
Frontier Communications Holdings LLC | ||||||||
6.000% 1/15/30 (e) (f) | 572,000 | 574,860 | ||||||
Telecom Italia Capital | ||||||||
6.000% 9/30/34 | 46,000 | 48,652 | ||||||
Windstream Escrow LLC / Windstream Escrow Finance Corp. | ||||||||
7.750% 8/15/28 (e) | 179,000 | 189,822 | ||||||
1,778,850 | ||||||||
Transportation — 1.3% | ||||||||
Carriage Purchaser, Inc. | ||||||||
7.875% 10/15/29 (e) | 186,000 | 178,560 | ||||||
First Student Bidco, Inc./First Transit Parent, Inc. | ||||||||
4.000% 7/31/29 (e) | 425,000 | 413,100 | ||||||
Seaspan Corp. | ||||||||
5.500% 8/01/29 (e) | 425,000 | 429,250 | ||||||
1,020,910 | ||||||||
TOTAL CORPORATE DEBT (Cost $62,637,994) | 64,907,973 | |||||||
TOTAL BONDS & NOTES (Cost $68,573,611) | 70,933,458 | |||||||
Number of | Value | |||||||
MUTUAL FUNDS — 4.7% | ||||||||
Diversified Financial Services — 4.7% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (h) | 3,615,475 | $ | 3,615,475 | |||||
TOTAL MUTUAL FUNDS (Cost $3,615,475) | 3,615,475 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $72,794,672) | 75,041,805 | |||||||
Principal | ||||||||
SHORT-TERM INVESTMENTS — 6.3% | ||||||||
Commercial Paper — 3.9% | ||||||||
Danaher Corp. | ||||||||
0.254% 1/26/22 (e) | $ | 1,000,000 | 999,816 | |||||
Eversource Energy | ||||||||
0.243% 1/11/22 (e) | 1,000,000 | 999,962 | ||||||
Tampa Electric Co. | ||||||||
0.355% 1/10/22 (e) | 1,000,000 | 999,977 | ||||||
2,999,755 | ||||||||
Repurchase Agreement — 2.4% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/21, 0.000%, due 1/03/22 (i) | 1,868,997 | 1,868,997 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,868,669) | 4,868,752 | |||||||
TOTAL INVESTMENTS — 103.6% (Cost $77,663,341) (j) | 79,910,557 | |||||||
Other Assets/(Liabilities) — (3.6)% | (2,779,111 | ) | ||||||
NET ASSETS — 100.0% | $ | 77,131,446 |
Abbreviation Legend
FRN | Floating Rate Note |
STEP | Step Up Bond |
VRN | Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2021, these securities amounted to a value of $134,111 or 0.17% of net assets. |
The accompanying notes are an integral part of the financial statements.
86
MML High Yield Fund – Portfolio of Investments (Continued) |
Notes to Portfolio of Investments (Continued)
(b) | Investment was valued using significant unobservable inputs. |
(c) | Non-income producing security. |
(d) | All or a portion of the security represents unsettled loan commitments at December 31, 2021 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, 2021, the aggregate market value of these securities amounted to $55,005,850 or 71.31% of net assets. |
(f) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2021, was $4,118,417 or 5.34% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $597,779 of non-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) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(h) | Represents investment of security lending cash collateral. (Note 2). |
(i) | Maturity value of $1,868,997. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 7/31/28, and an aggregate market value, including accrued interest, of $1,906,463. |
(j) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
87
MML Inflation-Protected and Income Fund – Portfolio of Investments |
December 31, 2021 |
Principal | Value | |||||||
BONDS & NOTES — 88.3% | ||||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 49.1% | ||||||||
Automobile Asset-Backed Securities — 3.1% | ||||||||
American Credit Acceptance Receivables Trust, Series 2019-1, Class C | ||||||||
3.500% 4/14/25 (a) | $ | 138,429 | $ | 138,622 | ||||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class C | ||||||||
4.530% 3/20/23 (a) | 194,000 | 195,005 | ||||||
Carvana Auto Receivables Trust | ||||||||
Series 2020-N3, Class B, 0.660% 6/12/28 | 5,879,000 | 5,826,811 | ||||||
Series 2021-P2, 1.880% 5/10/28 (a) | 723,013 | 722,954 | ||||||
Drive Auto Receivables Trust, Series 2019-1, Class C | ||||||||
3.780% 4/15/25 | 84,774 | 84,889 | ||||||
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A | ||||||||
3.430% 12/16/24 (a) | 17,768 | 17,774 | ||||||
Westlake Automobile Receivables Trust, Series 2020-3A, Class D | ||||||||
1.650% 2/17/26 (a) | 2,306,000 | 2,305,899 | ||||||
9,291,954 | ||||||||
Commercial Mortgage-Backed Securities — 2.9% | ||||||||
BHMS Mortgage Trust, Series 2018-ATLS, Class B, 1 mo. USD LIBOR + 1.500% | ||||||||
1.610% FRN 7/15/35 (a) | 1,000,000 | 996,259 | ||||||
BX Commercial Mortgage Trust | ||||||||
Series 2020-BXLP, Class E, 1 mo. USD LIBOR + 1.600% 1.710% FRN 12/15/36 (a) | 1,085,553 | 1,080,806 | ||||||
Series 2018-IND, Class E, 1 mo. USD LIBOR + 1.700% 1.810% FRN 11/15/35 (a) | 267,985 | 267,911 | ||||||
Series 2019-XL, Class F, 1 mo. USD LIBOR + 2.000% 2.110% FRN 10/15/36 (a) | 1,487,500 | 1,479,197 | ||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, 1 mo. USD LIBOR + 1.750% | ||||||||
1.860% FRN 12/15/37 (a) | 308,865 | 308,492 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, 1 mo. USD LIBOR + 1.600% | ||||||||
1.710% FRN 5/15/36 (a) | 4,000,000 | 3,985,023 |
Principal | Value | |||||||
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, 1 mo. USD LIBOR + 1.800% | ||||||||
1.910% FRN 5/15/36 (a) | $ | 476,000 | $ | 473,922 | ||||
8,591,610 | ||||||||
Home Equity Asset-Backed Securities — 1.5% | ||||||||
Centex Home Equity Loan Trust, Series 2006-A, Class M1, 1 mo. USD LIBOR + .450% | ||||||||
0.552% FRN 6/25/36 | 596,284 | 592,812 | ||||||
Citigroup Mortgage Loan Trust, Series 2006-HE2, Class M1, 1 mo. USD LIBOR + .290% | ||||||||
0.538% FRN 8/25/36 | 816,481 | 811,885 | ||||||
Home Equity Asset Trust, Series 2005-9, Class M1, 1 mo. USD LIBOR + .615% | ||||||||
0.717% FRN 4/25/36 | 2,176,004 | 2,160,798 | ||||||
Residential Asset Securities Trust, Series 2005-EMX1, Class M1, 1 mo. USD LIBOR + .645% | ||||||||
0.747% FRN 3/25/35 | 770,059 | 769,450 | ||||||
4,334,945 | ||||||||
Other Asset-Backed Securities — 24.4% | ||||||||
321 Henderson Receivables LLC | ||||||||
Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200% 0.310% FRN 3/15/41 (a) | 118,956 | 118,483 | ||||||
Series 2006-3A, Class A1, 1 mo. USD LIBOR + .200% 0.310% FRN 9/15/41 (a) | 78,935 | 77,489 | ||||||
Series 2006-4A, Class A1, 1 mo. USD LIBOR + .200% 0.310% FRN 12/15/41 (a) | 49,919 | 49,846 | ||||||
Affirm Asset Securitization Trust | ||||||||
Series 2021-Z1, Class A, 1.070% 8/15/25 (a) | 1,976,514 | 1,972,625 | ||||||
Series 2021-Z2, Class A, 1.170% 11/16/26 (a) | 1,750,000 | 1,746,939 | ||||||
Series 2020-Z2, Class A, 1.900% 1/15/25 (a) | 1,847,287 | 1,856,302 | ||||||
Series 2020-A, Class A, 2.100% 2/18/25 (a) | 6,800,000 | 6,822,171 | ||||||
Series 2020-Z1, Class A, 3.460% 10/15/24 (a) | 1,083,528 | 1,100,641 | ||||||
Series 2021-A, Class D, 3.490% 8/15/25 (a) | 1,600,000 | 1,608,808 | ||||||
Series 2020-A, Class B, 3.540% 2/18/25 (a) | 1,000,000 | 1,006,408 |
The accompanying notes are an integral part of the financial statements.
88
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Arbor Realty Commercial Real Estate Notes, Series 2018-FL1, Class A, 1 mo. USD LIBOR + 1.150% | ||||||||
1.260% FRN 6/15/28 (a) | $ | 780,000 | $ | 779,754 | ||||
Bankers HealthCare Group Securitization Trust, Series 2021-B, Class A | ||||||||
0.900% 10/17/34 (a) | 1,596,991 | 1,587,600 | ||||||
Citigroup Mortgage Loan Trust, Series 2006-WFH2, Class M1, 1 mo. USD LIBOR + .405% | ||||||||
0.508% FRN 8/25/36 | 836,611 | 836,234 | ||||||
Crossroads Asset Trust, Series 2021-A, Class A2 | ||||||||
0.820% 3/20/24 (a) | 534,402 | 534,687 | ||||||
FCI Funding LLC | ||||||||
Series 2021-1A, Class A, 1.130% 4/15/33 (a) | 3,337,503 | 3,319,580 | ||||||
Series 2021-1A, Class B, 1.530% 4/15/33 (a) | 2,225,265 | 2,214,774 | ||||||
Series 2019-1A, Class A, 3.630% 2/18/31 (a) | 51,490 | 51,692 | ||||||
First Franklin Mortgage Loan Trust | ||||||||
Series 2006-FF15, Class A5, 1 mo. USD LIBOR + .160% 0.262% FRN 11/25/36 | 630,203 | 618,274 | ||||||
Series 2005-FF9, Class A4, 1 mo. USD LIBOR + .720% 0.822% FRN 10/25/35 | 512,922 | 511,407 | ||||||
FNA VI LLC, Series 2021-1A, Class A | ||||||||
1.350% 1/10/32 (a) (b) | 4,050,226 | 4,006,437 | ||||||
FREED ABS Trust | ||||||||
Series 2021-2, Class A, 0.680% 6/19/28 (a) | 1,086,970 | 1,086,729 | ||||||
Series 2021-2, Class B, 1.030% 6/19/28 (a) | 2,348,000 | 2,338,712 | ||||||
Gracie Point International Funding, Series 2021-1A, Class A, 1 mo. USD LIBOR + .750% | ||||||||
0.849% FRN 11/01/23 (a) | 3,732,409 | 3,741,109 | ||||||
JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class A5, 1 mo. USD LIBOR + .260% | ||||||||
0.362% FRN 3/25/37 | 238,269 | 235,185 | ||||||
LCM Ltd., Series 19A, Class AR, 3 mo. USD LIBOR + 1.240% | ||||||||
1.364% FRN 7/15/27 (a) | 604,175 | 604,400 | ||||||
Lendmark Funding Trust, Series 2019-2A, Class A | ||||||||
2.780% 4/20/28 (a) | 6,600,000 | 6,696,452 |
Principal | Value | |||||||
Long Beach Mortgage Loan Trust | ||||||||
Series 2004-5, Class A1, 1 mo. USD LIBOR + .320% 0.422% FRN 9/25/34 | $ | 20,554 | $ | 20,551 | ||||
Series 2006-WL1, Class 2A4, 1 mo. USD LIBOR + .680% 0.782% FRN 1/25/46 | 209,173 | 209,173 | ||||||
Marlette Funding Trust | ||||||||
Series 2020-1A, Class B, 2.380% 3/15/30 (a) | 1,590,755 | 1,596,475 | ||||||
Series 2019-4A, Class A, 2.390% 12/17/29 (a) | 164,856 | 164,999 | ||||||
Series 2019-2A, Class B, 3.530% 7/16/29 (a) | 888,676 | 891,889 | ||||||
MVW Owner Trust, Series 2017-1A, Class A | ||||||||
2.420% 12/20/34 (a) | 42,861 | 43,575 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed | ||||||||
Series 2020-T1, Class AT1, ABS, 144A, 1.426% 8/15/53 (a) | 2,250,000 | 2,248,922 | ||||||
Series 2020-T3, Class CT3, 1.814% 10/15/52 (a) | 536,400 | 531,717 | ||||||
Series 2020-T1, Class BT1, 1.823% 8/15/53 (a) | 1,100,000 | 1,096,048 | ||||||
NP SPE II LLC, Series 2019-1A, Class A1 | ||||||||
2.574% 9/20/49 (a) | 258,780 | 256,979 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class A | ||||||||
2.610% 3/08/29 (a) | 101,556 | 102,408 | ||||||
Pagaya AI Debt Selection Trust, Series 2021-3, Class A | ||||||||
1.150% 5/15/29 (a) | 3,820,676 | 3,805,246 | ||||||
Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I | ||||||||
4.262% 9/05/48 (a) | 2,322,000 | 2,283,436 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A, 1 mo. USD LIBOR + 2.850% | ||||||||
2.952% FRN 2/25/23 (a) | 440,000 | 441,111 | ||||||
Sierra Receivables Funding LLC | ||||||||
Series 2019-3A, Class C, 3.000% 8/20/36 (a) | 1,242,663 | 1,257,146 | ||||||
Series 2019-1A, Class C, 3.770% 1/20/36 (a) | 281,024 | 287,553 | ||||||
Series 2019-3A, Class D, 4.180% 8/20/36 (a) | 318,192 | 321,438 | ||||||
Series 2019-1A, Class D, 4.750% 1/20/36 (a) | 254,260 | 259,690 |
The accompanying notes are an integral part of the financial statements.
89
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
SoFi Consumer Loan Program Trust, Series 2019-3, Class D | ||||||||
3.890% 5/25/28 (a) | $ | 946,000 | $ | 960,614 | ||||
Structured Asset Investment Loan Trust, Series 2005-2, Class M2, 1 mo. USD LIBOR + .735% | ||||||||
0.837% FRN 3/25/35 | 1,014,347 | 1,011,401 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust | ||||||||
Series 2006-BC6, Class A4, 1 mo. USD LIBOR + .170% 0.272% FRN 1/25/37 | 312,837 | 311,183 | ||||||
Series 2006-WF1, Class M4, 1 mo. USD LIBOR + .645% 0.747% FRN 2/25/36 | 494,464 | 494,219 | ||||||
Series 2006-GEL1, Class M2, 1 mo. USD LIBOR + 1.200% 1.302% FRN 11/25/35 (a) | 641,306 | 629,717 | ||||||
Upstart Securitization Trust | ||||||||
Series 2021-4, Class A, 0.840% 9/20/31 (a) | 5,347,414 | 5,295,906 | ||||||
Series 2020-3, Class A, 1.702% 11/20/30 (a) | 1,383,814 | 1,387,938 | ||||||
Westgate Resorts LLC, Series 2018-1A, Class A | ||||||||
3.380% 12/20/31 (a) | 160,913 | 161,565 | ||||||
71,593,637 | ||||||||
Student Loans Asset-Backed Securities — 7.7% | ||||||||
Chase Education Loan Trust, Series 2007-A, Class A4, 3 mo. USD LIBOR + .100% | ||||||||
0.320% FRN 3/28/68 | 2,279,972 | 2,228,154 | ||||||
College Loan Corp. Trust, Series 2005-2, Class B, 3 mo. USD LIBOR + .490% | ||||||||
0.614% FRN 1/15/37 | 350,682 | 323,273 | ||||||
Commonbond Student Loan Trust | ||||||||
Series 2021-AGS, Class B, 1.400% 3/25/52 (a) | 261,314 | 257,358 | ||||||
Series 2018-CGS, Class C, 4.350% 2/25/46 (a) | 19,362 | 19,422 | ||||||
DRB Prime Student Loan Trust, Series 2017-A, Class A1, 1 mo. USD LIBOR + .850% | ||||||||
0.953% FRN 5/27/42 (a) | 629,039 | 629,886 | ||||||
EdLinc Student Loan Funding Trust, Series 2017-A, Class A, PRIME - 1.150% | ||||||||
2.100% FRN 12/01/47 (a) | 372,419 | 374,115 | ||||||
Edsouth Indenture | ||||||||
No.9 LLC, Series 2015-1, Class A, 1 mo. USD LIBOR + .800% 0.903% FRN 10/25/56 (a) | 276,247 | 276,938 |
Principal | Value | |||||||
No.10 LLC, Series 2015-2, Class B, 1 mo. USD LIBOR + 1.500% 1.603% FRN 12/25/58 (a) | $ | 1,000,000 | $ | 999,595 | ||||
ELFI Graduate Loan Program LLC, Series 2018-A, Class A1, 1 mo. USD LIBOR + .750% | ||||||||
0.853% FRN 8/25/42 (a) | 280,724 | 280,877 | ||||||
Goal Capital Funding Trust, Series 2010-1, Class A, 3 mo. USD LIBOR + .700% | ||||||||
0.880% FRN 8/25/48 (a) | 193,385 | 193,397 | ||||||
JP Morgan Student Loan Trust, Series 2007-A, Class B, 3 mo. USD LIBOR + .350% | ||||||||
0.482% FRN 6/28/39 (a) | 395,704 | 365,045 | ||||||
KeyCorp Student Loan Trust, Series 2005-A, Class 2B, 3 mo. USD LIBOR + .730% | ||||||||
0.950% FRN 9/27/38 | 570,548 | 570,467 | ||||||
Laurel Road Prime Student Loan Trust, Series 2019-A, Class A1FX | ||||||||
2.340% 10/25/48 (a) | 223,618 | 225,201 | ||||||
Navient Private Education Refi Loan Trust | ||||||||
Series 2021-A, Class A, 0.840% 5/15/69 (a) | 2,778,586 | 2,737,028 | ||||||
Series 2020-HA, Class A, 1.310% 1/15/69 (a) | 558,892 | 557,252 | ||||||
Navient Student Loan Trust | ||||||||
Series 2017-3A, Class A2, 1 mo. USD LIBOR + .600% 0.703% FRN 7/26/66 (a) | 409,920 | 410,655 | ||||||
Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150% 1.253% FRN 7/26/66 (a) | 408,008 | 413,462 | ||||||
Series 2015-AA, Class A2B, 1 mo. USD LIBOR + 1.200% 1.310% FRN 12/15/28 (a) | 184,568 | 184,952 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750% | ||||||||
1.853% FRN 12/26/40 (a) | 91,173 | 91,236 | ||||||
Nelnet Student Loan Trust | ||||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .200% 0.324% FRN 1/25/38 | 560,186 | 510,890 | ||||||
Series 2005-2, Class B, 3 mo. USD LIBOR + .170% 0.384% FRN 3/23/37 | 854,830 | 793,776 | ||||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% 0.461% FRN 6/25/41 | 270,877 | 250,353 |
The accompanying notes are an integral part of the financial statements.
90
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Series 2004-3, Class B, 3 mo. USD LIBOR + .350% 0.474% FRN 10/25/40 | $ | 870,503 | $ | 813,746 | ||||
Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500% 1.603% FRN 6/25/41 (a) | 375,000 | 375,000 | ||||||
SLC Student Loan Trust | ||||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .230% 0.433% FRN 12/15/39 | 979,860 | 888,069 | ||||||
Series 2005-2, Class B, 3 mo. USD LIBOR + .280% 0.483% FRN 3/15/40 | 1,479,760 | 1,375,231 | ||||||
SLM Student Loan Trust | ||||||||
Series 2005-5, Class A4, 3 mo. USD LIBOR + .140% 0.264% FRN 10/25/28 | 217,349 | 216,506 | ||||||
Series 2006-4, Class B, 3 mo. USD LIBOR + .200% 0.324% FRN 1/25/70 | 296,809 | 279,327 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% 0.334% FRN 10/25/40 | 322,919 | 303,419 | ||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .220% 0.344% FRN 1/25/41 | 348,052 | 327,040 | ||||||
Series 2003-14, Class A6, 3 mo. USD LIBOR + .300% 0.424% FRN 7/25/25 | 125,867 | 125,760 | ||||||
Series 2005-8, Class B, 3 mo. USD LIBOR + .310% 0.434% FRN 1/25/55 | 311,614 | 296,935 | ||||||
Series 2004-8, Class B, 3 mo. USD LIBOR + .460% 0.584% FRN 1/25/40 | 341,676 | 324,358 | ||||||
Series 2004-3, Class B, 3 mo. USD LIBOR + .470% 0.594% FRN 10/25/64 | 238,094 | 229,405 | ||||||
Series 2003-11, Class B, 3 mo. USD LIBOR + .650% 0.853% FRN 12/15/38 | 341,167 | 327,033 | ||||||
SMB Private Education Loan Trust | ||||||||
Series 2018-B, Class A2B, 1 mo. USD LIBOR + .720% 0.830% FRN 1/15/37 (a) | 956,792 | 956,579 | ||||||
Series 2019-A, Class A2B, 1 mo. USD LIBOR + .870% 0.980% FRN 7/15/36 (a) | 1,203,783 | 1,207,909 | ||||||
SoFi Alternative Trust, Series 2019-C, Class PT, | ||||||||
5.431% VRN 1/25/45 (a) (c) | 852,574 | 899,960 |
Principal | Value | |||||||
SoFi Professional Loan Program LLC | ||||||||
Series 2017-A, Class A1, 1 mo. USD LIBOR + .700% 0.803% FRN 3/26/40 (a) | $ | 108,924 | $ | 108,932 | ||||
Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750% 1.852% FRN 8/25/36 (a) | 144,525 | 144,803 | ||||||
Series 2016-B, Class A2B, 2.740% 10/25/32 (a) | 620,673 | 624,143 | ||||||
22,517,487 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 9.5% | ||||||||
BRAVO Residential Funding Trust, Series 2019-NQM1, Class A1, | ||||||||
2.666% VRN 7/25/59 (a) (c) | 2,691,838 | 2,690,669 | ||||||
Cascade Funding Mortgage Trust, Series 2021-EBO1, Class A, | ||||||||
0.985% VRN 11/25/50 (a) (c) | 2,190,392 | 2,185,052 | ||||||
CIM Trust, Series 2019-INV3, Class A11, 1 mo. USD LIBOR + 1.000% | ||||||||
1.042% FRN 8/25/49 (a) | 1,227,376 | 1,228,746 | ||||||
Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class A3, | ||||||||
3.030% VRN 7/25/49 (a) (c) | 308,106 | 307,802 | ||||||
NewRez Warehouse Securitization Trust 2021-1, Series 2021-1, Class A, 1 mo. USD LIBOR + .750% | ||||||||
0.852% FRN 5/25/55 (a) | 4,667,000 | 4,671,457 | ||||||
Oceanview Trust 2021-EBO1 | ||||||||
Series 2021-1, Class A, 1.219% VRN 12/25/51 (a) (c) | 5,353,282 | 5,345,517 | ||||||
Series 2021-1, Class M3, 3.090% VRN 12/25/51 (a) (c) | 2,000,000 | 1,998,807 | ||||||
Onslow Bay Financial LLC | ||||||||
Series 2020-EXP1, Class 2A2, 1 mo. USD LIBOR + .950% 1.052% FRN 2/25/60 (a) | 639,870 | 640,473 | ||||||
Series 2021-NQM2, Class A2, 1.357% VRN 5/25/61 (a) (c) | 1,803,936 | 1,792,150 | ||||||
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates, Series 2005-4, Class 1APT, 1 mo. USD LIBOR + .620% | ||||||||
0.722% FRN 11/25/35 | 446,626 | 445,541 | ||||||
PSMC Trust, Series 2020-2, Class A2, | ||||||||
3.000% VRN 5/25/50 (a) (c) | 1,102,295 | 1,110,449 | ||||||
Starwood Mortgage Residential Trust | ||||||||
Series 2021-1, Class A3, 1.528% VRN 5/25/65 (a) (c) | 2,871,869 | 2,861,830 | ||||||
Series 2019-INV1, Class A3, 2.916% VRN 9/27/49 (a) (c) | 919,707 | 925,447 |
The accompanying notes are an integral part of the financial statements.
91
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Verus Securitization Trust | ||||||||
Series 2021-3, Class A3, 1.437% VRN 6/25/66 (a) (c) | $ | 1,130,896 | $ | 1,120,871 | ||||
Series 2019-INV2, Class A3, 3.219% VRN 7/25/59 (a) (c) | 675,705 | 679,772 | ||||||
28,004,583 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $143,818,718) | 144,334,216 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (d) — 11.4% | ||||||||
Pass-Through Securities — 0.1% | ||||||||
Federal Home Loan Mortgage Corp. Pool #1Q0239, 1 year CMT + 2.200% 2.325% 3/01/37 | 130,485 | 136,805 | ||||||
Whole Loans — 11.3% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||
Series 2021-DNA1, Class M1, SOFR30A + .650% 0.700% FRN 1/25/51 (a) | 369,139 | 369,110 | ||||||
Series 2021-DNA6, Class M1, SOFR30A + .800% 0.850% FRN 10/25/41 (a) | 6,550,000 | 6,550,839 | ||||||
Series 2021-HQA3, Class M1, SOFR30A + .850% 0.900% FRN 9/25/41 (a) | 7,667,000 | 7,662,227 | ||||||
Series 2020-DNA6, Class M1, SOFR30A + .900% 0.950% FRN 12/25/50 (a) | 336,081 | 335,992 | ||||||
Series 2018-DNA2, Class M2AS, 1 mo. USD LIBOR + .950% 1.053% FRN 12/25/30 (a) | 1,500,000 | 1,496,267 | ||||||
Series 2020-DNA1, Class M2, 1 mo. USD LIBOR + 1.700% 1.803% FRN 1/25/50 (a) | 2,385,191 | 2,391,383 | ||||||
Series 2018-DNA3, Class M2A, 1 mo. USD LIBOR + 2.100% 2.203% FRN 9/25/48 (a) | 1,505,000 | 1,516,976 | ||||||
Series 2018-DNA2, Class M2A, 1 mo. USD LIBOR + 2.150% 2.253% FRN 12/25/30 (a) | 3,800,000 | 3,829,531 | ||||||
Series 2020-DNA5, Class M2, SOFR30A + 2.800% 2.850% FRN 10/25/50 (a) | 357,066 | 359,855 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust | ||||||||
Series 2021-R01, Class 1M1, SOFR30A + .750% 0.800% FRN 10/25/41 (a) | 3,361,841 | 3,363,846 |
Principal | Value | |||||||
Series 2019-R05, Class 1M2, 1 mo. USD LIBOR + 2.000% 2.103% FRN 7/25/39 (a) | $ | 1,073,472 | $ | 1,074,448 | ||||
Series 2019-R03, Class 1M2, 1 mo. USD LIBOR + 2.150% 2.253% FRN 9/25/31 (a) | 2,759,286 | 2,770,595 | ||||||
Series 2019-R02, Class 1M2, 1 mo. USD LIBOR + 2.300% 2.403% FRN 8/25/31 (a) | 1,498,214 | 1,504,559 | ||||||
33,225,628 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $33,362,005) | 33,362,433 | |||||||
U.S. TREASURY OBLIGATIONS — 27.8% | ||||||||
U.S. Treasury Bonds & Notes — 27.8% | ||||||||
U.S. Treasury Inflation Index | ||||||||
0.125% 7/15/24 | 2,940,464 | 3,134,752 | ||||||
0.125% 10/15/24 | 3,341,056 | 3,568,861 | ||||||
0.125% 4/15/25 | 2,703,063 | 2,891,802 | ||||||
0.125% 10/15/25 | 1,705,104 | 1,838,415 | ||||||
0.125% 4/15/26 | 3,374,080 | 3,641,832 | ||||||
0.125% 7/15/26 | 2,883,950 | 3,131,677 | ||||||
0.125% 10/15/26 | 1,416,688 | 1,540,814 | ||||||
0.125% 1/15/30 | 2,579,400 | 2,863,940 | ||||||
0.125% 7/15/30 | 2,804,074 | 3,138,482 | ||||||
0.125% 1/15/31 | 3,000,800 | 3,361,189 | ||||||
0.125% 7/15/31 | 4,333,098 | 4,872,704 | ||||||
0.125% 2/15/51 | 2,495,912 | 2,957,850 | ||||||
0.250% 1/15/25 | 2,364,086 | 2,533,035 | ||||||
0.250% 7/15/29 | 2,648,475 | 2,968,568 | ||||||
0.250% 2/15/50 | 645,324 | 781,422 | ||||||
0.375% 7/15/25 (e) | 2,792,642 | 3,033,562 | ||||||
0.375% 1/15/27 | 2,117,714 | 2,329,774 | ||||||
0.375% 7/15/27 | 2,599,920 | 2,885,150 | ||||||
0.500% 1/15/28 | 1,429,288 | 1,599,686 | ||||||
0.625% 1/15/24 | 888,810 | 945,923 | ||||||
0.625% 1/15/26 | 1,425,569 | 1,565,899 | ||||||
0.625% 2/15/43 | 962,168 | 1,196,621 | ||||||
0.750% 7/15/28 | 2,010,384 | 2,302,949 | ||||||
0.750% 2/15/42 | 1,162,544 | 1,469,755 | ||||||
0.750% 2/15/45 | 2,260,451 | 2,911,036 | ||||||
0.875% 1/15/29 | 2,190,200 | 2,533,531 | ||||||
0.875% 2/15/47 | 572,750 | 773,962 | ||||||
1.000% 2/15/46 | 233,402 | 319,113 | ||||||
1.000% 2/15/48 | 897,064 | 1,258,605 | ||||||
1.000% 2/15/49 | 494,492 | 702,313 | ||||||
1.375% 2/15/44 | 1,186,460 | 1,693,950 |
The accompanying notes are an integral part of the financial statements.
92
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
2.000% 1/15/26 | $ | 835,908 | $ | 967,368 | ||||
2.125% 2/15/40 | 383,802 | 587,652 | ||||||
2.125% 2/15/41 | 820,742 | 1,270,948 | ||||||
2.375% 1/15/25 | 2,053,730 | 2,339,006 | ||||||
2.375% 1/15/27 | 1,782,521 | 2,153,264 | ||||||
2.500% 1/15/29 | 772,752 | 988,142 | ||||||
3.375% 4/15/32 | 389,458 | 579,478 | ||||||
3.625% 4/15/28 | 769,334 | 1,022,342 | ||||||
3.875% 4/15/29 | 841,020 | 1,171,662 | ||||||
81,827,034 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $80,539,922) | 81,827,034 | |||||||
TOTAL BONDS & NOTES (Cost $257,720,645) | 259,523,683 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.5% (Cost $1,845,236) | 1,368,803 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $259,565,881) | 260,892,486 | |||||||
SHORT-TERM INVESTMENTS — 10.9% | ||||||||
Commercial Paper — 9.2% | ||||||||
American Electric Power Co., Inc. | ||||||||
0.254% 1/03/22 (a) | 4,000,000 | 3,999,948 | ||||||
CenterPoint Energy, Inc. | ||||||||
0.446% 1/11/22 (a) | 4,000,000 | 3,999,768 | ||||||
Danaher Corp. | ||||||||
0.254% 1/26/22 (a) | 1,000,000 | 999,816 | ||||||
Enbridge (us), Inc. | ||||||||
0.355% 1/18/22 (a) | 4,000,000 | 3,999,536 | ||||||
National Grid PLC | ||||||||
0.233% 1/13/22 (a) | 2,000,000 | 1,999,852 | ||||||
0.304% 1/25/22 (a) | 2,000,000 | 1,999,639 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
0.203% 2/01/22 | 1,000,000 | 999,916 | ||||||
0.203% 2/03/22 | 2,000,000 | 1,999,815 | ||||||
Tampa Electric Co. | ||||||||
0.355% 1/10/22 (a) | 3,000,000 | 2,999,930 | ||||||
Wisconsin Electric Power | ||||||||
0.152% 1/10/22 | 4,000,000 | 3,999,863 | ||||||
26,998,083 |
Principal | Value | |||||||
Repurchase Agreement — 1.7% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/21, 0.000%, due 1/03/22 (f) | $ | 4,969,760 | $ | 4,969,760 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $31,966,876) | 31,967,843 | |||||||
TOTAL INVESTMENTS — 99.7% (Cost $291,532,757) (g) | 292,860,329 | |||||||
Other Assets/(Liabilities) — 0.3% | 979,723 | |||||||
NET ASSETS — 100.0% | $ | 293,840,052 |
Abbreviation Legend
FRN | Floating Rate Note |
VRN | Variable Rate Note |
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, 2021, the aggregate market value of these securities amounted to $172,434,778 or 58.68% of net assets. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2021, these securities amounted to a value of $4,006,437 or 1.36% of net assets. |
(c) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at December 31, 2021. |
(d) | May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
(e) | All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2). |
(f) | Maturity value of $4,969,760. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 7/31/28, and an aggregate market value, including accrued interest, of $5,069,199. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
93
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued) |
(#) Interest Rate Swaptions Purchased
Paid by Fund | Received by Fund | ||||||||||||||||||||||||||||||||||||||||
Description | Counterparty | Expiration | Rate | Frequency | Rate | Frequency | Notional | Value | Premium | Unrealized | |||||||||||||||||||||||||||||||
Call | |||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 | Barclays Bank PLC* | 12/13/32 | 3-Month USD LIBOR BBA | Quarterly | 2.44%## | Semi-Annual | USD | 1,967,000 | $ | 168,946 | $ | 98,335 | $ | 70,611 | |||||||||||||||||||||||||||
Put | |||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 | Barclays Bank PLC* | 12/13/32 | 2.94%## | Semi-Annual | 3-Month USD LIBOR BBA | Quarterly | USD | 22,880,000 | $ | 801,258 | $ | 1,143,840 | $ | (342,582 | ) | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 2/02/43 | Credit Suisse International* | 1/31/33 | 3.11%## | Semi-Annual | 3-Month USD LIBOR BBA | Quarterly | USD | 12,590,000 | 398,599 | 603,061 | (204,462 | ) | |||||||||||||||||||||||||||||
1,199,857 | 1,746,901 | (547,044 | ) | ||||||||||||||||||||||||||||||||||||||
$ | 1,368,803 | $ | 1,845,236 | $ | (476,433 | ) |
Futures contracts
| Expiration | Number of | Notional | Value/ Net | ||||||||||||
Long | ||||||||||||||||
U.S. Treasury Long Bond | 3/22/22 | 30 | $ | 4,839,755 | $ | (26,630 | ) | |||||||||
U.S. Treasury Note 5 Year | 3/31/22 | 12 | 1,456,538 | (4,819 | ) | |||||||||||
| $ | (31,449 | ) | |||||||||||||
Short | ||||||||||||||||
U.S. Treasury Ultra 10 Year | 3/22/22 | 28 | $ | (4,079,667 | ) | $ | (20,583 | ) | ||||||||
U.S. Treasury Ultra Bond | 3/22/22 | 12 | (2,365,358 | ) | (142 | ) | ||||||||||
U.S. Treasury Note 2 Year | 3/31/22 | 6 | (1,308,872 | ) | (159 | ) | ||||||||||
| $ | (20,884 | ) |
The accompanying notes are an integral part of the financial statements.
94
MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued) |
OTC Inflation-Rate Swaps
Paid by the Fund | Received by the Fund | |||||||||||||||||||||||||||||||||||||||
Rate/ | Frequency | Rate/ | Frequency | Counterparty | Termination | Notional | Value | Upfront | Unrealized | |||||||||||||||||||||||||||||||
1.978% | Maturity | U.S. Consumer Price Index | Maturity | Bank of America N.A.* | 12/24/22 | USD | 2,000,000 | $ | 122,098 | $ | — | $ | 122,098 | |||||||||||||||||||||||||||
3.630% | Maturity | U.S. Consumer Price Index | Maturity | Bank of America N.A.* | 12/02/23 | USD | 18,000,000 | 23,582 | — | 23,582 | ||||||||||||||||||||||||||||||
1.833% | Maturity | U.S. Consumer Price Index | Maturity | Goldman Sachs International* | 8/28/23 | USD | 500,000 | 40,470 | — | 40,470 | ||||||||||||||||||||||||||||||
2.000% | Maturity | U.S. Consumer Price Index | Maturity | JP Morgan Chase Bank N.A.* | 12/24/23 | USD | 4,000,000 | 288,618 | — | 288,618 | ||||||||||||||||||||||||||||||
$ | 474,768 | $ | — | $ | 474,768 |
OTC Total Return Swaps
Paid by the Fund | Received by the Fund | |||||||||||||||||||||||||||||||||||
Rate/ | Frequency | Rate/ | Frequency | Counterparty | Termination | No. of | Value | Upfront | Unrealized | |||||||||||||||||||||||||||
0.17% | Maturity | Bloomberg US Treasury Inflation Notes TR Index | Maturity | BNP Paribas SA* | 1/31/22 | 37,846,183 | $ | 549,772 | $ | — | $ | 549,772 | ||||||||||||||||||||||||
0.16% | Maturity | Bloomberg US Treasury Inflation Notes TR Index | Maturity | BNP Paribas SA* | 2/28/22 | 55,335,258 | 902,734 | — | 902,734 | |||||||||||||||||||||||||||
0.17% | Maturity | Bloomberg US Treasury Inflation Notes TR Index | Maturity | Goldman Sachs International* | 1/31/22 | 47,746,583 | 693,589 | — | 693,589 | |||||||||||||||||||||||||||
0.16% | Maturity | Bloomberg US Treasury Inflation Notes TR Index | Maturity | Goldman Sachs International* | 2/28/22 | 46,112,654 | 752,277 | — | 752,277 | |||||||||||||||||||||||||||
0.20% | Maturity | Bloomberg US Treasury Inflation Notes TR Index | Maturity | Goldman Sachs International* | 5/31/22 | 10,445,535 | 33,181 | — | 33,181 | |||||||||||||||||||||||||||
$ | 2,931,553 | $ | — | $ | 2,931,553 |
* Contracts are subject to a Master Netting Agreement.
## Exercise Rate.
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
95
December 31, 2021 |
Principal | Value | |||||||
BONDS & NOTES — 97.8% | ||||||||
CORPORATE DEBT — 34.8% | ||||||||
Aerospace & Defense — 0.1% | ||||||||
The Boeing Co. | ||||||||
5.930% 5/01/60 | $ | 605,000 | $ | 842,677 | ||||
Agriculture — 1.0% | ||||||||
BAT Capital Corp. | ||||||||
2.259% 3/25/28 | 725,000 | 707,046 | ||||||
4.700% 4/02/27 | 2,365,000 | 2,603,173 | ||||||
4.758% 9/06/49 | 540,000 | 581,687 | ||||||
Imperial Brands Finance PLC | ||||||||
3.875% 7/26/29 (a) | 2,764,000 | 2,929,988 | ||||||
Reynolds American, Inc. | ||||||||
5.850% 8/15/45 | 985,000 | 1,200,168 | ||||||
Viterra Finance BV | ||||||||
3.200% 4/21/31 (a) | 2,565,000 | 2,584,361 | ||||||
10,606,423 | ||||||||
Airlines — 0.3% | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | ||||||||
4.500% 10/20/25 (a) | 980,000 | 1,030,303 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A, | ||||||||
4.100% 10/01/29 | 1,289,919 | 1,329,963 | ||||||
United Airlines Pass-Through Trust, Series 2018-1, Class B, | ||||||||
4.600% 9/01/27 | 411,388 | 417,343 | ||||||
2,777,609 | ||||||||
Auto Manufacturers — 0.7% | ||||||||
Ford Motor Credit Co. LLC | ||||||||
3.087% 1/09/23 | 1,410,000 | 1,433,836 | ||||||
4.140% 2/15/23 | 1,360,000 | 1,392,368 | ||||||
General Motors Co. | ||||||||
4.200% 10/01/27 | 565,000 | 618,698 | ||||||
5.150% 4/01/38 | 800,000 | 966,346 | ||||||
6.800% 10/01/27 | 1,890,000 | 2,321,301 | ||||||
6,732,549 | ||||||||
Auto Parts & Equipment — 0.1% | ||||||||
Lear Corp. | ||||||||
3.550% 1/15/52 | 1,325,000 | 1,315,825 | ||||||
Banks — 6.3% | ||||||||
ABN AMRO Bank NV | ||||||||
4.750% 7/28/25 (a) | 1,875,000 | 2,041,588 | ||||||
Associated Banc-Corp. | ||||||||
4.250% 1/15/25 | 2,411,000 | 2,554,136 | ||||||
Bank Hapoalim BM 5 year CMT + 2.155% | ||||||||
3.255% VRN 1/21/32 (a) | 2,600,000 | 2,574,000 |
Principal | Value | |||||||
Bank of America Corp. | ||||||||
SOFR + 1.220% 2.299% VRN 7/21/32 | $ | 1,355,000 | $ | 1,333,808 | ||||
5 year CMT + 1.200% 2.482% VRN 9/21/36 | 2,635,000 | 2,555,452 | ||||||
SOFR + 2.150% 2.592% VRN 4/29/31 | 1,255,000 | 1,269,071 | ||||||
4.183% 11/25/27 | 1,090,000 | 1,193,315 | ||||||
3 mo. USD LIBOR + 1.814% 4.244% VRN 4/24/38 | 1,150,000 | 1,352,439 | ||||||
3 mo. USD LIBOR + 1.310% 4.271% VRN 7/23/29 | 475,000 | 530,018 | ||||||
6.110% 1/29/37 | 1,550,000 | 2,089,203 | ||||||
7.750% 5/14/38 | 400,000 | 628,049 | ||||||
The Bank of Nova Scotia 3 mo. USD LIBOR + 2.648% | ||||||||
4.650% VRN (b) | 3,575,000 | 3,542,825 | ||||||
Barclays PLC | ||||||||
4.337% 1/10/28 | 920,000 | 1,005,032 | ||||||
5.200% 5/12/26 | 1,320,000 | 1,472,948 | ||||||
BPCE SA SOFR + 1.730% | ||||||||
3.116% VRN 10/19/32 (a) (c) | 1,860,000 | 1,868,101 | ||||||
Citigroup, Inc. | ||||||||
4.450% 9/29/27 | 1,825,000 | 2,036,132 | ||||||
6.625% 6/15/32 | 1,525,000 | 2,025,594 | ||||||
Credit Suisse AG | ||||||||
6.500% 8/08/23 (a) | 3,069,000 | 3,303,011 | ||||||
Discover Bank 5 year USD Swap + 1.730% | ||||||||
4.682% VRN 8/09/28 | 1,955,000 | 2,043,417 | ||||||
First Republic Bank | ||||||||
4.375% 8/01/46 | 1,700,000 | 2,051,639 | ||||||
Fulton Financial Corp. | ||||||||
3.600% 3/16/22 | 226,000 | 227,185 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
5.950% 1/15/27 | 1,410,000 | 1,662,965 | ||||||
6.750% 10/01/37 | 1,795,000 | 2,550,279 | ||||||
HSBC Holdings PLC | ||||||||
SOFR + 1.285% 2.206% VRN 8/17/29 | 1,203,000 | 1,180,271 | ||||||
4.250% 3/14/24 | 995,000 | 1,050,819 | ||||||
4.250% 8/18/25 | 2,781,000 | 2,991,402 | ||||||
4.375% 11/23/26 | 699,000 | 767,305 | ||||||
JP Morgan Chase & Co. | ||||||||
SOFR + 2.515% 2.956% VRN 5/13/31 | 1,000,000 | 1,036,429 | ||||||
5.600% 7/15/41 | 1,125,000 | 1,561,911 | ||||||
Mizrahi Tefahot Bank Ltd. 5 year CMT + 2.250% | ||||||||
3.077% VRN 4/07/31 (a) | 2,780,000 | 2,759,150 |
The accompanying notes are an integral part of the financial statements.
96
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Morgan Stanley | ||||||||
SOFR + 1.360% 2.484% VRN 9/16/36 | $ | 1,270,000 | $ | 1,222,823 | ||||
SOFR + 1.485% 3.217% VRN 4/22/42 | 1,345,000 | 1,413,126 | ||||||
4.350% 9/08/26 | 3,200,000 | 3,534,942 | ||||||
Societe Generale SA 1 year CMT + 1.000% | ||||||||
1.792% VRN 6/09/27 (a) | 2,010,000 | 1,967,850 | ||||||
Valley National Bancorp | ||||||||
5.125% 9/27/23 | 1,530,000 | 1,624,669 | ||||||
Wells Fargo & Co. | ||||||||
5.375% 11/02/43 | 909,000 | 1,204,752 | ||||||
64,225,656 | ||||||||
Beverages — 0.7% | ||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.900% 2/01/46 | 3,475,000 | 4,405,789 | ||||||
Bacardi Ltd. | ||||||||
5.150% 5/15/38 (a) | 450,000 | 557,001 | ||||||
Molson Coors Beverage Co. | ||||||||
4.200% 7/15/46 | 1,859,000 | 2,067,204 | ||||||
5.000% 5/01/42 | 360,000 | 436,066 | ||||||
7,466,060 | ||||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc. | ||||||||
3.000% 1/15/52 | 840,000 | 818,280 | ||||||
Chemicals — 0.4% | ||||||||
DuPont de Nemours, Inc. | ||||||||
5.319% 11/15/38 | 1,200,000 | 1,549,805 | ||||||
Syngenta Finance NV | ||||||||
4.441% 4/24/23 (a) | 2,065,000 | 2,134,851 | ||||||
3,684,656 | ||||||||
Computers — 0.2% | ||||||||
Apple, Inc. | ||||||||
2.650% 5/11/50 | 700,000 | 690,989 | ||||||
Dell International LLC / EMC Corp. | ||||||||
8.100% 7/15/36 | 325,000 | 495,171 | ||||||
Leidos, Inc. | ||||||||
2.300% 2/15/31 | 1,260,000 | 1,213,103 | ||||||
2,399,263 | ||||||||
Diversified Financial Services — 3.4% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
3.300% 1/30/32 | 4,115,000 | 4,200,607 | ||||||
Antares Holdings LP | ||||||||
2.750% 1/15/27 (a) | 1,275,000 | 1,250,202 | ||||||
3.950% 7/15/26 (a) | 2,555,000 | 2,628,667 |
Principal | Value | |||||||
6.000% 8/15/23 (a) | $ | 1,330,000 | $ | 1,413,567 | ||||
8.500% 5/18/25 (a) | 720,000 | 841,108 | ||||||
Ares Finance Co. III LLC 5 year CMT + 3.237% | ||||||||
4.125% VRN 6/30/51 (a) | 1,585,000 | 1,591,679 | ||||||
Ares Finance Co. LLC | ||||||||
4.000% 10/08/24 (a) | 2,080,000 | 2,175,168 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
2.528% 11/18/27 (a) | 2,755,000 | 2,678,144 | ||||||
3.250% 2/15/27 (a) | 1,610,000 | 1,622,166 | ||||||
4.250% 4/15/26 (a) | 2,976,000 | 3,155,250 | ||||||
5.500% 1/15/26 (a) | 190,000 | 210,072 | ||||||
Blackstone Private Credit Fund | ||||||||
1.750% 9/15/24 (a) | 335,000 | 329,531 | ||||||
2.625% 12/15/26 (a) | 1,500,000 | 1,463,320 | ||||||
Blue Owl Finance LLC | ||||||||
3.125% 6/10/31 (a) | 3,120,000 | 3,056,530 | ||||||
4.125% 10/07/51 (a) | 1,675,000 | 1,684,028 | ||||||
Brookfield Finance, Inc. | ||||||||
4.350% 4/15/30 | 1,765,000 | 1,991,514 | ||||||
Global Aircraft Leasing Co. Ltd. | ||||||||
6.500% 9/15/24 (a) | 1,449,648 | 1,398,910 | ||||||
Lazard Group LLC | ||||||||
3.625% 3/01/27 | 1,253,000 | 1,341,678 | ||||||
4.500% 9/19/28 | 755,000 | 864,101 | ||||||
Synchrony Financial | ||||||||
2.875% 10/28/31 | 950,000 | 949,126 | ||||||
34,845,368 | ||||||||
Electric — 0.7% | ||||||||
American Transmission Systems, Inc. | ||||||||
2.650% 1/15/32 (a) | 555,000 | 560,813 | ||||||
CMS Energy Corp. | ||||||||
4.875% 3/01/44 | 780,000 | 984,345 | ||||||
Duke Energy Corp. | ||||||||
3.750% 9/01/46 | 1,500,000 | 1,605,645 | ||||||
Entergy Arkansas LLC | ||||||||
2.650% 6/15/51 | 1,765,000 | 1,646,901 | ||||||
Entergy Louisiana LLC | ||||||||
4.950% 1/15/45 | 1,005,000 | 1,080,428 | ||||||
Pacific Gas and Electric Co. | ||||||||
2.500% 2/01/31 | 775,000 | 738,631 | ||||||
Puget Energy, Inc. | ||||||||
2.379% 6/15/28 | 840,000 | 827,493 | ||||||
7,444,256 | ||||||||
Food — 0.8% | ||||||||
JBS Finance Luxembourg Sarl | ||||||||
3.625% 1/15/32 (a) | 5,300,000 | 5,319,928 |
The accompanying notes are an integral part of the financial statements.
97
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | ||||||||
5.500% 1/15/30 (a) | $ | 776,000 | $ | 843,900 | ||||
Smithfield Foods, Inc. | ||||||||
2.625% 9/13/31 (a) | 1,280,000 | 1,239,886 | ||||||
3.000% 10/15/30 (a) | 943,000 | 940,127 | ||||||
8,343,841 | ||||||||
Gas — 0.4% | ||||||||
CenterPoint Energy Resources Corp. | ||||||||
6.625% 11/01/37 | 1,250,000 | 1,694,628 | ||||||
NiSource, Inc. | ||||||||
4.800% 2/15/44 | 1,035,000 | 1,271,576 | ||||||
5.800% 2/01/42 | 950,000 | 1,251,763 | ||||||
4,217,967 | ||||||||
Health Care – Services — 0.3% | ||||||||
City of Hope | ||||||||
4.378% 8/15/48 | 1,050,000 | 1,318,718 | ||||||
HCA, Inc. | ||||||||
3.500% 7/15/51 | 1,250,000 | 1,279,123 | ||||||
2,597,841 | ||||||||
Insurance — 5.1% | ||||||||
Allianz SE 5 year CMT + 2.973% | ||||||||
3.500% VRN (a) (b) | 2,600,000 | 2,603,250 | ||||||
Allstate Corp. 3 mo. USD LIBOR + 2.938% | ||||||||
5.750% VRN 8/15/53 | 2,885,000 | 3,000,400 | ||||||
American International Group, Inc. 3 mo. USD LIBOR + 2.868% | ||||||||
5.750% VRN 4/01/48 | 2,177,000 | 2,443,682 | ||||||
AmTrust Financial Services, Inc. | ||||||||
6.125% 8/15/23 | 3,370,000 | 3,391,568 | ||||||
Ascot Group Ltd. | ||||||||
4.250% 12/15/30 (a) | 1,990,000 | 2,048,251 | ||||||
Athene Global Funding | ||||||||
2.673% 6/07/31 (a) | 2,505,000 | 2,484,567 | ||||||
AXIS Specialty Finance LLC | ||||||||
3.900% 7/15/29 | 1,110,000 | 1,205,657 | ||||||
5 year CMT + 3.186% 4.900% VRN 1/15/40 | 1,315,000 | 1,375,343 | ||||||
Brighthouse Financial, Inc. | ||||||||
4.700% 6/22/47 | 1,125,000 | 1,238,472 | ||||||
5.625% 5/15/30 | 3,067,000 | 3,663,051 | ||||||
CNO Financial Group, Inc. | ||||||||
5.250% 5/30/29 | 2,619,000 | 3,010,164 | ||||||
Enstar Finance LLC 5 year CMT + 5.468% | ||||||||
5.750% VRN 9/01/40 | 2,200,000 | 2,257,926 | ||||||
Enstar Group Ltd. | ||||||||
4.950% 6/01/29 | 1,600,000 | 1,781,541 |
Principal | Value | |||||||
Global Atlantic Fin Co. | ||||||||
3.125% 6/15/31 (a) | $ | 1,675,000 | $ | 1,659,906 | ||||
5 year CMT + 3.796% 4.700% VRN 10/15/51 (a) | 3,060,000 | 3,105,279 | ||||||
Hill City Funding Trust | ||||||||
4.046% 8/15/41 (a) | 2,650,000 | 2,569,905 | ||||||
Jackson Financial, Inc. | ||||||||
1.125% 11/22/23 (a) | 715,000 | 713,760 | ||||||
Markel Corp. 5 year CMT + 5.662% | ||||||||
6.000% VRN (b) | 1,580,000 | 1,732,075 | ||||||
MetLife Capital Trust IV | ||||||||
7.875% 12/15/67 (a) | 725,000 | 989,625 | ||||||
New York Life Insurance Co. | ||||||||
3.750% 5/15/50 (a) | 510,000 | 582,565 | ||||||
Prudential Financial, Inc. | ||||||||
3 mo. USD LIBOR + 3.920% 5.625% VRN 6/15/43 | 1,025,000 | 1,066,613 | ||||||
3 mo. USD LIBOR + 2.665% 5.700% VRN 9/15/48 | 2,440,000 | 2,735,595 | ||||||
3 mo. USD LIBOR + 4.175% 5.875% VRN 9/15/42 | 550,000 | 562,125 | ||||||
Sammons Financial Group, Inc. | ||||||||
3.350% 4/16/31 (a) | 3,805,000 | 3,838,081 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.270% 5/15/47 (a) | 750,000 | 908,891 | ||||||
USF&G Capital I | ||||||||
8.500% 12/15/45 (a) | 885,000 | 1,364,198 | ||||||
52,332,490 | ||||||||
Internet — 0.4% | ||||||||
Amazon.com, Inc. | ||||||||
4.050% 8/22/47 | 775,000 | 942,866 | ||||||
Expedia Group, Inc. | ||||||||
4.625% 8/01/27 | 1,330,000 | 1,481,976 | ||||||
Netflix, Inc. | ||||||||
5.875% 11/15/28 | 1,687,000 | 2,028,618 | ||||||
4,453,460 | ||||||||
Investment Companies — 1.2% | ||||||||
Ares Capital Corp. | ||||||||
2.150% 7/15/26 | 1,850,000 | 1,825,792 | ||||||
4.200% 6/10/24 | 1,450,000 | 1,530,323 | ||||||
BlackRock TCP Capital Corp. | ||||||||
3.900% 8/23/24 | 2,910,000 | 3,039,150 | ||||||
Golub Capital BDC, Inc. | ||||||||
2.500% 8/24/26 | 880,000 | 865,337 | ||||||
3.375% 4/15/24 | 2,438,000 | 2,505,395 | ||||||
Sixth Street Specialty Lending, Inc. | ||||||||
3.875% 11/01/24 | 2,440,000 | 2,551,528 | ||||||
12,317,525 |
The accompanying notes are an integral part of the financial statements.
98
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Iron & Steel — 0.4% | ||||||||
Vale Overseas Ltd. | ||||||||
6.250% 8/10/26 | $ | 2,400,000 | $ | 2,778,024 | ||||
6.875% 11/21/36 | 1,030,000 | 1,368,623 | ||||||
4,146,647 | ||||||||
Lodging — 0.2% | ||||||||
Las Vegas Sands Corp. | ||||||||
3.200% 8/08/24 | 2,070,000 | 2,107,860 | ||||||
Machinery – Construction & Mining — 0.2% | ||||||||
The Weir Group PLC | ||||||||
2.200% 5/13/26 (a) | 1,540,000 | 1,519,329 | ||||||
Media — 1.0% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
3.900% 6/01/52 | 765,000 | 769,890 | ||||||
6.484% 10/23/45 | 1,485,000 | 2,033,581 | ||||||
Comcast Corp. | ||||||||
2.887% 11/01/51 (a) | 350,000 | 339,839 | ||||||
2.937% 11/01/56 (a) | 1,184,000 | 1,132,754 | ||||||
3.969% 11/01/47 | 630,000 | 727,917 | ||||||
Discovery Communications LLC | ||||||||
4.000% 9/15/55 | 1,210,000 | 1,272,834 | ||||||
4.650% 5/15/50 | 490,000 | 576,777 | ||||||
Time Warner Cable, Inc. | ||||||||
6.750% 6/15/39 | 985,000 | 1,345,020 | ||||||
ViacomCBS, Inc. | ||||||||
4.200% 5/19/32 | 872,000 | 984,720 | ||||||
4.950% 1/15/31 | 1,008,000 | 1,201,971 | ||||||
10,385,303 | ||||||||
Metal Fabricate & Hardware — 0.2% | ||||||||
The Timken Co. | ||||||||
4.500% 12/15/28 (c) | 2,055,000 | 2,292,212 | ||||||
Mining — 0.6% | ||||||||
Glencore Finance Canada Ltd. | ||||||||
5.550% STEP 10/25/42 (a) | 894,000 | 1,137,901 | ||||||
Glencore Funding LLC | ||||||||
2.625% 9/23/31 (a) | 2,685,000 | 2,612,529 | ||||||
3.875% 10/27/27 (a) | 975,000 | 1,047,618 | ||||||
Teck Resources Ltd. | ||||||||
6.000% 8/15/40 | 850,000 | 1,089,742 | ||||||
5,887,790 | ||||||||
Oil & Gas — 1.9% | ||||||||
BP Capital Markets PLC 5 year CMT + 4.036% | ||||||||
4.375% VRN (b) | 2,400,000 | 2,502,000 | ||||||
Cenovus Energy, Inc. | ||||||||
6.750% 11/15/39 | 765,000 | 1,040,323 |
Principal | Value | |||||||
Devon Energy Corp. | ||||||||
5.600% 7/15/41 | $ | 800,000 | $ | 1,005,950 | ||||
EQT Corp. | ||||||||
3.900% 10/01/27 | 2,160,000 | 2,319,322 | ||||||
Marathon Petroleum Corp. | ||||||||
6.500% 3/01/41 | 1,120,000 | 1,543,537 | ||||||
Occidental Petroleum Corp. | ||||||||
6.600% 3/15/46 | 1,258,000 | 1,632,255 | ||||||
Ovintiv Exploration, Inc. | ||||||||
5.375% 1/01/26 | 1,650,000 | 1,828,427 | ||||||
5.625% 7/01/24 | 975,000 | 1,073,465 | ||||||
Ovintiv, Inc. | ||||||||
6.500% 2/01/38 | 545,000 | 708,285 | ||||||
Patterson-UTI Energy, Inc. | ||||||||
3.950% 2/01/28 (c) | 2,580,000 | 2,593,302 | ||||||
Petroleos Mexicanos | ||||||||
5.350% 2/12/28 | 665,000 | 661,010 | ||||||
6.375% 1/23/45 | 595,000 | 516,758 | ||||||
6.500% 3/13/27 | 585,000 | 624,101 | ||||||
6.625% 6/15/35 | 140,000 | 134,511 | ||||||
Santos Finance Ltd. | ||||||||
3.649% 4/29/31 (a) | 1,490,000 | 1,518,102 | ||||||
19,701,348 | ||||||||
Oil & Gas Services — 0.6% | ||||||||
Halliburton Co. | ||||||||
5.000% 11/15/45 | 1,000,000 | 1,198,308 | ||||||
NOV, Inc. | ||||||||
3.600% 12/01/29 (c) | 3,123,000 | 3,228,796 | ||||||
3.950% 12/01/42 | 1,506,000 | 1,479,643 | ||||||
5,906,747 | ||||||||
Pharmaceuticals — 0.9% | ||||||||
AbbVie, Inc. | ||||||||
4.700% 5/14/45 | 1,260,000 | 1,567,999 | ||||||
Bristol-Myers Squibb Co. | ||||||||
4.350% 11/15/47 | 830,000 | 1,025,798 | ||||||
Cigna Corp. | ||||||||
4.800% 7/15/46 | 880,000 | 1,114,136 | ||||||
CVS Health Corp. | ||||||||
5.050% 3/25/48 | 455,000 | 596,823 | ||||||
6.125% 9/15/39 | 560,000 | 777,132 | ||||||
CVS Pass-Through Trust | ||||||||
5.926% 1/10/34 (a) | 981,808 | 1,166,028 | ||||||
7.507% 1/10/32 (a) | 828,082 | 1,026,089 | ||||||
Utah Acquisition Sub, Inc. | ||||||||
5.250% 6/15/46 | 1,375,000 | 1,689,584 | ||||||
8,963,589 |
The accompanying notes are an integral part of the financial statements.
99
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Pipelines — 1.6% | ||||||||
Energy Transfer LP | ||||||||
4.200% 4/15/27 | $ | 885,000 | $ | 960,329 | ||||
6.125% 12/15/45 | 1,000,000 | 1,247,330 | ||||||
3 mo. USD LIBOR + 4.028% 6.250% VRN (b) | 2,370,000 | 2,059,080 | ||||||
EnLink Midstream Partners LP | ||||||||
4.150% 6/01/25 | 2,924,000 | 3,033,650 | ||||||
4.850% 7/15/26 | 951,000 | 1,000,927 | ||||||
Enterprise Products Operating LLC 3 mo. USD LIBOR + 3.033% | ||||||||
5.250% VRN 8/16/77 | 1,775,000 | 1,813,338 | ||||||
MPLX LP 3 mo. USD LIBOR + 4.652% | ||||||||
6.875% VRN (b) | 1,775,000 | 1,779,437 | ||||||
Plains All American Pipeline LP 3 mo. USD LIBOR + 4.110% | ||||||||
6.125% VRN (b) | 2,345,000 | 1,990,319 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||
3.800% 9/15/30 | 1,150,000 | 1,202,074 | ||||||
4.700% 6/15/44 | 1,195,000 | 1,274,284 | ||||||
6.650% 1/15/37 | 375,000 | 482,474 | ||||||
16,843,242 | ||||||||
Private Equity — 1.1% | ||||||||
Apollo Management Holdings LP 5 year CMT + 3.266% | ||||||||
4.950% VRN 1/14/50 (a) | 1,505,000 | 1,544,165 | ||||||
Carlyle Finance Subsidiary LLC | ||||||||
3.500% 9/19/29 (a) | 1,100,000 | 1,175,991 | ||||||
Hercules Capital, Inc. | ||||||||
4.625% 10/23/22 | 2,910,000 | 2,966,361 | ||||||
2.625% 9/16/26 | 3,284,000 | 3,256,788 | ||||||
KKR Group Finance Co. VIII LLC | ||||||||
3.500% 8/25/50 (a) | 710,000 | 745,732 | ||||||
KKR Group Finance Co. X LLC | ||||||||
3.250% 12/15/51 (a) | 1,035,000 | 1,035,441 | ||||||
10,724,478 | ||||||||
Real Estate Investment Trusts (REITS) — 2.2% | ||||||||
Broadstone Net Lease LLC | ||||||||
2.600% 9/15/31 | 1,835,000 | 1,782,883 | ||||||
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP | ||||||||
3.750% 12/15/27 (a) | 1,275,000 | 1,246,052 | ||||||
Host Hotels & Resorts LP | ||||||||
2.900% 12/15/31 | 580,000 | 560,220 | ||||||
3.500% 9/15/30 | 2,120,000 | 2,178,451 | ||||||
Kimco Realty Corp. | ||||||||
4.125% 12/01/46 | 710,000 | 802,346 |
Principal | Value | |||||||
4.450% 9/01/47 | $ | 800,000 | $ | 955,406 | ||||
Omega Healthcare Investors, Inc. | ||||||||
3.375% 2/01/31 | 1,625,000 | 1,638,487 | ||||||
Piedmont Operating Partnership LP | ||||||||
2.750% 4/01/32 | 1,035,000 | 1,013,212 | ||||||
Service Properties Trust | ||||||||
4.500% 6/15/23 | 760,000 | 759,628 | ||||||
4.950% 10/01/29 | 1,155,000 | 1,097,250 | ||||||
Spirit Realty LP | ||||||||
2.700% 2/15/32 | 550,000 | 544,842 | ||||||
3.200% 1/15/27 | 2,280,000 | 2,384,660 | ||||||
3.400% 1/15/30 | 515,000 | 542,122 | ||||||
4.000% 7/15/29 | 1,290,000 | 1,418,296 | ||||||
4.450% 9/15/26 | 133,000 | 146,389 | ||||||
STORE Capital Corp. | ||||||||
4.625% 3/15/29 | 1,881,000 | 2,108,994 | ||||||
WEA Finance LLC | ||||||||
2.875% 1/15/27 (a) (c) | 2,420,000 | 2,491,932 | ||||||
WP Carey, Inc. | ||||||||
2.450% 2/01/32 | 596,000 | 581,914 | ||||||
22,253,084 | ||||||||
Software — 0.3% | ||||||||
Microsoft Corp. | ||||||||
2.921% 3/17/52 | 2,064,000 | 2,200,288 | ||||||
MSCI, Inc. | ||||||||
3.625% 11/01/31 (a) | 1,013,000 | 1,050,987 | ||||||
3,251,275 | ||||||||
Telecommunications — 1.2% | ||||||||
AT&T, Inc. | ||||||||
3.500% 9/15/53 | 328,000 | 332,208 | ||||||
3.550% 9/15/55 | 5,153,000 | 5,192,376 | ||||||
Crown Castle Towers LLC | ||||||||
4.241% 7/15/48 (a) | 2,750,000 | 3,000,499 | ||||||
Verizon Communications, Inc. | ||||||||
2.875% 11/20/50 | 755,000 | 719,243 | ||||||
2.987% 10/30/56 | 2,292,000 | 2,179,027 | ||||||
Vodafone Group PLC | ||||||||
5.250% 5/30/48 | 476,000 | 622,001 | ||||||
12,045,354 | ||||||||
Transportation — 0.2% | ||||||||
CSX Corp. | ||||||||
4.750% 11/15/48 | 650,000 | 839,151 | ||||||
Norfolk Southern Corp. | ||||||||
4.050% 8/15/52 | 860,000 | 1,037,533 | ||||||
1,876,684 | ||||||||
TOTAL CORPORATE DEBT (Cost $340,608,679) | 355,326,688 |
The accompanying notes are an integral part of the financial statements.
100
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 26.5% | ||||||||
Automobile Asset-Backed Securities — 0.5% | ||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class C | ||||||||
4.530% 3/20/23 (a) | $ | 635,500 | $ | 638,791 | ||||
Santander Revolving Auto Loan Trust, Series 2019-A, Class D | ||||||||
3.450% 1/26/32 (a) | 1,087,000 | 1,112,522 | ||||||
Westlake Automobile Receivables Trust, Series 2021-1A, Class E | ||||||||
2.330% 8/17/26 (a) | 3,226,000 | 3,201,916 | ||||||
4,953,229 | ||||||||
Commercial Mortgage-Backed Securities — 8.8% | ||||||||
Aventura Mall Trust, Series 2018-AVM, Class C, | ||||||||
4.112% VRN 7/05/40 (a) (d) | 4,270,000 | 4,535,558 | ||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class C, 1 mo. USD LIBOR + 1.350% | ||||||||
1.460% FRN 9/15/34 (a) | 670,000 | 661,635 | ||||||
BANK, Series 2020-BN30, Class MCDF, | ||||||||
2.918% VRN 12/15/53 (d) | 2,100,000 | 1,944,405 | ||||||
BBCMS Mortgage Trust | ||||||||
Series 2018-CHRS, Class B, 4.267% VRN 8/05/38 (a) (d) | 2,250,000 | 2,400,687 | ||||||
Series 2018-CHRS, Class C, 4.267% VRN 8/05/38 (a) (d) | 1,610,000 | 1,655,594 | ||||||
Series 2018-CHRS, Class D, 4.267% VRN 8/05/38 (a) (d) | 1,370,000 | 1,344,426 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM, | ||||||||
5.430% VRN 1/12/45 (d) | 347,039 | 343,617 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2021-B23, Class 360A, 2.760% VRN 2/15/54 (a) (d) | 2,200,000 | 2,187,547 | ||||||
Series 2021-B23, Class 360B, 2.760% VRN 2/15/54 (a) (d) | 3,587,000 | 3,474,045 | ||||||
Series 2021-B25, Class 300C, 2.994% VRN 4/15/54 (a) (d) | 2,500,000 | 2,387,680 | ||||||
BGME Trust | ||||||||
Series 2021-VR, Class C, 2.995% VRN 1/10/43 (a) (d) | 12,518,000 | 12,298,242 | ||||||
Series 2021-VR, Class D, 2.995% VRN 1/10/43 (a) (d) | 2,800,000 | 2,700,546 | ||||||
BHMS Mortgage Trust, Series 2018-ATLS, Class B, 1 mo. USD LIBOR + 1.500% | ||||||||
1.610% FRN 7/15/35 (a) | 2,760,000 | 2,749,675 |
Principal | Value | |||||||
BX Commercial Mortgage Trust | ||||||||
Series 2020-BXLP, Class E, 1 mo. USD LIBOR + 1.600% 1.710% FRN 12/15/36 (a) | $ | 3,437,864 | $ | 3,422,829 | ||||
Series 2018-IND, Class E, 1 mo. USD LIBOR + 1.700% 1.810% FRN 11/15/35 (a) | 317,787 | 317,700 | ||||||
Series 2019-XL, Class E, 1 mo. USD LIBOR + 1.800% 1.910% FRN 10/15/36 (a) | 1,469,650 | 1,466,950 | ||||||
Series 2021-SOAR, Class E, 1 mo. USD LIBOR + 1.800% 1.910% FRN 6/15/38 (a) | 1,900,000 | 1,889,335 | ||||||
Series 2021-VOLT, Class E, 1 mo. USD LIBOR + 2.000% 2.110% FRN 9/15/36 (a) | 4,999,000 | 4,955,265 | ||||||
Series 2019-XL, Class F, 1 mo. USD LIBOR + 2.000% 2.110% FRN 10/15/36 (a) | 1,774,800 | 1,764,894 | ||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, 1 mo. USD LIBOR + 1.750% | ||||||||
1.860% FRN 12/15/37 (a) | 898,516 | 897,431 | ||||||
Cold Storage Trust, Series 2020-ICE5, Class D, 1 mo. USD LIBOR + 2.100% | ||||||||
2.210% FRN 11/15/37 (a) | 3,440,467 | 3,424,346 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
Series 2012-CR4, Class B, 3.703% 10/15/45 (a) | 1,060,000 | 940,754 | ||||||
Series 2014-UBS2, Class AM, 4.199% 3/10/47 | 1,375,000 | 1,432,452 | ||||||
Series 2015-CR23, Class C, 4.286% VRN 5/10/48 (d) | 1,000,000 | 1,043,937 | ||||||
Series 2014-LC17, Class C, 4.558% VRN 10/10/47 (d) | 2,908,000 | 3,030,517 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, 1 mo. USD LIBOR + 2.150% | ||||||||
2.260% FRN 5/15/36 (a) | 570,000 | 567,153 | ||||||
DROP Mortgage Trust | ||||||||
Series 2021-FILE, Class C, 1 mo. USD LIBOR + 2.250% 2.360% FRN 4/15/26 (a) | 2,629,000 | 2,627,360 | ||||||
Series 2021-FILE, Class D, 1 mo. USD LIBOR + 2.750% 2.860% FRN 4/15/26 (a) | 908,000 | 907,432 | ||||||
Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD LIBOR + 2.250% | ||||||||
2.360% FRN 7/15/38 (a) | 1,989,649 | 1,989,650 |
The accompanying notes are an integral part of the financial statements.
101
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
KIND Trust, Series 2021-KIND, Class C, 1 mo. USD LIBOR + 1.750% | ||||||||
1.860% FRN 8/15/38 (a) | $ | 2,600,000 | $ | 2,583,758 | ||||
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, 1 mo. USD LIBOR + 1.800% | ||||||||
1.910% FRN 5/15/36 (a) | 1,505,000 | 1,498,428 | ||||||
Life Mortgage Trust, Series 2021-BMR, Class E, 1 mo. USD LIBOR + 1.750% | ||||||||
1.860% FRN 3/15/38 (a) | 1,935,000 | 1,913,237 | ||||||
MFT Trust | ||||||||
Series 2020-ABC, Class A, 3.358% 2/10/42 (a) | 919,000 | 920,775 | ||||||
Series 2020-ABC, Class B, 3.477% VRN 2/10/42 (a) (d) | 2,253,000 | 2,229,855 | ||||||
MHC Commercial Mortgage Trust | ||||||||
Series 2021-MHC, Class D, 1 mo. USD LIBOR + 1.601% 1.711% FRN 4/15/38 (a) | 1,600,000 | 1,597,000 | ||||||
Series 2021-MHC, Class E, 1 mo. USD LIBOR + 2.101% 2.211% FRN 4/15/38 (a) | 4,000,000 | 3,993,746 | ||||||
MKT Mortgage Trust | ||||||||
Series 2020-525M, Class D, 2.941% VRN 2/12/40 (a) (d) | 475,000 | 459,946 | ||||||
Series 2020-525M, Class E, 2.941% VRN 2/12/40 (a) (d) | 976,000 | 909,047 | ||||||
VASA Trust, Series 2021-VASA, Class D, 1 mo. USD LIBOR + 2.100% | ||||||||
2.210% FRN 7/15/39 (a) | 3,761,000 | 3,751,333 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2018-C45, Class B | ||||||||
4.556% 6/16/51 | 400,000 | 436,302 | ||||||
89,655,089 | ||||||||
Other Asset-Backed Securities — 11.6% | ||||||||
AASET Trust | ||||||||
Series 2020-1A, Class A, 3.351% 1/16/40 (a) | 1,268,556 | 1,190,530 | ||||||
Series 2021-2A, Class B, 3.538% 1/15/47 (a) | 1,072,000 | 1,071,955 | ||||||
Adams Outdoor Advertising LP, Series 2018-1, Class A | ||||||||
4.810% 11/15/48 (a) | 1,829,228 | 1,886,263 | ||||||
Anchorage Capital CLO Ltd., Series 2021-19A, Class A, 3 mo. USD LIBOR + 1.210% | ||||||||
1.375% FRN 10/15/34 (a) | 2,000,000 | 2,002,470 |
Principal | Value | |||||||
ASSURANT CLO Ltd., Series 2018-3A, Class CR, 3 mo. USD LIBOR + 2.050% | ||||||||
2.182% FRN 10/20/31 (a) | $ | 950,000 | $ | 947,294 | ||||
Atrium XV, Series 15A, Class B, 3 mo. USD LIBOR + 1.750% | ||||||||
1.874% FRN 1/23/31 (a) | 1,190,000 | 1,182,290 | ||||||
Avery Point VII CLO Ltd., Series 2015-7A, Class DR, 3 mo. USD LIBOR + 3.600% | ||||||||
3.724% FRN 1/15/28 (a) | 1,000,000 | 1,000,226 | ||||||
Ballyrock CLO Ltd., Series 2019-2A, Class CR, 3 mo. USD LIBOR + 3.150% | ||||||||
3.310% FRN 11/20/30 (a) | 400,000 | 394,112 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A | ||||||||
2.940% 5/25/29 (a) | 332,411 | 337,351 | ||||||
Business Jet Securities LLC | ||||||||
Series 2021-1A, Class A, 2.162% 4/15/36 (a) | 1,432,701 | 1,406,886 | ||||||
Series 2020-1A, Class A, 2.981% 11/15/35 (a) | 541,631 | 540,935 | ||||||
Series 2021-1A, Class C, 5.067% 4/15/36 (a) | 981,439 | 971,593 | ||||||
Canyon Capital CLO Ltd., Series 2019-2A, Class CR, 3 mo. USD LIBOR + 2.150% | ||||||||
2.274% FRN 10/15/34 (a) | 700,000 | 699,997 | ||||||
Capital Automotive REIT | ||||||||
Series 2020-1A, Class A3, 3.250% 2/15/50 (a) | 458,460 | 468,894 | ||||||
Series 2020-1A, Class A6, 3.810% 2/15/50 (a) | 396,839 | 422,143 | ||||||
Series 2017-1A, Class A2, 4.180% 4/15/47 (a) | 904,478 | 936,300 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2015-3A, Class CR, 3 mo. USD LIBOR + 2.850% | ||||||||
2.986% FRN 7/28/28 (a) | 330,000 | 327,341 | ||||||
Castlelake Aircraft Securitization Trust, Series 2019-1A, Class A | ||||||||
3.967% 4/15/39 (a) | 462,215 | 455,651 | ||||||
CBAM Ltd., Series 2018-6A, Class B1R, 3 mo. USD LIBOR + 2.100% | ||||||||
2.224% FRN 1/15/31 (a) | 900,000 | 900,221 | ||||||
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, 3 mo. USD LIBOR + .980% | ||||||||
1.112% FRN 4/20/31 (a) | 750,000 | 748,519 | ||||||
CF Hippolyta LLC, Series 2020-1, Class B1 | ||||||||
2.280% 7/15/60 (a) | 503,515 | 502,740 |
The accompanying notes are an integral part of the financial statements.
102
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
CIFC Funding Ltd., Series 2017-5A, Class A1, 3 mo. USD LIBOR + 1.180% | ||||||||
1.302% FRN 11/16/30 (a) | $ | 2,330,000 | $ | 2,329,995 | ||||
Clear Creek CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.200% | ||||||||
1.332% FRN 10/20/30 (a) | 2,040,000 | 2,040,302 | ||||||
Diameter Capital CLO Ltd., Series 2021-2A, Class A1, 3 mo. USD LIBOR + 1.220% | ||||||||
1.343% FRN 10/15/36 (a) | 2,000,000 | 2,000,694 | ||||||
Eaton Vance CLO Ltd. | ||||||||
Series 2018-1A, Class B, 3 mo. USD LIBOR + 1.750% 1.874% FRN 10/15/30 (a) | 1,700,000 | 1,700,734 | ||||||
Series 2020-1A, Class CR, 3 mo. USD LIBOR + 2.050% 2.174% FRN 10/15/34 (a) | 350,000 | 348,620 | ||||||
Elmwood CLO II Ltd., Series 2019-2A, Class AR, 3 mo. USD LIBOR + 1.150% | ||||||||
1.282% FRN 4/20/34 (a) | 2,800,000 | 2,800,358 | ||||||
Elmwood CLO III Ltd., Series 2019-3A, Class BR, 3 mo. USD LIBOR + 1.650% | ||||||||
1.774% FRN 10/20/34 (a) | 350,000 | 348,678 | ||||||
FCI Funding LLC, Series 2019-1A, Class A | ||||||||
3.630% 2/18/31 (a) | 82,995 | 83,322 | ||||||
Flexential Issuer | ||||||||
Series 2021-1A, Class B, 3.720% 11/27/51 (a) | 4,000,000 | 3,998,031 | ||||||
Series 2021-1A, Class C, 6.930% 11/27/51 (a) | 4,000,000 | 3,902,188 | ||||||
Goldentree Loan Management US CLO Ltd., Series 2019-5A, Class CR, 3 mo. USD LIBOR + 2.050% | ||||||||
2.182% FRN 10/20/32 (a) | 1,000,000 | 999,994 | ||||||
Goodgreen Trust | ||||||||
Series 2019-2A, Class A, 2.760% 4/15/55 (a) | 2,108,910 | 2,117,714 | ||||||
Series 2016-1A, Class A, 3.230% 10/15/52 (a) | 1,151,138 | 1,180,659 | ||||||
Series 2017-1A, Class A, 3.740% 10/15/52 (a) | 553,317 | 572,648 | ||||||
Series 2019-1A, Class A, 3.860% 10/15/54 (a) | 941,623 | 980,411 | ||||||
Gulf Stream Meridian 1 Ltd., Series 2021-6A, Class A2, 3 mo. USD LIBOR + 1.750% | ||||||||
1.871% FRN 1/15/37 (a) | 500,000 | 499,023 |
Principal | Value | |||||||
Harbor Park CLO Ltd., Series 2018-1A, Class B1, 3 mo. USD LIBOR + 1.700% | ||||||||
1.832% FRN 1/20/31 (a) | $ | 1,290,000 | $ | 1,290,124 | ||||
Hero Funding Trust | ||||||||
Series 2016-3A, Class A1, 3.080% 9/20/42 (a) | 529,669 | 542,432 | ||||||
Series 2017-3A, Class A1, 3.190% 9/20/48 (a) | 586,325 | 599,997 | ||||||
Series 2017-2A, Class A1, 3.280% 9/20/48 (a) | 171,237 | 175,462 | ||||||
Series 2016-4A, Class A1, 3.570% 9/20/47 (a) | 683,120 | 706,660 | ||||||
Series 2017-2A, Class A2, 4.070% 9/20/48 (a) | 137,662 | 142,590 | ||||||
Series 2018-1A, Class A2, 4.670% 9/20/48 (a) | 1,021,156 | 1,072,380 | ||||||
Horizon Aircraft Finance I Ltd., Series 2018-1, Class A | ||||||||
4.458% 12/15/38 (a) | 850,676 | 825,245 | ||||||
Horizon Aircraft Finance II Ltd, Series 2019-1, Class A | ||||||||
3.721% 7/15/39 (a) | 1,223,880 | 1,199,188 | ||||||
Horizon Aircraft Finance III Ltd., Series 2019-2, Class A | ||||||||
3.425% 11/15/39 (a) | 2,733,463 | 2,676,644 | ||||||
HPS Loan Management Ltd., Series 15A-19, Class A1, 3 mo. USD LIBOR + 1.320% | ||||||||
1.448% FRN 7/22/32 (a) | 1,300,000 | 1,300,855 | ||||||
KKR CLO Ltd. | ||||||||
Series 28A, Class A, 3 mo. USD LIBOR + 1.140% 1.343% FRN 3/15/31 (a) | 900,000 | 899,502 | ||||||
Series 36A, Class C, 3 mo. USD LIBOR + 2.150% 2.265% FRN 10/15/34 (a) | 500,000 | 498,016 | ||||||
KREF Ltd. | ||||||||
Series 2021-FL2, Class B, 1 mo. USD LIBOR + 1.650% 1.759% FRN 2/15/39 (a) | 2,900,000 | 2,895,378 | ||||||
Series 2021-FL2, Class C, 1 mo. USD LIBOR + 2.000% 2.109% FRN 2/15/39 (a) | 5,000,000 | 4,989,192 | ||||||
Series 2021-FL2, Class D, 1 mo. USD LIBOR + 2.200% 2.309% FRN 2/15/39 (a) | 2,700,000 | 2,690,925 | ||||||
Labrador Aviation Finance Ltd., Series 2016-1A, Class A1 | ||||||||
4.300% 1/15/42 (a) | 1,982,638 | 1,937,597 | ||||||
MACH 1 Cayman Ltd., Series 2019-1, Class A | ||||||||
3.474% 10/15/39 (a) | 1,724,198 | 1,687,202 |
The accompanying notes are an integral part of the financial statements.
103
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Madison Park Funding Ltd. | ||||||||
Series 2018-28A, Class B, 3 mo. USD LIBOR + 1.600% 1.724% FRN 7/15/30 (a) | $ | 1,665,000 | $ | 1,664,993 | ||||
Series 2018-32A, Class CR, 3 mo. USD LIBOR + 2.000% 2.128% FRN 1/22/31 (a) | 1,000,000 | 998,229 | ||||||
Series 2018-29A, Class C, 3 mo. USD LIBOR + 2.200% 2.322% FRN 10/18/30 (a) | 620,000 | 619,999 | ||||||
Mariner Finance Issuance Trust | ||||||||
Series 2021-AA, Class B, 2.330% 3/20/36 (a) | 1,336,000 | 1,334,273 | ||||||
Series 2021-AA, Class C, 2.960% 3/20/36 (a) | 637,000 | 641,188 | ||||||
Mosaic Solar Loans LLC | ||||||||
Series 2018-1A, Class A, 4.010% 6/22/43 (a) | 211,069 | 218,241 | ||||||
Series 2017-1A, Class A, 4.450% 6/20/42 (a) | 207,593 | 217,258 | ||||||
MVW Owner Trust, Series 2017-1A, Class A | ||||||||
2.420% 12/20/34 (a) | 97,411 | 99,035 | ||||||
Neuberger Berman CLO Ltd., Series 2015-20A, Class BRR, 3 mo. USD LIBOR + 1.650% | ||||||||
1.774% FRN 7/15/34 (a) | 1,800,000 | 1,796,089 | ||||||
NP SPE LLC, Series 2017-1A, Class A2 | ||||||||
4.219% 10/21/47 (a) | 2,260,000 | 2,341,164 | ||||||
Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A5 | ||||||||
3.390% 11/20/50 (a) | 1,200,000 | 1,228,523 | ||||||
OCP CLO Ltd., Series 2018-15A, Class A1, 3 mo. USD LIBOR + 1.100% | ||||||||
1.232% FRN 7/20/31 (a) | 250,000 | 250,004 | ||||||
Oxford Finance Funding Trust, Series 2020-1A, Class A2 | ||||||||
3.101% 2/15/28 (a) | 1,536,000 | 1,552,615 | ||||||
Parallel Ltd., Series 2021-2A, Class A2, 3 mo. USD LIBOR + 1.850% | ||||||||
1.969% FRN 10/20/34 (a) | 450,000 | 449,343 | ||||||
Pioneer Aircraft Finance Ltd., Series 2019-1, Class A | ||||||||
3.967% 6/15/44 (a) | 1,432,471 | 1,417,742 | ||||||
Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2 | ||||||||
3.858% 12/05/49 (a) | 2,275,560 | 2,335,313 |
Principal | Value | |||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A, 1 mo. USD LIBOR + 2.850% | ||||||||
2.952% FRN 2/25/23 (a) | $ | 1,270,000 | $ | 1,273,206 | ||||
Rad CLO 12 Ltd., Series 2021-12A, Class A, 3 mo. USD LIBOR + 1.170% | ||||||||
1.311% FRN 10/30/34 (a) | 1,000,000 | 1,000,611 | ||||||
Rockford Tower CLO Ltd., Series 2019-1A, Class B1R, 3 mo. USD LIBOR + 1.550% | ||||||||
1.682% FRN 4/20/34 (a) | 1,500,000 | 1,484,409 | ||||||
RRAM., Series 2018-3A, Class A1R2, 3 mo. USD LIBOR + 1.090% | ||||||||
1.214% FRN 1/15/30 (a) | 2,450,000 | 2,450,056 | ||||||
Sierra Receivables Funding LLC | ||||||||
Series 2020-2A, Class B, 2.320% 7/20/37 (a) | 518,094 | 520,747 | ||||||
Series 2021-1A, Class D, 3.170% 11/20/37 (a) | 1,044,125 | 1,040,432 | ||||||
Series 2018-3A, Class D, 5.200% 9/20/35 (a) | 428,449 | 439,764 | ||||||
Steele Creek CLO Ltd., Series 2018-2A, Class C, 3 mo. USD LIBOR + 2.300% | ||||||||
2.460% FRN 8/18/31 (a) | 1,170,000 | 1,149,368 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-GEL1, Class M2, 1 mo. USD LIBOR + 1.200% | ||||||||
1.302% FRN 11/25/35 (a) | 1,813,347 | 1,780,581 | ||||||
Structured Receivables Finance LLC, Series 2010-B, Class A | ||||||||
3.730% 8/15/36 (a) | 99,450 | 102,143 | ||||||
Helios II Issuer LLC, Series 2018-1A, Class A | ||||||||
4.870% 7/20/48 (a) | 418,068 | 443,241 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A | ||||||||
4.190% 1/15/71 (a) | 1,838,501 | 2,018,046 | ||||||
Thrust Engine Leasing | ||||||||
Series 2021-1A, Class A, 4.163% 7/15/40 (a) | 2,666,065 | 2,670,164 | ||||||
Series 2021-1A, Class B, 6.121% 7/15/40 (a) | 1,273,787 | 1,266,415 | ||||||
Series 2021-1A, Class C, 7.386% 7/15/40 (a) | 985,451 | 977,801 | ||||||
TICP CLO XIV Ltd., Series 2019-14A, Class A2R, 3 mo. USD LIBOR + 1.650% | ||||||||
1.791% FRN 10/20/32 (a) | 1,000,000 | 997,805 |
The accompanying notes are an integral part of the financial statements.
104
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Vivint Solar Financing V LLC, Series 2018-1A, Class B | ||||||||
7.370% 4/30/48 (a) | $ | 2,284,611 | $ | 2,389,974 | ||||
WAVE LLC | ||||||||
Series 2019-1A, Class A, 3.597% 9/15/44 (a) | 3,611,503 | 3,522,145 | ||||||
Series 2017-1A, Class A, 3.844% 11/15/42 (a) | 363,473 | 353,493 | ||||||
Series 2017-1A, Class C, 6.656% 11/15/42 (a) | 2,002,853 | 1,101,742 | ||||||
Willis Engine Structured Trust IV, Series 2018-A, Class A, | ||||||||
4.750% STEP 9/15/43 (a) | 1,083,525 | 1,061,763 | ||||||
Wind River CLO Ltd. | ||||||||
Series 2018-2A, Class B, 3 mo. USD LIBOR + 1.750% 1.874% FRN 7/15/30 (a) | 1,150,000 | 1,150,007 | ||||||
Series 2016-2A, Class BR, 3 mo. USD LIBOR + 1.800% 1.932% FRN 11/01/31 (a) | 900,000 | 898,482 | ||||||
Zaxby’s Funding LLC, Series 2021-1A, Class A2 | ||||||||
3.238% 7/30/51 (a) | 872,813 | 885,241 | ||||||
118,568,116 | ||||||||
Student Loans Asset-Backed Securities — 2.9% | ||||||||
College Avenue Student Loans LLC | ||||||||
Series 2019-A, Class B, 3.810% 12/28/48 (a) | 1,663,340 | 1,691,242 | ||||||
Series 2019-A, Class C, 4.460% 12/28/48 (a) | 1,109,175 | 1,131,355 | ||||||
College Loan Corp. Trust I, Series 2007-1, Class B2, | ||||||||
1.627% FRN 1/25/47 (d) | 610,000 | 487,935 | ||||||
EdLinc Student Loan Funding, Series 2017-A, Class A, PRIME - 1.150% | ||||||||
2.100% FRN 12/01/47 (a) | 1,088,609 | 1,093,566 | ||||||
Education Services of America | ||||||||
Series 2014-4, Class B, 1 mo. USD LIBOR + 1.500% 1.603% FRN 6/25/48 (a) | 1,200,000 | 1,196,232 | ||||||
Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500% 1.603% FRN 10/25/56 (a) | 1,100,000 | 1,098,569 | ||||||
Educational Funding of the South, Inc., Series 2011-1, Class B, 3 mo. USD LIBOR + 3.700% | ||||||||
3.824% FRN 4/25/46 | 625,000 | 645,350 | ||||||
EDvestinU Private Education Loan Issue No 1 LLC, Series 2019-A, Class A | ||||||||
3.580% 11/25/38 (a) | 890,518 | 912,826 |
Principal | Value | |||||||
Higher Education Funding I | ||||||||
Series 2004-1, Class B2, 0.000% FRN 1/01/44 (a) (d) | $ | 450,000 | $ | 392,008 | ||||
Series 2004-1, Class B1, 1.796% FRN 1/01/44 (a) (d) | 450,000 | 403,263 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-B, Class BFX | ||||||||
3.020% 8/25/42 (a) | 547,785 | 554,561 | ||||||
Navient Private Education Refi Loan Trust, Series 2019-A, Class B | ||||||||
3.900% 1/15/43 (a) | 1,190,000 | 1,234,951 | ||||||
Navient Student Loan Trust | ||||||||
Series 2021-2A, Class B, 1 mo. USD LIBOR + 1.350% 1.452% FRN 2/25/70 (a) | 2,330,000 | 2,339,874 | ||||||
Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500% 1.603% FRN 10/25/58 | 940,000 | 946,599 | ||||||
Series 2016-2, Class A3, 1 mo. USD LIBOR + 1.500% 1.603% FRN 6/25/65 (a) | 2,370,000 | 2,441,920 | ||||||
Nelnet Student Loan Trust | ||||||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% 0.461% FRN 6/25/41 | 503,553 | 465,400 | ||||||
Series 2005-4, Class A4A, 1.145% FRN 3/22/32 (d) | 225,000 | 221,862 | ||||||
Series 2019-1A, Class B, 1 mo. USD LIBOR + 1.400% 1.503% FRN 4/25/67 (a) | 3,250,000 | 3,249,999 | ||||||
Series 2019-5, Class B, 3.450% 10/25/67 (a) | 2,150,000 | 2,186,975 | ||||||
SLM Student Loan Trust | ||||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% 0.334% FRN 10/25/40 | 1,667,068 | 1,566,400 | ||||||
Series 2005-6, Class B, 3 mo. USD LIBOR + .290% 0.414% FRN 1/25/44 | 1,667,332 | 1,570,932 | ||||||
SoFi Alternative Trust, Series 2019-C, Class PT, | ||||||||
5.431% VRN 1/25/45 (a) (d) | 2,671,399 | 2,819,875 | ||||||
SoFi Professional Loan Program LLC, Series 2017-C, Class C, | ||||||||
4.210% VRN 7/25/40 (a) (d) | 990,000 | 1,002,564 | ||||||
29,654,258 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 2.7% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, | ||||||||
2.499% VRN 8/25/34 (d) | 11,273 | 11,112 |
The accompanying notes are an integral part of the financial statements.
105
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
CSMC, Series 2021-NQM3, Class M1, | ||||||||
2.317% VRN 4/25/66 (a) (d) | $ | 1,330,000 | $ | 1,321,869 | ||||
Flagstar Mortgage Trust, Series 2021-6INV, Class A18, | ||||||||
2.500% VRN 8/25/51 (a) (d) | 4,242,082 | 4,209,935 | ||||||
GS Mortgage-Backed Securities Trust | ||||||||
Series 2021-GR2, Class A2, 2.500% VRN 2/25/52 (a) (d) | 2,326,304 | 2,321,761 | ||||||
Series 2021-GR2, Class A4, 2.500% VRN 2/25/52 (a) (d) | 1,545,054 | 1,545,279 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, | ||||||||
3.469% VRN 1/25/47 (a) (d) | 674,055 | 684,470 | ||||||
New Residential Mortgage Loan Trust, Series 2021-INV1, Class A4, | ||||||||
2.500% VRN 6/25/51 (a) (d) | 2,738,263 | 2,712,378 | ||||||
NewRez Warehouse Securitization Trust, Series 2021-1, Class D, 1 mo. USD LIBOR + 1.400% | ||||||||
1.502% FRN 5/25/55 (a) | 2,606,000 | 2,606,616 | ||||||
NMLT Trust, Series 2021-INV1, Class M1, | ||||||||
2.711% VRN 5/25/56 (a) (d) | 5,400,000 | 5,353,161 | ||||||
PSMC Trust, Series 2018-2, Class A1, | ||||||||
3.500% VRN 6/25/48 (a) (d) | 126,888 | 127,074 | ||||||
Starwood Mortgage Residential Trust, Series 2021-3, Class M1, | ||||||||
2.491% VRN 6/25/56 (a) (d) | 2,448,000 | 2,441,346 | ||||||
Verus Securitization Trust | ||||||||
Series 2021-3, Class M1, 2.397% VRN 6/25/66 (a) (d) | 3,640,000 | 3,643,816 | ||||||
Series 2021-R3, Class M1, 2.411% VRN 4/25/64 (a) (d) | 1,147,000 | 1,148,279 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2019-1, Class A1, | ||||||||
3.978% VRN 11/25/48 (a) (d) | 155,987 | 156,398 | ||||||
28,283,494 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $270,793,409) | 271,114,186 | |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.8% | ||||||||
Colombia Government International Bond | ||||||||
6.125% 1/18/41 | 2,080,000 | 2,139,821 | ||||||
Mexico Government International Bond | ||||||||
4.500% 4/22/29 | 875,000 | 974,557 | ||||||
4.750% 3/08/44 | 3,727,000 | 4,057,808 |
Principal | Value | |||||||
6.750% 9/27/34 | $ | 685,000 | $ | 913,626 | ||||
8,085,812 | ||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $7,715,553) | 8,085,812 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (e) — 17.9% | ||||||||
Collateralized Mortgage Obligations — 0.0% | ||||||||
Federal Home Loan Mortgage Corp. Series 2178, Class PB 7.000% 8/15/29 | 21,526 | 23,873 | ||||||
Pass-Through Securities — 17.9% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #RA4245 2.000% 12/01/50 | 2,404,403 | 2,404,471 | ||||||
Pool #RA4255 2.000% 1/01/51 | 5,017,479 | 5,025,461 | ||||||
Pool #J13972 3.500% 1/01/26 | 15,282 | 16,116 | ||||||
Pool #C91344 3.500% 11/01/30 | 55,758 | 59,239 | ||||||
Pool #C91424 3.500% 1/01/32 | 32,654 | 34,774 | ||||||
Pool #RA2483 3.500% 6/01/50 | 5,208,600 | 5,486,638 | ||||||
Pool #C91239 4.500% 3/01/29 | 2,739 | 2,981 | ||||||
Pool #C91251 4.500% 6/01/29 | 17,788 | 19,388 | ||||||
Pool #C90939 5.500% 12/01/25 | 9,526 | 10,346 | ||||||
Pool #D97258 5.500% 4/01/27 | 5,247 | 5,708 | ||||||
Pool #C91026 5.500% 4/01/27 | 17,432 | 18,964 | ||||||
Pool #C91074 5.500% 8/01/27 | 1,835 | 1,997 | ||||||
Pool #D97417 5.500% 10/01/27 | 8,030 | 8,736 | ||||||
Pool #C91128 5.500% 12/01/27 | 1,029 | 1,121 | ||||||
Pool #C91148 5.500% 1/01/28 | 39,402 | 42,892 | ||||||
Pool #C91176 5.500% 5/01/28 | 15,187 | 16,532 | ||||||
Pool #C91217 5.500% 11/01/28 | 4,905 | 5,339 | ||||||
Federal National Mortgage Association | ||||||||
Pool #775539 12 mo. USD LIBOR + 1.641% 1.891% FRN 5/01/34 | 12,606 | 13,048 | ||||||
Pool #CB1757 2.500% 9/01/36 | 13,014,745 | 13,530,216 | ||||||
Pool #FM8596 2.500% 9/01/51 | 2,297,460 | 2,362,864 | ||||||
Pool #FM9104 2.500% 10/01/51 | 6,497,336 | 6,665,854 | ||||||
Pool #FM9227 2.500% 10/01/51 | 4,946,842 | 5,069,503 | ||||||
Pool #MA3029 3.000% 6/01/32 | 1,574,050 | 1,651,131 | ||||||
Pool #MA3090 3.000% 8/01/32 | 632,363 | 663,329 | ||||||
Pool #AO8180 3.000% 9/01/42 | 12,434 | 13,114 | ||||||
Pool #AP8668 3.000% 12/01/42 | 90,629 | 95,530 | ||||||
Pool #AR1975 3.000% 12/01/42 | 18,097 | 19,075 | ||||||
Pool #AB7397 3.000% 12/01/42 | 78,127 | 82,352 | ||||||
Pool #AB7401 3.000% 12/01/42 | 63,203 | 66,621 | ||||||
Pool #AR0306 3.000% 1/01/43 | 6,247 | 6,585 | ||||||
Pool #AR5391 3.000% 1/01/43 | 40,077 | 42,245 | ||||||
Pool #AL3215 3.000% 2/01/43 | 62,586 | 65,971 |
The accompanying notes are an integral part of the financial statements.
106
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Pool #AR4109 3.000% 2/01/43 | $ | 63,608 | $ | 67,047 | ||||
Pool #AR4432 3.000% 3/01/43 | 28,260 | 29,788 | ||||||
Pool #AT0169 3.000% 3/01/43 | 139,630 | 147,180 | ||||||
Pool #AB8809 3.000% 3/01/43 | 32,880 | 34,658 | ||||||
Pool #MA1368 3.000% 3/01/43 | 122,611 | 129,242 | ||||||
Pool #AR2174 3.000% 4/01/43 | 119,816 | 126,221 | ||||||
Pool #AS1304 3.500% 12/01/28 | 610,926 | 644,058 | ||||||
Pool #MA1356 3.500% 2/01/43 | 4,859,960 | 5,237,469 | ||||||
Pool #CA6096 3.500% 6/01/50 | 5,248,692 | 5,560,034 | ||||||
Pool #FM4017 3.500% 8/01/50 | 453,378 | 477,154 | ||||||
Pool #AA3980 4.500% 4/01/28 | 35,652 | 38,344 | ||||||
Pool #CA1909 4.500% 6/01/48 | 2,682,596 | 2,884,141 | ||||||
Pool #AD6437 5.000% 6/01/40 | 240,084 | 268,817 | ||||||
Pool #AD6996 5.000% 7/01/40 | 1,488,986 | 1,668,594 | ||||||
Pool #AL8173 5.000% 2/01/44 | 595,897 | 668,718 | ||||||
Pool #AD0836 5.500% 11/01/28 | 32,574 | 35,447 | ||||||
Government National Mortgage Association | ||||||||
Pool #371146 7.000% 9/15/23 | 11 | 11 | ||||||
Pool #352022 7.000% 11/15/23 | 1,074 | 1,117 | ||||||
Pool #374440 7.000% 11/15/23 | 97 | 100 | ||||||
Pool #491089 7.000% 12/15/28 | 4,742 | 5,071 | ||||||
Pool #480539 7.000% 4/15/29 | 90 | 100 | ||||||
Pool #488634 7.000% 5/15/29 | 1,674 | 1,868 | ||||||
Pool #500928 7.000% 5/15/29 | 2,733 | 3,079 | ||||||
Pool #499410 7.000% 7/15/29 | 988 | 1,117 | ||||||
Pool #510083 7.000% 7/15/29 | 652 | 730 | ||||||
Pool #493723 7.000% 8/15/29 | 2,012 | 2,276 | ||||||
Pool #581417 7.000% 7/15/32 | 3,853 | 4,305 | ||||||
Government National Mortgage Association II | ||||||||
Pool #008746 1 year CMT + 1.500% 2.125% FRN 11/20/25 | 1,552 | 1,568 | ||||||
Pool #080136 1 year CMT + 1.500% 2.125% FRN 11/20/27 | 446 | 453 | ||||||
Pool #MA6038 3.000% 7/20/49 | 2,922,207 | 3,039,168 | ||||||
Pool #MA6283 3.000% 11/20/49 | 5,163,023 | 5,352,730 | ||||||
Pool #MA6409 3.000% 1/20/50 | 5,311,367 | 5,501,131 | ||||||
Pool #MA4321 3.500% 3/20/47 | 3,167,161 | 3,332,113 | ||||||
Government National Mortgage Association II TBA | ||||||||
3.000% 7/20/49 (f) | 27,175,000 | 28,132,495 | ||||||
3.500% 1/21/52 (f) | 14,620,000 | 15,227,790 | ||||||
Uniform Mortgage Backed Securities TBA | ||||||||
2.000% 7/25/51 (f) | 19,125,000 | 19,089,141 | ||||||
2.500% 7/25/51 (f) | 24,775,000 | 25,305,339 |
Principal | Value | |||||||
3.500% 2/25/49 (f) | $ | 14,925,000 | $ | 15,720,222 | ||||
182,246,977 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $182,350,611) | 182,270,850 | |||||||
U.S. TREASURY OBLIGATIONS — 17.8% | ||||||||
U.S. Treasury Bonds & Notes — 17.8% | ||||||||
U.S. Treasury Bond | ||||||||
2.250% 8/15/49 (g) | 25,550,000 | 27,299,327 | ||||||
3.500% 2/15/39 | 23,300,000 | 29,275,138 | ||||||
U.S. Treasury Note | ||||||||
0.125% 2/15/24 (c) | 36,400,000 | 35,926,884 | ||||||
0.500% 2/28/26 | 91,050,000 | 88,497,823 | ||||||
1.625% 8/15/29 | 600,000 | 609,060 | ||||||
181,608,232 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $181,690,594) | 181,608,232 | |||||||
TOTAL BONDS & NOTES (Cost $983,158,846) | 998,405,768 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $2,989,579) | 2,282,415 | |||||||
Number of | ||||||||
MUTUAL FUNDS — 4.0% | ||||||||
Diversified Financial Services — 4.0% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (h) | 41,263,540 | 41,263,540 | ||||||
TOTAL MUTUAL FUNDS (Cost $41,263,540) | 41,263,540 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,027,411,965) | 1,041,951,723 |
The accompanying notes are an integral part of the financial statements.
107
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
SHORT-TERM INVESTMENTS — 10.9% | ||||||||
Commercial Paper — 10.6% | ||||||||
American Electric Power Co., Inc. | ||||||||
0.254% 1/03/22 (a) | $ | 8,000,000 | $ | 7,999,897 | ||||
CenterPoint Energy, Inc. | ||||||||
0.446% 1/11/22 (a) | 6,000,000 | 5,999,652 | ||||||
Centerpoint Engy, Inc. | ||||||||
0.152% 1/03/22 (a) | 1,000,000 | 999,987 | ||||||
Danaher Corp. | ||||||||
0.254% 1/26/22 (a) | 12,000,000 | 11,997,799 | ||||||
Enbridge (us), Inc. | ||||||||
0.385% 1/21/22 (a) | 2,000,000 | 1,999,715 | ||||||
Entergy Corp. | ||||||||
0.183% 1/03/22 (a) | 12,000,000 | 11,999,890 | ||||||
Eversource Energy | ||||||||
0.243% 1/11/22 (a) | 7,000,000 | 6,999,733 | ||||||
MUFG Bank Ltd. | ||||||||
0.061% 2/01/22 | 5,000,000 | 4,999,542 | ||||||
National Grid PLC | ||||||||
0.233% 1/13/22 (a) | 9,000,000 | 8,999,334 | ||||||
0.304% 1/25/22 (a) | 4,000,000 | 3,999,278 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
0.203% 2/01/22 | 1,000,000 | 999,916 | ||||||
0.203% 2/02/22 | 11,000,000 | 10,999,032 | ||||||
Oge Energy Corp. | ||||||||
0.284% 1/05/22 (a) | 7,000,000 | 6,999,847 | ||||||
Parker-hannifin Corp. | ||||||||
0.325% 2/15/22 (a) | 6,000,000 | 5,997,654 | ||||||
Tampa Electric Co. | ||||||||
0.314% 1/13/22 (a) | 4,000,000 | 3,999,873 | ||||||
0.355% 1/05/22 (a) | 8,000,000 | 7,999,911 | ||||||
0.355% 1/10/22 (a) | 4,000,000 | 3,999,907 | ||||||
Virginia Elect.& Pwr | ||||||||
0.183% 1/07/22 | 1,000,000 | 999,977 | ||||||
107,990,944 |
Principal | Value | |||||||
Repurchase Agreement — 0.3% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/21, 0.000%, due 1/03/22 (i) | $ | 3,216,034 | $ | 3,216,034 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $111,204,491) | 111,206,978 | |||||||
TOTAL INVESTMENTS — 112.9% (Cost $1,138,616,456) (j) | 1,153,158,701 | |||||||
Other Assets/(Liabilities) — (12.9)% | (131,508,775 | ) | ||||||
NET ASSETS — 100.0% | $ | 1,021,649,926 |
Abbreviation Legend
CLO | Collateralized Loan Obligation |
FRN | Floating Rate Note |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
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, 2021, the aggregate market value of these securities amounted to $451,772,309 or 44.22% 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, 2021, was $43,044,585 or 4.21% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $2,703,280 of non-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, 2021. |
(e) | May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
(f) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(g) | All or 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 $3,216,034. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 7/31/28, and an aggregate market value, including accrued interest, of $3,280,392. |
(j) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
108
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Country weightings, as a percentage of net assets, is as follows:
United States | 87.7 | % | ||
Cayman Islands | 7.1 | % | ||
United Kingdom | 1.6 | % | ||
Canada | 0.9 | % | ||
Netherlands | 0.8 | % | ||
Mexico | 0.8 | % | ||
Israel | 0.5 | % | ||
Luxembourg | 0.5 | % | ||
Bermuda | 0.4 | % | ||
Ireland | 0.4 | % | ||
France | 0.4 | % | ||
Switzerland | 0.3 | % | ||
Germany | 0.3 | % | ||
Colombia | 0.2 | % | ||
Australia | 0.1 | % | ||
Total Long-Term Investments | 102.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | (2.0 | )% | ||
Net Assets | 100.0 | % |
(#) Interest Rate Swaptions Purchased
Paid by Fund | Received by Fund | ||||||||||||||||||||||||||||||||||||||||
Description | Counterparty | Expiration | Rate | Frequency | Rate | Frequency | Notional | Value | Premium | Unrealized | |||||||||||||||||||||||||||||||
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 | 3,700,000 | $ | 317,793 | $ | 184,971 | $ | 132,822 | |||||||||||||||||||||||||||
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 | 56,100,000 | $ | 1,964,622 | $ | 2,804,608 | $ | (839,986 | ) | ||||||||||||||||||||||||||
$ | 2,282,415 | $ | 2,989,579 | $ | (707,164 | ) |
The accompanying notes are an integral part of the financial statements.
109
MML Managed Bond Fund – Portfolio of Investments (Continued) |
Futures contracts
| Expiration | Number of | Notional | Value/ Net | ||||||||||||
Long | ||||||||||||||||
U.S. Treasury Long Bond | 3/22/22 | 72 | $ | 11,421,144 | $ | 130,356 | ||||||||||
U.S. Treasury Ultra Bond | 3/22/22 | 211 | 41,013,826 | 579,549 | ||||||||||||
U.S. Treasury Note 2 Year | 3/31/22 | 285 | 62,295,397 | (116,412 | ) | |||||||||||
U.S. Treasury Note 5 Year | 3/31/22 | 214 | 25,901,003 | (12,019 | ) | |||||||||||
| $ | 581,474 | ||||||||||||||
Short | ||||||||||||||||
U.S. Treasury Ultra 10 Year | 3/22/22 | 38 | $ | (5,476,338 | ) | $ | (88,287 | ) |
* Contracts are subject to a Master Netting Agreement.
## Exercise Rate.
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
110
December 31, 2021 |
Principal | Value | |||||||
BONDS & NOTES — 96.8% | ||||||||
CORPORATE DEBT — 51.7% | ||||||||
Agriculture — 1.7% | ||||||||
BAT Capital Corp. | ||||||||
4.700% 4/02/27 | $ | 1,185,000 | $ | 1,304,338 | ||||
Imperial Brands Finance PLC | ||||||||
3.125% 7/26/24 (a) | 400,000 | 413,399 | ||||||
3.500% 2/11/23 (a) | 387,000 | 394,227 | ||||||
Wens Foodstuffs Group Co. Ltd. | ||||||||
2.349% 10/29/25 (a) | 900,000 | 746,551 | ||||||
2,858,515 | ||||||||
Airlines — 0.6% | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | ||||||||
4.500% 10/20/25 (a) | 1,000,000 | 1,051,329 | ||||||
Auto Manufacturers — 2.6% | ||||||||
Ford Motor Credit Co. LLC | ||||||||
3 mo. USD LIBOR + 1.235% 1.391% FRN 2/15/23 | 275,000 | 274,458 | ||||||
3.087% 1/09/23 | 260,000 | 264,395 | ||||||
3.350% 11/01/22 | 1,050,000 | 1,063,125 | ||||||
General Motors Co. | ||||||||
6.125% 10/01/25 | 605,000 | 695,286 | ||||||
Harley-Davidson Financial Services, Inc. | ||||||||
3.350% 6/08/25 (a) | 449,000 | 470,575 | ||||||
Hyundai Capital America | ||||||||
1.500% 6/15/26 (a) | 850,000 | 826,714 | ||||||
Nissan Motor Acceptance Co. LLC | ||||||||
1.850% 9/16/26 (a) | 885,000 | 863,975 | ||||||
4,458,528 | ||||||||
Auto Parts & Equipment — 0.3% | ||||||||
Metalsa S A P I De Cv | ||||||||
4.900% 4/24/23 (a) | 450,000 | 463,500 | ||||||
Banks — 11.2% | ||||||||
ABN AMRO Bank NV | ||||||||
4.750% 7/28/25 (a) | 825,000 | 898,299 | ||||||
Arab National Bank 5 year CMT + 2.974% | ||||||||
3.326% VRN 10/28/30 (a) | 650,000 | 663,373 | ||||||
Banco Santander SA | ||||||||
1.849% 3/25/26 | 600,000 | 597,011 | ||||||
Bank of America Corp. | ||||||||
SOFR + .960% 1.734% VRN 7/22/27 | 265,000 | 263,221 | ||||||
3.950% 4/21/25 | 178,000 | 190,332 | ||||||
4.000% 1/22/25 | 647,000 | 691,205 | ||||||
4.250% 10/22/26 | 330,000 | 364,338 |
Principal | Value | |||||||
The Bank of Nova Scotia | ||||||||
4.500% 12/16/25 | $ | 829,000 | $ | 911,050 | ||||
Barclays PLC | ||||||||
5.200% 5/12/26 | 775,000 | 864,799 | ||||||
BPCE SA | ||||||||
4.625% 7/11/24 (a) | 200,000 | 213,810 | ||||||
5.700% 10/22/23 (a) | 1,085,000 | 1,166,442 | ||||||
Citigroup, Inc. | ||||||||
4.400% 6/10/25 | 1,320,000 | 1,438,004 | ||||||
Credit Suisse AG | ||||||||
6.500% 8/08/23 (a) | 930,000 | 1,000,913 | ||||||
Danske Bank A/S | ||||||||
1 year CMT + .730% 1.549% VRN 9/10/27 (a) | 485,000 | 474,134 | ||||||
5.000% 1/12/22 (a) | 455,000 | 455,403 | ||||||
Deutsche Bank AG | ||||||||
SOFR + 2.159% 2.222% VRN 9/18/24 | 435,000 | 440,641 | ||||||
SOFR + 1.219% 2.311% VRN 11/16/27 | 430,000 | 429,941 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
4.250% 10/21/25 | 1,630,000 | 1,778,333 | ||||||
HSBC Holdings PLC | ||||||||
4.250% 3/14/24 | 210,000 | 221,781 | ||||||
4.250% 8/18/25 | 483,000 | 519,542 | ||||||
4.375% 11/23/26 | 73,000 | 80,134 | ||||||
ING Groep NV SOFR + 1.005% | ||||||||
1.726% VRN 4/01/27 | 407,000 | 404,482 | ||||||
JP Morgan Chase & Co. SOFR + .765% | ||||||||
1.470% VRN 9/22/27 | 445,000 | 436,461 | ||||||
Macquarie Group Ltd. SOFR + 1.069% | ||||||||
1.340% VRN 1/12/27 (a) | 525,000 | 511,056 | ||||||
Morgan Stanley | ||||||||
4.350% 9/08/26 | 1,150,000 | 1,270,370 | ||||||
Natwest Group PLC 1 year CMT + .900% | ||||||||
1.642% VRN 6/14/27 | 345,000 | 340,460 | ||||||
Sberbank of Russia Via SB Capital SA | ||||||||
5.250% 5/23/23 (a) | 650,000 | 672,659 | ||||||
Societe Generale SA 1 year CMT + 1.100% | ||||||||
1.488% VRN 12/14/26 (a) | 525,000 | 511,577 | ||||||
UBS Group AG | ||||||||
4.125% 9/24/25 (a) | 830,000 | 896,520 | ||||||
Wells Fargo & Co. | ||||||||
4.100% 6/03/26 | 405,000 | 441,640 | ||||||
19,147,931 |
The accompanying notes are an integral part of the financial statements.
111
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Beverages — 0.6% | ||||||||
Bacardi Ltd. | ||||||||
4.450% 5/15/25 (a) | $ | 548,000 | $ | 594,083 | ||||
JDE Peet’s NV | ||||||||
1.375% 1/15/27 (a) | 457,000 | 441,613 | ||||||
1,035,696 | ||||||||
Chemicals — 0.8% | ||||||||
Celanese US Holdings LLC | ||||||||
1.400% 8/05/26 | 250,000 | 244,067 | ||||||
MEGlobal Canada ULC | ||||||||
5.000% 5/18/25 (a) | 450,000 | 490,708 | ||||||
Syngenta Finance NV | ||||||||
4.441% 4/24/23 (a) | 320,000 | 330,824 | ||||||
4.892% 4/24/25 (a) | 335,000 | 359,883 | ||||||
1,425,482 | ||||||||
Commercial Services — 1.8% | ||||||||
Adani Ports & Special Economic Zone Ltd. | ||||||||
3.375% 7/24/24 (a) | 1,443,000 | 1,483,685 | ||||||
Ashtead Capital, Inc. | ||||||||
1.500% 8/12/26 (a) | 320,000 | 314,311 | ||||||
Element Fleet Management Corp. | ||||||||
1.600% 4/06/24 (a) | 240,000 | 240,233 | ||||||
Triton Container International Ltd. | ||||||||
2.050% 4/15/26 (a) | 950,000 | 943,044 | ||||||
2,981,273 | ||||||||
Computers — 0.5% | ||||||||
Dell International LLC/EMC Corp. | ||||||||
4.000% 7/15/24 | 414,000 | 439,378 | ||||||
5.850% 7/15/25 | 432,000 | 489,853 | ||||||
929,231 | ||||||||
Distribution & Wholesale — 0.8% | ||||||||
Li & Fung Ltd. | ||||||||
4.500% 8/18/25 (a) | 1,350,000 | 1,377,199 | ||||||
Diversified Financial Services — 4.1% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||
2.450% 10/29/26 | 555,000 | 559,918 | ||||||
2.875% 8/14/24 | 305,000 | 313,794 | ||||||
Aircastle Ltd. | ||||||||
4.125% 5/01/24 | 740,000 | 772,758 | ||||||
Antares Holdings LP | ||||||||
2.750% 1/15/27 (a) | 310,000 | 303,971 | ||||||
3.950% 7/15/26 (a) | 605,000 | 622,444 | ||||||
6.000% 8/15/23 (a) | 323,000 | 343,295 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
2.875% 2/15/25 (a) | 1,000,000 | 1,021,899 | ||||||
4.250% 4/15/26 (a) | 250,000 | 265,058 |
Principal | Value | |||||||
BGC Partners, Inc. | ||||||||
4.375% 12/15/25 | $ | 505,000 | $ | 540,862 | ||||
Blackstone Private Credit Fund | ||||||||
2.625% 12/15/26 (a) | 890,000 | 868,237 | ||||||
Lazard Group LLC | ||||||||
3.750% 2/13/25 | 505,000 | 537,153 | ||||||
LeasePlan Corp. NV | ||||||||
2.875% 10/24/24 (a) | 280,000 | 288,688 | ||||||
SPARC EM SPC Panama Metro Line 2 SP | ||||||||
0.000% 12/05/22 (a) | 86,196 | 85,119 | ||||||
Synchrony Financial | ||||||||
3.950% 12/01/27 | 400,000 | 429,815 | ||||||
6,953,011 | ||||||||
Electric — 1.1% | ||||||||
Alliant Energy Finance LLC | ||||||||
1.400% 3/15/26 (a) | 260,000 | 250,505 | ||||||
Enel Finance International NV | ||||||||
1.375% 7/12/26 (a) | 620,000 | 604,114 | ||||||
Pacific Gas and Electric Co. | ||||||||
1.750% 6/16/22 | 970,000 | 970,003 | ||||||
1,824,622 | ||||||||
Energy – Alternate Sources — 0.4% | ||||||||
Contemporary Ruiding Development Ltd. | ||||||||
1.500% 9/09/26 (a) | 682,000 | 664,312 | ||||||
Food — 0.9% | ||||||||
JBS Finance Luxembourg Sarl | ||||||||
2.500% 1/15/27 (a) | 860,000 | 850,334 | ||||||
Smithfield Foods, Inc. | ||||||||
4.250% 2/01/27 (a) | 575,000 | 617,910 | ||||||
1,468,244 | ||||||||
Gas — 0.4% | ||||||||
ONE Gas, Inc. | ||||||||
1.100% 3/11/24 | 716,000 | 712,223 | ||||||
Health Care – Services — 1.0% | ||||||||
HCA, Inc. | ||||||||
5.375% 2/01/25 | 795,000 | 873,705 | ||||||
Universal Health Services, Inc. | ||||||||
1.650% 9/01/26 (a) | 890,000 | 874,057 | ||||||
1,747,762 | ||||||||
Insurance — 3.2% | ||||||||
AmTrust Financial Services, Inc. | ||||||||
6.125% 8/15/23 | 620,000 | 623,968 | ||||||
Athene Global Funding | ||||||||
1.730% 10/02/26 (a) | 445,000 | 437,021 | ||||||
2.500% 1/14/25 (a) | 420,000 | 431,028 |
The accompanying notes are an integral part of the financial statements.
112
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Brighthouse Financial Global Funding | ||||||||
1.550% 5/24/26 (a) | $ | 484,000 | $ | 477,656 | ||||
CNO Financial Group, Inc. | ||||||||
5.250% 5/30/25 | 530,000 | 585,159 | ||||||
CNO Global Funding | ||||||||
1.750% 10/07/26 (a) | 714,000 | 705,782 | ||||||
Enstar Group Ltd. | ||||||||
4.500% 3/10/22 | 435,000 | 436,234 | ||||||
Equitable Financial Life Global Funding | ||||||||
1.700% 11/12/26 (a) | 605,000 | 597,156 | ||||||
GA Global Funding Trust | ||||||||
1.625% 1/15/26 (a) | 260,000 | 257,985 | ||||||
Jackson Financial, Inc. | ||||||||
1.125% 11/22/23 (a) | 245,000 | 244,575 | ||||||
Unum Group | ||||||||
3.875% 11/05/25 | 620,000 | 661,988 | ||||||
5,458,552 | ||||||||
Internet — 0.6% | ||||||||
Expedia Group, Inc. | ||||||||
4.625% 8/01/27 | 189,000 | 210,597 | ||||||
Netflix, Inc. | ||||||||
5.875% 11/15/28 | 285,000 | 342,713 | ||||||
Weibo Corp. | ||||||||
3.500% 7/05/24 | 450,000 | 463,396 | ||||||
1,016,706 | ||||||||
Investment Companies — 1.7% | ||||||||
Ares Capital Corp. | ||||||||
3.875% 1/15/26 | 535,000 | 564,105 | ||||||
4.200% 6/10/24 | 423,000 | 446,432 | ||||||
BlackRock TCP Capital Corp. | ||||||||
3.900% 8/23/24 | 360,000 | 375,977 | ||||||
Golub Capital BDC, Inc. | ||||||||
2.500% 8/24/26 | 270,000 | 265,501 | ||||||
3.375% 4/15/24 | 330,000 | 339,123 | ||||||
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. | ||||||||
4.750% 9/15/24 | 445,000 | 461,688 | ||||||
Sixth Street Specialty Lending, Inc. | ||||||||
3.875% 11/01/24 | 410,000 | 428,740 | ||||||
2,881,566 | ||||||||
Iron & Steel — 1.6% | ||||||||
Severstal OAO Via Steel Capital SA | ||||||||
3.150% 9/16/24 (a) | 1,443,000 | 1,473,170 | ||||||
Vale Overseas Ltd. | ||||||||
6.250% 8/10/26 | 1,030,000 | 1,192,235 | ||||||
2,665,405 |
Principal | Value | |||||||
Leisure Time — 0.2% | ||||||||
Harley-Davidson, Inc. | ||||||||
3.500% 7/28/25 | $ | 255,000 | $ | 269,031 | ||||
Lodging — 0.7% | ||||||||
Hyatt Hotels Corp. | ||||||||
1.800% 10/01/24 | 342,000 | 342,057 | ||||||
Las Vegas Sands Corp. | ||||||||
3.200% 8/08/24 | 875,000 | 891,004 | ||||||
1,233,061 | ||||||||
Machinery – Construction & Mining — 0.5% | ||||||||
The Weir Group PLC | ||||||||
2.200% 5/13/26 (a) | 880,000 | 868,188 | ||||||
Media — 0.6% | ||||||||
Cable Onda SA | ||||||||
4.500% 1/30/30 (a) | 630,000 | 646,884 | ||||||
ViacomCBS, Inc. | ||||||||
4.750% 5/15/25 | 400,000 | 438,840 | ||||||
1,085,724 | ||||||||
Mining — 0.6% | ||||||||
Glencore Finance Canada Ltd. | ||||||||
4.250% STEP 10/25/22 (a) | 254,000 | 260,680 | ||||||
Glencore Funding LLC | ||||||||
1.625% 4/27/26 (a) | 470,000 | 461,372 | ||||||
4.125% 5/30/23 (a) | 360,000 | 374,371 | ||||||
1,096,423 | ||||||||
Multi-National — 0.6% | ||||||||
Africa Finance Corp. | ||||||||
3.125% 6/16/25 (a) | 957,000 | 984,983 | ||||||
Oil & Gas — 2.5% | ||||||||
Cenovus Energy, Inc. | ||||||||
5.375% 7/15/25 | 222,000 | 245,080 | ||||||
EQT Corp. | ||||||||
3.000% 10/01/22 (b) | 515,000 | 520,150 | ||||||
6.625% STEP 2/01/25 | 320,000 | 360,800 | ||||||
Occidental Petroleum Corp. | ||||||||
5.500% 12/01/25 | 975,000 | 1,081,027 | ||||||
Ovintiv Exploration, Inc. | ||||||||
5.375% 1/01/26 | 275,000 | 304,738 | ||||||
5.625% 7/01/24 | 505,000 | 556,000 | ||||||
Petroleos Mexicanos | ||||||||
4.625% 9/21/23 | 1,215,000 | 1,245,387 | ||||||
4,313,182 | ||||||||
Packaging & Containers — 0.5% | ||||||||
Berry Global, Inc. | ||||||||
1.650% 1/15/27 | 670,000 | 654,520 |
The accompanying notes are an integral part of the financial statements.
113
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Sealed Air Corp. | ||||||||
5.500% 9/15/25 (a) | $ | 132,000 | $ | 146,025 | ||||
800,545 | ||||||||
Pharmaceuticals — 0.3% | ||||||||
Bayer US Finance II LLC | ||||||||
4.250% 12/15/25 (a) | 400,000 | 432,835 | ||||||
Pipelines — 1.8% | ||||||||
Energy Transfer LP | ||||||||
4.200% 9/15/23 | 580,000 | 605,745 | ||||||
EnLink Midstream Partners LP | ||||||||
4.400% 4/01/24 | 900,000 | 940,500 | ||||||
EQM Midstream Partners LP | ||||||||
4.750% 7/15/23 | 505,000 | 525,200 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | ||||||||
4.500% 12/15/26 | 90,000 | 98,853 | ||||||
4.650% 10/15/25 | 760,000 | 829,282 | ||||||
2,999,580 | ||||||||
Private Equity — 0.7% | ||||||||
Hercules Capital, Inc. | ||||||||
2.625% 9/16/26 | 560,000 | 555,360 | ||||||
4.625% 10/23/22 | 610,000 | 621,814 | ||||||
1,177,174 | ||||||||
Real Estate — 1.6% | ||||||||
Country Garden Holdings Co. Ltd. | ||||||||
4.750% 1/17/23 (a) | 250,000 | 243,756 | ||||||
7.125% 1/27/22 (a) | 250,000 | 249,650 | ||||||
8.000% 1/27/24 (a) | 1,351,000 | 1,357,717 | ||||||
MAF Sukuk Ltd. | ||||||||
4.500% 11/03/25 (a) | 625,000 | 676,563 | ||||||
Shimao Group Holdings Ltd. | ||||||||
6.125% 2/21/24 (a) | 400,000 | 256,400 | ||||||
2,784,086 | ||||||||
Real Estate Investment Trusts (REITS) — 1.1% | ||||||||
Omega Healthcare Investors, Inc. | ||||||||
4.750% 1/15/28 | 395,000 | 436,117 | ||||||
SBA Tower Trust | ||||||||
1.884% 1/15/26 (a) | 287,000 | 286,622 | ||||||
Service Properties Trust | ||||||||
4.350% 10/01/24 | 935,000 | 916,300 | ||||||
Vornado Realty LP | ||||||||
2.150% 6/01/26 | 310,000 | 309,940 | ||||||
1,948,979 | ||||||||
Retail — 0.6% | ||||||||
Nordstrom, Inc. | ||||||||
2.300% 4/08/24 | 268,000 | 268,000 | ||||||
4.000% 3/15/27 | 86,000 | 86,430 |
Principal | Value | |||||||
QVC, Inc. | ||||||||
4.375% 3/15/23 | $ | 590,000 | $ | 607,700 | ||||
962,130 | ||||||||
Semiconductors — 0.2% | ||||||||
Marvell Technology, Inc. | ||||||||
1.650% 4/15/26 | 420,000 | 415,260 | ||||||
Storage & Warehousing — 0.5% | ||||||||
GLP China Holdings Ltd. | ||||||||
4.974% 2/26/24 (a) | 730,000 | 766,244 | ||||||
Telecommunications — 2.0% | ||||||||
Ericsson LM | ||||||||
4.125% 5/15/22 | 628,000 | 635,065 | ||||||
NBN Co. Ltd. | ||||||||
1.450% 5/05/26 (a) | 525,000 | 517,246 | ||||||
Sprint Communications, Inc. | ||||||||
9.250% 4/15/22 | 330,000 | 337,012 | ||||||
Telecom Italia SpA | ||||||||
5.303% 5/30/24 (a) | 430,000 | 452,558 | ||||||
Tower Bersama Infrastructure Tbk PT | ||||||||
4.250% 1/21/25 (a) | 1,445,000 | 1,502,835 | ||||||
3,444,716 | ||||||||
Toys, Games & Hobbies — 0.5% | ||||||||
Mattel, Inc. | ||||||||
3.375% 4/01/26 (a) | 900,000 | 922,968 | ||||||
Trucking & Leasing — 0.3% | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | ||||||||
1.700% 6/15/26 (a) | 585,000 | 578,591 | ||||||
TOTAL CORPORATE DEBT (Cost $88,451,869) | 88,204,787 | |||||||
MUNICIPAL OBLIGATIONS — 0.2% | ||||||||
Pennsylvania Higher Education Assistance Agency, Revenue Bonds, Series 2006-2, Class B, | ||||||||
1.420% FRN 10/25/42 (c) | 350,000 | 349,257 | ||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $345,188) | 349,257 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 43.7% | ||||||||
Automobile Asset-Backed Securities — 4.2% | ||||||||
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class D | ||||||||
1.800% 12/18/25 | 947,000 | 953,773 |
The accompanying notes are an integral part of the financial statements.
114
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
Series 2020-1A, Class C, 3.020% 8/20/26 (a) | $ | 1,259,000 | $ | 1,286,374 | ||||
Series 2019-3A, Class C, 3.150% 3/20/26 (a) | 1,083,000 | 1,104,051 | ||||||
Series 2019-1A, Class C, 4.530% 3/20/23 (a) | 116,500 | 117,103 | ||||||
Series 2018-1A, Class C, 4.730% 9/20/24 (a) | 500,000 | 522,573 | ||||||
Canadian Pacer Auto Receivables Trust, Series 2018-2A, Class B | ||||||||
3.630% 1/19/24 (a) | 180,000 | 181,480 | ||||||
Carmax Auto Owner Trust, Series 2021-4, Class D | ||||||||
1.480% 3/15/28 | 250,000 | 245,106 | ||||||
Carvana Auto Receivables Trust | ||||||||
Series 2021-N1, Class D, 1.500% 1/10/28 | 1,243,000 | 1,240,777 | ||||||
Series 2021-P3, Class D, 2.250% 9/11/28 | 855,000 | 841,778 | ||||||
GM Financial Revolving Receivables Trust, Series 2021-1, Class C | ||||||||
1.670% 6/12/34 (a) | 364,000 | 361,915 | ||||||
Santander Revolving Auto Loan Trust, Series 2019-A, Class D | ||||||||
3.450% 1/26/32 (a) | 215,000 | 220,048 | ||||||
7,074,978 | ||||||||
Commercial Mortgage-Backed Securities — 6.6% | ||||||||
BAMLL Commercial Mortgage Securities Trust | ||||||||
Series 2018-DSNY, Class C, 1 mo. USD LIBOR + 1.350% 1.460% FRN 9/15/34 (a) | 130,000 | 128,377 | ||||||
Series 2019-BPR, Class CMP, 3.895% VRN 11/05/32 (a) (c) | 370,000 | 370,522 | ||||||
Series 2019-BPR, Class DMP, 3.895% VRN 11/05/32 (a) (c) | 450,000 | 438,539 | ||||||
BHMS Mortgage Trust, Series 2018-ATLS, Class B, 1 mo. USD LIBOR + 1.500% | ||||||||
1.610% FRN 7/15/35 (a) | 500,000 | 498,130 | ||||||
BSREP Commercial Mortgage Trust, Series 2021-DC, Class C, 1 mo. USD LIBOR + 1.550% | ||||||||
1.660% FRN 8/15/38 (a) | 837,000 | 834,385 | ||||||
BX Commercial Mortgage Trust | ||||||||
Series 2020-BXLP, Class D, 1 mo. USD LIBOR + 1.250% 1.360% FRN 12/15/36 (a) | 542,777 | 540,741 |
Principal | Value | |||||||
Series 2020-BXLP, Class E, 1 mo. USD LIBOR + 1.600% 1.710% FRN 12/15/36 (a) | $ | 640,476 | $ | 637,675 | ||||
Series 2018-IND, Class E, 1 mo. USD LIBOR + 1.700% 1.810% FRN 11/15/35 (a) | 123,320 | 123,286 | ||||||
Series 2019-XL, Class E, 1 mo. USD LIBOR + 1.800% 1.910% FRN 10/15/36 (a) | 268,600 | 268,107 | ||||||
Series 2021-SOAR, Class E, 1 mo. USD LIBOR + 1.800% 1.910% FRN 6/15/38 (a) | 327,000 | 325,165 | ||||||
Series 2021-VOLT, Class E, 1 mo. USD LIBOR + 2.000% 2.110% FRN 9/15/36 (a) | 792,000 | 785,071 | ||||||
Series 2019-XL, Class F, 1 mo. USD LIBOR + 2.000% 2.110% FRN 10/15/36 (a) | 753,100 | 748,896 | ||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class E, 1 mo. USD LIBOR + 2.150% | ||||||||
2.260% FRN 12/15/37 (a) | 545,194 | 544,537 | ||||||
Commercial Mortgage Trust, Series 2014-CR14, Class A2 | ||||||||
3.147% 2/10/47 | 82,191 | 82,590 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, 1 mo. USD LIBOR + 1.600% | ||||||||
1.710% FRN 5/15/36 (a) | 200,000 | 199,251 | ||||||
KIND Trust | ||||||||
Series 2021-KIND, Class B, 1 mo. USD LIBOR + 1.350% 1.460% FRN 8/15/38 (a) | 550,000 | 547,251 | ||||||
Series 2021-KIND, Class C, 1 mo. USD LIBOR + 1.750% 1.860% FRN 8/15/38 (a) | 600,000 | 596,252 | ||||||
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, 1 mo. USD LIBOR + 1.800% | ||||||||
1.910% FRN 5/15/36 (a) | 251,000 | 249,904 | ||||||
Life Mortgage Trust, Series 2021-BMR, Class E, 1 mo. USD LIBOR + 1.750% | ||||||||
1.860% FRN 3/15/38 (a) | 372,000 | 367,816 | ||||||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class E, 1 mo. USD LIBOR + 2.101% | ||||||||
2.211% FRN 4/15/38 (a) | 620,000 | 619,031 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class B | ||||||||
3.769% 2/15/46 | 250,000 | 250,851 |
The accompanying notes are an integral part of the financial statements.
115
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Morgan Stanley Capital I Trust, Series 2012-STAR, Class D, | ||||||||
3.926% VRN 8/05/34 (a) (c) | $ | 400,000 | $ | 397,641 | ||||
One New York Plaza Trust | ||||||||
Series 2020-1NYP, Class C, 1 mo. USD LIBOR + 2.200% 2.310% FRN 1/15/36 (a) | 616,000 | 617,721 | ||||||
Series 2020-1NYP, Class D, 1 mo. USD LIBOR + 2.750% 2.860% FRN 1/15/36 (a) | 414,000 | 415,472 | ||||||
VASA Trust, Series 2021-VASA, Class D, 1 mo. USD LIBOR + 2.100% | ||||||||
2.210% FRN 7/15/39 (a) | 711,000 | 709,172 | ||||||
11,296,383 | ||||||||
Home Equity Asset-Backed Securities — 0.0% | ||||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .480% | ||||||||
0.582% FRN 10/25/34 (a) | 29,470 | 29,457 | ||||||
Other Asset-Backed Securities — 20.1% | ||||||||
321 Henderson Receivables LLC | ||||||||
Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200% 0.310% FRN 3/15/41 (a) | 14,641 | 14,582 | ||||||
Series 2010-3A, Class A, 3.820% 12/15/48 (a) | 119,781 | 123,834 | ||||||
Adams Outdoor Advertising LP, Series 2018-1, Class A | ||||||||
4.810% 11/15/48 (a) | 367,684 | 379,148 | ||||||
Affirm Asset Securitization Trust, Series 2021-A, Class D | ||||||||
3.490% 8/15/25 (a) | 950,000 | 955,230 | ||||||
AIMCO CLO 10 Ltd., Series 2019-10A, Class AR, 3 mo. USD LIBOR + 1.060% | ||||||||
1.188% FRN 7/22/32 (a) | 1,000,000 | 999,998 | ||||||
Apidos CLO XXVI, Series 2017-26A, Class A2R, 3 mo. USD LIBOR + 1.500% | ||||||||
1.622% FRN 7/18/29 (a) | 500,000 | 499,998 | ||||||
Aqua Finance Trust, Series 2021-A, Class A | ||||||||
1.540% 7/17/46 (a) | 1,511,758 | 1,495,481 | ||||||
Ballyrock CLO Ltd., Series 2020-2A, Class A2R, 3 mo. USD LIBOR + 1.550% | ||||||||
1.682% FRN 10/20/31 (a) | 800,000 | 797,992 | ||||||
BHG Securitization Trust, Series 2021-B, Class C | ||||||||
2.240% 10/17/34 (a) | 448,000 | 438,059 |
Principal | Value | |||||||
BlueMountain Fuji US CLO I Ltd., Series 2017-1A, Class A1R, 3 mo. USD LIBOR + .980% | ||||||||
1.112% FRN 7/20/29 (a) | $ | 550,000 | $ | 549,408 | ||||
BRE Grand Islander Timeshare Issuer LLC | ||||||||
Series 2017-1A, Class A, 2.940% 5/25/29 (a) | 65,512 | 66,485 | ||||||
Series 2019-A, Class B, 3.780% 9/26/33 (a) | 194,749 | 200,293 | ||||||
Business Jet Securities LLC | ||||||||
Series 2021-1A, Class A, 2.162% 4/15/36 (a) | 598,363 | 587,582 | ||||||
Series 2020-1A, Class A, 2.981% 11/15/35 (a) | 177,072 | 176,844 | ||||||
Canyon Capital CLO Ltd., Series 2017-1A, Class CR, 3 mo. USD LIBOR + 2.000% | ||||||||
2.124% FRN 7/15/30 (a) | 300,000 | 299,570 | ||||||
Capital Automotive REIT | ||||||||
Series 2017-1A, Class A1, 3.870% 4/15/47 (a) | 235,164 | 235,303 | ||||||
Series 2020-1A, Class B1, 4.170% 2/15/50 (a) | 484,000 | 496,720 | ||||||
Series 2017-1A, Class A2, 4.180% 4/15/47 (a) | 587,911 | 608,595 | ||||||
Castlelake Aircraft Structured Trust, Series 2018-1, Class A | ||||||||
4.125% 6/15/43 (a) | 218,868 | 214,390 | ||||||
Cbam CLO Management Cbam, Series 2018-6A, Class A1R, 3 mo. USD LIBOR + 1.270% | ||||||||
1.394% FRN 1/15/31 (a) | 500,000 | 500,044 | ||||||
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, 3 mo. USD LIBOR + .980% | ||||||||
1.112% FRN 4/20/31 (a) | 250,000 | 249,506 | ||||||
CF Hippolyta LLC, Series 2020-1, Class B1 | ||||||||
2.280% 7/15/60 (a) | 92,971 | 92,828 | ||||||
CIFC Funding Ltd., Series 2017-4A, Class A2R, 3 mo. USD LIBOR + 1.550% | ||||||||
1.674% FRN 10/24/30 (a) | 500,000 | 500,004 | ||||||
DataBank Issuer, Series 2021-1A, Class A2 | ||||||||
2.060% 2/27/51 (a) | 991,000 | 972,217 | ||||||
Diamond Resorts Owner Trust, Series 2018-1, Class A | ||||||||
3.700% 1/21/31 (a) | 87,473 | 89,086 |
The accompanying notes are an integral part of the financial statements.
116
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Elara HGV Timeshare Issuer LLC | ||||||||
Series 2017-A, Class A, 2.690% 3/25/30 (a) | $ | 70,616 | $ | 71,565 | ||||
Series 2016-A, Class A, 2.730% 4/25/28 (a) | 122,323 | 124,588 | ||||||
Series 2017-A, Class B, 2.960% 3/25/30 (a) | 209,233 | 213,132 | ||||||
Series 2019-A, Class C, 3.450% 1/25/34 (a) | 424,309 | 432,510 | ||||||
FCI Funding LLC, Series 2019-1A, Class A | ||||||||
3.630% 2/18/31 (a) | 28,039 | 28,149 | ||||||
Firstkey Homes Trust, Series 2021, Class E2 | ||||||||
2.489% 8/17/38 (a) | 460,000 | 447,379 | ||||||
Flatiron CLO 17 Ltd., Series 2017-1A, Class AR, 3 mo. USD LIBOR + .980% | ||||||||
1.136% FRN 5/15/30 (a) | 500,000 | 500,037 | ||||||
FNA VI LLC, Series 2021-1A, Class A | ||||||||
1.350% 1/10/32 (a) (d) | 1,828,728 | 1,808,956 | ||||||
Goodgreen Trust | ||||||||
Series 2019-2A, Class A, 2.760% 4/15/55 (a) | 435,259 | 437,076 | ||||||
Series 2016-1A, Class A, 3.230% 10/15/52 (a) | 210,980 | 216,391 | ||||||
Series 2019-1A, Class A, 3.860% 10/15/54 (a) | 203,049 | 211,413 | ||||||
Series 2018-1A, Class A, 3.930% VRN 10/15/53 (a) (c) | 185,739 | 192,852 | ||||||
Hero Funding Trust | ||||||||
Series 2017-3A, Class A1, 3.190% 9/20/48 (a) | 115,038 | 117,721 | ||||||
Series 2016-4A, Class A1, 3.570% 9/20/47 (a) | 113,398 | 117,306 | ||||||
Series 2015-1A, Class A, 3.840% 9/21/40 (a) | 230,160 | 238,377 | ||||||
Series 2018-1A, Class A2, 4.670% 9/20/48 (a) | 203,449 | 213,654 | ||||||
HIN Timeshare Trust, Series 2020-A, Class B | ||||||||
2.230% 10/09/39 (a) | 676,068 | 677,536 | ||||||
Horizon Aircraft Finance I Ltd., Series 2018-1, Class A | ||||||||
4.458% 12/15/38 (a) | 481,515 | 467,120 | ||||||
Horizon Aircraft Finance III Ltd. | ||||||||
Series 2019-2, Class A, 3.425% 11/15/39 (a) | 368,888 | 361,220 | ||||||
Series 2019-2, Class B, 4.458% 11/15/39 (a) | 683,333 | 635,426 |
Principal | Value | |||||||
KKR CLO Ltd., Series 28A, Class A, 3 mo. USD LIBOR + 1.140% | ||||||||
1.343% FRN 3/15/31 (a) | $ | 250,000 | $ | 249,862 | ||||
KREF Ltd., Series 2021-FL2, Class AS, 1 mo. USD LIBOR + 1.300% | ||||||||
1.409% FRN 2/15/39 (a) | 900,000 | 899,625 | ||||||
Lendingpoint Asset Securitization, Series 2021-A, Class B | ||||||||
1.110% 2/15/29 (a) | 1,361,310 | 1,357,548 | ||||||
MACH 1 Cayman Ltd., Series 2019-1, Class A | ||||||||
3.474% 10/15/39 (a) | 312,783 | 306,072 | ||||||
Marlette Funding Trust, Series 2019-2A, Class B | ||||||||
3.530% 7/16/29 (a) | 65,364 | 65,600 | ||||||
Mosaic Solar Loans LLC | ||||||||
Series 2018-2GS, Class A, 4.200% 2/22/44 (a) | 168,371 | 179,264 | ||||||
Series 2017-1A, Class A, 4.450% 6/20/42 (a) | 40,972 | 42,880 | ||||||
Neuberger Berman Loan Advisers CLO 25 Ltd., Series 2017-25A, Class BR, 3 mo. USD LIBOR + 1.350% | ||||||||
1.472% FRN 10/18/29 (a) | 1,000,000 | 994,839 | ||||||
Newark BSL CLO 2 Ltd., Series 2017-1A, Class A2R, 3 mo. USD LIBOR + 1.400% | ||||||||
1.524% FRN 7/25/30 (a) | 250,000 | 249,487 | ||||||
NP SPE II LLC, Series 2017-1A, Class A1 | ||||||||
3.372% 10/21/47 (a) | 112,814 | 114,719 | ||||||
NRZ Advance Receivables Trust, Series 2020-T3, Class DT3 | ||||||||
2.458% 10/15/52 (a) | 246,600 | 244,979 | ||||||
Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A3 | ||||||||
2.260% 11/20/50 (a) | 400,000 | 392,935 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class B | ||||||||
2.910% 3/08/29 (a) | 81,531 | 82,170 | ||||||
Oxford Finance Funding Trust, Series 2020-1A, Class A2 | ||||||||
3.101% 2/15/28 (a) | 281,000 | 284,040 | ||||||
Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I | ||||||||
4.262% 9/05/48 (a) | 580,500 | 570,859 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A, 1 mo. USD LIBOR + 2.850% | ||||||||
2.952% FRN 2/25/23 (a) | 250,000 | 250,631 |
The accompanying notes are an integral part of the financial statements.
117
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Rad CLO 1 Ltd., Series 2018-1A, Class BR, 3 mo. USD LIBOR + 1.400% | ||||||||
1.524% FRN 7/15/31 (a) | $ | 350,000 | $ | 350,002 | ||||
RAMP Trust, Series 2005-EFC1, Class M5, 1 mo. USD LIBOR + .650% | ||||||||
1.077% FRN 5/25/35 | 393,526 | 392,229 | ||||||
Rockford Tower CLO Ltd., Series 2017-3A, Class A, 3 mo. USD LIBOR + 1.190% | ||||||||
1.322% FRN 10/20/30 (a) | 1,000,000 | 999,481 | ||||||
RRAM., Series 2018-3A, Class A1R2, 3 mo. USD LIBOR + 1.090% | ||||||||
1.214% FRN 1/15/30 (a) | 400,000 | 400,009 | ||||||
SBA Tower Trust, Series 2014-2A, Class C, | ||||||||
3.869% STEP 10/15/49 (a) | 430,000 | 445,216 | ||||||
Sierra Receivables Funding LLC | ||||||||
Series 2017-1A, Class A, 2.910% 3/20/34 (a) | 90,197 | 90,197 | ||||||
Series 2020-2A, Class C, 3.510% 7/20/37 (a) | 62,616 | 63,668 | ||||||
Series 2018-1A, Class B, 4.036% 4/20/35 | 192,719 | 196,408 | ||||||
SoFi Consumer Loan Program Trust, Series 2019-3, Class D | ||||||||
3.890% 5/25/28 (a) | 772,000 | 783,926 | ||||||
Store Master Funding I-VII, Series 2018-1A, Class A3 | ||||||||
4.400% 10/20/48 (a) | 508,733 | 519,328 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-GEL1, Class M2, 1 mo. USD LIBOR + 1.200% | ||||||||
1.302% FRN 11/25/35 (a) | 132,684 | 130,286 | ||||||
TAL Advantage VII LLC, Series 2020-1A, Class B | ||||||||
3.290% 9/20/45 (a) | 781,875 | 782,678 | ||||||
Thrust Engine Leasing, Series 2021-1A, Class A | ||||||||
4.163% 7/15/40 (a) | 592,459 | 593,370 | ||||||
TICP CLO XI Ltd., Series 2018-11A, Class A, 3 mo. USD LIBOR + 1.180% | ||||||||
1.312% FRN 10/20/31 (a) | 400,000 | 400,008 | ||||||
Treman Park CLO Ltd., Series 2015-1A, Class ARR, 3 mo. USD LIBOR + 1.070% | ||||||||
1.202% FRN 10/20/28 (a) | 584,843 | 584,854 |
Principal | Value | |||||||
Trinity Rail Leasing LP, Series 2019-1A, Class A | ||||||||
3.820% 4/17/49 (a) | $ | 603,377 | $ | 619,649 | ||||
Vantage Data Centers LLC, Series 2020-1A, Class A2 | ||||||||
1.645% 9/15/45 (a) | 675,000 | 662,700 | ||||||
VERDE CLO Ltd., Series 2019-1A, Class AR, 3 mo. USD LIBOR + 1.100% | ||||||||
1.224% FRN 4/15/32 (a) | 500,000 | 499,509 | ||||||
Welk Resorts LLC, Series 2017-AA, Class B | ||||||||
3.410% 6/15/33 (a) | 68,096 | 68,835 | ||||||
Westgate Resorts LLC, Series 2018-1A, Class A | ||||||||
3.380% 12/20/31 (a) | 86,490 | 86,841 | ||||||
Willis Engine Structured Trust IV, Series 2018-A, Class A, | ||||||||
4.750% STEP 9/15/43 (a) | 208,679 | 204,488 | ||||||
34,214,797 | ||||||||
Student Loans Asset-Backed Securities — 5.4% | ||||||||
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500% | ||||||||
1.602% FRN 7/25/58 (a) | 140,000 | 129,797 | ||||||
College Avenue Student Loans LLC | ||||||||
Series 2018-A, Class A1, 1 mo. USD LIBOR + 1.200% 1.303% FRN 12/26/47 (a) | 333,176 | 336,402 | ||||||
Series 2017-A, Class A1, FRN, 1 mo. USD LIBOR + 1.650% 1.753% FRN 11/26/46 (a) | 247,834 | 252,223 | ||||||
Series 2021-A, Class B, 2.320% 7/25/51 (a) | 1,091,000 | 1,083,795 | ||||||
Series 2017-A, Class B, 4.500% 11/26/46 (a) | 375,319 | 387,942 | ||||||
College Loan Corp. Trust, Series 2005-2, Class B, 3 mo. USD LIBOR + .490% | ||||||||
0.614% FRN 1/15/37 | 140,273 | 129,309 | ||||||
Commonbond Student Loan Trust | ||||||||
Series 2018-AGS, Class C, 3.820% 2/25/44 (a) | 22,605 | 22,552 | ||||||
Series 2018-BGS, Class C, 4.120% 9/25/45 (a) | 24,913 | 25,146 | ||||||
Series 2018-CGS, Class C, 4.350% 2/25/46 (a) | 12,184 | 12,222 | ||||||
Series 2017-AGS, Class C, 5.280% 5/25/41 (a) | 48,499 | 50,068 | ||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B | ||||||||
2.500% 1/25/30 (a) | 44,510 | 44,386 |
The accompanying notes are an integral part of the financial statements.
118
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
DRB Prime Student Loan Trust, Series 2017-B, Class CFX | ||||||||
3.610% 8/25/42 (a) | $ | 172,101 | $ | 174,055 | ||||
EdLinc Student Loan Funding, Series 2017-A, Class A, PRIME - 1.150% | ||||||||
2.100% FRN 12/01/47 (a) | 200,533 | 201,446 | ||||||
ELFI Graduate Loan Program LLC, Series 2018-A, Class B | ||||||||
4.000% 8/25/42 (a) | 85,189 | 87,635 | ||||||
Higher Education Funding I, Series 2004-1, Class B1, | ||||||||
1.796% FRN 1/01/44 (a) (c) | 950,000 | 851,332 | ||||||
Laurel Road Prime Student Loan Trust | ||||||||
Series 2019-A, Class BFX, 3.000% 10/25/48 (a) | 256,646 | 258,941 | ||||||
Series 2018-B, Class BFX, 3.720% 5/26/43 (a) | 191,151 | 193,708 | ||||||
Navient Private Education Refi Loan Trust, Series 2020-BA, Class B | ||||||||
2.770% 1/15/69 (a) | 2,200,000 | 2,218,184 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750% | ||||||||
1.853% FRN 12/26/40 (a) | 36,180 | 36,205 | ||||||
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500% | ||||||||
1.603% FRN 6/25/54 (a) | 130,000 | 130,000 | ||||||
SLC Student Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .200% | ||||||||
0.354% FRN 2/15/45 | 256,365 | 240,409 | ||||||
SLM Student Loan Trust | ||||||||
Series 2006-7, Class B, 3 mo. USD LIBOR + .200% 0.324% FRN 1/27/42 | 773,311 | 724,338 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% 0.334% FRN 10/25/40 | 322,919 | 303,419 | ||||||
Series 2005-6, Class B, 3 mo. USD LIBOR + .290% 0.414% FRN 1/25/44 | 421,221 | 396,867 | ||||||
Series 2003-14, Class A6, 3 mo. USD LIBOR + .300% 0.424% FRN 7/25/25 | 47,200 | 47,160 | ||||||
Series 2005-9, Class B, 3 mo. USD LIBOR + .300% 0.424% FRN 1/25/41 | 320,307 | 302,687 | ||||||
Series 2005-8, Class B, 3 mo. USD LIBOR + .310% 0.434% FRN 1/25/55 | 125,362 | 119,457 |
Principal | Value | |||||||
SMB Private Education Loan Trust | ||||||||
Series 2018-C, Class A2B, 1 mo. USD LIBOR + .750% 0.860% FRN 11/15/35 (a) | $ | 332,721 | $ | 333,760 | ||||
Series 2016-C, Class A2B, 1 mo. USD LIBOR + 1.100% 1.210% FRN 9/15/34 (a) | 116,873 | 117,815 | ||||||
SoFi Professional Loan Program LLC | ||||||||
Series 2016-D, Class A1, 1 mo. USD LIBOR + .950% 1.053% FRN 1/25/39 (a) | 15,069 | 15,072 | ||||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200% 1.303% FRN 6/25/33 (a) | 29,230 | 29,287 | ||||||
9,255,619 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 7.4% | ||||||||
Angel Oak Mortgage Trust | ||||||||
Series 2020-5, Class A2, 1.579% VRN 5/25/65 (a) (c) | 185,802 | 185,793 | ||||||
Series 2020-5, Class A3, 2.041% VRN 5/25/65 (a) (c) | 167,471 | 167,616 | ||||||
Series 2021-1, Class M1, 2.215% VRN 1/25/66 (a) (c) | 314,000 | 312,481 | ||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, | ||||||||
2.499% VRN 8/25/34 (c) | 2,147 | 2,116 | ||||||
BRAVO Residential Funding Trust, Series 2020-NQM1, Class A3, | ||||||||
2.406% VRN 5/25/60 (a) (c) | 159,807 | 160,547 | ||||||
CIM Trust, Series 2019-INV3, Class A11, 1 mo. USD LIBOR + 1.000% | ||||||||
1.042% FRN 8/25/49 (a) | 460,266 | 460,780 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
Series 2019-IMC1, Class A3, 3.030% VRN 7/25/49 (a) (c) | 138,982 | 138,844 | ||||||
Series 2019-IMC1, Class M1, 3.170% VRN 7/25/49 (a) (c) | 391,000 | 393,565 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2021-NQM4, Class M1, | ||||||||
2.472% VRN 5/25/66 (a) (c) | 500,000 | 495,456 | ||||||
Credit Suisse Mortgage Trust, Series 2021-NQM2, Class A3, | ||||||||
1.538% VRN 2/25/66 (a) (c) | 770,654 | 768,912 | ||||||
Deephaven Residential Mortgage Trust, Series 2021-1, Class A3, | ||||||||
1.128% VRN 5/25/65 (a) (c) | 302,151 | 299,116 | ||||||
Flagstar Mortgage Trust, Series 2021-6INV, Class A18, | ||||||||
2.500% VRN 8/25/51 (a) (c) | 645,391 | 640,500 |
The accompanying notes are an integral part of the financial statements.
119
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal | Value | |||||||
Homeward Opportunities Fund I Trust, Series 2020-2, Class A1, | ||||||||
1.657% VRN 5/25/65 (a) (c) | $ | 130,047 | $ | 130,247 | ||||
MFRA Trust, Series 2021-NQM2, Class A3, | ||||||||
1.472% VRN 11/25/64 (a) (c) | 603,562 | 598,291 | ||||||
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1, | ||||||||
3.750% VRN 11/25/56 (a) (c) | 155,859 | 165,821 | ||||||
NewRez Warehouse Securitization Trust, Series 2021-1, Class C, 1 mo. USD LIBOR + 1.050% | ||||||||
1.152% FRN 5/25/55 (a) | 927,000 | 927,220 | ||||||
NLT Trust | ||||||||
Series 2021-INV2, Class A3, 1.520% VRN 8/25/56 (a) (c) | 831,978 | 825,284 | ||||||
Series 2021-INV2, Class M1, 2.569% VRN 8/25/56 (a) (c) | 700,000 | 690,556 | ||||||
Onslow Bay Financial LLC | ||||||||
Series 2021-NQM3, Class A3, 1.362% VRN 7/25/61 (a) (c) | 1,010,729 | 1,001,718 | ||||||
Series 2021-NQM1, Class M1, 2.219% VRN 2/25/66 (a) (c) | 333,000 | 328,907 | ||||||
Series 2020-INV1, Class A21, 3.500% VRN 12/25/49 (a) (c) | 207,884 | 211,691 | ||||||
Shellpoint Co-Originator Trust, Series 2016-1, Class 2A3, | ||||||||
3.000% VRN 10/25/31 (a) (c) | 237,503 | 239,810 | ||||||
Starwood Mortgage Residential Trust | ||||||||
Series 2021-3, Class A3, 1.518% VRN 6/25/56 (a) (c) | 317,666 | 315,712 | ||||||
Series 2021-1, Class A3, 1.528% VRN 5/25/65 (a) (c) | 991,479 | 988,013 | ||||||
Series 2019-INV1, Class A3, 2.916% VRN 9/27/49 (a) (c) | 532,984 | 536,310 | ||||||
Verus Securitization Trust | ||||||||
Series 2021-5, Class A3, 1.373% VRN 9/25/66 (a) (c) | 263,622 | 261,396 | ||||||
Series 2019-INV2, Class A3, 3.219% VRN 7/25/59 (a) (c) | 614,277 | 617,974 | ||||||
Series 2019-INV3, Class M1, 3.279% VRN 11/25/59 (a) (c) | 265,000 | 267,303 | ||||||
Series 2020-4, Class M1, 3.291% VRN 5/25/65 (a) (c) | 548,000 | 555,403 | ||||||
12,687,382 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $74,556,342) | 74,558,616 | |||||||
Principal | Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (e) — 1.2% | ||||||||
Pass-Through Securities — 0.0% | ||||||||
Federal National Mortgage Association Pool #775539 12 mo. USD LIBOR + 1.641% 1.891% 5/01/34 | $ | 2,401 | $ | 2,485 | ||||
Government National Mortgage Association | ||||||||
Pool #371146 7.000% 9/15/23 | 7 | 7 | ||||||
Pool #352022 7.000% 11/15/23 | 216 | 225 | ||||||
Pool #491089 7.000% 12/15/28 | 914 | 978 | ||||||
Pool #500928 7.000% 5/15/29 | 506 | 570 | ||||||
Pool #499410 7.000% 7/15/29 | 188 | 213 | ||||||
Pool #510083 7.000% 7/15/29 | 124 | 139 | ||||||
Pool #493723 7.000% 8/15/29 | 378 | 427 | ||||||
Pool #581417 7.000% 7/15/32 | 734 | 820 | ||||||
Government National Mortgage Association II | ||||||||
Pool #008746 1 year CMT + 1.500% 2.125% FRN 11/20/25 | 297 | 300 | ||||||
Pool #080136 1 year CMT + 1.500% 2.125% FRN 11/20/27 | 82 | 83 | ||||||
6,247 | ||||||||
Whole Loans — 1.2% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||
Series 2021-DNA6, Class M2, SOFR30A + 1.500% 1.550% FRN 10/25/41 (a) | 1,046,000 | 1,046,000 | ||||||
Series 2021-DNA2, Class M2, SOFR30A + 2.300% 2.350% FRN 8/25/33 (a) | 955,000 | 972,529 | ||||||
2,018,529 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $2,007,299) | 2,024,776 | |||||||
TOTAL BONDS & NOTES (Cost $165,360,698) | 165,137,436 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.1% (Cost $147,532) | 97,513 | |||||||
The accompanying notes are an integral part of the financial statements.
120
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
MUTUAL FUNDS — 0.2% | ||||||||
Diversified Financial Services — 0.2% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (f) | 442,000 | $ | 442,000 | |||||
TOTAL MUTUAL FUNDS (Cost $442,000) | 442,000 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $165,950,230) | 165,676,949 | |||||||
Principal | ||||||||
SHORT-TERM INVESTMENTS — 1.7% | ||||||||
Commercial Paper — 1.7% | ||||||||
American Electric Power Co., Inc. | ||||||||
0.254% 1/03/22 (a) | $ | 1,000,000 | 999,987 | |||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
0.203% 2/01/22 | 1,000,000 | 999,916 | ||||||
Tampa Electric Co. | ||||||||
0.355% 1/10/22 (a) | 1,000,000 | 999,977 | ||||||
2,999,880 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,999,726) | 2,999,880 | |||||||
TOTAL INVESTMENTS — 98.8% (Cost $168,949,956) (g) | 168,676,829 | |||||||
Other Assets/(Liabilities) — 1.2% | 2,066,640 | |||||||
NET ASSETS — 100.0% | $ | 170,743,469 |
Abbreviation Legend
CLO | Collateralized Loan Obligation |
FRN | Floating Rate Note |
STEP | Step Up Bond |
VRN | Variable Rate Note |
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, 2021, the aggregate market value of these securities amounted to $115,648,678 or 67.73% of net assets. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2021, was $432,402 or 0.25% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. |
(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, 2021. |
(d) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2021, these securities amounted to a value of $1,808,956 or 1.06% of net assets. |
(e) | May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
(f) | Represents investment of security lending cash collateral. (Note 2). |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 66.8 | % | ||
Cayman Islands | 10.5 | % | ||
Bermuda | 2.4 | % | ||
United Kingdom | 2.2 | % | ||
Netherlands | 1.9 | % | ||
Luxembourg | 1.8 | % | ||
Canada | 1.4 | % | ||
Switzerland | 1.1 | % | ||
France | 1.1 | % | ||
Mexico | 1.0 | % | ||
Indonesia | 0.9 | % | ||
India | 0.9 | % | ||
Australia | 0.6 | % | ||
Denmark | 0.5 | % | ||
Ireland | 0.5 | % | ||
Germany | 0.5 | % | ||
Hong Kong | 0.4 | % | ||
China | 0.4 | % | ||
British Virgin Islands | 0.4 | % | ||
Saudi Arabia | 0.4 | % | ||
Panama | 0.4 | % | ||
Sweden | 0.4 | % | ||
Spain | 0.3 | % | ||
Italy | 0.3 | % | ||
Total Long-Term Investments | 97.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.9 | % | ||
Net Assets | 100.0 | % |
The accompanying notes are an integral part of the financial statements.
121
MML Short-Duration Bond Fund – Portfolio of Investments (Continued) |
(#) Interest Rate Swaptions Purchased
Paid by Fund | Received by Fund | ||||||||||||||||||||||||||||||||||||||||
Description | Counterparty | Expiration | Rate | Frequency | Rate | Frequency | Notional | Value | Premium | Unrealized | |||||||||||||||||||||||||||||||
Put | |||||||||||||||||||||||||||||||||||||||||
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 | 3,080,000 | $ | 97,513 | $ | 147,532 | $ | (50,019 | ) |
Futures contracts
| Expiration | Number of | Notional | Value/ Net | ||||||||||||
Long | ||||||||||||||||
U.S. Treasury Long Bond | 3/22/22 | 6 | $ | 958,895 | $ | 3,730 | ||||||||||
U.S. Treasury Note 10 Year | 3/22/22 | 152 | 19,772,361 | 58,889 | ||||||||||||
| $ | 62,619 | ||||||||||||||
Short | ||||||||||||||||
U.S. Treasury Ultra 10 Year | 3/22/22 | 50 | $ | (7,244,759 | ) | $ | (77,116 | ) | ||||||||
U.S. Treasury Note 5 Year | 3/31/22 | 498 | (60,275,918 | ) | 29,590 | |||||||||||
| $ | (47,526 | ) |
Centrally Cleared Interest Rate Swaps
Paid by the Fund | Received by the Fund | ||||||||||||||||||||||||||||||||
Rate/ Reference | Frequency | Rate/ Reference | Frequency | Termination | Notional | Value | Upfront | Unrealized | |||||||||||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.047% | Semi-Annually | 11/22/24 | USD | 27,500,000 | $ | (68,795 | ) | $ | — | $ | (68,795 | ) | |||||||||||||||||||
3-Month USD LIBOR BBA | Quarterly | Fixed 1.174% | Semi-Annually | 1/04/25 | USD | 49,500,000 | 17,357 | — | 17,357 | ||||||||||||||||||||||||
$ | (51,438 | ) | $ | — | $ | (51,438 | ) |
* Contracts are subject to a Master Netting Agreement.
## Exercise Rate.
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
122
December 31, 2021 |
Number of | Value | |||||||
EQUITIES — 98.7% | ||||||||
COMMON STOCK — 98.7% | ||||||||
Basic Materials — 3.2% | ||||||||
Chemicals — 1.4% | ||||||||
Amyris, Inc. (a) (b) | 73,270 | $ | 396,391 | |||||
Diversey Holdings Ltd. (a) | 64,434 | 857,617 | ||||||
NewMarket Corp. | 2,313 | 792,711 | ||||||
2,046,719 | ||||||||
Mining — 1.8% | ||||||||
Compass Minerals International, Inc. | 23,344 | 1,192,411 | ||||||
Kaiser Aluminum Corp. | 15,307 | 1,437,940 | ||||||
2,630,351 | ||||||||
4,677,070 | ||||||||
Communications — 3.0% | ||||||||
Internet — 2.0% | ||||||||
Overstock.com, Inc. (a) | 16,241 | 958,381 | ||||||
Q2 Holdings, Inc. (a) | 25,763 | 2,046,613 | ||||||
3,004,994 | ||||||||
Telecommunications — 1.0% | ||||||||
EchoStar Corp. Class A (a) | 53,215 | 1,402,215 | ||||||
4,407,209 | ||||||||
Consumer, Cyclical — 11.3% | ||||||||
Airlines — 0.5% | ||||||||
Spirit Airlines, Inc. (a) | 32,798 | 716,636 | ||||||
Auto Parts & Equipment — 3.0% | ||||||||
Allison Transmission Holdings, Inc. | 22,392 | 813,949 | ||||||
Dorman Products, Inc. (a) | 16,804 | 1,899,020 | ||||||
Visteon Corp. (a) | 15,370 | 1,708,222 | ||||||
4,421,191 | ||||||||
Entertainment — 0.8% | ||||||||
Cedar Fair LP (a) (c) | 23,879 | 1,195,383 | ||||||
Home Builders — 0.4% | ||||||||
Skyline Champion Corp. (a) | 6,826 | 539,117 | ||||||
Lodging — 0.5% | ||||||||
Boyd Gaming Corp. (a) | 11,756 | 770,841 | ||||||
Retail — 6.1% | ||||||||
AutoNation, Inc. (a) | 23,786 | 2,779,394 | ||||||
BJ’s Wholesale Club Holdings, Inc. (a) | 32,089 | 2,149,000 | ||||||
Denny’s Corp. (a) | 88,814 | 1,421,024 | ||||||
Suburban Propane Partners LP (c) | 80,589 | 1,180,629 | ||||||
Texas Roadhouse, Inc. | 15,477 | 1,381,787 | ||||||
8,911,834 | ||||||||
16,555,002 |
Number of | Value | |||||||
Consumer, Non-cyclical — 22.7% | ||||||||
Biotechnology — 2.1% | ||||||||
ADC Therapeutics SA (a) | 10,488 | $ | 211,858 | |||||
Avid Bioservices, Inc. (a) (b) | 38,589 | 1,126,027 | ||||||
NeoGenomics, Inc. (a) | 30,785 | 1,050,384 | ||||||
Twist Bioscience Corp. (a) | 9,939 | 769,179 | ||||||
3,157,448 | ||||||||
Commercial Services — 5.4% | ||||||||
ASGN, Inc. (a) | 20,508 | 2,530,687 | ||||||
Korn Ferry | 35,645 | 2,699,396 | ||||||
Monro, Inc. | 33,191 | 1,934,040 | ||||||
Paya Holdings, Inc. Class A (a) | 124,695 | 790,566 | ||||||
7,954,689 | ||||||||
Food — 2.6% | ||||||||
BellRing Brands, Inc. Class A (a) | 59,631 | 1,701,273 | ||||||
The Simply Good Foods Co. (a) | 50,311 | 2,091,428 | ||||||
3,792,701 | ||||||||
Health Care – Products — 4.9% | ||||||||
Adaptive Biotechnologies Corp. (a) (b) | 23,477 | 658,764 | ||||||
AtriCure, Inc. (a) | 24,834 | 1,726,708 | ||||||
BioLife Solutions, Inc. (a) | 25,732 | 959,032 | ||||||
Inspire Medical Systems, Inc. (a) | 9,716 | 2,235,263 | ||||||
Tandem Diabetes Care, Inc. (a) | 10,889 | 1,639,012 | ||||||
7,218,779 | ||||||||
Health Care – Services — 6.0% | ||||||||
Acadia Healthcare Co., Inc. (a) | 36,290 | 2,202,803 | ||||||
Addus HomeCare Corp. (a) | 17,297 | 1,617,443 | ||||||
LHC Group, Inc. (a) | 13,835 | 1,898,577 | ||||||
Tenet Healthcare Corp. (a) | 37,647 | 3,075,383 | ||||||
8,794,206 | ||||||||
Household Products & Wares — 0.5% | ||||||||
ACCO Brands Corp. | 97,682 | 806,853 | ||||||
Pharmaceuticals — 1.2% | ||||||||
Collegium Pharmaceutical, Inc. (a) | 32,949 | 615,487 | ||||||
Heska Corp. (a) | 5,966 | 1,088,736 | ||||||
1,704,223 | ||||||||
33,428,899 | ||||||||
Energy — 2.3% | ||||||||
Oil & Gas — 1.8% | ||||||||
Chesapeake Energy Corp. | 20,144 | 1,299,691 | ||||||
CNX Resources Corp. (a) | 94,327 | 1,296,996 | ||||||
2,596,687 | ||||||||
Oil & Gas Services — 0.5% | ||||||||
Nov, Inc. | 54,438 | 737,635 | ||||||
3,334,322 |
The accompanying notes are an integral part of the financial statements.
123
MML Small Cap Equity Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Financial — 19.3% | ||||||||
Banks — 4.5% | ||||||||
The Bank of NT Butterfield & Son Ltd. | 29,137 | $ | 1,110,411 | |||||
BankUnited, Inc. | 39,800 | 1,683,938 | ||||||
Cathay General Bancorp | 33,318 | 1,432,341 | ||||||
FB Financial Corp. | 18,142 | 794,982 | ||||||
Heritage Financial Corp. | 34,698 | 848,019 | ||||||
Silvergate Capital Corp. Class A (a) | 4,908 | 727,366 | ||||||
6,597,057 | ||||||||
Diversified Financial Services — 4.0% | ||||||||
Federated Hermes, Inc. | 38,874 | 1,460,885 | ||||||
Focus Financial Partners, Inc. Class A (a) | 31,627 | 1,888,765 | ||||||
Stifel Financial Corp. | 36,548 | 2,573,710 | ||||||
5,923,360 | ||||||||
Insurance — 0.9% | ||||||||
Definity Financial Corp. (a) | 55,027 | 1,284,594 | ||||||
Real Estate Investment Trusts (REITS) — 4.3% | ||||||||
DiamondRock Hospitality Co. (a) | 166,155 | 1,596,750 | ||||||
Four Corners Property Trust, Inc. | 69,398 | 2,040,995 | ||||||
National Storage Affiliates Trust | 38,621 | 2,672,573 | ||||||
6,310,318 | ||||||||
Savings & Loans — 5.6% | ||||||||
Berkshire Hills Bancorp, Inc. | 33,534 | 953,372 | ||||||
OceanFirst Financial Corp. | 42,528 | 944,122 | ||||||
Pacific Premier Bancorp, Inc. | 41,430 | 1,658,443 | ||||||
Sterling Bancorp | 97,326 | 2,510,037 | ||||||
WSFS Financial Corp. | 44,326 | 2,221,619 | ||||||
8,287,593 | ||||||||
28,402,922 | ||||||||
Industrial — 18.2% | ||||||||
Building Materials — 2.6% | ||||||||
Masonite International Corp. (a) | 13,692 | 1,614,972 | ||||||
Summit Materials, Inc. Class A (a) | 56,544 | 2,269,676 | ||||||
3,884,648 | ||||||||
Electrical Components & Equipment — 1.5% | ||||||||
Energizer Holdings, Inc. | 28,448 | 1,140,765 | ||||||
EnerSys | 14,349 | 1,134,432 | ||||||
2,275,197 | ||||||||
Electronics — 1.6% | ||||||||
Atkore, Inc. (a) | 20,583 | 2,288,624 | ||||||
Engineering & Construction — 2.5% | ||||||||
Comfort Systems USA, Inc. | 12,189 | 1,205,980 | ||||||
TopBuild Corp. (a) | 8,752 | 2,414,764 | ||||||
3,620,744 |
Number of | Value | |||||||
Environmental Controls — 2.0% | ||||||||
Evoqua Water Technologies Corp. (a) | 62,022 | $ | 2,899,528 | |||||
Hand & Machine Tools — 1.1% | ||||||||
Regal Rexnord Corp. | 9,493 | 1,615,519 | ||||||
Machinery – Diversified — 2.4% | ||||||||
Curtiss-Wright Corp. | 11,019 | 1,528,005 | ||||||
Zurn Water Solutions Corp. | 52,890 | 1,925,196 | ||||||
3,453,201 | ||||||||
Metal Fabricate & Hardware — 0.8% | ||||||||
Valmont Industries, Inc. | 4,875 | 1,221,187 | ||||||
Miscellaneous - Manufacturing — 1.2% | ||||||||
EnPro Industries, Inc. | 15,477 | 1,703,553 | ||||||
Packaging & Containers — 0.7% | ||||||||
Silgan Holdings, Inc. | 25,113 | 1,075,841 | ||||||
Transportation — 1.8% | ||||||||
CryoPort, Inc. (a) | 25,311 | 1,497,652 | ||||||
Hub Group, Inc. Class A (a) | 13,572 | 1,143,305 | ||||||
2,640,957 | ||||||||
26,678,999 | ||||||||
Technology — 15.5% | ||||||||
Computers — 2.9% | ||||||||
CACI International, Inc. Class A (a) | 6,983 | 1,879,893 | ||||||
KBR, Inc. | 48,467 | 2,307,999 | ||||||
4,187,892 | ||||||||
Semiconductors — 5.2% | ||||||||
Allegro MicroSystems, Inc. (a) | 29,240 | 1,057,903 | ||||||
Azenta, Inc. | 26,271 | 2,708,803 | ||||||
MKS Instruments, Inc. | 10,001 | 1,741,874 | ||||||
Semtech Corp. (a) | 23,687 | 2,106,485 | ||||||
7,615,065 | ||||||||
Software — 7.4% | ||||||||
BlackBerry Ltd. (a) | 78,023 | 729,515 | ||||||
Bottomline Technologies de, Inc. (a) | 36,652 | 2,069,738 | ||||||
Consensus Cloud Solutions, Inc. (a) | 13,246 | 766,546 | ||||||
Envestnet, Inc. (a) | 11,526 | 914,473 | ||||||
Everbridge, Inc. (a) | 5,767 | 388,292 | ||||||
Olo, Inc. Class A (a) | 26,082 | 542,766 | ||||||
Paycor HCM, Inc. (a) (b) | 43,795 | 1,261,734 | ||||||
Ziff Davis, Inc. (a) | 24,967 | 2,767,842 | ||||||
Zynga, Inc. Class A (a) | 229,804 | 1,470,746 | ||||||
10,911,652 | ||||||||
22,714,609 | ||||||||
Utilities — 3.2% | ||||||||
Electric — 1.3% | ||||||||
Avista Corp. | 44,841 | 1,905,294 |
The accompanying notes are an integral part of the financial statements.
124
MML Small Cap Equity Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Gas — 1.9% | ||||||||
National Fuel Gas Co. | 25,684 | $ | 1,642,235 | |||||
Northwest Natural Holding Co. | 25,444 | 1,241,158 | ||||||
2,883,393 | ||||||||
4,788,687 | ||||||||
TOTAL COMMON STOCK (Cost $92,767,075) | 144,987,719 | |||||||
TOTAL EQUITIES (Cost $92,767,075) | 144,987,719 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $92,767,075) | 144,987,719 | |||||||
Principal | ||||||||
SHORT-TERM INVESTMENTS — 1.6% | ||||||||
Repurchase Agreement — 1.6% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/21, 0.000%, due 1/03/22 (d) | $ | 2,323,800 | 2,323,800 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,323,800) | 2,323,800 | |||||||
TOTAL INVESTMENTS — 100.3% (Cost $95,090,875) (e) | 147,311,519 | |||||||
Other Assets/(Liabilities) — (0.3)% | (423,632 | ) | ||||||
NET ASSETS — 100.0% | $ | 146,887,887 |
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, 2021, was $1,228,453 or 0.84% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $1,255,210 of non-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) | Maturity value of $2,323,800. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 7/31/28, and an aggregate market value, including accrued interest, of $2,370,340. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
125
December 31, 2021 |
Number of | Value | |||||||
EQUITIES — 100.0% | ||||||||
COMMON STOCK — 100.0% | ||||||||
Basic Materials — 4.6% | ||||||||
Chemicals — 4.6% | ||||||||
Dow, Inc. | 30,190 | $ | 1,712,377 | |||||
Communications — 28.0% | ||||||||
Internet — 27.6% | ||||||||
Airbnb, Inc. Class A (a) | 14,158 | 2,357,165 | ||||||
Bumble, Inc. (a) | 2,952 | 99,955 | ||||||
Chewy, Inc. Class A (a) (b) | 3,608 | 212,764 | ||||||
DoorDash, Inc., Class A (a) | 6,610 | 984,229 | ||||||
Lyft, Inc. Class A (a) | 12,059 | 515,281 | ||||||
Marqeta, Inc. Class A (a) | 9,485 | 162,857 | ||||||
Pinterest, Inc. Class A (a) | 22,957 | 834,487 | ||||||
Robinhood Markets, Inc. (a) (b) | 2,353 | 41,789 | ||||||
Snap, Inc. Class A (a) | 43,712 | 2,055,775 | ||||||
Uber Technologies, Inc. (a) | 68,128 | 2,856,607 | ||||||
Vimeo, Inc. (a) | 6,360 | 114,226 | ||||||
10,235,135 | ||||||||
Media — 0.4% | ||||||||
Altice USA, Inc. Class A (a) | 9,214 | 149,083 | ||||||
10,384,218 | ||||||||
Consumer, Cyclical — 7.6% | ||||||||
Apparel — 0.3% | ||||||||
Kontoor Brands, Inc. | 1,940 | 99,425 | ||||||
Auto Manufacturers — 1.9% | ||||||||
Rivian Automotive, Inc. Class A (a) | 6,318 | 655,114 | ||||||
TuSimple Holdings, Inc. Class A (a) | 1,372 | 49,186 | ||||||
704,300 | ||||||||
Auto Parts & Equipment — 0.4% | ||||||||
Veoneer, Inc. (a) (b) | 4,113 | 145,929 | ||||||
Distribution & Wholesale — 1.2% | ||||||||
IAA, Inc. (a) | 5,501 | 278,460 | ||||||
Resideo Technologies, Inc. (a) | 5,890 | 153,317 | ||||||
431,777 | ||||||||
Entertainment — 1.6% | ||||||||
Madison Square Garden Entertainment Corp. (a) | 1,037 | 72,943 | ||||||
Penn National Gaming, Inc. (a) | 6,777 | 351,387 | ||||||
Warner Music Group Corp. Class A | 4,145 | 178,981 | ||||||
603,311 | ||||||||
Lodging — 1.4% | ||||||||
Hilton Grand Vacations, Inc. (a) | 3,617 | 188,482 | ||||||
Wyndham Hotels & Resorts, Inc. | 3,801 | 340,759 | ||||||
529,241 | ||||||||
Retail — 0.8% | ||||||||
Olaplex Holdings, Inc. (a) | 2,909 | 84,739 |
Number of | Value | |||||||
Petco Health & Wellness Co., Inc. (a) (b) | 3,287 | $ | 65,050 | |||||
Victoria’s Secret & Co. (a) | 2,955 | 164,121 | ||||||
313,910 | ||||||||
2,827,893 | ||||||||
Consumer, Non-cyclical — 15.3% | ||||||||
Biotechnology — 5.9% | ||||||||
Corteva, Inc. | 29,738 | 1,406,013 | ||||||
Maravai LifeSciences Holdings, Inc. Class A (a) | 4,450 | 186,455 | ||||||
Royalty Pharma PLC Class A | 14,544 | 579,578 | ||||||
2,172,046 | ||||||||
Commercial Services — 3.1% | ||||||||
Affirm Holdings, Inc. (a) | 5,966 | 599,941 | ||||||
Driven Brands Holdings, Inc. (a) | 2,255 | 75,813 | ||||||
GXO Logistics, Inc. (a) | 4,022 | 365,318 | ||||||
Toast, Inc., Class A (a) | 3,008 | 104,408 | ||||||
1,145,480 | ||||||||
Health Care – Products — 3.2% | ||||||||
Avantor, Inc. (a) | 24,864 | 1,047,769 | ||||||
Ortho Clinical Diagnostics Holdings PLC Class H (a) | 4,639 | 99,228 | ||||||
Varex Imaging Corp. (a) | 1,588 | 50,102 | ||||||
1,197,099 | ||||||||
Health Care – Services — 0.4% | ||||||||
agilon health, Inc. (a) | 1,904 | 51,408 | ||||||
Sotera Health Co. (a) | 4,039 | 95,118 | ||||||
146,526 | ||||||||
Household Products & Wares — 0.2% | ||||||||
Reynolds Consumer Products, Inc. | 2,230 | 70,022 | ||||||
Pharmaceuticals — 2.5% | ||||||||
Covetrus, Inc. (a) | 4,218 | 84,234 | ||||||
Elanco Animal Health, Inc. (a) | 19,301 | 547,762 | ||||||
Organon & Co. | 10,344 | 314,975 | ||||||
946,971 | ||||||||
5,678,144 | ||||||||
Energy — 2.1% | ||||||||
Energy – Alternate Sources — 0.6% | ||||||||
Array Technologies, Inc. (a) | 4,872 | 76,442 | ||||||
Fluence Energy, Inc. (a) | 1,375 | 48,895 | ||||||
Shoals Technologies Group, Inc. Class A (a) | 4,250 | 103,275 | ||||||
228,612 | ||||||||
Oil & Gas — 0.5% | ||||||||
DTE Midstream LLC (a) | 3,946 | 189,329 | ||||||
Oil & Gas Services — 0.5% | ||||||||
ChampionX Corp. (a) | 8,244 | 166,611 |
The accompanying notes are an integral part of the financial statements.
126
MML Special Situations Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Pipelines — 0.5% | ||||||||
Equitrans Midstream Corp. | 16,586 | $ | 171,499 | |||||
756,051 | ||||||||
Financial — 10.8% | ||||||||
Diversified Financial Services — 1.4% | ||||||||
Rocket Cos., Inc. Class A | 5,517 | 77,238 | ||||||
Tradeweb Markets, Inc. Class A | 4,289 | 429,501 | ||||||
506,739 | ||||||||
Insurance — 2.1% | ||||||||
Brighthouse Financial, Inc. (a) | 3,256 | 168,661 | ||||||
Equitable Holdings, Inc. | 15,357 | 503,556 | ||||||
Ryan Specialty Group Holdings, Inc. Class A (a) | 2,376 | 95,871 | ||||||
768,088 | ||||||||
Real Estate — 0.3% | ||||||||
Newmark Group, Inc. Class A | 6,707 | 125,421 | ||||||
Real Estate Investment Trusts (REITS) — 7.0% | ||||||||
Apartment Income REIT Corp. | 6,404 | 350,107 | ||||||
Invitation Homes, Inc. | 24,347 | 1,103,893 | ||||||
JBG SMITH Properties | 4,657 | 133,702 | ||||||
Orion Office REIT, Inc. (a) | 2,184 | 40,775 | ||||||
Park Hotels & Resorts, Inc. (a) | 9,647 | 182,135 | ||||||
VICI Properties, Inc. | 25,659 | 772,593 | ||||||
2,583,205 | ||||||||
3,983,453 | ||||||||
Industrial — 11.7% | ||||||||
Building Materials — 5.7% | ||||||||
The AZEK Co., Inc (a) | 4,548 | 210,299 | ||||||
Carrier Global Corp. | 35,369 | 1,918,415 | ||||||
2,128,714 | ||||||||
Electronics — 1.3% | ||||||||
nVent Electric PLC | 6,863 | 260,794 | ||||||
Vontier Corp. | 6,897 | 211,945 | ||||||
472,739 | ||||||||
Engineering & Construction — 0.6% | ||||||||
Arcosa, Inc. | 1,971 | 103,872 | ||||||
frontdoor, Inc. (a) | 3,454 | 126,589 | ||||||
230,461 | ||||||||
Machinery – Diversified — 4.1% | ||||||||
Otis Worldwide Corp. | 17,333 | 1,509,184 | ||||||
4,341,098 | ||||||||
Technology — 19.9% | ||||||||
Computers — 0.3% | ||||||||
Kyndryl Holdings, Inc. (a) | 7,308 | 132,275 | ||||||
Semiconductors — 0.4% | ||||||||
GLOBALFOUNDRIES, Inc. (a) | 2,181 | 141,699 |
Number of | Value | |||||||
Software — 19.2% | ||||||||
AppLovin Corp. (a) | 1,108 | $ | 104,440 | |||||
Avaya Holdings Corp. (a) | 3,440 | 68,112 | ||||||
C3.ai, Inc. (a) (b) | 2,873 | 89,781 | ||||||
Concentrix Corp. | 1,750 | 312,585 | ||||||
Consensus Cloud Solutions, Inc. (a) | 647 | 37,442 | ||||||
Doximity, Inc. Class A (a) | 1,986 | 99,558 | ||||||
Dropbox, Inc. Class A (a) | 11,515 | 282,578 | ||||||
Freshworks, Inc. (a) | 1,390 | 36,501 | ||||||
Gitlab, Inc. (a) | 419 | 36,453 | ||||||
Oscar Health, Inc. (a) (b) | 1,547 | 12,144 | ||||||
Playtika Holding Corp. (a) | 4,180 | 72,272 | ||||||
PowerSchool Holdings, Inc., Class A (a) | 1,655 | 27,258 | ||||||
Qualtrics International Inc (a) | 3,856 | 136,503 | ||||||
ROBLOX Corp. Class A (a) | 1,721 | 177,538 | ||||||
SentinelOne Inc. Class A (a) | 1,700 | 85,833 | ||||||
Snowflake, Inc. Class A (a) | 7,861 | 2,662,914 | ||||||
UiPath, Inc. Class A (a) | 10,552 | 455,108 | ||||||
Zoom Video Communications, Inc. Class A (a) | 8,842 | 1,626,132 | ||||||
ZoomInfo Technologies, Inc. Class A (a) | 12,337 | 792,036 | ||||||
7,115,188 | ||||||||
7,389,162 | ||||||||
TOTAL COMMON STOCK (Cost $36,010,174) | 37,072,396 | |||||||
TOTAL EQUITIES (Cost $36,010,174) | 37,072,396 | |||||||
MUTUAL FUNDS — 1.1% | ||||||||
Diversified Financial Services — 1.1% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (c) | 411,009 | 411,009 | ||||||
TOTAL MUTUAL FUNDS (Cost $411,009) | 411,009 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $36,421,183) | 37,483,405 | |||||||
TOTAL INVESTMENTS — 101.1% (Cost $36,421,183) (d) | 37,483,405 | |||||||
Other Assets/(Liabilities) — (1.1)% | (412,046 | ) | ||||||
NET ASSETS — 100.0% | $ | 37,071,359 |
The accompanying notes are an integral part of the financial statements.
127
MML Special Situations Fund – Portfolio of Investments (Continued) |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2021, was $557,978 or 1.51% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $162,148 of non-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) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
128
MML Strategic Emerging Markets Fund – Portfolio of Investments |
December 31, 2021 |
Number of | Value | |||||||
EQUITIES — 98.5% | ||||||||
COMMON STOCK — 98.1% | ||||||||
Brazil — 3.3% | ||||||||
Ambev SA | 125,612 | $ | 353,847 | |||||
Americanas SA (a) | 40,325 | 228,418 | ||||||
Lojas Renner SA | 50,870 | 222,719 | ||||||
Vale SA Sponsored ADR | 104,146 | 1,460,127 | ||||||
2,265,111 | ||||||||
Cayman Islands — 23.8% | ||||||||
Alibaba Group Holding Ltd. (a) | 8,300 | 124,267 | ||||||
BeiGene Ltd. ADR (a) | 3,292 | 891,902 | ||||||
Brii Biosciences Ltd. (a) | 56,000 | 236,853 | ||||||
Budweiser Brewing Co. APAC Ltd. (b) | 80,800 | 211,925 | ||||||
Grab Holdings Ltd. (a) | 137,058 | 977,224 | ||||||
Grab Holdings, Ltd. (Acquired 6/18/19, Cost $1,512,249) (a) (c) (d) | 319,800 | 2,280,174 | ||||||
Huazhu Group Ltd. ADR (a) | 40,819 | 1,524,181 | ||||||
Innovent Biologics, Inc. (a) (b) | 15,000 | 92,922 | ||||||
Keymed Biosciences, Inc. (a) (b) | 7,296 | 32,285 | ||||||
Keymed Biosciences, Inc. (Acquired 7/02/21, Cost $76,263) (a) (b) (c) (d) | 11,000 | 46,241 | ||||||
Meituan Class B (a) (b) | 27,600 | 797,913 | ||||||
NetEase, Inc. ADR | 18,629 | 1,896,060 | ||||||
New Horizon Health Ltd. (a) (b) | 21,500 | 60,670 | ||||||
NU Holdings Ltd/Cayman Islands (a) | 31,800 | 298,284 | ||||||
OneConnect Financial Technology Co. Ltd. (a) | 10,443 | 25,794 | ||||||
Pagseguro Digital Ltd. Class A (a) | 18,847 | 494,168 | ||||||
Pinduoduo, Inc. ADR (a) | 15,926 | 928,486 | ||||||
Sunny Optical Technology Group Co. Ltd. | 7,600 | 240,378 | ||||||
Tencent Holdings Ltd. | 35,609 | 2,088,939 | ||||||
Wuxi Biologics Cayman, Inc. (a) (b) | 105,500 | 1,254,015 | ||||||
Zai Lab Ltd. ADR (a) | 9,490 | 596,447 | ||||||
ZTO Express Cayman, Inc. | 3,337 | 93,613 | ||||||
ZTO Express Cayman, Inc. ADR | 37,445 | 1,056,698 | ||||||
16,249,439 | ||||||||
China — 0.3% | ||||||||
Contemporary Amperex Technology Co. Ltd. Class A | 700 | 64,559 | ||||||
MicroTech Medical Hangzhou Co. Ltd. (a) (b) | 15,700 | 50,535 | ||||||
Remegen Co. Ltd. Class H (a) (b) | 8,159 | 81,517 | ||||||
196,611 | ||||||||
Cyprus — 0.3% | ||||||||
TCS Group Holding PLC (b) | 2,553 | 215,269 |
Number of | Value | |||||||
Denmark — 0.1% | ||||||||
Carlsberg A/S Class B | 459 | $ | 78,845 | |||||
Egypt — 0.6% | ||||||||
Commercial International Bank Egypt SAE (a) | 115,229 | 388,669 | ||||||
France — 4.1% | ||||||||
Kering SA | 1,622 | 1,301,482 | ||||||
L’Oreal SA | 73 | 34,605 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 53 | 43,736 | ||||||
Pernod Ricard SA | 5,829 | 1,402,443 | ||||||
2,782,266 | ||||||||
Hong Kong — 4.2% | ||||||||
AIA Group Ltd. | 275,800 | 2,780,456 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 1,300 | 75,984 | ||||||
2,856,440 | ||||||||
India — 17.0% | ||||||||
Godrej Properties Ltd. (a) | 5,948 | 149,772 | ||||||
HDFC Life Insurance Co. Ltd. (b) | 22,474 | 196,950 | ||||||
Housing Development Finance Corp. Ltd. | 101,013 | 3,499,824 | ||||||
Infosys Ltd. | 50,809 | 1,293,100 | ||||||
Kotak Mahindra Bank Ltd. | 102,736 | 2,483,119 | ||||||
Macrotech Developers Ltd. (a) (b) | 8,400 | 139,812 | ||||||
Oberoi Realty Ltd. (a) | 27,590 | 319,268 | ||||||
Tata Consultancy Services Ltd. | 47,567 | 2,393,546 | ||||||
Zee Entertainment Enterprises Ltd. | 261,439 | 1,121,317 | ||||||
11,596,708 | ||||||||
Indonesia — 0.9% | ||||||||
Bank Central Asia Tbk PT | 1,211,300 | 613,842 | ||||||
Semen Indonesia Persero Tbk PT | 32,600 | 16,560 | ||||||
630,402 | ||||||||
Italy — 1.6% | ||||||||
Moncler SpA | 6,137 | 443,556 | ||||||
PRADA SpA | 100,400 | 642,956 | ||||||
1,086,512 | ||||||||
Luxembourg — 0.4% | ||||||||
InPost SA (a) | 24,129 | 291,467 | ||||||
Mexico — 5.9% | ||||||||
Alsea SAB de CV (a) | 18,244 | 33,912 | ||||||
America Movil SAB de CV Sponsored ADR | 3,294 | 69,536 | ||||||
Fomento Economico Mexicano SAB de CV | 141,718 | 1,103,885 | ||||||
Grupo Mexico SAB de CV Series B | 405,941 | 1,769,642 | ||||||
Wal-Mart de Mexico SAB de CV | 281,244 | 1,046,930 | ||||||
4,023,905 |
The accompanying notes are an integral part of the financial statements.
129
MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued) |
Number of | Value | |||||||
Netherlands — 2.9% | ||||||||
Yandex NV Class A (a) | 33,229 | $ | 2,010,355 | |||||
Philippines — 2.1% | ||||||||
Ayala Land, Inc. | 657,700 | 473,536 | ||||||
SM Investments Corp. | 39,375 | 728,338 | ||||||
SM Prime Holdings, Inc. | 334,812 | 222,652 | ||||||
1,424,526 | ||||||||
Republic of Korea — 5.4% | ||||||||
LG Chem Ltd. | 856 | 441,653 | ||||||
NAVER Corp. | 1,217 | 386,359 | ||||||
Samsung Biologics Co. Ltd. (a) (b) | 1,521 | 1,153,943 | ||||||
Samsung Electronics Co. Ltd. | 26,203 | 1,720,231 | ||||||
3,702,186 | ||||||||
Russia — 5.6% | ||||||||
Novatek PJSC Sponsored GDR Registered (b) | 12,116 | 2,828,510 | ||||||
Polyus PJSC (a) | 1,977 | 344,123 | ||||||
Polyus PJSC GDR (b) (c) | 1,904 | 168,028 | ||||||
Polyus PJSC GDR (c) | 40 | 3,530 | ||||||
Sberbank of Russia PJSC | 126,925 | 494,450 | ||||||
3,838,641 | ||||||||
South Africa — 0.6% | ||||||||
FirstRand Ltd. | 107,106 | 408,628 | ||||||
Switzerland — 3.6% | ||||||||
Cie Financiere Richemont SA Registered | 16,733 | 2,498,624 | ||||||
Taiwan — 10.2% | ||||||||
MediaTek, Inc. | 20,000 | 855,093 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 275,000 | 6,089,258 | ||||||
6,944,351 | ||||||||
Turkey — 0.3% | ||||||||
Akbank TAS | 353,364 | 188,730 | ||||||
United Kingdom — 1.3% | ||||||||
Diageo PLC | 1,454 | 79,262 | ||||||
Oxford Nanopore Technologies (a) | 22,561 | 213,129 | ||||||
Prudential PLC | 17,450 | 297,601 | ||||||
Prudential PLC | 18,832 | 324,740 | ||||||
914,732 | ||||||||
United States — 3.6% | ||||||||
MercadoLibre, Inc. (a) | 64 | 86,298 | ||||||
NIKE, Inc. Class B | 441 | 73,501 | ||||||
Yum China Holdings, Inc. | 46,425 | 2,313,822 | ||||||
2,473,621 | ||||||||
TOTAL COMMON STOCK (Cost $59,831,374) | 67,066,038 |
Number of | Value | |||||||
PREFERRED STOCK — 0.4% | ||||||||
Brazil — 0.4% | ||||||||
Lojas Americanas SA 0.640% | ||||||||
| 224,122 | $ | 236,786 | |||||
India — 0.0% | ||||||||
Zee Entertainment Enterprises Ltd. | ||||||||
6.000% | 503,840 | 14,098 | ||||||
TOTAL PREFERRED STOCK (Cost $552,876) | 250,884 | |||||||
TOTAL EQUITIES (Cost $60,384,250) | 67,316,922 | |||||||
WARRANTS — 0.0% | ||||||||
Switzerland — 0.0% | ||||||||
Cie Financiere Richemont SA, Expires 11/22/23, Strike 67.00 (a) | 22,580 | 24,780 | ||||||
TOTAL WARRANTS (Cost $0) | 24,780 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $60,384,250) | 67,341,702 | |||||||
Principal | ||||||||
SHORT-TERM INVESTMENTS — 1.8% | ||||||||
Repurchase Agreement — 1.8% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 12/31/21, 0.000%, due 1/03/22 (e) | $ | 1,196,029 | 1,196,029 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,196,029) | 1,196,029 | |||||||
TOTAL INVESTMENTS — 100.3% (Cost $61,580,279) (f) | 68,537,731 | |||||||
Other Assets/(Liabilities) — (0.3)% | (175,905 | ) | ||||||
NET ASSETS — 100.0% | $ | 68,361,826 |
Abbreviation Legend
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
The accompanying notes are an integral part of the financial statements.
130
MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued) |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | 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, 2021, the aggregate market value of these securities amounted to $7,330,535 or 10.72% of net assets. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2021, these securities amounted to a value of $2,497,973 or 3.65% of net assets. |
(d) | Restricted security. Certain securities are restricted as to resale. At December 31, 2021, these securities amounted to a value of $2,326,415 or 3.40% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(e) | Maturity value of $1,196,029. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 7/31/28, and an aggregate market value, including accrued interest, of $1,219,988. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Technology | 21.0 | % | ||
Financial | 20.4 | % | ||
Consumer, Cyclical | 16.3 | % | ||
Communications | 16.3 | % | ||
Consumer, Non-cyclical | 11.7 | % | ||
Basic Materials | 6.1 | % | ||
Energy | 4.1 | % | ||
Industrial | 2.6 | % | ||
Total Long-Term Investments | 98.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.5 | % | ||
Net Assets | 100.0 | % |
The accompanying notes are an integral part of the financial statements.
131
MML U.S. Government Money Market Fund – Portfolio of Investments |
December 31, 2021 |
Principal | Value | |||||||
SHORT-TERM INVESTMENTS — 100.0% | ||||||||
Discount Notes — 74.8% | ||||||||
Federal Farm Credit Bank | ||||||||
SOFR + .040% (0.020)% FRN, 1/03/22, 8/22/22(a) | $ | 2,500,000 | $ | 2,500,326 | ||||
0.061% , 1/03/22, 1/03/22(a) | 384,999 | 384,999 | ||||||
0.112% , 7/06/22, 7/06/22(a) | 4,400,000 | 4,397,499 | ||||||
Federal Home Loan Bank | ||||||||
SOFR + .060% 0.000% FRN 1/03/22, 2/11/22 (a) | 6,500,000 | 6,500,000 | ||||||
SOFR + .005% 0.000% FRN 1/03/22, 3/11/22 (a) | 8,000,000 | 8,000,000 | ||||||
SOFR + .055% 0.000% FRN 1/03/22, 5/13/22 (a) | 10,000,000 | 10,000,000 | ||||||
SOFR + .010% 0.000% FRN 1/03/22, 9/06/22 (a) | 8,000,000 | 8,000,000 | ||||||
SOFR + .010% 0.000% FRN 1/03/22, 9/08/22 (a) | 10,000,000 | 10,000,000 | ||||||
0.000%1/03/22, 1/03/22 (a) | 7,600,000 | 7,600,000 | ||||||
0.026% 1/14/22, 1/14/22 (a) | 7,000,000 | 6,999,934 | ||||||
0.030% 1/12/22, 1/12/22 (a) | 8,400,000 | 8,399,923 | ||||||
0.030% 1/14/22, 1/14/22 (a) | 1,000,000 | 999,989 | ||||||
0.030% 1/19/22, 1/19/22 (a) | 10,950,000 | 10,949,836 | ||||||
0.030% 1/21/22, 1/21/22 (a) | 1,885,000 | 1,884,969 | ||||||
0.034% 1/21/22, 1/21/22 (a) | 1,500,000 | 1,499,973 | ||||||
0.036% 2/09/22, 2/09/22 (a) | 1,800,000 | 1,799,932 | ||||||
0.041% 2/18/22, 2/18/22 (a) | 4,100,000 | 4,099,781 | ||||||
0.050% 2/09/22, 2/09/22 (a) | 11,400,000 | 11,399,395 | ||||||
0.050% 3/18/22, 3/18/22 (a) | 2,000,000 | 1,999,793 | ||||||
0.122% 6/10/22, 6/10/22 (a) | 7,100,000 | 7,096,213 | ||||||
0.127% 6/10/22, 6/10/22 (a) | 5,500,000 | 5,496,944 | ||||||
0.132% 6/08/22, 6/08/22 (a) | 5,000,000 | 4,997,147 | ||||||
Federal Home Loan Mortgage Corp. SOFR + .150% (0.147)% FRN, 1/03/22, 3/04/22(a) | 1,000,000 | 1,000,251 | ||||||
Federal National Mortgage Association 0.046% , 3/16/22, 3/16/22(a) | 5,000,000 | 4,999,537 | ||||||
131,006,441 | ||||||||
Repurchase Agreement — 8.6% | ||||||||
HSBC Securities (USA) Inc., Tri-Party Repurchase Agreement, dated 12/31/21, 0.040%, due 1/03/22(b) | 15,000,000 | 15,000,000 |
Principal | Value | |||||||
U.S. Treasury Bill — 16.6% | ||||||||
U.S. Treasury Bill | ||||||||
0.045% 3/24/22 (c) | $ | 4,000,000 | $ | 3,999,599 | ||||
0.062% 3/24/22 (c) | 15,000,000 | 14,997,916 | ||||||
0.081% 4/21/22 (c) | 5,000,000 | 4,998,778 | ||||||
0.116% 10/06/22 (c) | 3,000,000 | 2,997,352 | ||||||
0.117% 8/11/22 (c) | 2,000,000 | 1,998,581 | ||||||
28,992,226 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $174,998,667) | 174,998,667 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $174,998,667) (d) | 174,998,667 | |||||||
Other Assets/(Liabilities) — (0.0)% | (7,734 | ) | ||||||
NET ASSETS — 100.0% | $ | 174,990,933 |
Abbreviation Legend
FRN | Floating Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | The stated maturity dates reflect reset date and final maturity date, respectively. |
(b) | Maturity value of $15,000,050. Collateralized by U.S. Government Agency obligations with rates ranging from 0.000% - 3.000%, maturity dates ranging from 10/31/25 - 11/15/49, and an aggregate market value, including accrued interest, of $15,300,014. |
(c) | The rate shown represents yield-to-maturity. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
132
[THIS PAGE INTENTIONALLY LEFT BLANK]
Statements of Assets and Liabilities |
MML | MML | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 845,179,091 | $ | 306,639,088 | ||||
Repurchase agreements, at value (Note 2) (b) | 524,331 | 5,659,271 | ||||||
Other short-term investments, at value (Note 2) (c) | — | — | ||||||
Total investments (d) | 845,703,422 | 312,298,359 | ||||||
Cash | — | 629,738 | ||||||
Foreign currency, at value (e) | — | — | ||||||
Receivables from: | ||||||||
Investments sold | ||||||||
Regular delivery | 20,138,776 | 316,576 | ||||||
Delayed delivery | — | — | ||||||
Fund shares sold | 79,453 | 7,770 | ||||||
Investment adviser (Note 3) | — | — | ||||||
Interest and dividends | 34,758 | 1,384,265 | ||||||
Foreign taxes withheld | — | — | ||||||
Open swap agreements, at value (Note 2) | — | — | ||||||
Total assets | 865,956,409 | 314,636,708 | ||||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | ||||||||
Regular delivery | 19,586,398 | 770,732 | ||||||
Delayed delivery | — | 2,515,157 | ||||||
Collateral held for open swap agreements (Note 2) | — | — | ||||||
Collateral held for open purchased options (Note 2) | — | — | ||||||
Interest and dividends | — | — | ||||||
Fund shares repurchased | 290,784 | 140,125 | ||||||
Collateral held for securities on loan (Note 2) (f) | 7,277,166 | 2,749,574 | ||||||
Trustees’ fees and expenses (Note 3) | 173,701 | 32,199 | ||||||
Variation margin on open derivative instruments (Note 2) | — | — | ||||||
Affiliates (Note 3): | ||||||||
Administration fees | — | 39,531 | ||||||
Investment advisory fees | 285,232 | 105,415 | ||||||
Service fees | 135,512 | 8,397 | ||||||
Due to custodian | — | — | ||||||
Commitment and Contingent Liabilities (Note 9) | — | — | ||||||
Accrued expense and other liabilities | 98,257 | 57,053 | ||||||
Total liabilities | 27,847,050 | 6,418,183 | ||||||
Net assets | $ | 838,109,359 | $ | 308,218,525 | ||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 704,085,493 | $ | 304,195,102 | ||||
Accumulated Gain (Loss) | 134,023,866 | 4,023,423 | ||||||
Net assets | $ | 838,109,359 | $ | 308,218,525 |
(a) | Cost of investments: | $ | 732,726,932 | $ | 310,745,678 | ||||
(b) | Cost of repurchase agreements: | $ | 524,331 | $ | 5,659,271 | ||||
(c) | Cost of other short-term investments: | $ | — | $ | — | ||||
(d) | Securities on loan with market value of: | $ | 9,537,390 | $ | 3,926,053 | ||||
(e) | Cost of foreign currency: | $ | — | $ | — | ||||
(f) | Non-cash collateral is not included. |
The accompanying notes are an integral part of the financial statements.
134
MML | MML | MML | MML | MML | |||||||||||||||
$ | 925,772,746 | $ | 48,856,163 | $ | 52,558,582 | $ | 75,041,805 | $ | 260,892,486 | ||||||||||
4,380,153 | — | — | 1,868,997 | 4,969,760 | |||||||||||||||
538,082 | — | — | 2,999,755 | 26,998,083 | |||||||||||||||
930,690,981 | 48,856,163 | 52,558,582 | 79,910,557 | 292,860,329 | |||||||||||||||
— | 39,403 | 53,468 | 125,069 | 28,300 | |||||||||||||||
— | — | — | 27 | — | |||||||||||||||
1,869,107 | — | — | 37,857 | — | |||||||||||||||
— | — | — | 14,938 | — | |||||||||||||||
109,185 | — | — | 55,275 | 2,394,273 | |||||||||||||||
— | — | — | 3,244 | — | |||||||||||||||
945,895 | 17,305 | 34,895 | 1,181,650 | 282,886 | |||||||||||||||
15,313 | 8,794 | — | 154,852 | — | |||||||||||||||
— | — | — | — | 3,406,321 | |||||||||||||||
933,630,481 | 48,921,665 | 52,646,945 | 81,483,469 | 298,972,109 | |||||||||||||||
1,144,610 | — | — | 357,777 | — | |||||||||||||||
— | — | — | 183,357 | — | |||||||||||||||
— | — | — | — | 3,110,000 | |||||||||||||||
— | — | — | — | 1,510,000 | |||||||||||||||
— | — | — | — | 119,964 | |||||||||||||||
3,442,205 | 15,802 | 5,464 | 37,675 | 65,279 | |||||||||||||||
1,967,430 | — | 11,565 | 3,615,475 | — | |||||||||||||||
216,038 | 2,145 | 2,253 | 18,096 | 73,795 | |||||||||||||||
— | — | — | — | 8,772 | |||||||||||||||
— | 6,056 | 6,455 | 9,732 | — | |||||||||||||||
309,204 | 24,225 | 19,364 | 38,929 | 146,483 | |||||||||||||||
66,993 | 1,407 | 1,689 | 32,661 | 32,672 | |||||||||||||||
388,354 | — | — | — | — | |||||||||||||||
— | — | — | — | — | |||||||||||||||
130,713 | 23,923 | 41,603 | 58,321 | 65,092 | |||||||||||||||
7,665,547 | 73,558 | 88,393 | 4,352,023 | 5,132,057 | |||||||||||||||
$ | 925,964,934 | $ | 48,848,107 | $ | 52,558,552 | $ | 77,131,446 | $ | 293,840,052 | ||||||||||
$ | 578,517,388 | $ | 46,431,007 | $ | 44,147,215 | $ | 80,596,360 | $ | 266,623,947 | ||||||||||
347,447,546 | 2,417,100 | 8,411,337 | (3,464,914 | ) | 27,216,105 | ||||||||||||||
$ | 925,964,934 | $ | 48,848,107 | $ | 52,558,552 | $ | 77,131,446 | $ | 293,840,052 |
$ | 674,670,839 | $ | 46,439,036 | $ | 49,455,311 | $ | 72,794,672 | $ | 259,565,881 | ||||||||||
$ | 4,380,153 | $ | — | $ | — | $ | 1,868,997 | $ | 4,969,760 | ||||||||||
$ | 538,082 | $ | — | $ | — | $ | 2,999,672 | $ | 26,997,116 | ||||||||||
$ | 3,252,316 | $ | — | $ | 11,336 | $ | 4,118,417 | $ | — | ||||||||||
$ | — | $ | — | $ | — | $ | 27 | $ | — | ||||||||||
The accompanying notes are an integral part of the financial statements.
135
MML Series Investment Fund II – Financial Statements (Continued) | |
Statements of Assets and Liabilities |
MML | MML | |||||||
Initial Class shares: | ||||||||
Net assets | $ | 620,819,716 | $ | — | ||||
Shares outstanding (a) | 29,793,188 | — | ||||||
Net asset value, offering price and redemption price per share | $ | 20.84 | $ | — | ||||
Class II shares: | ||||||||
Net assets | $ | — | $ | 294,647,994 | ||||
Shares outstanding (a) | — | 29,297,317 | ||||||
Net asset value, offering price and redemption price per share | $ | — | $ | 10.06 | ||||
Service Class shares: | ||||||||
Net assets | $ | 217,289,643 | $ | — | ||||
Shares outstanding (a) | 10,508,868 | — | ||||||
Net asset value, offering price and redemption price per share | $ | 20.68 | $ | — | ||||
Service Class I shares: | ||||||||
Net assets | $ | — | $ | 13,570,531 | ||||
Shares outstanding (a) | — | 1,356,241 | ||||||
Net asset value, offering price and redemption price per share | $ | — | $ | 10.01 |
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
136
MML | MML | MML | MML | MML | |||||||||||||||
$ | 821,005,577 | $ | — | $ | — | $ | — | $ | 240,863,165 | ||||||||||
25,583,636 | — | — | — | 21,657,786 | |||||||||||||||
$ | 32.09 | $ | — | $ | — | $ | — | $ | 11.12 | ||||||||||
$ | — | $ | 46,686,349 | $ | 49,827,999 | $ | 24,480,974 | $ | — | ||||||||||
— | 4,022,598 | 3,603,676 | 2,443,895 | — | |||||||||||||||
$ | — | $ | 11.61 | $ | 13.83 | $ | 10.02 | $ | — | ||||||||||
$ | 104,959,357 | $ | — | $ | — | $ | — | $ | 52,976,887 | ||||||||||
3,329,963 | — | — | — | 4,804,707 | |||||||||||||||
$ | 31.52 | $ | — | $ | — | $ | — | $ | 11.03 | ||||||||||
$ | — | $ | 2,161,758 | $ | 2,730,553 | $ | 52,650,472 | $ | — | ||||||||||
— | 188,633 | 198,765 | 5,305,992 | — | |||||||||||||||
$ | — | $ | 11.46 | $ | 13.74 | $ | 9.92 | $ | — |
The accompanying notes are an integral part of the financial statements.
137
MML Series Investment Fund II – Financial Statements (Continued) | |
Statements of Assets and Liabilities |
MML | MML | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 1,041,951,723 | $ | 165,676,949 | ||||
Repurchase agreements, at value (Note 2) (b) | 3,216,034 | — | ||||||
Other short-term investments, at value (Note 2) (c) | 107,990,944 | 2,999,880 | ||||||
Total investments (d) | 1,153,158,701 | 168,676,829 | ||||||
Cash | — | 279,572 | ||||||
Foreign currency, at value (e) | — | — | ||||||
Receivables from: | ||||||||
Investments sold | ||||||||
Regular delivery | — | — | ||||||
Fund shares sold | 11,266,714 | 10,984 | ||||||
Collateral pledged for open futures contracts (Note 2) | — | 557,000 | ||||||
Collateral pledged for open swap agreements (Note 2) | — | 1,080,000 | ||||||
Investment adviser (Note 3) | — | — | ||||||
Variation margin on open derivative instruments (Note 2) | 388,527 | — | ||||||
Interest and dividends | 5,306,320 | 975,836 | ||||||
Foreign taxes withheld | — | — | ||||||
Total assets | 1,170,120,262 | 171,580,221 | ||||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | ||||||||
Regular delivery | 430,629 | — | ||||||
Delayed delivery | 103,300,711 | — | ||||||
Collateral held for open purchased options (Note 2) | 2,325,000 | 150,000 | ||||||
Fund shares repurchased | 319,038 | 59,659 | ||||||
Collateral held for securities on loan (Note 2) (f) | 41,263,540 | 442,000 | ||||||
Trustees’ fees and expenses (Note 3) | 211,138 | 30,612 | ||||||
Variation margin on open derivative instruments (Note 2) | — | 14,501 | ||||||
Affiliates (Note 3): | ||||||||
Administration fees | — | 21,957 | ||||||
Investment advisory fees | 340,531 | 51,233 | ||||||
Service fees | 160,621 | 24,465 | ||||||
Commitment and Contingent Liabilities (Note 9) | — | — | ||||||
Accrued expense and other liabilities | 119,128 | 42,325 | ||||||
Total liabilities | 148,470,336 | 836,752 | ||||||
Net assets | $ | 1,021,649,926 | $ | 170,743,469 | ||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 978,791,225 | $ | 176,228,332 | ||||
Accumulated Gain (Loss) | 42,858,701 | (5,484,863 | ) | |||||
Net assets | $ | 1,021,649,926 | $ | 170,743,469 |
(a) | Cost of investments: | $ | 1,027,411,965 | $ | 165,950,230 | ||||
(b) | Cost of repurchase agreements: | $ | 3,216,034 | $ | — | ||||
(c) | Cost of other short-term investments: | $ | 107,988,457 | $ | 2,999,726 | ||||
(d) | Securities on loan with market value of: | $ | 43,044,585 | $ | 432,402 | ||||
(e) | Cost of foreign currency: | $ | — | $ | — | ||||
(f) | Non-cash collateral is not included. |
The accompanying notes are an integral part of the financial statements.
138
MML | MML | MML | MML | ||||||||||||
$ | 144,987,719 | $ | 37,483,405 | $ | 67,341,702 | $ | — | ||||||||
2,323,800 | — | 1,196,029 | 15,000,000 | ||||||||||||
— | — | — | 159,998,667 | ||||||||||||
147,311,519 | 37,483,405 | 68,537,731 | 174,998,667 | ||||||||||||
— | 47,220 | — | 25,159 | ||||||||||||
— | — | 85,290 | — | ||||||||||||
— | 438,849 | 17,590 | — | ||||||||||||
12,080 | — | 235,856 | 270,671 | ||||||||||||
— | — | — | — | ||||||||||||
— | — | — | — | ||||||||||||
— | — | — | 67,037 | ||||||||||||
— | — | — | — | ||||||||||||
55,051 | 17,971 | 24,351 | 3,855 | ||||||||||||
— | — | 21,681 | — | ||||||||||||
147,378,650 | 37,987,445 | 68,922,499 | 175,365,389 | ||||||||||||
243,721 | 443,753 | 16 | — | ||||||||||||
— | — | — | — | ||||||||||||
— | — | — | — | ||||||||||||
86,962 | 49 | 26,717 | 218,305 | ||||||||||||
— | 411,009 | — | �� | — | |||||||||||
27,404 | 1,871 | 12,528 | 44,522 | ||||||||||||
— | — | — | — | ||||||||||||
— | 4,631 | 8,762 | — | ||||||||||||
77,736 | 18,525 | 82,741 | 71,851 | ||||||||||||
19,204 | 845 | 10,786 | — | ||||||||||||
— | — | — | — | ||||||||||||
35,736 | 35,403 | 419,123 | 39,778 | ||||||||||||
490,763 | 916,086 | 560,673 | 374,456 | ||||||||||||
$ | 146,887,887 | $ | 37,071,359 | $ | 68,361,826 | $ | 174,990,933 | ||||||||
$ | 78,927,938 | $ | 35,369,149 | $ | 44,154,938 | $ | 175,033,937 | ||||||||
67,959,949 | 1,702,210 | 24,206,888 | (43,004 | ) | |||||||||||
$ | 146,887,887 | $ | 37,071,359 | $ | 68,361,826 | $ | 174,990,933 |
$ | 92,767,075 | $ | 36,421,183 | $ | 60,384,250 | $ | — | ||||||||
$ | 2,323,800 | $ | — | $ | 1,196,029 | $ | 15,000,000 | ||||||||
$ | — | $ | — | $ | — | $ | 159,998,667 | ||||||||
$ | 1,228,453 | $ | 557,978 | $ | — | $ | — | ||||||||
$ | — | $ | — | $ | 86,230 | $ | — | ||||||||
The accompanying notes are an integral part of the financial statements.
139
MML Series Investment Fund II – Financial Statements (Continued) | |
Statements of Assets and Liabilities |
MML | MML | |||||||
Initial Class shares: | ||||||||
Net assets | $ | 762,726,495 | $ | — | ||||
Shares outstanding (a) | 58,580,797 | — | ||||||
Net asset value, offering price and redemption price per share | $ | 13.02 | $ | — | ||||
Class II shares: | ||||||||
Net assets | $ | — | $ | 133,235,455 | ||||
Shares outstanding (a) | — | 13,724,470 | ||||||
Net asset value, offering price and redemption price per share | $ | — | $ | 9.71 | ||||
Service Class shares: | ||||||||
Net assets | $ | 258,923,431 | $ | — | ||||
Shares outstanding (a) | 19,986,664 | — | ||||||
Net asset value, offering price and redemption price per share | $ | 12.95 | $ | — | ||||
Service Class I shares: | ||||||||
Net assets | $ | — | $ | 37,508,014 | ||||
Shares outstanding (a) | — | 3,878,420 | ||||||
Net asset value, offering price and redemption price per share | $ | — | $ | 9.67 |
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
140
MML | MML | MML | MML | ||||||||||||
$ | 116,598,620 | $ | — | $ | — | $ | 174,990,933 | ||||||||
9,136,476 | — | — | 174,991,172 | ||||||||||||
$ | 12.76 | $ | — | $ | — | $ | 1.00 | ||||||||
$ | — | $ | 35,813,496 | $ | 51,825,106 | $ | — | ||||||||
— | 3,076,268 | 4,936,750 | — | ||||||||||||
$ | — | $ | 11.64 | $ | 10.50 | $ | — | ||||||||
$ | 30,289,267 | $ | — | $ | — | $ | — | ||||||||
2,431,065 | — | — | — | ||||||||||||
$ | 12.46 | $ | — | $ | — | $ | — | ||||||||
$ | — | $ | 1,257,863 | $ | 16,536,720 | $ | — | ||||||||
— | 108,951 | 1,579,342 | — | ||||||||||||
$ | — | $ | 11.55 | $ | 10.47 | $ | — |
The accompanying notes are an integral part of the financial statements.
141
MML Series Investment Fund II – Financial Statements (Continued) | |
Statements of Operations |
MML | MML | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | 12,815,456 | $ | 143,968 | ||||
Interest (b) | — | 10,674,653 | ||||||
Securities lending net income | 333,938 | 5,611 | ||||||
Total investment income | 13,149,394 | 10,824,232 | ||||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 3,300,013 | 1,259,535 | ||||||
Custody fees | 51,974 | 77,004 | ||||||
Audit fees | 39,640 | 39,572 | ||||||
Legal fees | 17,930 | 19,035 | ||||||
Proxy fees | 1,172 | 1,172 | ||||||
Shareholder reporting fees | 101,375 | 345 | ||||||
Trustees’ fees | 30,154 | 11,513 | ||||||
3,542,258 | 1,408,176 | |||||||
Administration fees: | ||||||||
Class II | — | 452,700 | ||||||
Service Class I | — | 19,625 | ||||||
Distribution and Service fees: | ||||||||
Service Class | 511,033 | — | ||||||
Service Class I | — | 32,709 | ||||||
Total expenses | 4,053,291 | 1,913,210 | ||||||
Expenses waived (Note 3): | ||||||||
Class II advisory fees waived | — | (68,376 | ) | |||||
Service Class I advisory fees waived | — | (3,025 | ) | |||||
Net expenses: | 4,053,291 | 1,841,809 | ||||||
Net investment income (loss) | 9,096,103 | 8,982,423 | ||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | 12,652,777 | 1,270,296 | ||||||
Futures contracts | — | — | ||||||
Swap agreements | — | — | ||||||
Foreign currency transactions | — | — | ||||||
Net realized gain (loss) | 12,652,777 | 1,270,296 | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 91,439,930 | (10,551,016 | ) | |||||
Futures contracts | — | — | ||||||
Swap agreements | — | — | ||||||
Translation of assets and liabilities in foreign currencies | — | — | ||||||
Net change in unrealized appreciation (depreciation) | 91,439,930 | (10,551,016 | ) | |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 104,092,707 | (9,280,720 | ) | |||||
Net increase (decrease) in net assets resulting from operations | $ | 113,188,810 | $ | (298,297 | ) |
(a) | Net of foreign withholding tax of: | $ | — | $ | — | ||||
(b) | Net of foreign withholding tax of: | $ | — | $ | 472 |
The accompanying notes are an integral part of the financial statements.
142
MML | MML | MML | MML | MML | |||||||||||||||
$ | 17,638,059 | $ | 341,792 | $ | 632,204 | $ | 28,410 | $ | — | ||||||||||
190 | 73 | — | 5,658,242 | 6,756,825 | |||||||||||||||
7,787 | 2 | 2,431 | 9,432 | 300 | |||||||||||||||
17,646,036 | 341,867 | 634,635 | 5,696,084 | 6,757,125 | |||||||||||||||
3,560,476 | 266,285 | 215,581 | 528,658 | 1,804,986 | |||||||||||||||
97,388 | 17,205 | 40,069 | 64,726 | 41,911 | |||||||||||||||
38,165 | 35,221 | 35,224 | 39,898 | 40,994 | |||||||||||||||
19,490 | — | — | 1,177 | 3,161 | |||||||||||||||
1,171 | 1,172 | 1,172 | 1,172 | 1,172 | |||||||||||||||
77,787 | 36,261 | 6,877 | 11,511 | 18,931 | |||||||||||||||
32,868 | 1,654 | 1,778 | 3,304 | 11,927 | |||||||||||||||
3,827,345 | 357,798 | 300,701 | 650,446 | 1,923,082 | |||||||||||||||
— | 63,366 | 67,988 | 57,716 | — | |||||||||||||||
— | 3,206 | 3,872 | 74,448 | — | |||||||||||||||
260,406 | — | — | — | 121,788 | |||||||||||||||
— | 5,343 | 6,453 | 124,080 | — | |||||||||||||||
4,087,751 | 429,713 | 379,014 | 906,690 | 2,044,870 | |||||||||||||||
— | (105,611 | ) | (22,663 | ) | (22,380 | ) | — | ||||||||||||
— | (5,341 | ) | (1,291 | ) | (27,974 | ) | — | ||||||||||||
4,087,751 | 318,761 | 355,060 | 856,336 | 2,044,870 | |||||||||||||||
13,558,285 | 23,106 | 279,575 | 4,839,748 | 4,712,255 | |||||||||||||||
127,548,200 | 8,141,252 | 10,530,385 | 1,941,522 | 2,327,954 | |||||||||||||||
— | — | — | — | 9,624 | |||||||||||||||
— | — | — | — | 15,916,410 | |||||||||||||||
(4,807 | ) | 44 | — | (2,296 | ) | — | |||||||||||||
127,543,393 | 8,141,296 | 10,530,385 | 1,939,226 | 18,253,988 | |||||||||||||||
87,110,527 | 651,825 | 805,638 | 177,019 | (1,466,977 | ) | ||||||||||||||
— | — | — | — | (102,630 | ) | ||||||||||||||
— | — | — | — | (1,228,440 | ) | ||||||||||||||
(231 | ) | (632 | ) | — | 1,817 | — | |||||||||||||
87,110,296 | 651,193 | 805,638 | 178,836 | (2,798,047 | ) | ||||||||||||||
214,653,689 | 8,792,489 | 11,336,023 | 2,118,062 | 15,455,941 | |||||||||||||||
$ | 228,211,974 | $ | 8,815,595 | $ | 11,615,598 | $ | 6,957,810 | $ | 20,168,196 |
$ | 11,191 | $ | — | $ | 381 | $ | 5,013 | $ | — | ||||||||||
$ | — | $ | — | $ | — | $ | 1,038 | $ | — |
The accompanying notes are an integral part of the financial statements.
143
MML Series Investment Fund II – Financial Statements (Continued) | |
Statements of Operations |
MML | MML | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | 645,456 | $ | 123,297 | ||||
Interest | 26,022,247 | 4,620,274 | ||||||
Securities lending net income | 5,889 | 475 | ||||||
Total investment income | 26,673,592 | 4,744,046 | ||||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 4,011,107 | 637,815 | ||||||
Custody fees | 79,260 | 30,934 | ||||||
Audit fees | 41,012 | 39,761 | ||||||
Legal fees | 14,142 | 2,585 | ||||||
Proxy fees | 1,172 | 1,172 | ||||||
Shareholder reporting fees | 85,767 | 17,301 | ||||||
Trustees’ fees | 37,366 | 6,720 | ||||||
4,269,826 | 736,288 | |||||||
Administration fees: | ||||||||
Class II | — | 212,395 | ||||||
Service Class I | — | 60,954 | ||||||
Distribution and Service fees: | ||||||||
Service Class | 658,522 | — | ||||||
Service Class I | — | 101,590 | ||||||
Total expenses | 4,928,348 | 1,111,227 | ||||||
Expenses waived (Note 3): | ||||||||
Initial Class fees reimbursed by adviser | — | — | ||||||
Class II fees reimbursed by adviser | — | — | ||||||
Service Class I fees reimbursed by adviser | — | — | ||||||
Class II advisory fees waived | — | — | ||||||
Service Class I advisory fees waived | — | — | ||||||
Net expenses: | 4,928,348 | 1,111,227 | ||||||
Net investment income (loss) | 21,745,244 | 3,632,819 | ||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | 13,211,372 | 1,014,159 | ||||||
Futures contracts | (7,120,679 | ) | 985,896 | |||||
Swap agreements | — | 25,914 | ||||||
Foreign currency transactions | — | (449 | ) | |||||
Net realized gain (loss) | 6,090,693 | 2,025,520 | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | (22,724,869 | ) | (2,272,162 | ) | ||||
Futures contracts | 2,088,377 | 279,059 | ||||||
Swap agreements | — | (51,438 | ) | |||||
Translation of assets and liabilities in foreign currencies | — | — | ||||||
Net change in unrealized appreciation (depreciation) | (20,636,492 | ) | (2,044,541 | ) | ||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | (14,545,799 | ) | (19,021 | ) | ||||
Net increase (decrease) in net assets resulting from operations | $ | 7,199,445 | $ | 3,613,798 |
(a) | 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.
144
MML | MML | MML | MML | ||||||||||||
$ | 1,272,989 | $ | 321,872 | $ | 1,310,854 | $ | — | ||||||||
— | — | 108 | 95,984 | ||||||||||||
7,999 | 26,076 | 6,460 | — | ||||||||||||
1,280,988 | 347,948 | 1,317,422 | 95,984 | ||||||||||||
917,912 | 238,699 | 1,016,933 | 896,476 | ||||||||||||
19,435 | 22,529 | 163,191 | 22,399 | ||||||||||||
37,554 | 35,211 | 65,868 | 30,236 | ||||||||||||
— | — | — | 2,270 | ||||||||||||
1,172 | 1,172 | 1,172 | 1,172 | ||||||||||||
13,620 | 37,443 | 5,132 | 17,223 | ||||||||||||
5,373 | 1,510 | 3,770 | 7,195 | ||||||||||||
995,066 | 336,564 | 1,256,066 | 976,971 | ||||||||||||
— | 57,784 | 118,754 | — | ||||||||||||
— | 1,891 | 26,522 | — | ||||||||||||
72,992 | — | — | — | ||||||||||||
— | 3,151 | 44,204 | — | ||||||||||||
1,068,058 | 399,390 | 1,445,546 | 976,971 | ||||||||||||
— | — | — | (881,042 | ) | |||||||||||
— | — | (44,670 | ) | — | |||||||||||
— | — | (10,447 | ) | — | |||||||||||
— | (19,260 | ) | (31,655 | ) | — | ||||||||||
— | (631 | ) | (7,085 | ) | — | ||||||||||
1,068,058 | 379,499 | 1,351,689 | 95,929 | ||||||||||||
212,930 | (31,551 | ) | (34,267 | ) | 55 | ||||||||||
15,034,245 | 4,118,662 | 18,262,007 | 640 | ||||||||||||
— | — | — | — | ||||||||||||
— | — | — | — | ||||||||||||
2,001 | — | (49,049 | ) | — | |||||||||||
15,036,246 | 4,118,662 | 18,212,958 | 640 | ||||||||||||
13,434,356 | (3,496,131 | ) | (23,896,943 | )* | — | ||||||||||
— | — | — | — | ||||||||||||
— | — | — | — | ||||||||||||
— | — | (2,904 | ) | — | |||||||||||
13,434,356 | (3,496,131 | ) | (23,899,847 | ) | — | ||||||||||
28,470,602 | 622,531 | (5,686,889 | ) | 640 | |||||||||||
$ | 28,683,532 | $ | 590,980 | $ | (5,721,156 | ) | $ | 695 |
$ | — | $ | — | $ | 138,942 | $ | — | ||||||||
$ | — | $ | — | $ | 238,291 | $ | — |
The accompanying notes are an integral part of the financial statements.
145
MML Series Investment Fund II – Financial Statements (Continued) | |
Statements of Changes in Net Assets |
MML Blend Fund | ||||||||
Year | Year | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 9,096,103 | $ | 15,792,062 | ||||
Net realized gain (loss) | 12,652,777 | 210,740,254 | ||||||
Net change in unrealized appreciation (depreciation) | 91,439,930 | (138,083,021 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 113,188,810 | 88,449,295 | ||||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | (168,011,356 | ) | (24,201,102 | ) | ||||
Class II | — | — | ||||||
Service Class | (57,432,992 | ) | (7,363,875 | ) | ||||
Service Class I | — | — | ||||||
Total distributions | (225,444,348 | ) | (31,564,977 | ) | ||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | 111,716,812 | (26,430,530 | ) | |||||
Class II | — | — | ||||||
Service Class | 61,053,567 | 10,443,244 | ||||||
Service Class I | — | — | ||||||
Increase (decrease) in net assets from fund share transactions | 172,770,379 | (15,987,286 | ) | |||||
Total increase (decrease) in net assets | 60,514,841 | 40,897,032 | ||||||
Net assets | ||||||||
Beginning of year | 777,594,518 | 736,697,486 | ||||||
End of year | $ | 838,109,359 | $ | 777,594,518 |
The accompanying notes are an integral part of the financial statements.
146
MML Dynamic | MML Equity Fund | MML Equity | |||||||||||||||||||||
Year | Year | Year | Year | Year | Year | ||||||||||||||||||
$ | 8,982,423 | $ | 10,158,236 | $ | 13,558,285 | $ | 14,900,031 | $ | 23,106 | $ | 74,995 | ||||||||||||
1,270,296 | 6,427,123 | 127,543,393 | (38,491,911 | ) | 8,141,296 | 9,271,292 | |||||||||||||||||
(10,551,016 | ) | (2,444,603 | ) | 87,110,296 | 40,369,991 | 651,193 | (2,562,416 | ) | |||||||||||||||
(298,297 | ) | 14,140,756 | 228,211,974 | 16,778,111 | 8,815,595 | 6,783,871 | |||||||||||||||||
— | — | (13,032,797 | ) | (84,655,474 | ) | — | — | ||||||||||||||||
(11,157,560 | ) | (1,117,750 | ) | — | — | (13,821,144 | ) | (3,595,440 | ) | ||||||||||||||
— | — | (1,534,583 | ) | (11,874,652 | ) | — | — | ||||||||||||||||
(462,823 | ) | (38,159 | ) | — | — | (674,625 | ) | (192,350 | ) | ||||||||||||||
(11,620,383 | ) | (1,155,909 | ) | (14,567,380 | ) | (96,530,126 | ) | (14,495,769 | ) | (3,787,790 | ) | ||||||||||||
— | — | (53,863,556 | ) | 27,526,408 | — | — | |||||||||||||||||
(9,438,529 | ) | (85,156,775 | ) | — | — | 13,821,144 | 3,595,440 | ||||||||||||||||
— | — | (14,625,427 | ) | 6,609,630 | — | — | |||||||||||||||||
1,604,280 | 1,972,496 | — | — | 368,454 | 12,771 | ||||||||||||||||||
(7,834,249 | ) | (83,184,279 | ) | (68,488,983 | ) | 34,136,038 | 14,189,598 | 3,608,211 | |||||||||||||||
(19,752,929 | ) | (70,199,432 | ) | 145,155,611 | (45,615,977 | ) | 8,509,424 | 6,604,292 | |||||||||||||||
327,971,454 | 398,170,886 | 780,809,323 | 826,425,300 | 40,338,683 | 33,734,391 | ||||||||||||||||||
$ | 308,218,525 | $ | 327,971,454 | $ | 925,964,934 | $ | 780,809,323 | $ | 48,848,107 | $ | 40,338,683 |
The accompanying notes are an integral part of the financial statements.
147
MML Series Investment Fund II – Financial Statements (Continued) | |
Statements of Changes in Net Assets |
MML Equity | ||||||||
Year | Year | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 279,575 | $ | 381,154 | ||||
Net realized gain (loss) | 10,530,385 | 9,527,241 | ||||||
Net change in unrealized appreciation (depreciation) | 805,638 | (2,274,868 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 11,615,598 | 7,633,527 | ||||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | — | — | ||||||
Class II | (13,847,437 | ) | (1,109,325 | ) | ||||
Service Class | — | — | ||||||
Service Class I | (776,065 | ) | (58,536 | ) | ||||
Total distributions | (14,623,502 | ) | (1,167,861 | ) | ||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | — | — | ||||||
Class II | 13,847,437 | 1,109,325 | ||||||
Service Class | — | — | ||||||
Service Class I | 675,688 | (22,466 | ) | |||||
Increase (decrease) in net assets from fund share transactions | 14,523,125 | 1,086,859 | ||||||
Total increase (decrease) in net assets | 11,515,221 | 7,552,525 | ||||||
Net assets | ||||||||
Beginning of year | 41,043,331 | 33,490,806 | ||||||
End of year | $ | 52,558,552 | $ | 41,043,331 |
The accompanying notes are an integral part of the financial statements.
148
MML High Yield | MML Inflation- | MML Managed | |||||||||||||||||||||
Year | Year | Year | Year | Year | Year | ||||||||||||||||||
$ | 4,839,748 | $ | 6,875,964 | $ | 4,712,255 | $ | 4,989,559 | $ | 21,745,244 | $ | 32,812,903 | ||||||||||||
1,939,226 | (5,851,673 | ) | 18,253,988 | 34,283,687 | 6,090,693 | 30,136,273 | |||||||||||||||||
178,836 | 3,918,300 | (2,798,047 | ) | (5,503,181 | ) | (20,636,492 | ) | 12,708,931 | |||||||||||||||
6,957,810 | 4,942,591 | 20,168,196 | 33,770,065 | 7,199,445 | 75,658,107 | ||||||||||||||||||
— | — | (21,774,428 | ) | (316,265 | ) | (39,056,618 | ) | (733,340 | ) | ||||||||||||||
(2,520,599 | ) | (18,037 | ) | — | — | — | — | ||||||||||||||||
— | — | (4,083,457 | ) | (51,184 | ) | (12,723,319 | ) | (249,878 | ) | ||||||||||||||
(4,268,950 | ) | (10,822 | ) | — | — | — | — | ||||||||||||||||
(6,789,549 | ) | (28,859 | ) | (25,857,885 | ) | (367,449 | ) | (51,779,937 | ) | (983,218 | ) | ||||||||||||
— | — | (42,642,110 | ) | (55,189,580 | ) | 39,909,283 | (146,860,069 | ) | |||||||||||||||
(27,011,141 | ) | (38,713,456 | ) | — | — | — | — | ||||||||||||||||
— | — | 7,965,013 | (1,503,656 | ) | (1,824,724 | ) | (11,498,251 | ) | |||||||||||||||
6,442,610 | (2,723,722 | ) | — | — | — | — | |||||||||||||||||
(20,568,531 | ) | (41,437,178 | ) | (34,677,097 | ) | (56,693,236 | ) | 38,084,559 | (158,358,320 | ) | |||||||||||||
(20,400,270 | ) | (36,523,446 | ) | (40,366,786 | ) | (23,290,620 | ) | (6,495,933 | ) | (83,683,431 | ) | ||||||||||||
97,531,716 | 134,055,162 | 334,206,838 | 357,497,458 | 1,028,145,859 | 1,111,829,290 | ||||||||||||||||||
$ | 77,131,446 | $ | 97,531,716 | $ | 293,840,052 | $ | 334,206,838 | $ | 1,021,649,926 | $ | 1,028,145,859 |
The accompanying notes are an integral part of the financial statements.
149
MML Series Investment Fund II – Financial Statements (Continued) | |
Statements of Changes in Net Assets |
MML Short- | ||||||||
Year | Year | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 3,632,819 | $ | 5,702,874 | ||||
Net realized gain (loss) | 2,025,520 | (2,798,251 | ) | |||||
Net change in unrealized appreciation (depreciation) | (2,044,541 | ) | (171,382 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 3,613,798 | 2,733,241 | ||||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | — | — | ||||||
Class II | (4,585,706 | ) | (433 | ) | ||||
Service Class | — | — | ||||||
Service Class I | (1,189,399 | ) | (90 | ) | ||||
Total distributions | (5,775,105 | ) | (523 | ) | ||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | — | — | ||||||
Class II | (7,544,769 | ) | (31,387,317 | ) | ||||
Service Class | — | — | ||||||
Service Class I | (10,020,442 | ) | 11,114,998 | |||||
Increase (decrease) in net assets from fund share transactions | (17,565,211 | ) | (20,272,319 | ) | ||||
Total increase (decrease) in net assets | (19,726,518 | ) | (17,539,601 | ) | ||||
Net assets | ||||||||
Beginning of year | 190,469,987 | 208,009,588 | ||||||
End of year | $ | 170,743,469 | $ | 190,469,987 |
The accompanying notes are an integral part of the financial statements.
150
MML Small Cap | MML Special | MML Strategic | |||||||||||||||||||||
Year | Year | Year | Year | Year | Year | ||||||||||||||||||
$ | 212,930 | $ | 761,424 | $ | (31,551 | ) | $ | 79,244 | $ | (34,267 | ) | $ | (109,382 | ) | |||||||||
15,036,246 | 8,225,016 | 4,118,662 | 9,047,920 | 18,212,958 | 16,933,105 | ||||||||||||||||||
13,434,356 | 13,174,273 | (3,496,131 | ) | (841,173 | ) | (23,899,847 | ) | 4,074,230 | |||||||||||||||
28,683,532 | 22,160,713 | 590,980 | 8,285,991 | (5,721,156 | ) | 20,897,953 | |||||||||||||||||
(7,333,753 | ) | (1,276,608 | ) | — | — | — | — | ||||||||||||||||
— | — | (9,217,164 | ) | (3,959,893 | ) | (13,347,045 | ) | (3,818,915 | ) | ||||||||||||||
(1,860,664 | ) | (269,088 | ) | — | — | — | — | ||||||||||||||||
— | — | (300,333 | ) | (127,231 | ) | (3,530,767 | ) | (476,372 | ) | ||||||||||||||
(9,194,417 | ) | (1,545,696 | ) | (9,517,497 | ) | (4,087,124 | ) | (16,877,812 | ) | (4,295,287 | ) | ||||||||||||
(3,355,882 | ) | (6,927,012 | ) | — | — | — | — | ||||||||||||||||
— | — | 9,217,164 | 3,959,893 | (27,396,668 | ) | (42,829,509 | ) | ||||||||||||||||
1,166,351 | (1,506,540 | ) | — | — | — | — | |||||||||||||||||
— | — | 424,050 | 31,014 | 3,975,698 | (1,756,826 | ) | |||||||||||||||||
(2,189,531 | ) | (8,433,552 | ) | 9,641,214 | 3,990,907 | (23,420,970 | ) | (44,586,335 | ) | ||||||||||||||
17,299,584 | 12,181,465 | 714,697 | 8,189,774 | (46,019,938 | ) | (27,983,669 | ) | ||||||||||||||||
129,588,303 | 117,406,838 | 36,356,662 | 28,166,888 | 114,381,764 | 142,365,433 | ||||||||||||||||||
$ | 146,887,887 | $ | 129,588,303 | $ | 37,071,359 | $ | 36,356,662 | $ | 68,361,826 | $ | 114,381,764 |
The accompanying notes are an integral part of the financial statements.
151
MML Series Investment Fund II – Financial Statements (Continued) |
Statements of Changes in Net Assets |
MML U.S. Government | ||||||||
Year | Year | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 55 | $ | 405,944 | ||||
Net realized gain (loss) | 640 | 699 | ||||||
Net change in unrealized appreciation (depreciation) | — | — | ||||||
Net increase (decrease) in net assets resulting from operations | 695 | 406,643 | ||||||
Distributions to shareholders (Note 2): | ||||||||
Initial Class | — | (405,972 | ) | |||||
Total distributions | — | (405,972 | ) | |||||
Net fund share transactions (Note 5): | ||||||||
Initial Class | (48,397,785 | ) | 48,488,132 | |||||
Increase (decrease) in net assets from fund share transactions | (48,397,785 | ) | 48,488,132 | |||||
Total increase (decrease) in net assets | (48,397,090 | ) | 48,488,803 | |||||
Net assets | ||||||||
Beginning of year | 223,388,023 | 174,899,220 | ||||||
End of year | $ | 174,990,933 | $ | 223,388,023 |
The accompanying notes are an integral part of the financial statements.
152
MML Series Investment Fund II – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
MML Blend Fund
Income (loss) from investment | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||
Net | Net | Net | Total | From net | From net | Total | Net | Total | Net | Ratio of | Net | |
Initial Class | ||||||||||||
12/31/21 | $ 24.79 | $ 0.28 | $ 3.21 | $ 3.49 | $ (0.57) | $ (6.87) | $ (7.44) | $ 20.84 | 15.02% | $ 620,820 | 0.44% | 1.19% |
12/31/20 | 22.93 | 0.51 | 2.37 | 2.88 | — | (1.02) | (1.02) | 24.79 | 12.87% | 591,889 | 0.45% | 2.26% |
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% |
Service Class | ||||||||||||
12/31/21 | $ 24.66 | $ 0.22 | $ 3.19 | $ 3.41 | $ (0.52) | $ (6.87) | $ (7.39) | $ 20.68 | 14.74% | $ 217,290 | 0.69% | 0.95% |
12/31/20 | 22.87 | 0.46 | 2.35 | 2.81 | — | (1.02) | (1.02) | 24.66 | 12.57% | 185,705 | 0.70% | 2.01% |
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% |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover ratex | 8% | 231% | 132% | 86% | 134% |
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. |
w | Effective November 18, 2020, the expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
x | Effective November 18, 2020, the amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
153
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 | Less distributions to shareholders | Ratios / Supplemental Data | |||||||||||
Net | Net | Net | Total | From net | From net | Total | Net | Total | Net | Ratio of | Ratio of | Net | |
Class II | |||||||||||||
12/31/21 | $ 10.44 | $ 0.29 | $ (0.29) | $ (0.00)d | $ (0.38) | $ — | $ (0.38) | $ 10.06 | (0.01%) | $ 294,648 | 0.60% | 0.57% | 2.86% |
12/31/20 | 10.08 | 0.29 | 0.10 | 0.39 | (0.03) | — | (0.03) | 10.44 | 3.91% | 315,514 | 0.62% | N/A | 2.88% |
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% |
Service Class I | |||||||||||||
12/31/21 | $ 10.39 | $ 0.27 | $ (0.29) | $ (0.02) | $ (0.36) | $ — | $ (0.36) | $ 10.01 | (0.18%) | $ 13,571 | 0.85% | 0.82% | 2.61% |
12/31/20 | 10.07 | 0.27 | 0.08 | 0.35 | (0.03) | — | (0.03) | 10.39 | 3.51% | 12,458 | 0.87% | N/A | 2.62% |
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% |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 193% | 159% | 54% | 68% | 100% |
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. |
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.
154
MML Series Investment Fund II – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
MML Equity Fund
Income (loss) from investment | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||
Net | Net | Net | Total | From net | From net | Total | Net | Total | Net | Ratio of | Net | |
Initial Class | ||||||||||||
12/31/21 | $ 25.04 | $ 0.46 | $ 7.09 | $ 7.55 | $ (0.50) | $ — | $ (0.50) | $ 32.09 | 30.26% | $ 821,006 | 0.43% | 1.55% |
12/31/20 | 28.10 | 0.51 | (0.12)aa | 0.39 | (0.59) | (2.86) | (3.45) | 25.04 | 3.03% | 686,468 | 0.45% | 2.13% |
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% |
Service Class | ||||||||||||
12/31/21 | $ 24.61 | $ 0.38 | $ 6.97 | $ 7.35 | $ (0.44) | $ — | $ (0.44) | $ 31.52 | 29.93% | $ 104,959 | 0.68% | 1.31% |
12/31/20 | 27.68 | 0.44 | (0.13)aa | 0.31 | (0.52) | (2.86) | (3.38) | 24.61 | 2.77% | 94,341 | 0.70% | 1.88% |
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% |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 73% | 82% | 113% | 41% | 70% |
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. |
aa | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund. |
The accompanying notes are an integral part of the financial statements.
155
MML Series Investment Fund II – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
MML Equity Momentum Fund
Income (loss) from investment | Less distributions to shareholders | Ratios / Supplemental Data | |||||||||||
Net | Net | Net | Total | From net | From net | Total | Net | Total | Net | Ratio of | Ratio of | Net | |
Class II | |||||||||||||
12/31/21 | $ 13.26 | $ 0.01 | $ 2.76 | $ 2.77 | $ (0.01) | $ (4.41) | $ (4.42) | $ 11.61 | 21.93% | $ 46,686 | 0.96% | 0.71% | 0.06% |
12/31/20 | 12.19 | 0.03 | 2.39 | 2.42 | (0.03) | (1.32) | (1.35) | 13.26 | 20.26% | 38,291 | 0.95% | 0.91% | 0.23% |
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% |
Service Class I | |||||||||||||
12/31/21 | $ 13.16 | $ (0.03)bb | $ 2.74 | $ 2.71 | $ — | $ (4.41) | $ (4.41) | $ 11.46 | 21.59% | $ 2,162 | 1.20% | 0.95% | (0.19%) |
12/31/20 | 12.11 | (0.00)d,bb | 2.37 | 2.37 | (0.00)d | (1.32) | (1.32) | 13.16 | 20.00% | 2,048 | 1.20% | 1.16% | (0.02%) |
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% |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 126% | 144% | 14% | 115% | 19% |
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. |
bb | Net investment income per share is not in line with the total net investment income shown on the Statement of Operations due to differing class-specific expense arrangements. |
The accompanying notes are an integral part of the financial statements.
156
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 | Less distributions to shareholders | Ratios / Supplemental Data | |||||||||||
Net | Net | Net | Total | From net | From net | Total | Net | Total | Net | Ratio of | Ratio of | Net | |
Class II | |||||||||||||
12/31/21 | $ 14.79 | $ 0.10 | $ 3.85 | $ 3.95 | $ (0.10) | $ (4.81) | $ (4.91) | $ 13.83 | 28.37% | $ 49,828 | 0.78% | 0.73% | 0.60% |
12/31/20 | 12.40 | 0.14 | 2.68 | 2.82 | (0.21) | (0.22) | (0.43) | 14.79 | 22.92% | 38,834 | 0.79% | 0.79%k | 1.13% |
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% |
Service Class I | |||||||||||||
12/31/21 | $ 14.73 | $ 0.05 | $ 3.83 | $ 3.88 | $ (0.06) | $ (4.81) | $ (4.87) | $ 13.74 | 28.00% | $ 2,731 | 1.03% | 0.98% | 0.34% |
12/31/20 | 12.36 | 0.11 | 2.66 | 2.77 | (0.18) | (0.22) | (0.40) | 14.73 | 22.57% | 2,210 | 1.04% | 1.04%k | 0.88% |
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% |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 218% | 137% | 172% | 102% | 63% |
c | Per share amount calculated on the average shares method. |
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.
157
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 | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||
Net | Net | Net | Total | From net | From net | Tax | Total | Net | Total | Net | Ratio of | Ratio of | Net | |
Class II | ||||||||||||||
12/31/21 | $ 10.10 | $ 0.58 | $ 0.23 | $ 0.81 | $ (0.89) | $ — | $ — | $ (0.89) | $ 10.02 | 8.23% | $ 24,481 | 0.89% | 0.83% | 5.62% |
12/31/20 | 9.57 | 0.55 | (0.02) | 0.53 | (0.00)d | — | — | (0.00)d | 10.10 | 5.56% | 50,805 | 0.87% | 0.80% | 5.93% |
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% |
Service Class I | ||||||||||||||
12/31/21 | $ 10.04 | $ 0.55 | $ 0.22 | $ 0.77 | $ (0.89) | $ — | $ — | $ (0.89) | $ 9.92 | 7.88% | $ 52,650 | 1.14% | 1.08% | 5.40% |
12/31/20 | 9.53 | 0.52 | (0.01) | 0.51 | (0.00)d | — | — | (0.00)d | 10.04 | 5.38% | 46,727 | 1.12% | 1.05% | 5.69% |
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% |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 61% | 73% | 54% | 39% | 63% |
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.
158
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 | Less distributions to shareholders | Ratios / Supplemental Data | |||||||||||||
Net | Net | Net | Total | From net | From net | Tax | Total | Net | Total | Net | Ratio of | Ratio of | Ratio of | Net | |
Initial Class | |||||||||||||||
12/31/21 | $ 11.41 | $ 0.17 | $ 0.55 | $ 0.72 | $ (0.13) | $ (0.88) | $ — | $ (1.01) | $ 11.12 | 6.40% | $ 240,863 | 0.60% | 0.60%n | 0.60%n | 1.51% |
12/31/20 | 10.28 | 0.17 | 0.97 | 1.14 | (0.01) | — | — | (0.01) | 11.41 | 11.11% | 288,026 | 0.75% | 0.74% | 0.60% | 1.54% |
12/31/19 | 9.72 | 0.23 | 0.58 | 0.81 | (0.25) | — | — | (0.25) | 10.28 | 8.31% | 314,261 | 2.34% | N/A | 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% | N/A | 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% | N/A | 0.59% | 2.33% |
Service Class | |||||||||||||||
12/31/21 | $ 11.33 | $ 0.14 | $ 0.54 | $ 0.68 | $ (0.10) | $ (0.88) | $ — | $ (0.98) | $ 11.03 | 6.12% | $ 52,977 | 0.85% | 0.85%n | 0.85%n | 1.25% |
12/31/20 | 10.23 | 0.14 | 0.97 | 1.11 | (0.01) | — | — | (0.01) | 11.33 | 10.88% | 46,181 | 0.98% | 0.98%k | 0.85% | 1.29% |
12/31/19 | 9.68 | 0.20 | 0.58 | 0.78 | (0.23) | — | — | (0.23) | 10.23 | 8.05% | 43,237 | 2.59% | N/A | 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% | N/A | 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% | N/A | 0.84% | 2.08% |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 98% | 84% | 44% | 51% | 34% |
c | Per share amount calculated on the average shares method. |
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. |
n | Expenses incurred during the period fell under the expense cap. |
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.
159
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 | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||
Net | Net | Net | Total | From net | From net | Total | Net | Total | Net | Ratio of | Net | |
Initial Class | ||||||||||||
12/31/21 | $ 13.59 | $ 0.29 | $ (0.18) | $ 0.11 | $ (0.43) | $ (0.25) | $ (0.68) | $ 13.02 | 0.81% | $ 762,726 | 0.42% | 2.20% |
12/31/20 | 12.64 | 0.42 | 0.54 | 0.96 | (0.01) | — | (0.01) | 13.59 | 7.62% | 756,218 | 0.43% | 3.25% |
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% |
Service Class | ||||||||||||
12/31/21 | $ 13.53 | $ 0.26 | $ (0.19) | $ 0.07 | $ (0.40) | $ (0.25) | $ (0.65) | $ 12.95 | 0.56% | $ 258,923 | 0.67% | 1.96% |
12/31/20 | 12.61 | 0.39 | 0.54 | 0.93 | (0.01) | — | (0.01) | 13.53 | 7.40% | 271,928 | 0.68% | 3.01% |
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% |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 263% | 226% | 260% | 138% | 237% |
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.
160
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 | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||
Net | Net | Net | Total | From net | From net | Tax | Total | Net | Total | Net | Ratio of | Ratio of | Net | |
Class II | ||||||||||||||
12/31/21 | $ 9.84 | $ 0.20 | $ (0.00)d | $ 0.20 | $ (0.33) | $ — | $ — | $ (0.33) | $ 9.71 | 2.01% | $ 133,235 | 0.55% | N/A | 2.05% |
12/31/20 | 9.69 | 0.29 | (0.14) | 0.15 | (0.00)d | — | — | (0.00)d | 9.84 | 1.55% | 142,514 | 0.56% | N/A | 3.00% |
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% |
Service Class I | ||||||||||||||
12/31/21 | $ 9.81 | $ 0.18 | $ (0.01) | $ 0.17 | $ (0.31) | $ — | $ — | $ (0.31) | $ 9.67 | 1.69% | $ 37,508 | 0.80% | N/A | 1.80% |
12/31/20 | 9.68 | 0.26 | (0.13) | 0.13 | (0.00)d | — | — | (0.00)d | 9.81 | 1.34% | 47,956 | 0.81% | N/A | 2.74% |
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% |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 64% | 44% | 53% | 54% | 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.
161
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 | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||
Net | Net | Net | Total | From net | From net | Total | Net | Total | Net | Ratio of | Net | |
Initial Class | ||||||||||||
12/31/21 | $ 11.11 | $ 0.03 | $ 2.46 | $ 2.49 | $ (0.06) | $ (0.78) | $ (0.84) | $ 12.76 | 22.75% | $ 116,599 | 0.69% | 0.20% |
12/31/20 | 9.34 | 0.07 | 1.84 | 1.91 | (0.05) | (0.09) | (0.14) | 11.11 | 20.70% | 104,243 | 0.73% | 0.77% |
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% |
Service Class | ||||||||||||
12/31/21 | $ 10.87 | $ (0.01)bb | $ 2.41 | $ 2.40 | $ (0.03) | $ (0.78) | $ (0.81) | $ 12.46 | 22.45% | $ 30,289 | 0.94% | (0.05%) |
12/31/20 | 9.14 | 0.04 | 1.81 | 1.85 | (0.03) | (0.09) | (0.12) | 10.87 | 20.39% | 25,345 | 0.98% | 0.52% |
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% |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 30% | 36% | 27% | 50% | 47% |
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. |
bb | Net investment income per share is not in line with the total net investment income shown on the Statement of Operations due to differing class-specific expense arrangements. |
The accompanying notes are an integral part of the financial statements.
162
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 | Less distributions to shareholders | Ratios / Supplemental Data | |||||||||||
Net | Net | Net | Total | From net | From net | Total | Net | Total | Net | Ratio of | Ratio of | Net | |
Class II | |||||||||||||
12/31/21 | $ 14.88 | $ (0.01) | $ 0.45 | $ 0.44 | $ (0.02) | $ (3.66) | $ (3.68) | $ 11.64 | 1.63% | $ 35,813 | 1.00% | 0.95% | (0.07%) |
12/31/20 | 12.98 | 0.04 | 3.70 | 3.74 | (0.04) | (1.80) | (1.84) | 14.88 | 29.61% | 35,232 | 0.98% | 0.97% | 0.29% |
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% |
Service Class I | |||||||||||||
12/31/21 | $ 14.80 | $ (0.05) | $ 0.46 | $ 0.41 | $ — | $ (3.66) | $ (3.66) | $ 11.55 | 1.42% | $ 1,258 | 1.25% | 1.20% | (0.32%) |
12/31/20 | 12.93 | 0.01 | 3.66 | 3.67 | (0.00)d | (1.80) | (1.80) | 14.80 | 29.24% | 1,125 | 1.23% | 1.22% | 0.04% |
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%) |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 52% | 146% | 62% | 33% | 48% |
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.
163
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 | Less distributions to shareholders | Ratios / Supplemental Data | |||||||||||
Net | Net | Net | Total | From net | From net | Total | Net | Total | Net | Ratio of | Ratio of | Net | |
Class II | |||||||||||||
12/31/21 | $ 14.43 | $ 0.00d,bb | $ (1.01) | $ (1.01) | $ — | $ (2.92) | $ (2.92) | $ 10.50 | (8.06%) | $ 51,825 | 1.45% | 1.35% | 0.00%e |
12/31/20 | 12.67 | (0.01) | 2.16 | 2.15 | (0.05) | (0.34) | (0.39) | 14.43 | 17.55% | 96,846 | 1.40% | 1.35% | (0.05%) |
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% |
Service Class I | |||||||||||||
12/31/21 | $ 14.43 | $ (0.03) | $ (1.01) | $ (1.04) | $ — | $ (2.92) | $ (2.92) | $ 10.47 | (8.29%) | $ 16,537 | 1.70% | 1.60% | (0.20%) |
12/31/20 | 12.68 | (0.04) | 2.15 | 2.11 | (0.02) | (0.34) | (0.36) | 14.43 | 17.18% | 17,536 | 1.65% | 1.60% | (0.32%) |
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,bb | 2.93 | 2.93 | — | — | — | 11.59 | 33.83% | 14,758 | 1.75% | 1.62% | (0.04%) |
Year ended December 31 | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Portfolio turnover rate | 51% | 35% | 31% | 38% | 36% |
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. |
bb | Net investment income per share is not in line with the total net investment income shown on the Statement of Operations due to differing class-specific expense arrangements. |
The accompanying notes are an integral part of the financial statements.
164
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 | Less distributions to shareholders | Ratios / Supplemental Data | |||||||||||
Net | Net | Net | Total income | From net | From net | Total | Net | Total | Net | Ratio of | Ratio of | Net | |
Initial Class | |||||||||||||
12/31/21 | $ 1.00 | $ 0.00d | $ 0.00d | $ 0.00d | $ — | $ — | $ — | $ 1.00 | 0.00% | $ 174,991 | 0.52% | 0.05% | 0.00%e |
12/31/20 | 1.00 | 0.00d | 0.00d | 0.00d | (0.00)d | — | (0.00)d | 1.00 | 0.23% | 223,388 | 0.52% | 0.30% | 0.21% |
12/31/19 | 1.00 | 0.02 | 0.00d | 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 | 0.00d | 0.01 | (0.01) | — | (0.01) | 1.00 | 1.32 | 179,102 | 0.54% | N/A | 1.35% |
12/31/17 | 1.00 | 0.00d | 0.00d | 0.00d | (0.00)d | (0.00)d | (0.00)d | 1.00 | 0.36% | 149,271 | 0.54% | N/A | 0.35% |
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.
165
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 an open-end management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated February 8, 2005, which was amended and restated as of February 28, 2005 and December 15, 2011, as it may be further amended from time to time. The following are 13 series of the Trust (which contains a total of 15 series) (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Blend Fund (“Blend Fund”)
MML Dynamic Bond Fund (“Dynamic Bond Fund”)
MML Equity Fund (“Equity Fund”)
MML Equity Momentum Fund (“Equity Momentum Fund”)
MML Equity Rotation Fund (“Equity Rotation Fund”)
MML High Yield Fund (“High Yield Fund”)
MML Inflation-Protected and Income Fund (“Inflation-Protected and Income Fund”)
MML Managed Bond Fund (“Managed Bond Fund”)
MML Short-Duration Bond Fund (“Short-Duration Bond Fund”)
MML Small Cap Equity Fund (“Small Cap Equity Fund”)
MML Special Situations Fund (“Special Situations Fund”)
MML Strategic Emerging Markets Fund (“Strategic Emerging Markets Fund”)
MML U.S. Government Money Market Fund (“U.S. Government Money Market Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, C.M. Life Insurance Company, and the MML Conservative Allocation Fund, MML Balanced Allocation Fund, MML Moderate Allocation Fund, MML Growth Allocation Fund, and MML Aggressive Allocation Fund, which are “funds of funds” series of MML Series Investment Fund, another open-end management investment company sponsored by MassMutual, are the record owners of all of the outstanding shares of the Funds.
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
The Blend Fund invests substantially all of its investable assets in shares of ETFs advised by an affiliate of the Fund’s subadviser, BlackRock Investment Management, LLC (“Underlying ETFs”). The financial statements of the applicable Underlying ETFs are presented separately and can be obtained from the Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov.
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.
166
Notes to Financial Statements (Continued) |
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the 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 the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (with the exception of debt securities held by the U.S. Government Money Market Fund) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day. The U.S. Government Money Market Fund’s debt securities are typically valued at amortized cost, but may be valued using a vendor quote if the Fund’s investment adviser determines it more closely approximates current market value, in accordance with Rule 2a-7 under the 1940 Act pursuant to which the U.S. Government Money Market Fund must adhere to certain conditions. It is the intention of the U.S. Government Money Market Fund to maintain a stable net asset value per share of $1.00, although this cannot be assured.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral.
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
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. The non-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. |
167
Notes to Financial Statements (Continued) |
reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Funds’ subadvisers utilize one or a combination of, but not limited to, the following inputs:
Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.
Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.
Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.
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
168
Notes to Financial Statements (Continued) |
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)
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 Blend Fund, Equity Momentum 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, 2021. The U.S. Government Money Market Fund characterized all investments at Level 2, as of December 31, 2021. For each Fund noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The following is the aggregate value by input level, as of December 31, 2021, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Dynamic Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Bank Loans (less Unfunded Loan Commitments) | $ | — | $ | 13,881,697 | $ | — | $ | 13,881,697 | ||||||||
Corporate Debt | — | 77,297,940 | — | 77,297,940 | ||||||||||||
Municipal Obligations | — | 317,082 | — | 317,082 | ||||||||||||
Non-U.S. Government Agency Obligations | — | 85,538,855 | — | 85,538,855 | ||||||||||||
Sovereign Debt Obligations | — | 6,910,407 | — | 6,910,407 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | — | 44,198,655 | — | 44,198,655 | ||||||||||||
U.S. Treasury Obligations | — | 61,756,257 | — | 61,756,257 | ||||||||||||
Mutual Funds | 16,738,742 | — | — | 16,738,742 | ||||||||||||
Short-Term Investments | — | 5,659,271 | — | 5,659,271 | ||||||||||||
Unfunded Loan Commitments*** | — | (547 | ) | — | (547 | ) | ||||||||||
Total Investments | $ | 16,738,742 | $ | 295,559,617 | $ | — | $ | 312,298,359 |
169
Notes to Financial Statements (Continued) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 911,121,136 | $ | 2,928,738 | * | $ | — | $ | 914,049,874 | |||||||
Preferred Stock | 764,638 | — | — | 764,638 | ||||||||||||
Mutual Funds | 10,958,234 | — | — | 10,958,234 | ||||||||||||
Short-Term Investments | 538,082 | 4,380,153 | — | 4,918,235 | ||||||||||||
Total Investments | $ | 923,382,090 | $ | 7,308,891 | $ | — | $ | 930,690,981 | ||||||||
Equity Rotation Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 52,535,558 | $ | 11,459 | $ | — | $ | 52,547,017 | ||||||||
Mutual Funds | 11,565 | — | — | 11,565 | ||||||||||||
Total Investments | $ | 52,547,123 | $ | 11,459 | $ | — | $ | 52,558,582 | ||||||||
High Yield Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 358,761 | $ | 134,111 | $ | — | +,** | $ | 492,872 | |||||||
Bank Loans | — | 6,025,485 | — | 6,025,485 | ||||||||||||
Corporate Debt | — | 64,907,973 | — | 64,907,973 | ||||||||||||
Mutual Funds | 3,615,475 | — | — | 3,615,475 | ||||||||||||
Short-Term Investments | — | 4,868,752 | — | 4,868,752 | ||||||||||||
Total Investments | $ | 3,974,236 | $ | 75,936,321 | $ | — | $ | 79,910,557 | ||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Non-U.S. Government Agency Obligations | $ | — | $ | 144,334,216 | $ | — | $ | 144,334,216 | ||||||||
U.S. Government Agency Obligations and Instrumentalities | — | 33,362,433 | — | 33,362,433 | ||||||||||||
U.S. Treasury Obligations | — | 81,827,034 | — | 81,827,034 | ||||||||||||
Purchased Options | — | 1,368,803 | — | 1,368,803 | ||||||||||||
Short-Term Investments | — | 31,967,843 | — | 31,967,843 | ||||||||||||
Total Investments | $ | — | $ | 292,860,329 | $ | — | $ | 292,860,329 | ||||||||
Asset Derivatives | ||||||||||||||||
Swap Agreements | $ | — | $ | 3,406,321 | $ | — | $ | 3,406,321 | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (52,333 | ) | $ | — | $ | — | $ | (52,333 | ) | ||||||
Managed Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | — | $ | 355,326,688 | $ | — | $ | 355,326,688 | ||||||||
Non-U.S. Government Agency Obligations | — | 271,114,186 | — | 271,114,186 | ||||||||||||
Sovereign Debt Obligations | — | 8,085,812 | — | 8,085,812 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | — | 182,270,850 | — | 182,270,850 | ||||||||||||
U.S. Treasury Obligations | — | 181,608,232 | — | 181,608,232 | ||||||||||||
Purchased Options | — | 2,282,415 | — | 2,282,415 | ||||||||||||
Mutual Funds | 41,263,540 | — | — | 41,263,540 | ||||||||||||
Short-Term Investments | — | 111,206,978 | — | 111,206,978 | ||||||||||||
Total Investments | $ | 41,263,540 | $ | 1,111,895,161 | $ | — | $ | 1,153,158,701 | ||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 709,905 | $ | — | $ | — | $ | 709,905 | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (216,718 | ) | $ | — | $ | — | $ | (216,718 | ) | ||||||
170
Notes to Financial Statements (Continued) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | — | $ | 88,204,787 | $ | — | $ | 88,204,787 | ||||||||
Municipal Obligations | — | 349,257 | — | 349,257 | ||||||||||||
Non-U.S. Government Agency Obligations | — | 74,558,616 | — | 74,558,616 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | — | 2,024,776 | — | 2,024,776 | ||||||||||||
Purchased Options | — | 97,513 | — | 97,513 | ||||||||||||
Mutual Funds | 442,000 | — | — | 442,000 | ||||||||||||
Short-Term Investments | — | 2,999,880 | — | 2,999,880 | ||||||||||||
Total Investments | $ | 442,000 | $ | 168,234,829 | $ | — | $ | 168,676,829 | ||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 92,209 | $ | — | $ | — | $ | 92,209 | ||||||||
Swap Agreements | — | 17,357 | — | 17,357 | ||||||||||||
Total | $ | 92,209 | $ | 17,357 | $ | — | $ | 109,566 | ||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (77,116 | ) | $ | — | $ | — | $ | (77,116 | ) | ||||||
Swap Agreements | — | (68,795 | ) | — | (68,795 | ) | ||||||||||
Total | $ | (77,116 | ) | $ | (68,795 | ) | $ | — | $ | (145,911 | ) | |||||
Strategic Emerging Markets Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Brazil | $ | 1,460,127 | $ | 804,984 | $ | — | $ | 2,265,111 | ||||||||
Cayman Islands | 8,689,244 | 7,560,195 | — | 16,249,439 | ||||||||||||
China | — | 196,611 | — | 196,611 | ||||||||||||
Cyprus | 215,269 | — | — | 215,269 | ||||||||||||
Denmark | — | 78,845 | — | 78,845 | ||||||||||||
Egypt | — | 388,669 | — | 388,669 | ||||||||||||
France | — | 2,782,266 | — | 2,782,266 | ||||||||||||
Hong Kong | — | 2,856,440 | — | 2,856,440 | ||||||||||||
India | — | 11,596,708 | — | 11,596,708 | ||||||||||||
Indonesia | — | 630,402 | — | 630,402 | ||||||||||||
Italy | — | 1,086,512 | — | 1,086,512 | ||||||||||||
Luxembourg | — | 291,467 | — | 291,467 | ||||||||||||
Mexico | 4,023,905 | — | — | 4,023,905 | ||||||||||||
Netherlands | 2,010,355 | — | — | 2,010,355 | ||||||||||||
Philippines | — | 1,424,526 | — | 1,424,526 | ||||||||||||
Republic of Korea | — | 3,702,186 | — | 3,702,186 | ||||||||||||
Russia | — | 3,838,641 | — | 3,838,641 | ||||||||||||
South Africa | — | 408,628 | — | 408,628 | ||||||||||||
Switzerland | — | 2,498,624 | — | 2,498,624 | ||||||||||||
Taiwan | — | 6,944,351 | — | 6,944,351 | ||||||||||||
Turkey | — | 188,730 | — | 188,730 | ||||||||||||
United Kingdom | — | 914,732 | — | 914,732 | ||||||||||||
United States | 2,473,621 | — | — | 2,473,621 |
171
Notes to Financial Statements (Continued) |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Strategic Emerging Markets Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Preferred Stock* | ||||||||||||||||
Brazil | $ | — | $ | 236,786 | $ | — | $ | 236,786 | ||||||||
India | 14,098 | — | — | 14,098 | ||||||||||||
Warrants | 24,780 | — | — | 24,780 | ||||||||||||
Short-Term Investments | — | 1,196,029 | — | 1,196,029 | ||||||||||||
Total Investments | $ | 18,911,399 | $ | 49,626,332 | $ | — | $ | 68,537,731 |
* | 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 December 31, 2021 in relation to net assets were not significant. |
*** | Unfunded loan commitments are valued at the unrealized appreciation (depreciation) on the commitment. |
+ | Represents a security at $0 value as of December 31, 2021. |
For certain Fund(s) the Statement of Assets and Liabilities shows receivables from investments sold on a delayed delivery basis, collateral pledged for open futures contracts, and collateral pledged for open swap agreements, as well as, any applicable liabilities for investments purchased on a delayed delivery basis, amounts due to custodian, collateral held for open purchased options, collateral held for open swap agreements, 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, 2021.
The Funds had no Level 3 transfers during the year ended December 31, 2021.
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, 2021, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Equity | Interest/ | Total | ||||||||||
Inflation-Protected and Income Fund | ||||||||||||
Asset Derivatives | ||||||||||||
Purchased Options* | $ | — | $ | 1,368,803 | $ | 1,368,803 | ||||||
Swap Agreements* | 2,931,553 | 474,768 | 3,406,321 | |||||||||
Total Value | $ | 2,931,553 | $ | 1,843,571 | $ | 4,775,124 | ||||||
Liability Derivatives | ||||||||||||
Futures Contracts^^ | $ | — | $ | (52,333 | ) | $ | (52,333 | ) | ||||
Realized Gain (Loss)# | ||||||||||||
Futures Contracts | $ | — | $ | 9,624 | $ | 9,624 | ||||||
Swap Agreements | 15,374,660 | 541,750 | 15,916,410 | |||||||||
Total Realized Gain (Loss) | $ | 15,374,660 | $ | 551,374 | $ | 15,926,034 | ||||||
Change in Appreciation (Depreciation)## | ||||||||||||
Purchased Options | $ | — | $ | 169,100 | $ | 169,100 | ||||||
Futures Contracts | — | (102,630 | ) | (102,630 | ) | |||||||
Swap Agreements | (1,571,611 | ) | 343,171 | (1,228,440 | ) | |||||||
Total Change in Appreciation (Depreciation) | $ | (1,571,611 | ) | $ | 409,641 | $ | (1,161,970 | ) |
172
Notes to Financial Statements (Continued) |
Equity | Interest/ | Total | ||||||||||
Managed Bond Fund | ||||||||||||
Asset Derivatives | ||||||||||||
Purchased Options* | $ | — | $ | 2,282,415 | $ | 2,282,415 | ||||||
Futures Contracts^^ | — | 709,905 | 709,905 | |||||||||
Total Value | $ | — | $ | 2,992,320 | $ | 2,992,320 | ||||||
Liability Derivatives | ||||||||||||
Futures Contracts^^ | $ | — | $ | (216,718 | ) | $ | (216,718 | ) | ||||
Realized Gain (Loss)# | ||||||||||||
Futures Contracts | $ | — | $ | (7,120,679 | ) | $ | (7,120,679 | ) | ||||
Change in Appreciation (Depreciation)## | ||||||||||||
Purchased Options | $ | — | $ | 261,214 | $ | 261,214 | ||||||
Futures Contracts | — | 2,088,377 | 2,088,377 | |||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | 2,349,591 | $ | 2,349,591 | ||||||
Short-Duration Bond Fund | ||||||||||||
Asset Derivatives | ||||||||||||
Purchased Options* | $ | — | $ | 97,513 | $ | 97,513 | ||||||
Futures Contracts^^ | — | 92,209 | 92,209 | |||||||||
Swap Agreements^^, ^^^ | — | 17,357 | 17,357 | |||||||||
Total Value | $ | — | $ | 207,079 | $ | 207,079 | ||||||
Liability Derivatives | ||||||||||||
Futures Contracts^^ | $ | — | $ | (77,116 | ) | $ | (77,116 | ) | ||||
Swap Agreements^^, ^^^ | — | (68,795 | ) | (68,795 | ) | |||||||
Total Value | $ | — | $ | (145,911 | ) | $ | (145,911 | ) | ||||
Realized Gain (Loss)# | ||||||||||||
Futures Contracts | $ | — | $ | 985,896 | $ | 985,896 | ||||||
Swap Agreements | — | 25,914 | 25,914 | |||||||||
Total Realized Gain (Loss) | $ | — | $ | 1,011,810 | $ | 1,011,810 | ||||||
Change in Appreciation (Depreciation)## | ||||||||||||
Purchased Options | $ | — | $ | 16,909 | $ | 16,909 | ||||||
Futures Contracts | — | 279,059 | 279,059 | |||||||||
Swap Agreements | — | (51,438 | ) | (51,438 | ) | |||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | 244,530 | $ | 244,530 |
* | Statements of Assets and Liabilities location: Investments, at value, or Receivables from: 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, 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. |
173
Notes to Financial Statements (Continued) |
For the year ended December 31, 2021, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:
Number of Contracts, Notional Amounts, | ||||||||||||
Fund Name | Futures | Swap | Purchased | |||||||||
Inflation-Protected and Income Fund | 129 | $ | 283,579,242 | $ | 37,437,000 | |||||||
Managed Bond Fund | 1,137 | — | 59,800,000 | |||||||||
Short-Duration Bond Fund | 992 | 52,250,000 | 3,080,000 |
† | Amount(s) disclosed represent average number of contracts for futures contracts and 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, 2021. |
The Portfolio of Investments included in a Fund’s financial statements shows the assets or liabilities of the 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, 2021. 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, 2021.
Counterparty | Derivative | Financial | Collateral | Net Amount* | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Bank of America N.A. | $ | 145,680 | $ | — | $ | — | $ | 145,680 | ||||||||
Barclays Bank PLC | 970,204 | — | (970,204 | ) | — | |||||||||||
BNP Paribas SA | 1,452,506 | — | (1,300,000 | ) | 152,506 | |||||||||||
Credit Suisse International | 398,599 | — | (398,599 | ) | — | |||||||||||
Goldman Sachs International | 1,519,517 | — | (1,519,517 | ) | — | |||||||||||
JP Morgan Chase Bank N.A. | 288,618 | — | (260,000 | ) | 28,618 | |||||||||||
$ | 4,775,124 | $ | — | $ | (4,448,320 | ) | $ | 326,804 | ||||||||
Managed Bond Fund | ||||||||||||||||
Barclays Bank PLC | $ | 2,282,415 | $ | — | $ | (2,282,415 | ) | $ | — | |||||||
Short-Duration Bond Fund | ||||||||||||||||
Credit Suisse International | $ | 97,513 | $ | — | $ | (97,513 | ) | $ | — |
* | 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 as the net amount of derivative assets 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. |
174
Notes to Financial Statements (Continued) |
Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. The Fund(s) and counterparties may not be permitted to sell, re-pledge, or use the collateral they receive. In the event that cash collateral is restricted for use, the balance will be reflected as restricted cash within the Statement of Assets and Liabilities.
Further details regarding the derivatives and other investments held by the Fund(s) during the year ended December 31, 2021, 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 asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Swap Agreements
Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or
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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.
Total Return Swaps. A Fund also may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).
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 total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement
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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.
Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.
Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the
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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.
Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.
Inflation-Linked Securities
Inflation-linked securities are typically fixed income securities whose principal values are periodically adjusted according to a measure of inflation. If the index measuring inflation falls, the principal value of an inflation-linked security will be adjusted downward, and consequently the interest payable on the security (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original principal of the security upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-linked securities. For securities that do not provide a similar guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal.
Alternatively, the interest rates payable on certain inflation-linked securities may be adjusted according to a measure of inflation. As a result, the principal values of such securities do not adjust according to the rate of inflation, although the interest payable on such securities may decline during times of falling inflation.
The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities
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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.
The Dynamic Bond Fund entered into certain loan agreements which are unfunded. The Dynamic Bond Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are disclosed in the Dynamic Bond Fund’s Portfolio of Investments. At December 31, 2021, the Dynamic Bond Fund had sufficient cash and/or securities to cover these commitments.
Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.
When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions
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until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Dollar Roll Transactions
A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.
Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.
A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.
Securities Lending
Each Fund, other than the U.S. Government Money Market 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, 2021, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan and all of the Funds’ cash collateral was invested in the State Street Navigator Securities Lending Government Money Market Portfolio.
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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, 2021, 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 the ex-dividend date. Non-cash dividends received in the form of stock are recorded as dividend income at market value. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain.
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. In addition, the Blend Fund will also incur certain fees and expenses indirectly as a shareholder in the Underlying ETFs. Because the Underlying ETFs have varied expense and fee levels, and the Blend Fund may own different proportions of Underlying ETFs at different times, the amount of fees and expenses indirectly incurred by the Blend Fund will vary.
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Foreign Securities
The Strategic Emerging Markets Fund invests substantially all of its assets in foreign securities. The other Funds, except for the Blend Fund, may also invest in foreign securities. In addition, certain Underlying ETFs 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 (the “Code”), 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 either declared daily and paid monthly or declared and paid annually depending on the requirements of each Fund. Dividends from net investment income may also be distributed at other times throughout the year as required to satisfy tax or regulatory requirements. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
3. | Advisory Fees and Other Transactions |
Investment Advisory Fees and Investment Subadvisers
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
Fund | Investment Advisory Fee |
Blend Fund | 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 | |
Dynamic Bond Fund | 0.40% on the first $1 billion; and |
0.35% on any excess over $1 billion | |
Equity Fund | 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 |
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Fund | Investment Advisory Fee |
Equity Momentum Fund | 0.60% on the first $500 million; and |
0.55% on any excess over $500 million | |
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 | |
Managed Bond Fund | 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 | |
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 | |
U.S. Government Money Market Fund | 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:
High Yield Fund | 0.20% |
Inflation-Protected and Income Fund* | 0.08% |
Managed Bond Fund* | 0.10% |
Short-Duration Bond Fund* | 0.08% |
U.S. Government Money Market Fund | 0.05% |
* | Effective May 1, 2021, Baring International Investment Limited (“BIIL”) was added as a sub-subadviser to the Fund. BIIL does not receive a fee from Barings under the applicable sub-subadvisory agreements with Barings. |
183
Notes to Financial Statements (Continued) |
MML Advisers has also entered into investment subadvisory agreements for certain Funds with the unaffiliated investment subadviser(s) shown in the following table. MML Advisers pays a subadvisory fee to each of these subadvisers based upon the aggregate net assets under management which include (1) the average daily net assets of the specified Fund which it manages, and, if applicable, (2) the average daily net assets of other Funds or accounts of MML Advisers or its affiliates for which the subadviser provides subadvisory services.
Blend Fund | BlackRock Investment Management, LLC |
Dynamic Bond Fund | DoubleLine Capital LP |
Equity Fund | Brandywine Global Investment Management, LLC; and |
T. Rowe Price Associates, Inc. | |
Equity Momentum Fund* | Invesco Advisers, Inc. |
Equity Rotation Fund* | Invesco Advisers, Inc. |
Small Cap Equity Fund | Invesco Advisers, Inc. |
Special Situations Fund* | Invesco Advisers, Inc. |
Strategic Emerging Markets Fund | Invesco Advisers, Inc. |
* | Invesco Capital Management LLC serves as a sub-subadviser of the Fund. |
The applicable Funds’ subadvisory fees are paid monthly by MML Advisers out of the advisory fees.
Administration Fees
For the Funds noted below, 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 | |
Dynamic Bond Fund | 0.15% | 0.15% |
Equity Momentum Fund | 0.15% | 0.15% |
Equity Rotation Fund | 0.15% | 0.15% |
High Yield Fund | 0.15% | 0.15% |
Short-Duration Bond Fund | 0.15% | 0.15% |
Special Situations Fund | 0.15% | 0.15% |
Strategic Emerging Markets Fund | 0.15% | 0.15% |
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares and Service Class I shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares and Service Class I shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares or Service Class I shares, as applicable, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class and Service Class I shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
184
Notes to Financial Statements (Continued) |
Expense Caps and Waivers
MML Advisers has agreed to cap the fees and expenses of the Fund 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 | |
Equity Momentum Fund* | 0.77% | 1.02% |
MML Advisers has agreed to cap the fees and expenses of the Fund noted below (other than extraordinary legal and other expenses, Acquired Fund Fees and Expenses#, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, 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:
Initial Class | Service Class | |
Inflation-Protected and Income Fund* | 0.60% | 0.85% |
MML Advisers has agreed to cap the fees and expenses of the Fund noted below (other than extraordinary legal and other expenses, Acquired Fund Fees and Expenses#, interest expense, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, 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, 2022. |
Prior to May 1, 2021, MML Advisers agreed to cap the fees and expenses of the Fund noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses#, 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:
Initial Class | Service Class | |
Inflation-Protected and Income Fund | 0.60% | 0.85% |
185
Notes to Financial Statements (Continued) |
Prior to May 1, 2021, MML Advisers agreed to cap the fees and expenses of the Fund 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. |
Effective October 1, 2021, MML Advisers has agreed to voluntarily waive 0.05% of the advisory fee of the Dynamic Bond Fund. MML Advisers may amend or discontinue this waiver at any time without advance notice.
Effective July 1, 2021, MML Advisers has agreed to waive 0.02% of the advisory fee of the Dynamic Bond Fund through April 30, 2023.
Effective May 1, 2021, MML Advisers has agreed to waive 0.05% of the advisory fee of the High Yield Fund through April 30, 2022. Prior to May 1, 2021, MML Advisers waived 0.07% of the advisory fee of the High Yield Fund.
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.
MML Advisers has agreed to voluntarily waive some or all of its advisory fees and, if necessary, reimburse some or all of the U.S. Government Money Market Fund’s other expenses, in an attempt to allow the Initial Class shares of the Fund to maintain a 1-day yield of at least approximately 0.00%. MML Advisers may amend or discontinue this waiver at any time without advance notice.
MML Advisers has agreed to waive 0.25% of the advisory fee of the Equity Momentum Fund through April 30, 2022.
MML Advisers has agreed to waive 0.05% of the advisory fee of the Equity Rotation Fund through April 30, 2022.
MML Advisers has agreed to waive 0.05% of the advisory fee of the Special Situation Fund through April 30, 2022.
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Rebated Brokerage Commissions
The Funds listed below have entered into agreements with certain brokers whereby the brokers will rebate to the Funds, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Funds and are included with realized gain or loss on investment transactions presented in the Statements of Operations. For the year ended December 31, 2021, brokerage commissions rebated under these agreements were as follows:
Rebated | ||||
Equity Fund | $ | 2,512 | ||
Small Cap Equity Fund | 1,842 | |||
Strategic Emerging Markets Fund | 563 |
186
Notes to Financial Statements (Continued) |
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended December 31, 2021, were as follows:
Purchases | Sales | |||||||||||||||
Long-Term U.S. | Other Long- | Long-Term U.S. | Other Long- | |||||||||||||
Blend Fund | $ | — | $ | 61,130,355 | $ | — | $ | 103,911,183 | ||||||||
Dynamic Bond Fund | 487,673,760 | 108,278,817 | 515,115,023 | 93,156,404 | ||||||||||||
Equity Fund | — | 633,776,521 | — | 700,815,823 | ||||||||||||
Equity Momentum Fund | — | 55,948,803 | — | 56,200,447 | ||||||||||||
Equity Rotation Fund | — | 103,413,913 | — | 103,127,169 | ||||||||||||
High Yield Fund | — | 51,508,049 | — | 78,006,137 | ||||||||||||
Inflation-Protected and Income Fund | 144,130,295 | 119,994,957 | 108,523,514 | 160,248,534 | ||||||||||||
Managed Bond Fund | 2,281,586,110 | 378,567,603 | 2,172,475,589 | 479,505,468 | ||||||||||||
Short-Duration Bond Fund | 2,001,000 | 111,235,822 | 4,226,752 | 123,037,453 | ||||||||||||
Small Cap Equity Fund | — | 43,018,716 | — | 54,722,127 | ||||||||||||
Special Situations Fund | — | 20,281,053 | — | 20,202,517 | ||||||||||||
Strategic Emerging Markets Fund | — | 47,914,897 | — | 88,253,778 |
The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule 17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.
Purchases | Sales | Realized | ||||||||||
Small Cap Equity Fund | $ | 128,757 | $ | 1,708,560 | $ | 1,035,132 |
187
Notes to Financial Statements (Continued) |
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Blend Fund Initial Class | ||||||||||||||||
Sold | 636,159 | $ | 15,421,965 | 887,437 | $ | 20,452,366 | ||||||||||
Issued as reinvestment of dividends | 8,317,755 | 168,011,356 | 1,036,024 | 24,201,102 | ||||||||||||
Redeemed | (3,033,135 | ) | (71,716,509 | ) | (3,117,796 | ) | (71,083,998 | ) | ||||||||
Net increase (decrease) | 5,920,779 | $ | 111,716,812 | (1,194,335 | ) | $ | (26,430,530 | ) | ||||||||
Blend Fund Service Class | ||||||||||||||||
Sold | 835,017 | $ | 20,280,334 | 934,409 | $ | 20,959,674 | ||||||||||
Issued as reinvestment of dividends | 2,862,933 | 57,432,992 | 316,644 | 7,363,875 | ||||||||||||
Redeemed | (718,991 | ) | (16,659,759 | ) | (797,796 | ) | (17,880,305 | ) | ||||||||
Net increase (decrease) | 2,978,959 | $ | 61,053,567 | 453,257 | $ | 10,443,244 | ||||||||||
Dynamic Bond Fund Class II | ||||||||||||||||
Sold | 4,036,488 | $ | 41,870,827 | 7,449,711 | $ | 75,523,408 | ||||||||||
Issued as reinvestment of dividends | 1,101,437 | 11,157,560 | 108,942 | 1,117,750 | ||||||||||||
Redeemed | (6,070,053 | ) | (62,466,916 | ) | (15,810,401 | ) | (161,797,933 | ) | ||||||||
Net increase (decrease) | (932,128 | ) | $ | (9,438,529 | ) | (8,251,748 | ) | $ | (85,156,775 | ) | ||||||
Dynamic Bond Fund Service Class I | ||||||||||||||||
Sold | 233,074 | $ | 2,381,793 | 344,611 | $ | 3,502,712 | ||||||||||
Issued as reinvestment of dividends | 45,869 | 462,823 | 3,730 | 38,159 | ||||||||||||
Redeemed | (121,284 | ) | (1,240,336 | ) | (157,142 | ) | (1,568,375 | ) | ||||||||
Net increase (decrease) | 157,659 | $ | 1,604,280 | 191,199 | $ | 1,972,496 | ||||||||||
Equity Fund Initial Class | ||||||||||||||||
Sold | 509,542 | $ | 14,992,146 | 720,539 | $ | 16,792,666 | ||||||||||
Issued as reinvestment of dividends | 423,279 | 13,032,797 | 3,838,034 | 84,655,474 | ||||||||||||
Redeemed | (2,766,152 | ) | (81,888,499 | ) | (3,101,463 | ) | (73,921,732 | ) | ||||||||
Net increase (decrease) | (1,833,331 | ) | $ | (53,863,556 | ) | 1,457,110 | $ | 27,526,408 | ||||||||
Equity Fund Service Class | ||||||||||||||||
Sold | 202,391 | $ | 5,958,726 | 485,427 | $ | 10,932,484 | ||||||||||
Issued as reinvestment of dividends | 50,699 | 1,534,583 | 547,220 | 11,874,652 | ||||||||||||
Redeemed | (756,362 | ) | (22,118,736 | ) | (706,405 | ) | (16,197,506 | ) | ||||||||
Net increase (decrease) | (503,272 | ) | $ | (14,625,427 | ) | 326,242 | $ | 6,609,630 | ||||||||
Equity Momentum Fund Class II | ||||||||||||||||
Sold | — | $ | — | — | $ | — | ||||||||||
Issued as reinvestment of dividends | 1,133,968 | 13,821,144 | 275,844 | 3,595,440 | ||||||||||||
Redeemed | — | — | — | — | ||||||||||||
Net increase (decrease) | 1,133,968 | $ | 13,821,144 | 275,844 | $ | 3,595,440 | ||||||||||
Equity Momentum Fund Service Class I | ||||||||||||||||
Sold | 19,013 | $ | 258,698 | 7,047 | $ | 77,458 | ||||||||||
Issued as reinvestment of dividends | 55,879 | 674,625 | 14,874 | 192,350 | ||||||||||||
Redeemed | (41,889 | ) | (564,869 | ) | (22,665 | ) | (257,037 | ) | ||||||||
Net increase (decrease) | 33,003 | $ | 368,454 | (744 | ) | $ | 12,771 | |||||||||
Equity Rotation Fund Class II | ||||||||||||||||
Sold | — | $ | — | — | $ | — | ||||||||||
Issued as reinvestment of dividends | 978,635 | 13,847,437 | 77,814 | 1,109,325 | ||||||||||||
Redeemed | — | — | — | — | ||||||||||||
Net increase (decrease) | 978,635 | $ | 13,847,437 | 77,814 | $ | 1,109,325 |
188
Notes to Financial Statements (Continued) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Equity Rotation Fund Service Class I | ||||||||||||||||
Sold | 15,457 | $ | 239,663 | 4,249 | $ | 56,414 | ||||||||||
Issued as reinvestment of dividends | 55,175 | 776,065 | 4,135 | 58,536 | ||||||||||||
Redeemed | (21,894 | ) | (340,040 | ) | (11,940 | ) | (137,416 | ) | ||||||||
Net increase (decrease) | 48,738 | $ | 675,688 | (3,556 | ) | $ | (22,466 | ) | ||||||||
High Yield Fund Class II | ||||||||||||||||
Sold | 557,434 | $ | 5,804,676 | 614,107 | $ | 5,782,357 | ||||||||||
Issued as reinvestment of dividends | 257,994 | 2,520,599 | 1,913 | 18,037 | ||||||||||||
Redeemed | (3,401,878 | ) | (35,336,416 | ) | (4,643,589 | ) | (44,513,850 | ) | ||||||||
Net increase (decrease) | (2,586,450 | ) | $ | (27,011,141 | ) | (4,027,569 | ) | $ | (38,713,456 | ) | ||||||
High Yield Fund Service Class I | ||||||||||||||||
Sold | 664,730 | $ | 6,776,882 | 502,880 | $ | 4,684,961 | ||||||||||
Issued as reinvestment of dividends | 440,552 | 4,268,950 | 1,154 | 10,822 | ||||||||||||
Redeemed | (454,185 | ) | (4,603,222 | ) | (822,293 | ) | (7,419,505 | ) | ||||||||
Net increase (decrease) | 651,097 | $ | 6,442,610 | (318,259 | ) | $ | (2,723,722 | ) | ||||||||
Inflation-Protected and Income Fund Initial Class | ||||||||||||||||
Sold | 3,145,788 | $ | 35,863,588 | 5,764,117 | $ | 63,752,483 | ||||||||||
Issued as reinvestment of dividends | 1,995,823 | 21,774,428 | 28,441 | 316,265 | ||||||||||||
Redeemed | (8,720,503 | ) | (100,280,126 | ) | (11,117,164 | ) | (119,258,328 | ) | ||||||||
Net increase (decrease) | (3,578,892 | ) | $ | (42,642,110 | ) | (5,324,606 | ) | $ | (55,189,580 | ) | ||||||
Inflation-Protected and Income Fund Service Class | ||||||||||||||||
Sold | 1,083,080 | $ | 12,109,593 | 1,208,439 | $ | 13,079,822 | ||||||||||
Issued as reinvestment of dividends | 377,051 | 4,083,457 | 4,632 | 51,184 | ||||||||||||
Redeemed | (733,072 | ) | (8,228,037 | ) | (1,361,946 | ) | (14,634,662 | ) | ||||||||
Net increase (decrease) | 727,059 | $ | 7,965,013 | (148,875 | ) | $ | (1,503,656 | ) | ||||||||
Managed Bond Fund Initial Class | ||||||||||||||||
Sold | 9,830,988 | $ | 132,869,751 | 11,403,707 | $ | 149,341,369 | ||||||||||
Issued as reinvestment of dividends | 2,979,032 | 39,056,618 | 55,451 | 733,340 | ||||||||||||
Redeemed | (9,863,621 | ) | (132,017,086 | ) | (22,787,742 | ) | (296,934,778 | ) | ||||||||
Net increase (decrease) | 2,946,399 | $ | 39,909,283 | (11,328,584 | ) | $ | (146,860,069 | ) | ||||||||
Managed Bond Fund Service Class | ||||||||||||||||
Sold | 2,334,792 | $ | 30,899,919 | 3,122,244 | $ | 40,920,144 | ||||||||||
Issued as reinvestment of dividends | 974,495 | 12,723,319 | 18,968 | 249,878 | ||||||||||||
Redeemed | (3,423,432 | ) | (45,447,962 | ) | (4,114,313 | ) | (52,668,273 | ) | ||||||||
Net increase (decrease) | (114,145 | ) | $ | (1,824,724 | ) | (973,101 | ) | $ | (11,498,251 | ) | ||||||
Short-Duration Bond Fund Class II | ||||||||||||||||
Sold | 1,473,465 | $ | 14,632,225 | 2,057,225 | $ | 19,693,406 | ||||||||||
Issued as reinvestment of dividends | 471,296 | 4,585,706 | 45 | 433 | ||||||||||||
Redeemed | (2,705,543 | ) | (26,762,700 | ) | (5,295,106 | ) | (51,081,156 | ) | ||||||||
Net increase (decrease) | (760,782 | ) | $ | (7,544,769 | ) | (3,237,836 | ) | $ | (31,387,317 | ) | ||||||
Short-Duration Bond Fund Service Class I | ||||||||||||||||
Sold | 688,848 | $ | 6,778,368 | 3,063,881 | $ | 29,480,845 | ||||||||||
Issued as reinvestment of dividends | 122,618 | 1,189,399 | 9 | 90 | ||||||||||||
Redeemed | (1,823,771 | ) | (17,988,209 | ) | (1,919,443 | ) | (18,365,937 | ) | ||||||||
Net increase (decrease) | (1,012,305 | ) | $ | (10,020,442 | ) | 1,144,447 | $ | 11,114,998 | ||||||||
Small Cap Equity Fund Initial Class | ||||||||||||||||
Sold | 482,138 | $ | 6,121,068 | 602,073 | $ | 5,077,485 | ||||||||||
Issued as reinvestment of dividends | 602,826 | 7,333,753 | 140,334 | 1,276,608 | ||||||||||||
Redeemed | (1,330,955 | ) | (16,810,703 | ) | (1,500,948 | ) | (13,281,105 | ) | ||||||||
Net increase (decrease) | (245,991 | ) | $ | (3,355,882 | ) | (758,541 | ) | $ | (6,927,012 | ) |
189
Notes to Financial Statements (Continued) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Small Cap Equity Fund Service Class | ||||||||||||||||
Sold | 350,159 | $ | 4,326,145 | 564,885 | $ | 4,528,738 | ||||||||||
Issued as reinvestment of dividends | 156,521 | 1,860,664 | 30,205 | 269,088 | ||||||||||||
Redeemed | (407,046 | ) | (5,020,458 | ) | (746,182 | ) | (6,304,366 | ) | ||||||||
Net increase (decrease) | 99,634 | $ | 1,166,351 | (151,092 | ) | $ | (1,506,540 | ) | ||||||||
Special Situations Fund Class II | ||||||||||||||||
Sold | — | $ | — | — | $ | — | ||||||||||
Issued as reinvestment of dividends | 708,373 | 9,217,164 | 273,469 | 3,959,893 | ||||||||||||
Redeemed | — | — | — | — | ||||||||||||
Net increase (decrease) | 708,373 | $ | 9,217,164 | 273,469 | $ | 3,959,893 | ||||||||||
Special Situations Fund Service Class I | ||||||||||||||||
Sold | 23,530 | $ | 337,762 | 2,476 | $ | 24,825 | ||||||||||
Issued as reinvestment of dividends | 23,416 | 300,333 | 8,845 | 127,231 | ||||||||||||
Redeemed | (14,017 | ) | (214,045 | ) | (10,387 | ) | (121,042 | ) | ||||||||
Net increase (decrease) | 32,929 | $ | 424,050 | 934 | $ | 31,014 | ||||||||||
Strategic Emerging Markets Fund Class II | ||||||||||||||||
Sold | 354,922 | $ | 4,766,700 | 911,853 | $ | 10,597,124 | ||||||||||
Issued as reinvestment of dividends | 1,205,695 | 13,347,045 | 307,481 | 3,818,915 | ||||||||||||
Redeemed | (3,334,598 | ) | (45,510,413 | ) | (4,387,645 | ) | (57,245,548 | ) | ||||||||
Net increase (decrease) | (1,773,981 | ) | $ | (27,396,668 | ) | (3,168,311 | ) | $ | (42,829,509 | ) | ||||||
Strategic Emerging Markets Fund Service Class I | ||||||||||||||||
Sold | 218,457 | $ | 2,874,530 | 128,408 | $ | 1,557,559 | ||||||||||
Issued as reinvestment of dividends | 319,526 | 3,530,767 | 38,294 | 476,372 | ||||||||||||
Redeemed | (173,532 | ) | (2,429,599 | ) | (306,542 | ) | (3,790,757 | ) | ||||||||
Net increase (decrease) | 364,451 | $ | 3,975,698 | (139,840 | ) | $ | (1,756,826 | ) | ||||||||
U.S. Government Money Market Fund Initial Class | ||||||||||||||||
Sold | 102,446,334 | $ | 102,446,334 | 351,041,873 | $ | 351,041,873 | ||||||||||
Issued as reinvestment of dividends | — | — | 405,972 | 405,972 | ||||||||||||
Redeemed | (150,844,119 | ) | (150,844,119 | ) | (302,959,713 | ) | (302,959,713 | ) | ||||||||
Net increase (decrease) | (48,397,785 | ) | $ | (48,397,785 | ) | 48,488,132 | $ | 48,488,132 |
6. | Federal Income Tax Information |
At December 31, 2021, 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 Basis | Tax Basis | Net Unrealized | |||||||||||||
Blend Fund | $ | 733,479,742 | $ | 120,303,657 | $ | (8,079,977 | ) | $ | 112,223,680 | |||||||
Dynamic Bond Fund | 316,582,802 | 5,578,700 | (9,863,143 | ) | (4,284,443 | ) | ||||||||||
Equity Fund | 686,945,505 | 248,703,683 | (4,958,207 | ) | 243,745,476 | |||||||||||
Equity Momentum Fund | 46,439,081 | 3,764,447 | (1,347,365 | ) | 2,417,082 | |||||||||||
Equity Rotation Fund | 49,455,801 | 3,300,366 | (197,585 | ) | 3,102,781 | |||||||||||
High Yield Fund | 77,573,078 | 3,485,181 | (1,147,702 | ) | 2,337,479 | |||||||||||
Inflation-Protected and Income Fund | 292,311,964 | 5,568,031 | (1,665,678 | ) | 3,902,353 | |||||||||||
Managed Bond Fund | 1,143,240,651 | 18,800,648 | (8,882,598 | ) | 9,918,050 | |||||||||||
Short-Duration Bond Fund | 169,927,965 | 1,911,367 | (3,198,848 | ) | (1,287,481 | ) |
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Notes to Financial Statements (Continued) |
Federal Income | Tax Basis | Tax Basis | Net Unrealized | |||||||||||||
Small Cap Equity Fund | $ | 94,648,699 | $ | 57,863,817 | $ | (5,200,997 | ) | $ | 52,662,820 | |||||||
Special Situations Fund | 36,631,219 | 5,339,604 | (4,487,418 | ) | 852,186 | |||||||||||
Strategic Emerging Markets Fund | 63,093,272 | 10,996,192 | (5,551,733 | ) | 5,444,459 |
Note: The aggregate cost for investments for the U.S. Government Money Market Fund at December 31, 2021, 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.
At December 31, 2021, the following Fund(s) had available, for federal income tax purposes, post-enactment unused capital losses:
Short Term | Long Term | |||||||
Dynamic Bond Fund | $ | 1,550,051 | $ | — | ||||
High Yield Fund | — | 10,554,622 | ||||||
Short-Duration Bond Fund | 2,010,315 | 6,822,511 |
Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2021, was as follows:
Ordinary | Long Term | |||||||
Blend Fund | $ | 36,317,285 | $ | 189,127,063 | ||||
Dynamic Bond Fund | 11,620,383 | — | ||||||
Equity Fund | 14,567,380 | — | ||||||
Equity Momentum Fund | 8,958,318 | 5,537,451 | ||||||
Equity Rotation Fund | 7,616,324 | 7,007,178 | ||||||
High Yield Fund | 6,789,549 | — | ||||||
Inflation-Protected and Income Fund | 21,217,014 | 4,640,871 | ||||||
Managed Bond Fund | 47,592,938 | 4,186,999 | ||||||
Short-Duration Bond Fund | 5,775,105 | — | ||||||
Small Cap Equity Fund | 1,344,618 | 7,849,799 | ||||||
Special Situations Fund | 4,791,890 | 4,725,607 | ||||||
Strategic Emerging Markets Fund | — | 16,877,812 |
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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, 2020, was as follows:
Ordinary | Long Term | |||||||
Blend Fund | $ | 1,414,757 | $ | 30,150,220 | ||||
Dynamic Bond Fund | 1,155,909 | — | ||||||
Equity Fund | 16,293,607 | 80,236,519 | ||||||
Equity Momentum Fund | 1,202,462 | 2,585,328 | ||||||
Equity Rotation Fund | 706,083 | 461,778 | ||||||
High Yield Fund | 28,859 | — | ||||||
Inflation-Protected and Income Fund | 367,449 | — | ||||||
Managed Bond Fund | 983,218 | — | ||||||
Short-Duration Bond Fund | 523 | — | ||||||
Small Cap Equity Fund | 519,119 | 1,026,577 | ||||||
Special Situations Fund | 77,148 | 4,009,976 | ||||||
Strategic Emerging Markets Fund | 549,224 | 3,746,063 | ||||||
U.S. Government Money Market Fund | 405,972 | — |
The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2021:
Amount | ||||
Strategic Emerging Markets Fund | $ | 496,294 |
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, 2021, 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, 2021, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Other | Unrealized | Total | ||||||||||||||||
Blend Fund | $ | 16,345,019 | $ | 5,621,799 | $ | (166,632 | ) | $ | 112,223,680 | $ | 134,023,866 | |||||||||
Dynamic Bond Fund | 9,887,465 | (1,550,051 | ) | (29,548 | ) | (4,284,443 | ) | 4,023,423 | ||||||||||||
Equity Fund | 26,930,818 | 76,979,642 | (208,159 | ) | 243,745,245 | 347,447,546 | ||||||||||||||
Equity Momentum Fund | 406 | 1,231 | (1,732 | ) | 2,417,195 | 2,417,100 | ||||||||||||||
Equity Rotation Fund | 2,497,638 | 2,812,737 | (1,819 | ) | 3,102,781 | 8,411,337 | ||||||||||||||
High Yield Fund | 4,767,845 | (10,554,622 | ) | (17,433 | ) | 2,339,296 | (3,464,914 | ) | ||||||||||||
Inflation-Protected and Income Fund | 22,108,265 | 1,276,770 | (71,283 | ) | 3,902,353 | 27,216,105 | ||||||||||||||
Managed Bond Fund | 24,642,147 | 8,500,896 | (202,391 | ) | 9,918,049 | 42,858,701 | ||||||||||||||
Short-Duration Bond Fund | 4,664,580 | (8,832,826 | ) | (29,136 | ) | (1,287,481 | ) | (5,484,863 | ) | |||||||||||
Small Cap Equity Fund | 3,131,480 | 12,191,801 | (26,152 | ) | 52,662,820 | 67,959,949 | ||||||||||||||
Special Situations Fund | 53,698 | 797,852 | (1,526 | ) | 852,186 | 1,702,210 | ||||||||||||||
Strategic Emerging Markets Fund | 1,012,073 | 18,078,957 | (11,867 | ) | 5,127,725 | 24,206,888 | ||||||||||||||
U.S. Government Money Market Fund | — | — | (43,004 | ) | — | (43,004 | ) |
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Notes to Financial Statements (Continued) |
During the year ended December 31, 2021, the following amounts were reclassified due to permanent differences between book and tax accounting:
Paid-in | Accumulated | Undistributed | ||||||||||
Blend Fund | $ | 2,738 | $ | 580,956 | $ | (583,694 | ) | |||||
Dynamic Bond Fund | 486 | (930,456 | ) | 929,970 | ||||||||
Equity Fund | 3,421 | 330,118 | (333,539 | ) | ||||||||
Equity Momentum Fund | 28 | (5,397 | ) | 5,369 | ||||||||
Equity Rotation Fund | 30 | (23,191 | ) | 23,161 | ||||||||
High Yield Fund | 287 | 27,755 | (28,042 | ) | ||||||||
Inflation-Protected and Income Fund | 1,171 | (1,336,063 | ) | 1,334,892 | ||||||||
Managed Bond Fund | 3,326 | (236,132 | ) | 232,806 | ||||||||
Short-Duration Bond Fund | 479 | (538,029 | ) | 537,550 | ||||||||
Small Cap Equity Fund | (7,565 | ) | 1,245,327 | (1,237,762 | ) | |||||||
Special Situations Fund | 25 | (63,963 | ) | 63,938 | ||||||||
Strategic Emerging Markets Fund | — | (355,088 | ) | 355,088 | ||||||||
U.S. Government Money Market Fund | 5,576 | (1,339 | ) | (4,237 | ) |
The Funds did not have any unrecognized tax benefits at December 31, 2021, 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, 2021, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
7. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
8. | New Accounting Pronouncements |
In October 2020, Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”) was amended by Accounting Standards Update 2020-08, Codification Improvements to Subtopic 310-20, Receivables — Nonrefundable Fees and Other Costs (“ASU 2020-08”). ASU 2020-08 requires entities to reevaluate whether callable debt securities fall within the scope of ASU 2017-08 at each reporting period. ASU 2020-08 also amends the relevant guidance to require premiums to be amortized to the “next call date” rather than the “earliest call date,” and further clarifies the definition of “next call date.” ASU 2020-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020. As of December 31, 2021, Management has fully implemented the new rule and there was no material impact.
In January 2021, FASB issued Accounting Standards Update 2021-01 — Reference Rate Reform (Topic 848) — Scope (“ASU 2021-01”) as an update to Accounting Standards Update 2020-04 — Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”) in order to make certain clarifications. ASU 2020-04 and ASU 2021-01 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference
193
Notes to Financial Statements (Continued) |
rates. The temporary relief provided by ASU 2020-04 and ASU 2021-01 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management does not believe the impact of adopting ASU 2020-04 and ASU 2021-01 will have a material impact on the 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. This case has been dismissed by the district court and dismissal was affirmed by the Second Circuit Court of Appeals. The Trustee has filed a petition for a writ of certiorari with the United States Supreme Court, which was recently denied.
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. This case also has been dismissed. The district court’s dismissal of the case was affirmed by the Second Circuit Court of Appeals, and the Plaintiffs’ petition for certiorari was denied by the United States Supreme Court.
10. | Coronavirus (COVID-19) Pandemic |
The global pandemic outbreak of the novel coronavirus known as COVID-19 and efforts to contain its spread have produced, and will likely continue to produce, substantial market volatility, severe market dislocations and liquidity constraints in many markets, exchange trading suspensions and closures, higher default rates, and global business disruption, and they may result in future significant adverse effects, such as declines in global financial markets and a substantial economic downturn or recession throughout the world. Such factors may have a significant adverse effect on a Fund’s performance and have the potential to impair the ability of a Fund’s investment adviser, subadviser, or other service providers to serve the Fund and could lead to disruptions that negatively impact the Fund.
11. | Subsequent Events |
In preparation of these financial statements, management has evaluated the events and transactions subsequent to December 31, 2021 through the date when the financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ financial statements other than those disclosed below.
Effective February 1, 2022, Baring International Investment Limited was added as a sub-subadviser to the High Yield Fund.
194
To the Board of Trustees of MML Series Investment Fund II and Shareholders of MML Blend Fund, MML Dynamic Bond Fund, MML Equity Fund, MML Equity Momentum Fund, MML Equity Rotation Fund, MML High Yield Fund, MML Inflation-Protected and Income Fund, MML Managed Bond Fund, MML Short-Duration Bond Fund, MML Small Cap Equity Fund, MML Special Situations Fund, MML Strategic Emerging Markets Fund, and MML U.S. Government Money Market Fund (collectively, the “Funds”):
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, 2021, 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, 2021, 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, 2021, by correspondence with the custodian, brokers, and agent banks; when replies were not received from brokers or agent banks, 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, 2022
We have served as the auditor of one or more MassMutual investment companies since 1995.
195
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, 1295 State Street, Springfield, Massachusetts 01111-0001, Attention: Investment Management Solutions.
Independent Trustees
Name, Address*, | Position(s) | Term of | Principal Occupation(s) | Number of | Other Directorships |
Allan W. Blair Year of birth: 1948 | Trustee | Since 2012 | Retired. | 115 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (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). | 116 | Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Chairperson and Trustee (since 2021), MassMutual AccessSM Pine Point Fund (closed-end investment company). |
Maria D. Furman Year of birth: 1954 | Trustee | Since 2005 | Retired. | 115 | Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company). |
R. Alan Hunter, Jr. Year of birth: 1946 | Trustee
Chairperson | Since 2012
2016-2021 | Retired. | 115 | Trustee (since 2003), Chairperson (2016-2021), MassMutual Select Funds (open-end investment company); Trustee (since 2012), Chairperson (2016-2021), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), Chairperson (2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2003), Chairperson (2016-2021), MML Series Investment Fund (open-end investment company). |
196
Trustees and Principal Officers (Unaudited) (Continued) |
Name, Address*, and Year of Birth | Position(s) | Term of | Principal Occupation(s) | Number of | Other Directorships |
C. Ann Merrifield Year of birth: 1951 | Trustee | Since 2005 | Retired. | 115 | Lead Director (since 2020), Lyra Therapeutics (a clinical-stage specialty pharmaceutical company); Chairperson (since 2017), 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 2004), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company). |
Susan B. Sweeney Year of birth: 1952 | Chairperson
Trustee | Since 2022
Since 2012 | Retired. | 118^ | Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Chairperson (since 2022), Trustee (since 2009), MassMutual Select Funds (open-end investment company); Chairperson (since 2022), Trustee (since 2012), MassMutual Premier Funds (open-end investment company); Chairperson (since 2022), Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Chairperson (since 2022), Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2021), MassMutual AccessSM Pine Point Fund (closed-end investment company). |
Interested Trustees
Name, Address*, and Year of Birth | Position(s) | Term of | Principal Occupation(s) | Number of | Other Directorships |
Michael R. Fanning^^ Year of birth: 1963 | Trustee | Since 2021 | Head of MassMutual U.S. (since 2016), Executive Vice President (2016-2018), Member of MassMutual’s Executive Leadership Team (since 2008), MassMutual. | 115 | Director (since 2016), MML Advisers; Trustee (since 2021), MassMutual Select Funds (open-end investment company); Trustee (since 2021), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2021), MML Series Investment Fund (open-end investment company). |
197
Trustees and Principal Officers (Unaudited) (Continued) |
Name, Address*, and Year of Birth | Position(s) | Term of | Principal Occupation(s) | Number of | Other Directorships |
Clifford M, Noreen^^^ Year of birth: 1957 | Trustee | Since 2021 | Head of Global Investment Strategy (since 2019), Deputy Chief Investment Officer (2016-2018), MassMutual; President (2008-2016), Vice Chairman (2007-2008), Member of the Board of Managers (2006-2016), Managing Director (2000-2016), Barings LLC. | 117^ | Chairman (since 2009), Trustee (since 2005), President (2005-2009), CI Subsidiary Trust and PI Subsidiary Trust; Chairman and Trustee (since 2009), Barings Corporate Investors (closed-end investment company); Chairman and Trustee (since 2009), Barings Participation Investors (closed-end investment company); Trustee (since 2021), MassMutual Select Funds (open-end investment company); Trustee (since 2021), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2021), MML Series Investment Fund (open-end investment company). |
Principal Officers
Name, Address*, | Position(s) | Term of | Principal Occupation(s) | Number of |
Andrea Anastasio Year of birth: 1974 | Vice President | Since 2021 | Vice President (since 2021), MML Advisers; Head of Investment Management Solutions (since 2021), MassMutual; Head of Investment Strategy and Research, North America (2019-2021), Head of Investment Product Management (2016-2019), State Street Global Advisors; Vice President (since 2021), MassMutual Select Funds (open- end investment company); Vice President (since 2021), MassMutual Premier Funds (open-end investment company); Vice President (since 2021), MassMutual Advantage Funds (open-end investment company); Vice President (since 2021), MML Series Investment Fund (open-end investment company). | 115 |
Andrew M. Goldberg Year of birth: 1966 | Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer
Assistant Clerk | Since 2008
2005- 2008 | 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, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2021), MassMutual Advantage 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, and Chief Legal Officer (since 2021), MassMutual AccessSM Pine Point Fund (closed-end investment company). | 116 |
198
Trustees and Principal Officers (Unaudited) (Continued) |
Name, Address*, and Year of Birth | Position(s) | Term of | Principal Occupation(s) | Number of |
Renee Hitchcock Year of birth: 1970 | Chief Financial Officer and Treasurer
Assistant Treasurer | Since 2016
2007- 2016 | Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), 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), MassMutual Premier Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2021), MassMutual Advantage 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 2021), MassMutual AccessSM Pine Point Fund (closed-end investment company). | 116 |
Aruna Hobbs Year of birth: 1960 | Vice President | Since 2021 | Vice President (since 2021), MML Advisers; Head of Institutional Investments (since 2014), MassMutual; Vice President (since 2021), MassMutual Select Funds (open-end investment company); Vice President (since 2021), MassMutual Premier Funds (open-end investment company); Vice President (since 2021), MassMutual Advantage Funds (open-end investment company); Vice President (since 2021), MML Series Investment Fund (open-end investment company). | 115 |
Paul LaPiana Year of birth: 1969 | President | Since 2021 | President (since 2021), MML Advisers; Head of MassMutual U.S. Product (since 2019), Head of Field Management (2016-2019), MassMutual; Executive Vice President, Head of Field Distribution (2012-2016), MetLife; President (since 2021), MassMutual Select Funds (open-end investment company); President (since 2021), MassMutual Premier Funds (open-end investment company); President (since 2021), MassMutual Advantage Funds (open-end investment company); President (since 2021), MML Series Investment Fund (open-end investment company). | 115 |
Jill Nareau Robert Year of birth: 1972 | Vice President and Assistant Secretary
Assistant Secretary (formerly known as “Assistant Clerk”) | Since 2017
2008- 2017 | 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 (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company); Vice President and Assistant Secretary (since 2021), MassMutual Advantage 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 2021), MassMutual AccessSM Pine Point Fund (closed-end investment company). | 116 |
Douglas Steele Year of birth: 1975 | Vice President | Since 2016 | Head of Product Management (since 2021), Vice President (since 2017), Head of Investment Management (2017-2021), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Product Management (since 2021), Head of Manager Research (2021), Head of Investment Management (2017-2021), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company); Vice President (since 2021), MassMutual Advantage Funds (open-end investment company); Vice President (since 2016), MML Series Investment Fund (open-end investment company). | 115 |
199
Trustees and Principal Officers (Unaudited) (Continued) |
Name, Address*, and Year of Birth | Position(s) | Term of | Principal Occupation(s) | Number of |
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), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2021), MassMutual Advantage 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 2021), MassMutual AccessSM Pine Point Fund (closed-end investment company). | 116 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 1295 State Street, Springfield, Massachusetts 01111-0001. |
** | 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, 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. However, any Trustee who attained the age of seventy-five years during 2021 shall retire and cease to serve as a Trustee on or before June 30, 2022. |
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, and any such Chairperson may not serve more than two consecutive terms. 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. |
^^ | Mr. Fanning is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual. |
^^^ | Mr. Noreen is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual. |
# | 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. |
200
For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2021, qualified for the dividends received deduction, as follows:
Dividends | ||||
Blend Fund | 27.16 | % | ||
Equity Fund | 100.00 | % | ||
Equity Momentum Fund | 3.47 | % | ||
Equity Rotation Fund | 7.49 | % | ||
Managed Bond Fund | 0.19 | % | ||
Small Cap Equity Fund | 68.50 | % | ||
Special Situations Fund | 4.89 | % | ||
Strategic Emerging Markets Fund | 4.02 | % |
For the year ended December 31, 2021, the following Fund(s) earned the following foreign sources of income:
Amount | ||||
Strategic Emerging Markets Fund | $ | 496,294 |
The Fund(s) intend to pass through the maximum amount allowable as Section 163(j) Interest Dividends as defined in Treasury Regulations §1.163(j)-1(b).
201
A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
The U.S. Government Money Market Fund files its complete schedule of portfolio holdings with the SEC monthly on Form N-MFP. The U.S. Government Money Market Fund’s reports on Form N-MFP are available on the SEC’s EDGAR database on its website at http://www.sec.gov. In addition, the U.S. Government Money Market Fund makes portfolio holdings information available to shareholders at http://www.massmutual.com/funds.
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 Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s EDGAR database on its website at http://www.sec.gov. In addition, the Funds make the complete schedule of portfolio holdings from their filings on Form N-PORT available to shareholders at http://www.massmutual.com/funds.
Trustees’ Approval of Investment Advisory Contracts
At their meeting in December 2021, the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MML Advisers, or the subadvisers (the “Independent Trustees”), reviewed and approved a proposal to make changes to the existing subadvisory agreement with Barings for the High Yield Fund (the “Fund” and the “Amended Subadvisory Agreement”) intended to permit Barings to delegate to its advisory affiliates. The Trustees considered, among other things, that any such delegation by Barings would be subject to the consent of MML Advisers and the Board. At the same time, the Trustees, including the Independent Trustees, approved a sub-subadvisory agreement between Barings and BIIL (the “New Sub-Subadvisory Agreement”) for the Fund. The Trustees considered, among other things, that the New Sub-Subadvisory Agreement would not result in any changes in the fees payable by the Fund or MML Advisers and that the services provided would continue to be subject to the supervision of Barings. The Trustees concluded that the Amended Subadvisory Agreement and New Sub-Subadvisory Agreement are in the best interests of the Fund and its shareholders. In their deliberations, the Trustees were advised by independent counsel.
Prior to the votes being taken to approve the Amended Subadvisory Agreement and New Sub-Subadvisory Agreement discussed above, the Independent Trustees met separately in executive session to discuss the appropriateness of such contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.
The Amended Subadvisory Agreement and New Sub-Subadvisory Agreement became effective on February 1, 2022.
202
Other Information (Unaudited) (Continued) |
Fund Expenses December 31, 2021
Expense Examples:
The following information is in regards to expenses for the six months ended December 31, 2021:
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, 2021.
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 | Annualized | Ending | Operating | Ending Value | Operating | |
Blend Fund | ||||||
Initial Class | $1,000 | 0.43% | $1,059.10 | $2.23 | $1,023.00 | $2.19 |
Service Class | 1,000 | 0.68% | 1,057.70 | 3.53 | 1,021.80 | 3.47 |
Dynamic Bond Fund | ||||||
Class II | 1,000 | 0.54% | 1,000.90 | 2.72 | 1,022.50 | 2.75 |
Service Class I | 1,000 | 0.79% | 1,000.10 | 3.98 | 1,021.20 | 4.02 |
Equity Fund | ||||||
Initial Class | 1,000 | 0.43% | 1,077.20 | 2.25 | 1,023.00 | 2.19 |
Service Class | 1,000 | 0.68% | 1,075.90 | 3.56 | 1,021.80 | 3.47 |
Equity Momentum Fund | ||||||
Class II | 1,000 | 0.73% | 1,090.20 | 3.85 | 1,021.50 | 3.72 |
Service Class I | 1,000 | 0.98% | 1,087.80 | 5.16 | 1,020.30 | 4.99 |
Equity Rotation Fund | ||||||
Class II | 1,000 | 0.76% | 1,086.20 | 4.00 | 1,021.40 | 3.87 |
Service Class I | 1,000 | 1.01% | 1,084.80 | 5.31 | 1,020.10 | 5.14 |
203
Other Information (Unaudited) (Continued) |
Beginning Value | Annualized Expense | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |
High Yield Fund | ||||||
Class II | $1,000 | 0.83% | $1,021.50 | $4.23 | $1,021.00 | $4.23 |
Service Class I | 1,000 | 1.08% | 1,020.80 | 5.50 | 1,019.80 | 5.50 |
Inflation-Protected and Income Fund | ||||||
Initial Class | 1,000 | 0.60% | 1,040.30 | 3.09 | 1,022.20 | 3.06 |
Service Class | 1,000 | 0.85% | 1,039.20 | 4.37 | 1,020.90 | 4.33 |
Managed Bond Fund | ||||||
Initial Class | 1,000 | 0.41% | 1,002.90 | 2.07 | 1,023.10 | 2.09 |
Service Class | 1,000 | 0.66% | 1,001.60 | 3.33 | 1,021.90 | 3.36 |
Short-Duration Bond Fund | ||||||
Class II | 1,000 | 0.54% | 999.80 | 2.72 | 1,022.50 | 2.75 |
Service Class I | 1,000 | 0.79% | 997.60 | 3.98 | 1,021.20 | 4.02 |
Small Cap Equity Fund | ||||||
Initial Class | 1,000 | 0.68% | 1,041.40 | 3.50 | 1,021.80 | 3.47 |
Service Class | 1,000 | 0.93% | 1,040.10 | 4.78 | 1,020.50 | 4.74 |
Special Situations Fund | ||||||
Class II | 1,000 | 1.01% | 884.60 | 4.80 | 1,020.10 | 5.14 |
Service Class I | 1,000 | 1.26% | 883.50 | 5.98 | 1,018.90 | 6.41 |
Strategic Emerging Markets Fund | ||||||
Class II | 1,000 | 1.35% | 858.70 | 6.32 | 1,018.40 | 6.87 |
Service Class I | 1,000 | 1.60% | 857.10 | 7.49 | 1,017.10 | 8.13 |
U.S. Government Money Market Fund | ||||||
Initial Class | 1,000 | 0.05% | 1,000.00 | 0.25 | 1,025.00 | 0.26 |
* | Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2021, multiplied by the average account value over the period, multiplied by 184 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
1295 State Street
Springfield, Massachusetts 01111-0001
© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved. www.MassMutual.com. Investment Adviser: MML Investment Advisers, LLC | RS-50728-00 |
(b) | Not applicable. |
Item 2. Code of Ethics.
As of December 31, 2021, the Registrant adopted a Code of Ethics that applies to the Principal Executive Officer, Principal Financial Officer, and other senior financial officers pursuant to the Sarbanes-Oxley Act of 2002. For the year ended December 31, 2021, there were no reportable amendments to any provisions of the Code of Ethics and the Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code of Ethics. A copy of its Code of Ethics is filed with this Form N-CSR under Item 13(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that Nabil N. El-Hage, a member of the Audit Committee, is an audit committee financial expert as defined by the Securities and Exchange Commission (the “SEC”). Mr. El-Hage is “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 2021 and 2020 were $441,457 and $660,178, respectively. |
(b) | AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2021 and 2020. 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 2021 and 2020. |
(c) | TAX FEES: The aggregate fees billed to the Registrant for professional services rendered by Deloitte & Touche LLP for the review of Form 1120-RIC, Form 8613, excise distribution projections, distribution calculation and reasonable out of pocket expenses for the fiscal years ended 2021 and 2020 were $21,984 and $46,531, 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 2021 and 2020. |
(d) | ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2021 and 2020. 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 2021 and 2020. |
(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 2021 and 2020 were pre-approved by the committee. |
(2) Not applicable.
(f) | Not applicable. |
(g) | The aggregate non-audit fees billed by Deloitte & Touche LLP for services rendered to the Registrant, the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant, for the fiscal years ended 2021 and 2020 were $2,562,218 and $342,808, respectively. |
(h) | The audit committee considers whether the provision of non-audit services by Deloitte & Touche LLP to the Registrant's adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining Deloitte & Touche LLP's independence. |
(i) | Not applicable. |
(j) | Not applicable. |
* | Refers to fees that were required to be approved by the audit committee for services that relate directly to the operations and financial reporting of the Registrant. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Investments.
(a) | Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this form N-CSR. |
(b) | Not applicable to this filing. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this filing.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable to this filing.
Item 11. Controls and Procedures.
a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this Form N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the 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 for Closed-End Management Investment Companies
Not applicable to this filing.
Item 13. Exhibits.
(a)(1) Code of Ethics (Item 2) is attached.
(a)(3) Not applicable to this filing.
(a)(4) Not applicable to this filing.
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/ Paul LaPiana | |
Paul LaPiana, President and Principal Executive Officer |
Date | 2/24/2022 |
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/ Paul LaPiana | |
Paul LaPiana, President and Principal Executive Officer |
Date | 2/24/2022 |
By (Signature and Title) | /s/ Renee Hitchcock | |
Renee Hitchcock, Treasurer and Principal Financial Officer |
Date | 2/24/2022 |