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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 811-08690
MassMutual Premier Funds
(Exact name of registrant as specified in charter)
100 Bright Meadow Blvd., Enfield, CT 06082
(Address of principal executive offices) (Zip code)
Eric Wietsma
100 Bright Meadow Blvd., Enfield, CT 06082
(Name and address of agent for service)
Registrant’s telephone number, including area code: (860) 562-1000
Date of fiscal year end: 9/30/14
Date of reporting period: 9/30/14
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Item 1. Reports to Stockholders.
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MassMutual Premier Funds. 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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MassMutual Premier Funds – President’s Letter to Shareholders (Unaudited)
To Our Shareholders
Eric Wietsma
“We believe one of the most effective ways you can plan for the kind of retirement you want is to understand your goals and have a long-term plan that takes into consideration how comfortable you are with the market’s ups and downs and how long you have to save and invest before you begin withdrawing your money.”
September 30, 2014
I am pleased to present you with the MassMutual Premier Funds Annual Report, covering the year ended September 30, 2014. It was an eventful year in the financial markets and in the world. Investors drove U.S. stocks higher, with stocks of midsize and large companies substantially outperforming small-company shares. Stocks of foreign companies from both developed and emerging markets enjoyed positive returns, but were unable to keep pace with most categories of U.S. equities. Bonds advanced, but mainly underperformed equities during the year. New and ongoing conflicts across the globe made headlines and contributed to the creation of choppy markets at different points during the year, and the Federal Reserve began the process of winding down “Quantitative Easing,” the central bank’s multi-year program focused on stimulating economic growth through bond purchases.
The occasional periods of volatility that occurred during the year ended September 30, 2014 can serve as solid reminders that financial markets are unpredictable and can change direction quickly. We believe investors should maintain appropriate perspective during periods of strong investment performance as well as when markets are struggling. Our view is that retirement investors who follow certain investment guidelines, such as the ones below, have a greater chance of reaching their retirement income goals.
Investment concepts to keep in mind
Time can be your ally
For most people, investing for retirement occurs over many decades. While retirement investors often know that the financial markets will be volatile from time to time, seasoned investors tend to understand taking a long-term approach can help them navigate the market’s downturns, leverage its upturns, and successfully grow their account balances in an effort to reach their retirement income goals.
Contribute as much as you can
While it is impossible to control your investments’ performance, you can control how often and how much you save. Contributing to your retirement account on a regular basis and increasing your contribution level as often as you are able, may be one way to help you realize your long-term investment objectives.
Monitor your asset allocation and diversify
Stocks, bonds, and short-term/money market investments are investment types that typically behave differently depending upon the economic and market environment. Each of these categories contains an even greater array of sub-categories, such as small-cap stocks, international stocks, and high-yield bonds. Many financial professionals believe that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing investment types by maintaining a portfolio that includes a mix of investment types and sub-categories.
(Continued)
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MassMutual Premier Funds – President’s Letter to Shareholders (Unaudited) (Continued)
Who Matters Most
MassMutual believes “Who Matters Most to You Says the Most About You.” At MassMutual, our customers – and their dreams for the future – matter most to us. That is why we are devoted to helping you make the right moves today to prepare for the kind of retirement that you envision – a retirement you can enjoy on your terms. We believe one of the most effective ways you can plan for the kind of retirement you want is to understand your goals and have a long-term plan that takes into consideration how comfortable you are with the market’s ups and downs and how long you have to save and invest before you begin withdrawing your money. If you work with a financial professional, this may be an excellent time to contact him or her for assistance in reviewing your personal retirement investment strategy and making any adjustments that may be appropriate. Thank you for your trust in MassMutual.
Sincerely,
Eric Wietsma
President
The information provided is the opinion of MassMutual Retirement Services Investments Marketing as of 10/1/14 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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MassMutual Premier Funds – Economic and Market Overview (Unaudited)
September 30, 2014
Stocks offer a range of positive returns in an eventful environment
Major stock indexes across the globe advanced for the year ended September 30, 2014, and investors navigated periods of increased volatility and a variety of challenges to the financial markets in an environment that included a government shutdown and other political action over federal spending, geopolitical conflicts in Eastern Europe and the Middle East, reductions in the Federal Reserve’s (the “Fed”) Quantitative Easing program (“QE”), and weak economic data from Europe and the Far East. In the U.S., ongoing improvement in employment, corporate profitability, and other key economic data – including a mid-cycle rebound in gross domestic product (“GDP”) – helped bolster stock prices.
The Fed maintained the amount of longer-dated U.S. Treasury and mortgage-backed bond purchases in QE at a total of $85 billion a month throughout 2013 before beginning the process of “tapering” the central bank’s monthly investment to $75 billion in January 2014. The Fed’s monthly reduction of bond purchases proceeded systematically in additional $10 billion increments thereafter during 2014, and the central bank indicated an expected end to the program in October 2014. The commencement of QE tapering roiled markets somewhat in late fourth-quarter 2013 and early first-quarter 2014, but investors ultimately seemed to accept the end of the program as inevitable and the reductions became less of a factor in market movements as the year progressed. The central bank also helped keep short-term interest rates at historically low levels by continuing the federal funds rate at 0.0% to 0.25% – the level the rate has occupied since December 2008. The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight. The Fed reassured investors following the central bank’s September 2014 meeting that short-term interest rates would remain low for a “considerable time” after the end of QE.
Investor concerns about economic growth in foreign markets and its impact on the U.S. contributed to volatility in the price of oil, which started the period on October 1, 2013 at more than $102 per barrel, went to $91.36 in January, peaked at nearly $108 in June and finished at $91.17 on September 30, 2014. U.S. retail gasoline prices declined to as low as $3.34 per gallon in early November 2013, but advanced in the spring and summer of 2014. Gas prices hit a peak of nearly $3.79 per gallon in late April 2014 and hovered in the $3.74 to $3.78 range until late June before declining steadily to $3.43 at the end of September, when drivers once again got some relief at the pumps. Gold prices also gyrated, dropping to less than $1,203 per ounce in mid-December 2013, cresting to $1,382 in mid-March 2014, and closing at $1,208.70 at the end of September 2014.
Market performance
U.S. stocks generally outperformed their foreign counterparts during the year ended September 30, 2014, with the notable exception of U.S. small-cap stocks, which failed to keep pace with U.S. mid- and large-cap stocks, and generated returns more in line with foreign developed and emerging markets. The major technology stock benchmark in the U.S., the NASDAQ Composite® Index, returned 20.61% for the year and led all U.S. broad market indexes. The S&P 500® Index of large-capitalization U.S. stocks posted a 19.73% advance and the blue-chip Dow Jones Industrial AverageSM rose 15.29%, with both benchmarks hitting new all-time highs. The Russell 2000® Index of small-capitalization stocks underperformed larger-cap counterparts, but still advanced 3.93%. The MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, rose 4.30% for the year and edged out the MSCI® EAFE® Index, a barometer for foreign stocks in developed markets, which gained 4.25%.
Bonds advanced, but mainly underperformed equities during the year, with the Barclays U.S. Aggregate Bond Index, a broad measure of the U.S. investment-grade bond markets, rising 3.96%. Unrelenting low interest rates continued to take their toll, and shorter-term debt investments barely managed to stay in positive territory. In this environment, the Barclays U.S. 1-3 Year Government Bond Index, which measures the performance of short-term U.S. government bonds, returned just 0.52%; and Treasury bills, as measured by the Citigroup 3-Month Treasury Bill Index, gained only 0.04%. Investors sought the higher returns offered by high-yield bonds, which helped the Barclays U.S. Corporate High-Yield Index, a measure of the performance of fixed-rate, non-investment-grade debt from corporate sectors, advance 7.20% for the year.*
Q4 2013: Stocks power ahead through government shutdown, prospective Fed tapering
Investors largely stood their ground through the political fiscal wrangling and potential Fed actions, and U.S. stocks notched impressive gains in the fourth quarter of 2013. In the midst of a budget crisis that had shut down most functions of the federal
* | Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment. |
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MassMutual Premier Funds – Economic and Market Overview (Unaudited) (Continued)
government, Congress approved a measure 16 days into the shutdown that provided funding for the government until mid-January, along with a temporary extension of the U.S. debt ceiling until February 7, 2014. President Obama signed the bill into law in the early hours of October 17, and most federal workers returned to work that same day. The move alleviated fears that the nation would not pay its bills and ended the shutdown, which had been in effect since October 1. The stock market responded with strong gains during the month of October, and the momentum carried over into November, bolstered by upward revisions to economic growth figures, improved consumer confidence, and a reduction in a key interest rate by the European Central Bank (“ECB”), which also sent European equities higher. Bonds changed little for the quarter.
In December, equities rose, but the results did not come easily. The major equity market indexes experienced losses in the first two weeks of the month, reflecting investor concerns that the market might be overpriced and lingering questions about the Fed’s timeline for the tapering of QE. In fact, the S&P 500’s decline of 1.6% in the second week of December was its worst weekly performance since August. Sentiment improved in the third week of the month, as the market received clear communication from the Fed of its plans to reduce its bond purchases and, more importantly, its commitment to keep short-term rates very low as it does so.
Stocks in the U.S. also rose during the latter part of December following the passage of a two-year budget agreement that appeared to reduce the risk of another government shutdown, which represented a welcome departure from the political brinksmanship that has characterized most Congressional budget debates over the past few years. A sizable upward revision in the government’s December 20 release of estimated third-quarter economic growth to a healthy 4.1% from 3.6% was another positive catalyst.
Q1 2014: Stocks suffer early losses, then recover
U.S. stocks ended the first quarter of 2014 with only minimal changes, as a sell-off early in the quarter gave way to a recovery that more than offset previous losses in most cases. The decline was relatively brief and confined to a two-week stretch in late January and the beginning of February. A weak December 2013 employment report, concerns about emerging markets, and the Fed’s ongoing downsizing of QE were all factors weighing on share prices. Worries about emerging markets eased, however, and enabled stocks to embark on a recovery. Resurgent concerns over slowing U.S. economic growth and a flight to quality due to emerging-market volatility helped drive up prices of U.S. Treasury securities. Reassuring comments from new U.S. Federal Reserve Chair Janet Yellen, the first woman to lead the Fed who replaced Ben Bernanke at the end of January, also helped bolster the market.
The federal government’s fiscal woes eased a bit in the first quarter. On February 15, President Obama signed legislation extending the federal debt ceiling through March 2015. In doing so, he removed a cause for concern that the government might not be able to pay its bills or could possibly shut down again.
One factor keeping investors on edge during the quarter was turmoil in Ukraine, specifically the country’s Crimea region, which has been governed as an independent republic since 1992 and is home to many pro-Russian sympathizers. On March 16, a referendum in Crimea yielded the decision to become part of Russia, a move not recognized by the West. Russia’s support of this referendum, together with the build-up of Russian troops along the Russia/Ukraine border, triggered economic sanctions against Russia by Western nations, including the United States. The political upheaval did little to bolster the market later in the quarter, but did not really do significant damage to stock prices. Consequently, most broad equity benchmarks ended the quarter only modestly below their all-time highs.
Q2 2014: Stocks continue their record-setting pace
Stocks of U.S. and foreign companies overcame a brief and relatively mild sell-off during the first half of April to surge into fresh high ground in the second quarter of 2014, as an ongoing global economic recovery, receding concerns about Ukraine, and stimulative monetary policy from central banks provided a supportive backdrop for equity prices. Stocks’ solid second quarter followed a shaky first quarter in which performance was much more muted. In the fixed-income market, yields of longer-term U.S. Treasury securities declined during April and May before recovering somewhat in June. Weak U.S. economic growth in the first quarter, which was initially estimated at just 0.1% and was subsequently revised much lower – making it the first negative reading in three years – helped drive the April drop.
The ECB provided a boost for the markets in early June, when ECB President Mario Draghi announced reductions in the central bank’s key interest rates. Notably, the ECB’s deposit rate turned negative for the first time, in essence charging euro zone banks for
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MassMutual Premier Funds – Economic and Market Overview (Unaudited) (Continued)
parking funds with the central bank. The ECB also introduced a fresh series of low-cost loans to banks in an effort to jump-start lending. These moves helped lift the performance of stocks in the United States, Europe, and Japan, as well as in emerging markets.
Global stock prices also reacted favorably to remarks coming out of the Fed meeting on June 18, at which the Fed stated the central bank would continue to reduce the amount of the central bank’s monthly bond purchases and reaffirmed its intention to keep short-term interest rates near zero in an ongoing effort to incentivize job creation and economic growth.
Energy stocks rose during the quarter, spurred by concerns about potential disruptions in Iraq’s oil production amid widespread terrorist activity by the Islamic State in Iraq and Syria (“ISIS”), a radical Sunni group.
Q3 2014: Gains narrow as concerns increase about global growth
Large-capitalization U.S. stocks overcame negative markets in July and September to finish the third quarter of 2014 with modest upside progress. However, shares of small and mid-size U.S. companies, foreign stocks from developed and emerging markets, and high-yield bonds struggled, as investors took a more risk-averse approach. Bonds were basically flat for the quarter.
Trouble overseas was one reason for increased investor caution in the market. At the end of July, U.S. stocks suffered a sharp one-day decline after Argentina effectively defaulted on its bonds for the second time in 13 years. Around the same time, the share price of Banco Espirito Santo, Portugal’s largest bank, plunged after it reported a huge $4.8 billion first-half loss that wiped out the bank’s capital cushion and forced it to seek new funding.
In Eastern Europe, the standoff between Ukraine and Russia intensified. In the Middle East, there was a resurgence of the conflict between Israel and Hamas, and the threat of ISIS continued to grow.
Despite these developments, the negative impact on U.S. markets was relatively fleeting, as investor sentiment was buoyed by encouraging news about the U.S. economy. Data reported at the end of July showed that GDP, a broad measure of economic activity, advanced a robust 4.0% in the second quarter after contracting 2.1% in a first quarter hampered by severe winter weather. At the end of September, that second-quarter figure was revised up to 4.6%.
Healthy U.S. economic growth stood in stark contrast to the euro zone, where second-quarter economic activity was stagnant, and Japan, whose economy contracted sharply in the second quarter, according to data that became available in the third quarter. This discrepancy among developed nations helped trigger a significant rally in the U.S. dollar, which depressed the dollar-denominated returns of foreign markets.
As October 2014 began, investors appeared to focus on the factors likely to impact the markets in the year ahead, with the November mid-term elections and their potential to change the balance of power in Washington, continued economic malaise in large economies across the globe, and unsettling developments with regard to ISIS and Ebola at the top of most lists. Investors will also likely keep an eye out for continued economic growth here at home and improvement abroad to help create a favorable environment for stocks and bonds in the year ahead.
The information provided is the opinion of MassMutual Retirement Services Investment Services as of 10/1/14 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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MassMutual Premier Money Market Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Money Market Fund, and who is the Fund’s subadviser?
The Fund seeks to maximize current income to the extent consistent with liquidity and the preservation of capital by investing in a diversified portfolio of money market instruments. It is important to note that the Fund seeks to maintain, but does not guarantee, a stable net asset value of $1.00 per share. The Fund’s subadviser is Babson Capital Management LLC (Babson Capital). An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to maintain a stable net asset value of $1.00 per share, it is possible to lose money by investing in the Fund.
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 0.00%, trailing the 0.04% return of the Citigroup 3-Month Treasury Bill Index (the “benchmark”), an unmanaged index representing the performance of 3-month U.S. Treasury bills that reflects reinvestment of all distributions and changes in market prices. During the period, the Fund waived certain fees to allow it to achieve the 0.00% return. The Fund’s Class R5 Shares would have had a negative return if the waiver had not been in effect.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Short-term interest rates did not change significantly during the year ended September 30, 2014, and the Fund continued to return low nominal yields due to the Federal Reserve’s (the “Fed”) continued accommodative stance on interest rates.
The Fund’s allocation to high-quality commercial paper, particularly floating-rate issues, enhanced income without sacrificing bond quality and contributed to performance during the year. (Commercial paper is the commonly used name for short-term unsecured promissory notes sold by banks and corporations to meet short-term debt obligations.) On the other hand, the seasonal contraction in Treasury bill supply took place early in the second quarter – around April 15 – and rates the Fund was able to earn on commercial paper declined slightly as a result.
The Fund continued to avoid investing in commercial paper from European banks. The lack of allocation to this sector limits the Fund’s opportunity to achieve higher yields, but benefits the Fund’s overall credit quality. In addition, the Fund recently avoided U.S. Treasury bills, finding value instead in U.S. agency discount notes, which are short-term debt securities that are issued at a discount to their face value. These securities added more income to the Fund than Treasury bills in the recent environment.
Subadviser outlook
Challenges to the market have not been scarce in the recent environment. Geopolitical tensions remained at the forefront, Europe continued to post disappointing economic growth numbers, and Scotland considered seceding from the U.K. At the same time, the Fed continued to guide markets, suggesting rates will remain low for a “considerable time” based on current data. Moving forward, the Fed may be able to keep rates low, as the Consumer Price Index (“CPI”) has declined over the last few months, and in our view, there has not yet been enough upward wage pressure in the corporate sector.
With low short-term interest rates, we continue to believe that focusing on high-quality, short-term investments could be a sound strategy that will give the Fund the potential to quickly adjust to changing market conditions and help maintain our commitment to preservation of principal and liquidity. We will continue to search for opportunities that will help add yield, given the current challenging interest rate environment.
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MassMutual Premier Money Market Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Money Market Fund Portfolio Characteristics (% of Net Assets) on 9/30/14 | ||||
Commercial Paper | 75.4 | % | ||
Discount Notes | 12.9 | % | ||
Corporate Debt | 7.4 | % | ||
U.S. Treasury Bonds & Notes | 6.3 | % | ||
Time Deposits | 0.1 | % | ||
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Total Short-Term Investments | 102.1 | % | ||
Other Assets and Liabilities | (2.1 | )% | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Money Market Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Money Market Fund Class R5 and the Citigroup 3-Month Treasury Bill Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Class R5 | 0.00% | 0.01% | 1.48% | |||||||||
Citigroup 3-Month Treasury Bill Index | 0.04% | 0.08% | 1.51% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Citigroup 3-Month Treasury Bill Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Treasury bills are backed by the U.S. government and offer a fixed rate of return, while the Fund's shares are not guaranteed. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
An investment in the MassMutual Premier Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to maintain a stable net asset value of $1.00 per share, it is possible to lose money by investing in the Fund.
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MassMutual Premier Short-Duration Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier 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 in investment grade fixed income securities (rated Baa or higher by Moody’s or BBB or higher by Standard & Poor’s or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Babson Capital Management LLC (Babson Capital).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 1.36%, outperforming the 0.52% return of the Barclays U.S. 1-3 Year Government Bond Index (the “benchmark”), an unmanaged index of U.S. government bonds with one to three years remaining to the scheduled payment of principal.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2014, the Fund benefited from holding an overweight position, relative to the benchmark, in investment-grade corporate bonds. The Fund maintained an overweight position in corporate bonds on management’s view that fundamentals in the sector were strong due to robust profitability, despite increasing debt on corporate balance sheets. Corporate bonds with a credit rating of BBB continued to exhibit stronger revenue growth and profitability compared to higher-quality counterparts rated A (higher). Consequently, the Fund continued to favor shorter-maturity bonds rated BBB. The Fund’s bank bonds and real estate investment trust (“REIT”) investments were the best-performing industries, whereas Fund holdings in aerospace and vehicle parts were the main detractors. The Fund’s investment in corporate bonds with three years to maturity and corporate bonds rated BB also benefited performance.
Asset-backed securities (“ABS”) were the primary contributors to performance within the securitized sector. (Bond issuers create “securitized” bonds by pooling various types of contractual debt, such as mortgages, auto loans, or credit card debt.) Bonds backed by wireless towers and business franchise loans were the best-performing sub-sector, followed by U.S. government-guaranteed student loans. New issue supply has been strong in ABS and there has been strong demand for these securities. Fifteen-year U.S. agency mortgage-backed securities (“MBS”) also benefited the Fund. (“Agency” refers to government-sponsored entities that issue bonds backed by mortgage loans, including Ginnie Mae, Fannie Mae, Freddie Mac, and the Federal Home Loan Banks.) During the year, the Fund reduced its position in agency MBS and initiated a stake in agency collateralized mortgage obligation (“CMO”) securities, which offered attractive pricing and added income to the Fund. Residential mortgage-backed securities (“RMBS”) and commercial mortgage-backed securities (“CMBS”) also helped performance. In CMBS, the Fund purchased primarily shorter-maturity securities.
Fund holdings of bonds of aerospace and vehicle parts companies were the main performance detractors, and the Fund’s investment in below-investment-grade bonds issued by companies in the finance and telecommunications industries also hindered the Fund’s results during the year. The Fund’s cash holdings also worked against performance for the year.
The Fund used derivative instruments during the year. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both. Derivatives benefited the Fund’s results during the year.
Subadviser outlook
Challenges to the market have not been scarce in the recent environment. Geopolitical tensions remained at the forefront, Europe continued to post disappointing economic growth numbers, and Scotland considered seceding from the U.K. At the same time, the Federal Reserve (the “Fed”) continued to guide markets, suggesting rates will remain low for a “considerable time” based on current data. Moving forward, the Fed may be able to keep rates low, as the Consumer Price Index (“CPI”) has declined over the last few months, and in our view, there has not yet been enough upward wage pressure in the corporate sector.
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MassMutual Premier Short-Duration Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Over the past few months, markets have been buffeted by a rash of mostly negative themes, such as the divergence between central bank monetary policies, slower growth in Europe and Asia, and geopolitical disagreements. As volatility has increased, our belief is that the low amount of disparity in the yield environment suggests that bond-purchase decisions based on bond credit ratings have the potential to be more effective than decision making based on bond-sector positioning.
MassMutual Premier | ||||
Corporate Debt | 39.4 | % | ||
Non-U.S. Government Agency Obligations | 25.8 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 5.9 | % | ||
U.S. Treasury Obligations | 2.9 | % | ||
Municipal Obligations | 0.4 | % | ||
Purchased Options | 0.1 | % | ||
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Total Long-Term Investments | 74.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 25.5 | % | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Short-Duration Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Short-Duration Bond Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Barclays U.S. 1-3 Year Government Bond Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Class R5 | 1.36% | 2.98% | 3.88% | |||||||||
Service Class | 1.25% | 2.91% | 3.83% | |||||||||
Administrative Class | 1.19% | 2.81% | 3.75% | |||||||||
Class A | 0.88% | 2.57% | 3.48% | |||||||||
Class A (sales load deducted)* | -2.65% | 1.84% | 3.11% | |||||||||
Class R3 | 0.72% | 2.27% | 3.19% | |||||||||
Barclays U.S. 1-3 Year Government Bond Index | 0.52% | 1.07% | 2.61% |
Hypothetical Investments in MassMutual Premier Short-Duration Bond Fund Class I and the Barclays U.S. 1-3 Year Government Bond Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Since Inception Average Annual 12/3/10 - 9/30/14 | ||||||
Class I | 1.46% | 2.44% | ||||||
Barclays U.S. 1-3 Year Government Bond Index | 0.52% | 0.75% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 3.50% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. 1-3 Year Government Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
11
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Short-Duration Bond Fund Class R4 and the Barclays U.S. 1-3 Year Government Bond Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class R4 | 0.48% | |||
Barclays U.S. 1-3 Year Government Bond Index | 0.30% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. 1-3 Year Government Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
12
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier 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 by investing, under normal circumstances, at least 80% of its net assets in inflation-indexed bonds and other income-producing securities. The Fund’s subadviser is Babson Capital Management LLC (Babson Capital).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 1.62%, modestly outpacing the 1.59% return of the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) (the “benchmark”), an unmanaged index that measures the broad performance of U.S. Treasury inflation-indexed bonds.
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 September 30, 2014, please see the Economic and Market Review, 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, remained fairly stable during the year, with Headline Consumer Price Index (“CPI”) modestly increasing from 1.5% to 1.7%. While Core CPI, which excludes energy and food prices, remained almost unchanged – modestly declining from 1.8% to 1.7% – both remained below the Federal Reserve’s (the “Fed”) 2% inflation objective. The benign inflationary environment muted the positive impact of TIPS’ inflation-indexed principal adjustments.
The Fund benefited from its cautious view and tactical approach, with timely shifts in exposure to TIPS adding value during the year. Specifically, an underweight position, relative to the benchmark, in short-maturity inflation bonds contributed to performance, as did an overweight exposure to 5-, 10-, and 30-year maturity bonds during the first half of the year. Tactically selling TIPS in the fourth quarter helped preserve gains in the Fund, as inflation data surprised on the downside.
In addition, the Fund benefited from investments in high-quality, income-producing securities during the year, including asset-backed and money market securities. The income earned by these investments contributed to Fund performance. Asset-backed securities (“ABS”) were the main drivers of full-year results, with security selection in auto loans and U.S. government-guaranteed student loans within the ABS sector making the primary contribution. An allocation to high-quality commercial paper also helped performance during the year. Commercial paper is the commonly used name for short-term unsecured promissory notes sold by banks and corporations to meet short-term debt obligations.
The Fund used derivatives during the year, which 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. Most derivatives are used for hedging, speculation, or both. In aggregate, these positions modestly contributed to Fund performance during the year.
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
Despite lackluster economic developments, the Fed remains determined to wind down its Quantitative Easing bond purchase program (“QE”) this year. Increasingly divergent central bank policies, interest rate differences across global markets, U.S. dollar strength, and consequent U.S. dollar capital inflows have introduced further uncertainty as to the timing and extent of possible Fed interest rate hikes in 2015.
Given the strong dollar, weakness in commodity and energy prices, and recent weakness in Headline CPI, we remain on watch for further deterioration in inflation expectations. Nonetheless, we remain optimistic about the TIPS market in the long term, assuming a continued, albeit modest, economic recovery in the U.S. Yet, we continue to proceed with caution near term, as the Fed is poised to end QE. Our view is any further weakness in inflation markets may present attractive long-term opportunities for inflation investors.
MassMutual Premier | ||||
U.S. Treasury Obligations | 105.7 | % | ||
Non-U.S. Government Agency Obligations | 37.5 | % | ||
Corporate Debt | 3.1 | % | ||
Municipal Obligations | 0.1 | % | ||
Purchased Options | 0.1 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 146.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | (46.6 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
14
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Inflation-Protected and Income Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L).
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Class R5 | 1.62% | 4.44% | 4.39% | |||||||||
Service Class | 1.54% | 4.33% | 4.28% | |||||||||
Administrative Class | 1.42% | 4.18% | 4.13% | |||||||||
Class A | 1.16% | 3.99% | 3.93% | |||||||||
Class A (sales load deducted)* | -3.65% | 2.98% | 3.43% | |||||||||
Class R3 | 0.93% | 3.69% | 3.63% | |||||||||
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | 1.59% | 4.48% | 4.63% |
Hypothetical Investments in MassMutual Premier Inflation-Protected and Income Fund Class I and the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L).
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Since Inception Average Annual 3/1/11 - 9/30/14 | ||||||
Class I | 1.79% | 3.79% | ||||||
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | 1.59% | 3.70% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 4.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
15
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Inflation-Protected and Income Fund Class R4 and the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L).
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class R4 | 1.47% | |||
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | 1.69% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
16
Table of Contents
MassMutual Premier Core Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Core Bond Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high total rate of return consistent with prudent investment risk and the preservation of capital by investing primarily in a diversified portfolio of investment grade fixed income securities. Under normal circumstances, the Fund invests at least 80% of its net assets in investment grade fixed income securities (rated Baa or higher by Moody’s or BBB or higher by Standard & Poor’s or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Babson Capital Management LLC (Babson Capital).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 4.72%, outperforming the 3.96% return of the Barclays U.S. Aggregate Bond Index (the “benchmark”), an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index, and the Barclays U.S. Securitized Bond Index.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2014, the Fund benefited from an underweight position, relative to the benchmark, in U.S. Treasuries – and overweight stakes in investment-grade corporate bonds and convertible securities. Within investment-grade corporate bonds, Fund holdings in the industrials and financial sectors primarily drove performance. From an industry perspective, chemicals and life insurance were the best performers; conversely, the banking industry was the main detractor.
The Fund maintained an overweight position in corporate bonds on management’s view that fundamentals in the sector were strong due to robust profitability, despite increasing debt on corporate balance sheets. The Fund’s investment in corporate bonds with a credit rating of BB boosted performance, and management’s decision to opportunistically reduce the Fund’s position in corporate bonds with three years to maturity in favor of those with five years to maturity helped enhance overall yield during the year. Corporate bonds rated BBB have exhibited stronger revenue growth and profitability compared to bonds with a higher-credit-quality A rating. Consequently, the Fund continued to favor shorter-maturity bonds rated BBB.
The Fund held an overweight position in securitized bonds during the year, and the Fund’s holdings in agency mortgage-backed securities (“MBS”) were the primary contributors to performance. “Agency” refers to government-sponsored entities that issue bonds backed by mortgage loans, including Ginnie Mae, Fannie Mae, Freddie Mac, and the Federal Home Loan Banks. The Fund’s positioning in lower-yielding securities and modest allocation to agency collateralized mortgage obligation (“CMO”) securities also drove full-year results. CMOs traded at attractive prices and added income to the Fund. Conversely, commercial mortgage-backed securities (“CMBS”), asset-backed securities (“ABS”), and non-agency residential mortgage-backed securities (“RMBS”) all worked against the Fund’s overall results. In CMBS, the Fund focused on bonds with shorter maturities. Within the ABS sector, the Fund favored bonds backed by wireless towers or business franchise loans, which are in strong demand.
The Fund used derivatives during the year, which 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. Most derivatives are used for hedging, speculation, or both. In aggregate, these positions modestly detracted from Fund performance during the year.
Subadviser outlook
Challenges to the market have not been scarce in the recent environment. Geopolitical tensions remained at the forefront, Europe continued to post disappointing economic growth numbers, and Scotland considered seceding from the U.K. At the same time, the Federal Reserve (the “Fed”) continued to guide markets, suggesting rates will remain low for a “considerable time” based on current data. Moving forward, the Fed may be able to keep rates low, as the Consumer Price Index (“CPI”) has declined over the last few months, and in our view, there has not yet been enough upward wage pressure in the corporate sector.
17
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MassMutual Premier Core Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Over the past few months, markets have been buffeted by a rash of mostly negative themes, such as the divergence between central bank monetary policies, slower growth in Europe and Asia, and geopolitical disagreements. As volatility has increased, our belief is that the low amount of disparity in the yield environment suggests that bond-purchase decisions based on bond credit ratings have the potential to be more effective than decision making based on bond-sector positioning.
MassMutual Premier Core Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/14 | ||||
Corporate Debt | 44.7 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 28.3 | % | ||
Non-U.S. Government Agency Obligations | 18.6 | % | ||
U.S. Treasury Obligations | 5.5 | % | ||
Municipal Obligations | 1.1 | % | ||
Sovereign Debt Obligations | 0.8 | % | ||
Preferred Stock | 0.2 | % | ||
Purchased Options | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 99.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.7 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
18
Table of Contents
MassMutual Premier Core Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Core Bond Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Class R5 | 4.72% | 4.89% | 4.96% | |||||||||
Service Class | 4.65% | 4.82% | 4.92% | |||||||||
Administrative Class | 4.60% | 4.74% | 4.82% | |||||||||
Class A | 4.25% | 4.49% | 4.56% | |||||||||
Class A (sales load deducted)* | -0.70% | 3.48% | 4.06% | |||||||||
Class R3 | 4.02% | 4.17% | 4.26% | |||||||||
Barclays U.S. Aggregate Bond Index | 3.96% | 4.12% | 4.62% |
Hypothetical Investments in MassMutual Premier Core Bond Fund Class I and the Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Since Inception Average Annual 12/3/10 - 9/30/14 | ||||||
Class I | 4.92% | 4.45% | ||||||
Barclays U.S. Aggregate Bond Index | 3.96% | 3.54% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 4.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. Aggregate Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
19
Table of Contents
MassMutual Premier Core Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Core Bond Fund Class R4 and the Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class R4 | 2.28% | |||
Barclays U.S. Aggregate Bond Index | 2.21% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. Aggregate Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
20
Table of Contents
MassMutual Premier Diversified Bond Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Diversified Bond Fund, and who is the Fund’s subadviser?
The Fund seeks a superior total rate of return by investing in fixed income instruments. Under normal circumstances, the Fund invests at least 80% of its net assets in fixed income securities. The Fund’s subadviser is Babson Capital Management LLC (Babson Capital).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 5.49%, outpacing the 3.96% return of the Barclays U.S. Aggregate Bond Index (the “benchmark”), an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index, and the Barclays U.S. Securitized Bond Index.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year, corporate bonds were the primary drivers of the Fund’s performance, as Fund holdings in convertible bonds, high-yield, and investment-grade corporate bonds all drove results. In this time frame, the Fund had a modest allocation to convertible bonds purchased more than a year ago at much lower prices, so they also contributed to results as equity markets climbed during the period. The Fund’s holdings in bonds of asset managers and utilities were the best performers, whereas the Fund’s banking and cable bonds detracted the most.
In our view, corporate fundamentals remain strong, but are showing mixed signals of improvement with robust profitability offset by increasing debt. Corporations’ supply issuance has been very strong, although this has not dampened market pricing – as insurance companies, pension, and retail mutual funds have continued to exhibit strong demand for corporate bonds.
The Fund’s holdings in the securitized sector also helped performance during the year. (Bond issuers create “securitized” bonds by pooling various types of contractual debt, such as mortgages, auto loans, or credit card debt.) Residential mortgage-backed securities (“RMBS”) were the best performers within the sector. Agency mortgage-backed securities (“MBS”) also contributed to performance. (“Agency” refers to government-sponsored entities that issue bonds backed by mortgage loans, including Ginnie Mae, Fannie Mae, Freddie Mac, and the Federal Home Loan Banks.)
During the period, the Fund modestly added agency collateralized mortgage obligations (“CMOs”), as they were attractively priced with added income relative to securities in the MBS sector. Commercial real estate fundamentals remained intact, and the Fund’s purchases in commercial mortgage-backed securities (“CMBS”) were in shorter-maturity, legacy securities, a strategy that benefited the Fund. Within the asset-backed securities (“ABS”) sector, the Fund favored bonds backed by wireless towers or business franchise loans, which are in strong demand. New issue supply has been strong and there has been good demand for these securities. Consequently, this sector also contributed to performance.
Conversely, the Fund’s underweight position in taxable municipal bonds, relative to the benchmark, and its cash holdings were detractors from performance.
The Fund used derivatives during the year, which 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. Most derivatives are used for hedging, speculation, or both. Overall, the Fund’s derivative positions detracted from performance during the year.
Subadviser outlook
Challenges to the market have not been scarce in the recent environment. Geopolitical tensions remained at the forefront, Europe continued to post disappointing economic growth numbers, and Scotland considered seceding from the U.K. At the same time, the Federal Reserve (the “Fed”) continued to guide markets, suggesting rates will remain low for a “considerable time” based on
21
Table of Contents
MassMutual Premier Diversified Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
current data. Moving forward, the Fed may be able to keep rates low, as the Consumer Price Index (“CPI”) has declined over the last few months, and in our view, there has not yet been enough upward wage pressure in the corporate sector.
Over the past few months, markets have been buffeted by a rash of mostly negative themes, such as the divergence between central bank monetary policies, slower growth in Europe and Asia, and geopolitical disagreements. As volatility has increased, our belief is that the low amount of disparity in the yield environment suggests that bond-purchase decisions based on bond credit ratings have the potential to be more effective than decision making based on bond-sector positioning.
MassMutual Premier Diversified Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/14 | ||||
Corporate Debt | 42.0 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 28.3 | % | ||
Non-U.S. Government Agency Obligations | 18.3 | % | ||
U.S. Treasury Obligations | 8.2 | % | ||
Sovereign Debt Obligations | 1.1 | % | ||
Municipal Obligations | 0.5 | % | ||
Preferred Stock | 0.2 | % | ||
Common Stock | 0.1 | % | ||
Purchased Options | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 98.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.2 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
22
Table of Contents
MassMutual Premier Diversified Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Diversified Bond Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), and the Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Class R5 | 5.49% | 5.65% | 5.05% | |||||||||
Service Class | 5.37% | 5.59% | 5.06% | |||||||||
Administrative Class | 5.26% | 5.54% | 5.04% | |||||||||
Class A | 5.04% | 5.28% | 4.78% | |||||||||
Class A (sales load deducted)* | 0.05% | 4.26% | 4.28% | |||||||||
Barclays U.S. Aggregate Bond Index | 3.96% | 4.12% | 4.62% |
Hypothetical Investments in MassMutual Premier Diversified Bond Fund Class I and the Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Since Inception Average Annual 12/3/10 - 9/30/14 | ||||||
Class I | 5.75% | 5.85% | ||||||
Barclays U.S. Aggregate Bond Index | 3.96% | 3.54% |
Hypothetical Investments in MassMutual Premier Diversified Bond Fund Class R4, Class R3, and the Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class R4 | 2.52% | |||
Class R3 | 2.32% | |||
Barclays U.S. Aggregate Bond Index | 2.21% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 4.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. Aggregate Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
23
Table of Contents
MassMutual Premier High Yield Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier 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. Under normal circumstances, the Fund invests at least 80% of its net assets in lower rated fixed income securities (rated below Baa3 by Moody’s or BBB- by Standard & Poor’s (using the lower rating) or, if unrated, determined by the Fund’s subadviser to be of comparable quality). The Fund’s subadviser is Babson Capital Management LLC (Babson Capital).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 9.63%, outperforming the 7.20% return of the Barclays U.S. Corporate High-Yield Bond Index (the “benchmark”), which covers the universe of fixed rate, non-investment-grade debt from corporate sectors.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Fund outperformed the benchmark for the year due to strong security selection and prudent risk allocation. At the beginning of the period, the Fund held an overweight position, relative to the benchmark, in corporate bonds rated B and CCC, with an underweight stake in bonds rated BB. The Fund maintained its overweight position in B and CCC bonds due to the continuation of conservative financial policies, strong near-term outlooks, and good relative value. The Fund favored this positioning due to the stability in corporate fundamentals and the constructive actions of the Federal Reserve (the “Fed”) and the European Central Bank. During the year, we sought the better-quality B and CCC bonds in the market for the Fund – and continued to rely on our research team and use the Fund’s bottom-up investment approach, which focuses on individual security selection, to find companies that have the potential to show material credit improvement.
The Fund’s key holdings by sector included bonds in energy, industrial, consumer cyclical, transportation, capital goods, and basic industry. The Fund held less significant positions in bonds in the communications, consumer non-cyclical, finance, utility, natural gas, banking, technology, insurance, and real estate sectors. New issuance for high-yield bonds continued at a robust pace and reached $252 billion for 2014 thus far (through September 30, 2014). Companies predominantly used proceeds from new issues for refinancing activity.
June, July, and August experienced significant outflows, bringing year-to-date market outflows to a record $17.1 billion through September 30, 2014. The positive performance of the Fund reflects, in part, the strength in the high-yield bond market and investor appetite for yield. The Fund continues to focus on delivering favorable comparative returns from high-yield corporate issuers that Fund management believes offer attractive relative value.
Subadviser outlook
In general, we believe U.S. high-yield bond fundamentals have the potential to remain relatively stable, following significant balance sheet improvements made by companies over the last four years, although the cycle has advanced to a point where we think key data points bear watching. In our view, corporate fundamentals, including balance-sheet leverage and earnings growth, have the potential to remain stable in the near term. We also expect that default rates in the U.S. may remain below their historical averages for the foreseeable future.
Our view is that the continued development of U.S. fiscal and monetary policies may remain front and center and have a bearing on Fund performance as we move forward. The initial Fed tapering of bond purchases began in January, and we believe that there could still be bouts of volatility due to continued Fed actions, as well as from uncertainty around interest rates, inflow and outflow activity, and global economic growth.
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MassMutual Premier High Yield Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier High Yield Fund Portfolio Characteristics (% of Net Assets) on 9/30/14 | ||||
Corporate Debt | 89.6 | % | ||
Bank Loans | 6.0 | % | ||
Common Stock | 0.9 | % | ||
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Total Long-Term Investments | 96.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.5 | % | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier High Yield Fund Country Weightings (% of Net Assets) on 9/30/14 | ||||
United States | 80.8 | % | ||
Canada | 5.2 | % | ||
Luxembourg | 4.7 | % | ||
Denmark | 1.2 | % | ||
Netherlands | 1.1 | % | ||
Austria | 1.0 | % | ||
Marshall Islands | 0.9 | % | ||
France | 0.9 | % | ||
Cayman Islands | 0.7 | % | ||
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Total Long-Term Investments | 96.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.5 | % | ||
Net Assets | 100.0 | % | ||
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MassMutual Premier High Yield Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier High Yield Fund Service Class and the Barclays U.S. Corporate High-Yield Bond Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Service Class | 9.46% | 11.67% | 7.78% | |||||||||
Barclays U.S. Corporate High-Yield Bond Index | 7.20% | 10.57% | 8.33% |
Hypothetical Investments in MassMutual Premier High Yield Fund Class R5, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Barclays U.S. Corporate High-Yield Bond Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Since Inception Average Annual 11/1/04 - 9/30/14 | |||||||||
Class R5 | 9.63% | 11.71% | 7.69% | |||||||||
Administrative Class | 9.37% | 11.51% | 7.48% | |||||||||
Class A | 9.10% | 11.22% | 7.22% | |||||||||
Class A (sales load deducted)* | 2.82% | 9.91% | 6.58% | |||||||||
Class R3 | 8.92% | 10.92% | 6.90% | |||||||||
Barclays U.S. Corporate High-Yield Bond Index | 7.20% | 10.57% | 8.21% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. Corporate High-Yield Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
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MassMutual Premier High Yield Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier High Yield Fund Class I and the Barclays U.S. Corporate High-Yield Bond Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Since Inception Average Annual 3/1/11 - 9/30/14 | ||||||
Class I | 9.79% | 9.85% | ||||||
Barclays U.S. Corporate High-Yield Bond Index | 7.20% | 7.72% |
Hypothetical Investments in MassMutual Premier High Yield Fund Class R4 and the Barclays U.S. Corporate High-Yield Bond Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class R4 | 1.31% | |||
Barclays U.S. Corporate High-Yield Bond Index | 0.49% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. Corporate High-Yield Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
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MassMutual Premier Balanced Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Balanced Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high total rate of return over an extended period of time consistent with the preservation of capital by investing in a diversified portfolio of equity securities, fixed income securities, and money market instruments. The Fund invests across different asset classes (U.S. equity securities, international equity securities, fixed income securities, including bank loans and Rule 144A securities, and money market instruments), each represented by a different segment of the Fund’s portfolio. The subadviser typically adjusts the allocation among the four segments, based on its judgment about each segment’s potential for returns in comparison with those of other segments and corresponding risk. The Fund’s subadviser is Babson Capital Management LLC (Babson Capital).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 12.33%, trailing the 19.73% return of the S&P 500® Index (“the stock component’s benchmark”), a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies – but substantially outperforming the 4.25% return of the Morgan Stanley Capital International (“MSCI®”) Europe, Australasia, Far East (“EAFE®”) Index (“the international component’s benchmark”), a widely recognized, unmanaged index representative of equity securities in developed markets, excluding the U.S. and Canada, and the 3.96% return of the Barclays U.S. Aggregate Bond Index (“the bond component’s benchmark”), an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index, and the Barclays U.S. Securitized Bond Index. Additionally, the Fund’s Class R5 shares outperformed the 9.90% return of the Lipper Balanced Fund Index, an unmanaged, equally weighted index of the 30 largest mutual funds within the Lipper Balanced Category; and outpaced the 11.76% return of the Custom Balanced Index, which comprises the stock component’s benchmark, the bond component’s benchmark, and the international component’s benchmark. The weightings of each index in the Custom Balanced Index are 50%, 40% and 10%, respectively.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s stock component performance
Throughout the year, the Fund held an overweight position in U.S. equities, relative to the 50% equity allocation of the Custom Balanced Index. The Fund’s equity positioning was one of the key drivers of performance during the period. Conversely, the Fund had an underweight stake in international equities throughout the year, which benefited relative Fund performance when those stocks significantly trailed their U.S. counterparts.
Fund holdings within the financials, electronic technology, and health technology sectors were solid contributors. Examples include technology giant Apple, storage maker Western Digital Corporation, biotechnology company Biogen, and life insurance provider Protective Life Corporation. Companies that produced positive returns but failed to keep pace with comparable benchmark sectors included automaker Ford, aircraft manufacturer Boeing, and teen apparel retailer American Eagle Outfitters.
Subadviser discussion of factors that contributed to the Fund’s bond component performance
The Fund held an underweight stake in bonds for most of the year, which benefited relative performance, as bonds rose in value far less than their equity counterparts.
The Fund’s fixed-income segment also performed well, and outpaced the return of the bond component’s benchmark. The Fund’s decision to underweight Treasury bonds while overweighting corporate bonds proved beneficial to returns. Within corporate bonds, the Fund benefited from holdings within the financials and industrial sectors. Conversely, the Fund’s holdings in banking sector bonds detracted from performance. The Fund’s allocation to the securitized sector (primarily mortgage-backed securities) was another key contributor to returns; however, bonds backed by commercial real estate did not contribute to the Fund’s performance during the year.
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MassMutual Premier Balanced Fund – Portfolio Manager Report (Unaudited) (Continued)
The Fund used derivatives during the year, which 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. Most derivatives are used for hedging, speculation, or both. Overall, these positions detracted modestly from the Fund’s performance during the year.
Subadviser outlook
We continue to believe that equities have more upside potential. As economic conditions continue to improve – albeit slowly and unevenly across regions – our view is that equities have the potential to continue looking attractive, even if interest rates begin to rise. The differential between the strength of U.S. equity earnings and the yields investors may expect from bonds, even when the Federal Reserve is raising interest rates, should be enough, we believe, to compensate investors for the added risk of owning equities.
MassMutual Premier Balanced Fund Portfolio Characteristics (% of Net Assets) on 9/30/14 | ||||
Common Stock | 56.7 | % | ||
Corporate Debt | 14.4 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 9.7 | % | ||
Mutual Funds | 7.0 | % | ||
Non-U.S. Government Agency Obligations | 5.9 | % | ||
U.S. Treasury Obligations | 2.6 | % | ||
Municipal Obligations | 0.4 | % | ||
Sovereign Debt Obligations | 0.3 | % | ||
Preferred Stock | 0.1 | % | ||
Purchased Options | 0.0 | % | ||
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Total Long-Term Investments | 97.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.9 | % | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Balanced Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Balanced Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), the S&P 500 Index, the MSCI EAFE Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom Balanced Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Class R5 | 12.33% | 10.85% | 6.86% | |||||||||
Service Class | 12.23% | 10.66% | 6.70% | |||||||||
Administrative Class | 12.09% | 10.49% | 6.53% | |||||||||
Class A | 11.80% | 10.23% | 6.27% | |||||||||
Class A (sales load deducted)* | 5.37% | 8.93% | 5.65% | |||||||||
S&P 500 Index# | 19.73% | 15.70% | 8.11% | |||||||||
MSCI EAFE Index | 4.25% | 6.56% | 6.32% | |||||||||
Barclays U.S. Aggregate Bond Index | 3.96% | 4.12% | 4.62% | |||||||||
Lipper Balanced Fund Index | 9.90% | 9.63% | 6.35% | |||||||||
Custom Balanced Index | 11.76% | 10.60% | 6.75% |
Hypothetical Investments in MassMutual Premier Balanced Fund Class I, Class R4, Class R3, the S&P 500 Index, the MSCI EAFE Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom Balanced Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class I | 4.00% | |||
Class R4 | 3.75% | |||
Class R3 | 3.58% | |||
S&P 500 Index# | 6.42% | |||
MSCI EAFE Index | -2.03% | |||
Barclays U.S. Aggregate Bond Index | 2.21% | |||
Lipper Balanced Fund Index | 2.14% | |||
Custom Balanced Index | 3.89% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
# Benchmark.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index, the MSCI EAFE Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom Balanced Index are unmanaged, do not incur expenses and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
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MassMutual Premier Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Value Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve long-term capital appreciation primarily through investment in a portfolio of common stocks of established companies with varying market capitalizations that the Fund’s subadviser believes are undervalued in the marketplace. While the Fund does not limit its investments to issuers in a particular capitalization range, the subadviser currently focuses on securities of larger size companies. The Fund’s subadviser is OFI Global Institutional, Inc. (OFI Global).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 15.85%, underperforming the 18.89% return of the Russell 1000® Value Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies, based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe. Similarly, the Fund’s Class R5 shares’ 15.85% return trailed the 19.73% return of the S&P 500® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2014, the Fund’s industrials, financials, and information technology stocks underperformed relative to the benchmark primarily due to weaker relative stock selection. Conversely, the Fund’s investments in health care, consumer discretionary, and utilities companies outperformed relative to the benchmark primarily due to stronger relative stock selection.
Fund holdings that detracted from performance included Louisiana-Pacific (materials), NCR (information technology), Chicago Bridge & Iron (industrials), CIT Group (financials), and Transocean (energy). The Fund exited its positions in NCR, Chicago Bridge & Iron, and CIT Group during the period. Louisiana-Pacific, one of the largest building products supply companies in North America, announced the termination of a merger agreement with Ainsworth, a competitor in the building supply space. The merger was abandoned due to the Department of Justice’s anti-trust concerns, which would have required substantial divestitures of assets in order to execute the merger. The Fund purchased additional shares of the stock on the belief that the company’s position as the world’s largest producer of oriented strand board, a key building material, gives it the potential to benefit from the homebuilding recovery in America. NCR manufactures financial transaction machines and software. After performing positively for most of 2013, the stock took a pause during the fourth quarter of 2013 due to disappointing revenue growth. The market also reacted negatively to NCR’s announced acquisition of Digital Insight, a leading provider of customer-facing digital banking software, due to concerns over the price NCR paid to make the deal. Chicago Bridge & Iron, a provider of energy infrastructure services, performed poorly after management announced earnings below expectations – driven by under-utilization in the firm’s fabrication segment and an increase in stock-based compensation, which had a dilutive effect on existing shareholders. CIT is a commercial bank holding company that offers lending, leasing, debt restructuring, equipment, financing, and advisory services to small- and mid-sized businesses. Shares of CIT Group declined after the company reported a drop in net income due mostly to a narrowing of net interest margin, a key measure of profitability. Finally, Transocean, an international provider of offshore contract drilling services for oil and gas wells, declined in part due to the general weakness in the energy sector that resulted from falling oil prices.
On the positive side, top individual contributors to Fund performance included Apple (information technology), Delta Air Lines (industrials), Cardinal Health (health care), Royal Caribbean Cruises Ltd. (consumer discretionary), and SanDisk Corp. (information technology). Consumer electronics manufacturer Apple performed well during the second half of 2013 due to excitement surrounding the introduction of two new iPhones as well as the addition of China Mobile as a distribution partner. Apple also rallied strongly in April 2014 after iPhone sales came in higher than analyst expectations and the company announced a 7-for-1 stock split, while increasing both its dividend and share repurchases. Delta Air Lines, the second-largest airline in the United States by passenger volume, topped earnings expectations over the first half of the reporting period due mostly to lower-than-expected operating costs – partially related to falling jet fuel prices during the spring months. Delta later reported quarterly results ahead of Wall Street expectations. Cardinal Health is a health care services company that announced earnings in excess of expectations, driven primarily by strong results in the pharmaceuticals segment. Royal Caribbean is a cruise company that benefited from strong booking trends and lower costs. SanDisk, a producer of data storage products based on flash memory, completed its acquisition of Fusion-io during the reporting period.
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MassMutual Premier Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
While many investors focus on a short-term view when considering investment options, the Fund utilizes in-depth fundamental research to identify companies that Fund management believes are poised for an unanticipated acceleration in return on invested capital over a multi-year time horizon. We believe this longer-term approach provides a more comprehensive outlook of potential investments by focusing on all three financial statements – the income statement, balance sheet, and statement of cash flows – and help us find those companies whose generation and use of cash flow have yet to be fully reflected in the current stock price, in our view.
MassMutual Premier Value Fund Largest Holdings (% of Net Assets) on 9/30/14 | ||||
Citigroup, Inc. | 3.4 | % | ||
Suncor Energy, Inc. | 2.9 | % | ||
Morgan Stanley | 2.3 | % | ||
Cardinal Health, Inc. | 2.2 | % | ||
Sanofi ADR | 2.2 | % | ||
Verizon Communications, Inc. | 2.1 | % | ||
The Goldman Sachs Group, Inc. | 2.1 | % | ||
Delta Air Lines, Inc. | 2.0 | % | ||
Merck & Co., Inc. | 2.0 | % | ||
Capital One Financial Corp. | 1.9 | % | ||
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23.1 | % | |||
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MassMutual Premier Value Fund Sector Table (% of Net Assets) on 9/30/14 | ||||
Financial | 23.9 | % | ||
Consumer, Non-cyclical | 19.6 | % | ||
Technology | 14.2 | % | ||
Energy | 11.9 | % | ||
Consumer, Cyclical | 11.5 | % | ||
Industrial | 10.9 | % | ||
Communications | 5.1 | % | ||
Utilities | 2.2 | % | ||
Basic Materials | 1.8 | % | ||
Mutual Funds | 0.4 | % | ||
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Total Long-Term Investments | 101.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | (1.5 | )% | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Value Fund Country Weightings (% of Net Assets) on 9/30/14 | ||||
United States | 77.7 | % | ||
Canada | 5.5 | % | ||
Switzerland | 3.4 | % | ||
United Kingdom | 3.3 | % | ||
France | 2.7 | % | ||
Ireland | 1.8 | % | ||
Netherlands Antilles | 1.3 | % | ||
Germany | 1.2 | % | ||
Liberia | 1.2 | % | ||
Netherlands | 1.1 | % | ||
Israel | 0.9 | % | ||
Bermuda | 0.8 | % | ||
Singapore | 0.6 | % | ||
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Total Long-Term Investments | 101.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | (1.5 | )% | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Value Fund Administrative Class, the Russell 1000 Value Index, and the S&P 500 Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Administrative Class | 15.65% | 12.20% | 6.40% | |||||||||
Russell 1000 Value Index# | 18.89% | 15.26% | 7.84% | |||||||||
S&P 500 Index | 19.73% | 15.70% | 8.11% |
Hypothetical Investments in MassMutual Premier Value Fund Class R5, Service Class, Class A, Class A (sales load deducted), Class R3, the Russell 1000 Value Index, and the S&P 500 Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Since Inception Average Annual 11/1/04 - 9/30/14 | |||||||||
Class R5 | 15.85% | 12.42% | 6.39% | |||||||||
Service Class | 15.81% | 12.32% | 6.28% | |||||||||
Class A | 15.35% | 11.87% | 5.86% | |||||||||
Class A (sales load deducted)* | 8.72% | 10.56% | 5.23% | |||||||||
Class R3 | 15.09% | 11.54% | 5.52% | |||||||||
Russell 1000 Value Index# | 18.89% | 15.26% | 7.73% | |||||||||
S&P 500 Index | 19.73% | 15.70% | 8.02% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
# Benchmark.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Value Index and the S&P 500 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
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Table of Contents
MassMutual Premier Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Value Fund Class I, Class R4, the Russell 1000 Value Index, and the S&P 500 Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class I | 4.44% | |||
Class R4 | 4.23% | |||
Russell 1000 Value Index# | 4.90% | |||
S&P 500 Index | 6.42% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
# Benchmark.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Value Index and the S&P 500 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
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MassMutual Premier Disciplined Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Disciplined Value Fund, and who is the Fund’s subadviser?
The Fund seeks to outperform the total return performance of its benchmark index, the Russell 1000® Value Index,* while maintaining risk characteristics similar to those of the benchmark. Under normal circumstances, the Fund invests substantially all (but not less than 80%) of its net assets in common stocks of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the benchmark. The Fund’s subadviser is Babson Capital Management LLC (Babson Capital).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 18.30%, behind the 18.89% return of the Russell 1000 Value Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies, based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2014, the Fund’s performance was positive on a sector-by-sector absolute basis, but Fund holdings in the consumer durables, energy minerals, and producer manufacturing sectors underperformed the benchmark on a relative basis. Underperforming stocks that the Fund owned included electronics manufacturer Jabil Circuits, manufacturer General Electric, and auto giant General Motors.
Fund holdings in the financials sector advanced strongly, led by life insurer Progressive Life, the leasing company Ryder Systems, and brokerage company Legg Mason. Other sectors that contributed to performance were health services, electronic technology, and transportation. Examples of Fund holdings that were strong performers during the period include Protective Life, the alcoholic beverage maker Constellation Brands, and aluminum manufacturer Alcoa.
When selecting stocks for the Fund, we generally favor inexpensive companies that have good fundamentals and superior growth potential, in our view. That combination can be hard to find, but our research allowed us to identify and accumulate stocks with these characteristics for the Fund. One example of this was the insurance company Protective Life Corporation. The Fund accumulated a position in Protective Life at a cost of roughly $42 per share. At this price, the shares were still inexpensive because investors seemed to fear the company may have been overvalued, based on the assets on its balance sheet. In June, Dai-ichi Life, a Japanese life insurance company, offered $70 per share in cash for all Protective Life shares, as Dai-ichi Life determined there was more value in the company than the current stock price reflected.
Subadviser outlook
In our opinion, the difference between inexpensive and expensive stocks has narrowed overall; however, we believe there are still companies within the value universe that the market underestimates. We believe investors appear to still be wary of the value of the assets on financial companies’ books, so there may be room for price appreciation. Going forward, the Fund will continue to seek inexpensive stocks to take advantage of that potential wariness, while also looking for stocks with differentiating factors that will allow their value to be realized. We believe this is typical later in the investment cycle, when economic growth seems more likely and investors may look for incremental improvement in stocks. While it has become more difficult to find stocks the Fund favors, we believe there are many stocks out there that are currently undervalued by the market.
* | The Fund is not promoted, sponsored, or endorsed by, nor in any way affiliated with Russell Investment Group (“Russell”). Russell is not responsible for and has not reviewed the Fund nor any associated literature or publications and Russell makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise. The Russell 1000 Value Index and Russell® are trademarks of the Frank Russell Company. |
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MassMutual Premier Disciplined Value Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Disciplined Value Fund Largest Holdings (% of Net Assets) on 9/30/14 | ||||
Exxon Mobil Corp. | 3.8 | % | ||
Berkshire Hathaway, Inc. Class B | 2.7 | % | ||
Wells Fargo & Co. | 2.6 | % | ||
Johnson & Johnson | 2.6 | % | ||
General Electric Co. | 2.5 | % | ||
Chevron Corp. | 2.4 | % | ||
Pfizer, Inc. | 2.4 | % | ||
JP Morgan Chase & Co. | 2.2 | % | ||
AT&T, Inc. | 1.9 | % | ||
Merck & Co., Inc. | 1.8 | % | ||
|
| |||
24.9 | % | |||
|
|
MassMutual Premier Disciplined Value Fund Sector Table (% of Net Assets) on 9/30/14 | ||||
Financial | 27.5 | % | ||
Consumer, Non-cyclical | 19.4 | % | ||
Energy | 13.5 | % | ||
Industrial | 10.2 | % | ||
Technology | 7.9 | % | ||
Communications | 6.6 | % | ||
Consumer, Cyclical | 6.1 | % | ||
Utilities | 5.6 | % | ||
Basic Materials | 2.8 | % | ||
Diversified | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 99.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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MassMutual Premier Disciplined Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Disciplined Value Fund Service Class and the Russell 1000 Value Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Service Class | 18.15% | 14.69% | 7.37% | |||||||||
Russell 1000 Value Index | 18.89% | 15.26% | 7.84% |
Hypothetical Investments in MassMutual Premier Disciplined Value Fund Class R5, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Russell 1000 Value Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Since Inception Average Annual 11/1/04 - 9/30/14 | |||||||||
Class R5 | 18.30% | 14.83% | 7.41% | |||||||||
Administrative Class | 18.02% | 14.59% | 7.11% | |||||||||
Class A | 17.67% | 14.25% | 6.83% | |||||||||
Class A (sales load deducted)* | 10.90% | 12.90% | 6.20% | |||||||||
Class R3 | 17.48% | 13.94% | 6.51% | |||||||||
Russell 1000 Value Index | 18.89% | 15.26% | 7.73% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Value Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
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MassMutual Premier Disciplined Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Disciplined Value Fund Class I, Class R4, and the Russell 1000 Value Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class I | 3.96% | |||
Class R4 | 3.74% | |||
Russell 1000 Value Index | 4.90% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Value Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
38
Table of Contents
MassMutual Premier Main Street Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Main Street Fund, and who is the Fund’s subadviser?
The Fund seeks a high total return by investing primarily in common stocks of U.S. companies of different capitalization ranges. The Fund’s subadviser currently focuses on “large capitalization” issuers, which are considered to be companies with market capitalizations at the time of purchase within the market capitalization range of companies included within the Russell 1000® Index, although it may purchase stocks of companies with any market capitalization. The Fund’s subadviser is OFI Global Institutional, Inc. (OFI Global).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 18.54%, trailing the 19.73% return of the S&P 500® Index (the “benchmark”), a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2014, the Fund’s consumer staples and energy stocks underperformed relative to the benchmark due to weaker relative stock selection. Conversely, the Fund’s investments in the health care sector outperformed those in the benchmark due to stronger relative stock selection and an overweight position.
Fund holdings that detracted from performance included Genworth Financial (financials), International Business Machines (“IBM”) (information technology), General Motors (“GM”) (consumer discretionary), Diageo (consumer staples), and Deere & Co. (industrials). Genworth Financial is a provider of insurance, wealth management, and investment and financial solutions whose shares fell in the closing months of the period after the company announced it would conduct a comprehensive review of its long-term care insurance business, which experienced lower operating profits in the second quarter of 2014. IBM reported disappointing revenues and earnings over the second half of 2013, due in part to surprising weakness in revenue growth from emerging markets, particularly China. The Fund subsequently exited its position in IBM. GM was negatively impacted by recall costs during the year. Diageo is a leading U.K.-based spirits company that experienced declines amid weakness in emerging markets. Deere & Co. is one of the world’s largest producers of farm, construction, forestry, and lawn care equipment. Predictions of an upcoming harvest at, or near record levels weighed heavily on agricultural companies, which are Deere’s primary customers. Market anticipation of an abundance of supply for both corn and soybeans sent prices spiraling downwards and raised expectations that farmers’ income could be negatively impacted. This outlook does not bode well for the demand for farm equipment over the near term; however, we believe the price of Deere’s stock largely reflects these likely pressures on revenues and earnings.
Fund holdings that were top individual contributors to Fund performance included information technology stocks Apple and Google – and health care stocks Allergan, Actavis, and Gilead Sciences. Consumer electronics giant Apple performed well during the second half of 2013 due to excitement surrounding the introduction of two new iPhones and the addition of China Mobile as a distribution partner. Apple also rallied strongly in April 2014 after iPhone sales exceeded analyst expectations and the company announced a 7-for-1 stock split, while increasing both its dividend and share repurchases. Google, the world’s most prevalent Internet search engine, announced third-quarter 2013 earnings early in the period, which sent the stock price higher. Allergan is a leading maker of eye care, skin care, and aesthetic products, including Botox. Allergan’s stock price jumped when pharmaceutical firm Valeant, in conjunction with activist investor Bill Ackman of Pershing Square, announced the intention to acquire the company. While Allergan’s management resisted the overture, Allergan’s stock price remained elevated. Actavis develops and markets branded, generic, and over-the-counter products worldwide. The stock reacted favorably after management preannounced a positive earnings surprise due mostly to revenue synergies and cost savings from the recent merger with Warner Chilcott. Cash flow for Actavis was above expectations as well, and the company took the opportunity to pay down debt. Later in the year, management announced the acquisition of Forest Labs, news that was well received by investors. Finally, Gilead Sciences’ share price benefited from the strong performance of its hepatitis C drug, Sovaldi.
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MassMutual Premier Main Street Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
Fund management attempts to construct an “all-weather” portfolio by targeting companies we believe have sustainable competitive advantages, skilled management with a proven track record of executing effectively, and financial resources with the potential to generate improving profitability, gain market share, and/or return significant dividends to shareholders. Our view is that during times of volatile or slow economic growth, such companies have the potential to widen their lead over weaker competitors. The Fund seeks to invest in companies that are characterized by these qualities at compelling valuations. We believe this disciplined approach is essential to generate superior long-term performance.
MassMutual Premier Main Street Fund Largest Holdings (% of Net Assets) on 9/30/14 | ||||
Apple, Inc. | 4.0 | % | ||
Noble Energy, Inc. | 3.0 | % | ||
Google, Inc. Class C | 3.0 | % | ||
Citigroup, Inc. | 3.0 | % | ||
General Electric Co. | 2.9 | % | ||
Chevron Corp. | 2.9 | % | ||
Gilead Sciences, Inc. | 2.8 | % | ||
Mondelez International, Inc. Class A | 2.8 | % | ||
Comcast Corp. Class A | 2.8 | % | ||
Philip Morris International, Inc. | 2.7 | % | ||
|
| |||
29.9 | % | |||
|
|
MassMutual Premier Main Street Fund Sector Table (% of Net Assets) on 9/30/14 | ||||
Consumer, Non-cyclical | 27.9 | % | ||
Communications | 17.4 | % | ||
Financial | 15.7 | % | ||
Industrial | 10.4 | % | ||
Energy | 8.6 | % | ||
Consumer, Cyclical | 8.2 | % | ||
Technology | 7.7 | % | ||
Mutual Funds | 2.8 | % | ||
Basic Materials | 2.1 | % | ||
Utilities | 1.6 | % | ||
|
| |||
Total Long-Term Investments | 102.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | (2.4 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
MassMutual Premier Main Street Fund Country Weightings (% of Net Assets) on 9/30/14 | ||||
United States | 87.8 | % | ||
United Kingdom | 5.0 | % | ||
Ireland | 3.0 | % | ||
Switzerland | 2.3 | % | ||
Canada | 2.2 | % | ||
Germany | 2.1 | % | ||
|
| |||
Total Long-Term Investments | 102.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | (2.4 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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Table of Contents
MassMutual Premier Main Street Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Main Street Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the S&P 500 Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Since Inception Average Annual 12/31/04 - 9/30/14 | |||||||||
Class R5 | 18.54% | 15.13% | 6.95% | |||||||||
Service Class | 18.40% | 15.05% | 6.84% | |||||||||
Administrative Class | 18.26% | 14.87% | 6.71% | |||||||||
Class A | 17.99% | 14.61% | 6.44% | |||||||||
Class A (sales load deducted)* | 11.21% | 13.26% | 5.80% | |||||||||
Class R3 | 17.78% | 14.28% | 6.12% | |||||||||
S&P 500 Index | 19.73% | 15.70% | 7.33% |
Hypothetical Investments in MassMutual Premier Main Street Fund Class I, Class R4, and the S&P 500 Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class I | 6.11% | |||
Class R4 | 5.87% | |||
S&P 500 Index | 6.42% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
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Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Disciplined Growth Fund, and who is the Fund’s subadviser?
The Fund seeks to outperform the total return performance of its benchmark index, the Russell 1000® Growth Index,* while maintaining risk characteristics similar to those of the benchmark. Under normal circumstances, the Fund invests substantially all (but no less than 80%) of its net assets in common stocks of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included within the benchmark. The Fund’s subadviser is Babson Capital Management LLC (Babson Capital).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 19.60%, outperforming the 19.15% return of the Russell 1000 Growth Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2014, the Fund took advantage of the skepticism that we saw as prevalent in the market – and this strategy paid off. Early in the year, investors seemed reluctant to believe that the economic recovery would continue, or that companies would continue to produce record profit margins. Such skepticism enabled the Fund to purchase good companies with strong growth prospects at attractive prices.
During the period, the Fund’s holdings in the distribution services, electronic technology, health technology, and transportation sectors all advanced substantially. Examples of Fund holdings that were strong performers within these industries included the pharmaceutical distributor McKesson Corporation and the biotechnology company Biogen. All of the Fund’s sectors produced positive returns during the period, although Fund holdings in the consumer durables, retail trade, and producer manufacturing sectors underperformed relative to the benchmark, which worked against the Fund’s overall results. Examples of underperforming stocks included automaker Ford, the teen apparel retailer American Eagle Outfitters, and solar company SunPower.
When selecting stocks for the Fund, we generally favor inexpensive companies that have good fundamentals and superior growth potential, in our view. That combination can be hard to find, but our research allowed us to identify and accumulate stocks with these characteristics for the Fund. One example of this was the consumer electronics giant Apple Inc. The Fund purchased this stock at a cost of about $63 per share. After proceeding at a rapid rate, growth had slowed and the stock price slumped from $100 per share (split adjusted) to below $60 per share. Apple shares seemed to offer everything the Fund looks for, and they had the potential to return to strong growth. Investors recognized this value over the past year and pushed the stock back up to $100 per share.
Conversely, detracting from Fund performance was aircraft manufacturer Boeing Inc. The stock was inexpensive, the corporation was growing, and it was shareholder friendly. Unfortunately, Boeing’s 10% return was far inferior to the market; consequently, this Fund holding hurt relative performance.
Subadviser outlook
In our view, the difference between inexpensive and expensive stocks has narrowed overall; however, we believe there are still companies within the growth universe that the market has not yet assigned the appropriate share price. We believe investors appear to still be wary of the value of the assets on financial companies’ books, so there may be room for price appreciation. Going forward, the Fund will seek both inexpensive stocks to take advantage of that potential wariness – and those stocks with differentiating factors that will potentially allow their value to be realized. We believe this is typical later in the investment cycle, when economic growth seems more likely and investors may look for incremental improvement in stocks. While it has become more difficult to find stocks the Fund favors, we believe there are many stocks out there that are currently undervalued by the market.
* | The Fund is not promoted, sponsored, or endorsed by, nor in any way affiliated with Russell Investment Group (“Russell”). Russell is not responsible for and has not reviewed the Fund nor any associated literature or publications and Russell makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise. The Russell 1000 Growth Index and Russell® are trademarks of the Frank Russell Company. |
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MassMutual Premier Disciplined Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier | ||||
Apple, Inc. | 5.7 | % | ||
Microsoft Corp. | 3.1 | % | ||
Verizon Communications, Inc. | 2.2 | % | ||
International Business Machines Corp. | 2.2 | % | ||
Gilead Sciences, Inc. | 2.1 | % | ||
Oracle Corp. | 1.8 | % | ||
QUALCOMM, Inc. | 1.7 | % | ||
Amgen, Inc. | 1.7 | % | ||
Google, Inc. Class C | 1.5 | % | ||
Comcast Corp. Class A | 1.5 | % | ||
|
| |||
23.5 | % | |||
|
|
MassMutual Premier Disciplined Growth Fund Sector Table (% of Net Assets) on 9/30/14 | ||||
Consumer, Non-cyclical | 25.9 | % | ||
Technology | 20.7 | % | ||
Communications | 17.3 | % | ||
Consumer, Cyclical | 11.9 | % | ||
Industrial | 10.0 | % | ||
Energy | 5.8 | % | ||
Financial | 5.0 | % | ||
Basic Materials | 2.8 | % | ||
Diversified | 0.1 | % | ||
Utilities | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 99.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.4 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Disciplined Growth Fund Service Class and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Service Class | 19.45% | 16.84% | 8.92% | |||||||||
Russell 1000 Growth Index | 19.15% | 16.50% | 8.94% |
Hypothetical Investments in MassMutual Premier Disciplined Growth Fund Class R5, Administrative Class, Class A, Class A (sales load deducted), and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Since Inception Average Annual 11/1/04 - 9/30/14 | |||||||||
Class R5 | 19.60% | 16.93% | 8.89% | |||||||||
Administrative Class | 19.33% | 16.71% | 8.67% | |||||||||
Class A | 19.02% | 16.40% | 8.41% | |||||||||
Class A (sales load deducted)* | 12.17% | 15.03% | 7.77% | |||||||||
Russell 1000 Growth Index | 19.15% | 16.50% | 8.85% |
Hypothetical Investments in MassMutual Premier Disciplined Growth Fund Class I, Class R4, Class R3, and the Russell 1000 Growth Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class I | 6.18% | |||
Class R4 | 5.90% | |||
Class R3 | 5.82% | |||
Russell 1000 Growth Index | 6.69% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Growth Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
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Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Small Cap Opportunities 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 will invest at least 80% of its net assets in securities of small-cap companies. The Fund’s subadviser is OFI Global Institutional, Inc. (OFI Global).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 6.75%, outpacing the 3.93% return of the Russell 2000 Index (the “benchmark”), a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2014, the Fund’s stock selection in the industrials, materials, and energy sectors added to performance relative to the benchmark. Conversely, the Fund’s holdings in the information technology and financials sectors underperformed on a relative basis.
Top individual contributors during the year included Century Aluminum (in the materials sector), Greenbrier Companies (industrials), Valero Energy Partners (energy), Mattress Firm (consumer discretionary), and Spirit Airlines (industrials). Century Aluminum is a producer of aluminum whose stock price was propelled higher due to several factors, including rising London Metal Exchange (LME) aluminum prices that led to the strongest reported earnings in three years and increased investor awareness of the growth opportunity that is emerging as aluminum becomes more important to automotive manufacturing. The subsequent Wall Street analyst upgrades further elevated the company’s stock price. Greenbrier Companies, a manufacturer of freight cars and marine barges that the Fund ultimately sold, benefited from strong railcar demand. Valero Energy Partners is an independent petroleum refiner that was buoyed by strong refining profits. Mattress Firm benefited from product innovation and advertising, which led to an acceleration in revenue growth – as did the company’s acquisition of Sleep Train, a major mattress retailer on the West Coast that enabled Mattress Firm to enter large western markets, such as California. Spirit Airlines performed extremely well; the airline reported record second-quarter 2014 results.
Conversely, Fund holdings that detracted from performance included information technology stocks Infoblox, Web.com Group, Finisar, and Unisys as well as energy stock Renewable Energy Group. Infoblox is a leader in “automated network control” solutions and security software that allows companies to manage large and complex data networks and the proliferation of mobile devices connected to them. The stock suffered a setback after management announced forecasted negative earnings for the year. Web.com Group, a leading provider of Internet services and online marketing solutions to primarily small businesses, missed expectations, which sent its stock price lower. The main culprit was a shortfall in average revenue per unit – a key measure of the company’s ability to sell higher value-added services. The disappointing sales execution reflects turnover issues in the company’s sales force. We believe this is a temporary issue and, consequently, the Fund purchased additional shares of this holding on what appeared to be attractive valuations. Finisar’s products enable high-speed data communications over both local and storage area networks. A disappointing quarterly result – earnings that missed estimates – combined with lowered earnings forecasts to drive this stock’s price lower. While revenues, both reported and forecast, were generally in line with expectations, gross profits fell short. Unisys missed second-quarter earnings estimates for the year. The Fund sold its holdings in Infoblox and Unisys during the period. Finally, Renewable Energy Group is a producer of biodiesel that experienced a volatile period.
Subadviser outlook
Fund management attempts to construct an “all-weather” portfolio by targeting companies we believe have sustainable competitive advantages, skilled management with a proven track record of executing effectively, and financial resources with the potential to generate improving profitability, gain market share, and/or return significant dividends to shareholders. Our view is that during times of volatile or slow economic growth, such companies have the potential to widen their lead over weaker
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Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)
competitors. The Fund seeks to invest in companies that are characterized by these qualities at compelling valuations. We believe this disciplined approach is essential to generate superior long-term performance.
MassMutual Premier | ||||
LaSalle Hotel Properties | 2.5 | % | ||
Western Refining, Inc. | 2.0 | % | ||
Korn/Ferry International | 2.0 | % | ||
KAR Auction Services, Inc. | 2.0 | % | ||
Dana Holding Corp. | 2.0 | % | ||
Prestige Brands Holdings, Inc. | 1.8 | % | ||
STAG Industrial, Inc. | 1.7 | % | ||
Guidewire Software, Inc. | 1.7 | % | ||
P.H. Glatfelter Co. | 1.6 | % | ||
First Niagara Financial Group, Inc. | 1.6 | % | ||
|
| |||
18.9 | % | |||
|
|
MassMutual Premier Small Cap Opportunities Fund Sector Table (% of Net Assets) on 9/30/14 | ||||
Consumer, Non-cyclical | 26.0 | % | ||
Financial | 22.6 | % | ||
Technology | 13.1 | % | ||
Consumer, Cyclical | 11.5 | % | ||
Industrial | 10.6 | % | ||
Mutual Funds | 9.5 | % | ||
Basic Materials | 7.5 | % | ||
Energy | 5.3 | % | ||
Communications | 2.7 | % | ||
Utilities | 0.4 | % | ||
|
| |||
Total Long-Term Investments | 109.2 | % | ||
Other Assets and Liabilities | (9.2 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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MassMutual Premier Small Cap Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Small Cap Opportunities Fund Class A, Class A (sales load deducted), and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Class A | 6.19% | 15.64% | 7.39% | |||||||||
Class A (sales load deducted)* | 0.09% | 14.28% | 6.75% | |||||||||
Russell 2000 Index | 3.93% | 14.29% | 8.19% |
Hypothetical Investments in MassMutual Premier Small Cap Opportunities Fund Class R5, Service Class, Administrative Class, and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Since Inception Average Annual 11/1/04 - 9/30/14 | |||||||||
Class R5 | 6.75% | 16.16% | 7.68% | |||||||||
Service Class | 6.60% | 16.06% | 7.57% | |||||||||
Administrative Class | 6.55% | 15.94% | 7.48% | |||||||||
Russell 2000 Index | 3.93% | 14.29% | 8.05% |
Hypothetical Investments in MassMutual Premier Small Cap Opportunities Fund Class I, Class R4, Class R3, and the Russell 2000 Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class I | -4.07% | |||
Class R4 | -4.34% | |||
Class R3 | -4.46% | |||
Russell 2000 Index | -5.46% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
47
Table of Contents
MassMutual Premier Global Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Global Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in common stocks of companies in the U.S. and foreign countries. The Fund’s subadviser is OppenheimerFunds, Inc. (OFI).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 10.18%, trailing the 11.32% return of the Morgan Stanley Capital International (“MSCI®”) All Country World Index (“ACWI®”) (the “benchmark”), an unmanaged index representative of stocks domiciled in global developed and emerging markets, including the United States.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the past 12 months, the Fund’s investments in the consumer discretionary sector underperformed relative to the benchmark due to weaker stock selection and an overweight position. Additionally, Fund holdings in the information technology and financials sectors detracted from full-year results. Conversely, the Fund’s health care stocks outperformed relative to the benchmark due to stronger relative stock selection and an overweight position in that sector. The Fund’s industrials sector stocks also outperformed those of the benchmark as a result of stronger relative stock selection.
Fund holdings that detracted from performance included Tod’s (consumer discretionary, Italy), Technip (energy, France), Deutsche Bank (financials, Germany), and two U.S.-based health care companies: Theravance and Celldex Therapeutics. A slowdown in growth for luxury goods in China and Asia Pacific negatively affected the performance of Tod’s. Technip is a niche supplier of critical parts and services to the oil and gas industry. Over the first half of the period, the company reduced its profit outlook forecasts for its subsea segment for 2014 – and one of its two major competitors in the subsea construction field announced disappointing earnings resulting from customer disputes. Both announcements caused Technip’s share price to fall. Continued litigation activity involving Deutsche Bank led to significant fines for past transgressions. Heightened concerns about the persistence of such fines and their increasing magnitude generated investor worries about the adequacy of capital at global investment banks. These concerns, combined with low levels of market activity that detracted from profits, led to Deutsche Bank’s underperformance. Theravance is a biopharmaceutical company whose shares experienced volatility towards the end of the period. Celldex Therapeutics, a developer of cellular therapies to treat specific forms of cancer, autoimmune diseases, and infections, declined over the second half of the period.
Top individual contributors to Fund performance included health care stocks Shire (United Kingdom), Gilead Sciences (United States), and WellPoint (United States); and two other U.S.-based holdings: information technology stock Google and consumer discretionary stock Walt Disney. Shire is a pharmaceutical company that focuses on attention deficit and hyperactivity disorders as well as gastrointestinal and renal diseases. During the reporting period, AbbVie, a U.S. pharmaceuticals company, offered to buy Shire at a significant premium to the share price and the shares rallied. Gilead Sciences is a research-based biopharmaceutical company that discovers, develops, and commercializes medicines. The company benefited from the strong performance of its hepatitis C drug Sovaldi. WellPoint is a health insurance company that reported strong second-quarter 2014 earnings. Google, the world’s most prevalent Internet search engine, announced third-quarter 2013 earnings early in the period, which sent the stock higher. Walt Disney produces movies, television programs, musical recordings, books, magazines, and merchandise for entertainment and education. It also operates distribution channels such as television networks, theme parks, hotels, cruise lines, retail stores, and classrooms. The stock performed well during the year, as investors focused on the “content is king” theme in the broadcast and Internet segments of the consumer discretionary sector.
Subadviser outlook
The Fund is a long-term, growth-oriented investment portfolio that employs a bottom-up, fundamental approach, seeking to invest in high-quality companies with above-average, sustainable characteristics. We will continue to seek to add value through individual stock selection, and will not make any effort to mimic the weights assigned to the benchmark by sector, region, or
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MassMutual Premier Global Fund – Portfolio Manager Report (Unaudited) (Continued)
country. Valuation is a critical part of the Fund’s investment criteria. Assuming we properly understand a given set of business economics, we strive to enhance the Fund’s performance by paying an appropriate price for companies with solid growth fundamentals.
MassMutual Premier | ||||
Telefonaktiebolaget LM Ericsson Class B | 2.6 | % | ||
The McGraw Hill Financial, Inc. | 2.3 | % | ||
The Walt Disney Co. | 2.2 | % | ||
eBay, Inc. | 2.2 | % | ||
Citigroup, Inc. | 2.0 | % | ||
Murata Manufacturing Co. Ltd. | 2.0 | % | ||
European Aeronautic Defence and Space Co. | 1.9 | % | ||
Colgate-Palmolive Co. | 1.8 | % | ||
SAP SE | 1.8 | % | ||
Bayerische Motoren Werke AG 3.520% | 1.8 | % | ||
|
| |||
20.6 | % | |||
|
|
MassMutual Premier Global Fund Country Weightings (% of Net Assets) on 9/30/14 | ||||
United States | 49.0 | % | ||
Japan | 10.4 | % | ||
Germany | 9.8 | % | ||
France | 5.5 | % | ||
Switzerland | 5.3 | % | ||
Sweden | 4.1 | % | ||
United Kingdom | 4.0 | % | ||
Spain | 3.7 | % | ||
Brazil | 3.5 | % | ||
India | 3.0 | % | ||
Netherlands | 1.9 | % | ||
Italy | 1.5 | % | ||
Channel Islands | 1.1 | % | ||
Russia | 1.0 | % | ||
Mexico | 0.8 | % | ||
Cayman Islands | 0.6 | % | ||
Denmark | 0.4 | % | ||
|
| |||
Total Long-Term Investments | 105.6 | % | ||
Other Assets and Liabilities | (5.6 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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Table of Contents
MassMutual Premier Global Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Global Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the MSCI ACWI.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Since Inception Average Annual 12/31/04 - 9/30/14 | |||||||||
Class R5 | 10.18% | 11.83% | 7.11% | |||||||||
Service Class | 9.96% | 11.67% | 6.96% | |||||||||
Administrative Class | 9.87% | 11.55% | 6.85% | |||||||||
Class A | 9.54% | 11.23% | 6.54% | |||||||||
Class A (sales load deducted)* | 3.24% | 9.92% | 5.90% | |||||||||
Class R3 | 9.49% | 11.14% | 6.44% | |||||||||
MSCI ACWI | 11.32% | 10.07% | 6.21% |
Hypothetical Investments in MassMutual Premier Global Fund Class I, Class R4, and the MSCI ACWI.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class I | 1.75% | |||
Class R4 | 1.56% | |||
MSCI ACWI | 2.62% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI ACWI is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
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Table of Contents
MassMutual Premier International Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier International Equity Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve long-term capital appreciation by investing primarily in common stock of foreign companies. Under normal circumstances, the Fund invests at least 80% of its net assets in securities of foreign companies. The Fund’s subadviser is OFI Global Institutional, Inc. (OFI Global).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned -0.32%, trailing the 4.77% return of the Morgan Stanley Capital International (“MSCI®”) All Country World Index (“ACWI®”) ex-U.S. (the “benchmark”), an unmanaged index representative of stocks domiciled in global developed and emerging markets, excluding the United States.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2014, the Fund’s investments in the consumer discretionary sector underperformed relative to the benchmark due to weaker relative stock selection and overweight positioning; and in the health care sector as a result of less-than-favorable stock selection. Conversely, the Fund’s materials stocks outperformed relative to the benchmark primarily due to stronger relative stock selection and an underweight position in the sector. The Fund’s consumer staples stocks also outperformed those of the benchmark as a result of stronger relative stock selection.
Fund holdings that were detractors from performance for the year included Yahoo Japan (information technology), Prada (consumer discretionary, Italy), Swatch Group (consumer discretionary, Switzerland), AVEVA Group (information technology, United Kingdom) and Technip (energy, France). Shares of Yahoo Japan, a provider of Internet search engine solutions in Japan, fell over the first quarter of 2014 in tandem with the Japanese market. The market also reacted negatively after the company announced plans to purchase eAccess Ltd. from SoftBank Corp. Prada is a global luxury goods company that primarily operates under the Prada and Miu Miu brands. The company’s brands have dominant positions in apparel, handbags, and footwear, but recent results involving weak cyclical demand and one-off operational issues disappointed investors. Swatch Group, which manufactures watches, jewelry and accessories, released a weak earnings report and a cautious outlook for Hong Kong, a major market for Swatch. Shares of AVEVA Group, which develops engineering software for companies in the oil and gas and power and marine industries, fell after the company issued a profit warning, due partly to the negative impact of a strong pound, which made the company’s products more expensive. Technip is a niche supplier of critical parts and services to the oil and gas industry. Over the first half of the period, the company reduced its profit outlook for its subsea segment for 2014 – and one of its two major competitors in the subsea construction field announced disappointing earnings resulting from customer disputes. Both announcements caused Technip’s share price to fall.
Top individual contributors to the Fund for the year included holdings HOYA (information technology, Japan), BT Group (telecommunication services, United Kingdom), Aryzta (consumer staples, Switzerland), ICICI Bank Ltd. (financials, India), and Nidec (industrials, Japan). Hoya is a maker of electro-optical components used in high-tech and medical products that had a strong reporting period. In late 2013, BT Group’s fixed-line business was the beneficiary of a more benign regulatory environment – and the company benefited from the improving financials that resulted from an ongoing cost-cutting program. Aryzta provides a wide range of pre-baked bakery products, including bread, cookies, and other pastries. Aryzta expanded its presence in North America by acquiring Canada-based Pineridge Bakery and U.S.-based Cloverhill Bakery – a move that helped drive up its stock price. ICICI Bank is an Indian bank that has performed well in 2014, partly due to increasingly positive investor sentiment towards India. Nidec, a manufacturer of electric motors and related components and equipment, reported strong earnings and a positive outlook during the third quarter of 2014.
Subadviser outlook
The Fund continues to seek companies that Fund management believes may benefit from long-term secular growth trends, have potentially significant and durable competitive advantages, and have the financial flexibility to increase their market position relative to their competitors during down trends in the business cycle.
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MassMutual Premier International Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier International Equity Fund Largest Holdings (% of Net Assets) on 9/30/14 | ||||
Oppenheimer Institutional Money Market Fund Class E | 2.9 | % | ||
SAP SE | 1.6 | % | ||
Boskalis Westminster | 1.5 | % | ||
Novo Nordisk A/S | 1.5 | % | ||
Roche Holding AG | 1.5 | % | ||
BT Group PLC | 1.5 | % | ||
Burberry Group PLC | 1.4 | % | ||
William Hill PLC | 1.4 | % | ||
Essentra PLC | 1.4 | % | ||
Heineken NV | 1.4 | % | ||
|
| |||
16.1 | % | |||
|
|
MassMutual Premier International Equity Fund Country Weightings (% of Net Assets) on 9/30/14 | ||||
United Kingdom | 26.5 | % | ||
Switzerland | 13.5 | % | ||
France | 10.7 | % | ||
United States | 8.5 | % | ||
Netherlands | 8.2 | % | ||
Germany | 6.9 | % | ||
Japan | 5.1 | % | ||
Spain | 4.3 | % | ||
Italy | 4.0 | % | ||
Sweden | 3.1 | % | ||
Australia | 2.4 | % | ||
Canada | 2.3 | % | ||
Denmark | 2.2 | % | ||
Panama | 1.3 | % | ||
Thailand | 1.3 | % | ||
India | 1.2 | % | ||
Mexico | 1.0 | % | ||
Luxembourg | 1.0 | % | ||
Brazil | 0.8 | % | ||
Cayman Islands | 0.5 | % | ||
Austria | 0.5 | % | ||
Hong Kong | 0.3 | % | ||
|
| |||
Total Long-Term Investments | 105.6 | % | ||
Other Assets and Liabilities | (5.6 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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Table of Contents
MassMutual Premier International Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier International Equity Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), and the MSCI ACWI ex-U.S.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Ten Year Average Annual 10/1/04 - 9/30/14 | |||||||||
Class R5 | -0.32% | 9.23% | 8.88% | |||||||||
Service Class | -0.46% | 9.17% | 8.84% | |||||||||
Administrative Class | -0.57% | 9.01% | 8.68% | |||||||||
Class A | -0.77% | 8.75% | 8.41% | |||||||||
Class A (sales load deducted)* | -6.47% | 7.47% | 7.77% | |||||||||
MSCI ACWI ex-U.S. | 4.77% | 6.03% | 7.06% |
Hypothetical Investments in MassMutual Premier International Equity Fund Class I, Class R4, Class R3, and the MSCI ACWI ex-U.S.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class I | -6.98% | |||
Class R4 | -7.25% | |||
Class R3 | -7.32% | |||
MSCI ACWI ex-U.S. | -0.50% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI ACWI ex-U.S. is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
53
Table of Contents
MassMutual Premier Focused International Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Focused International Fund, and who is the Fund’s subadviser?
The Fund seeks long term capital appreciation by normally investing a minimum of 90% of its net assets in equity securities. The Fund may invest in developed and emerging markets; however, the Fund will typically invest in a minimum of 30 issuers organized, headquartered, or having a substantial portion of their assets in or deriving a substantial portion of their revenues from countries appearing in the Morgan Stanley Capital International (MSCI®) Europe, Australasia, Far East (EAFE®) Index. The Fund’s subadviser is Baring International Investment Limited (Baring).
The Board of Trustees of the MassMutual Premier Funds has approved a Plan of Liquidation and Termination pursuant to which it is expected that Premier Focused International Fund will be dissolved. Effective on or about November 14, 2014 (the “Termination Date”), shareholders of the various classes of shares of the Fund will receive proceeds in proportion to the number of shares of such class held by each of them on the Termination Date.
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 0.64%, underperforming the 4.25% return of the MSCI EAFE Index (the “benchmark”), a widely recognized, unmanaged index representative of equity securities in developed markets, excluding the U.S. and Canada.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2014, stock selection in Europe and Japan detracted from the Fund’s performance. From a sector perspective, stock selection in financials, industrials, information technology, and telecommunication services also dragged down the Fund’s results for the year.
Fund holdings that hampered performance included global footwear and apparel company Adidas, which faced challenges from weakening foreign exchange rates in some of its markets coupled with market share loss in Europe and the United States. Gold producer Yamana Gold’s earnings suffered in the wake of generally falling gold prices and a weakening outlook for the commodity. At the same time, the company acquired, in conjunction with Agnico Eagle, Osisko Mining. The stock went down when the deal was initially viewed unfavorably by investors, but ultimately recovered. Sumitomo Mitsui Trust was another Fund holding that detracted from performance, as the company continued to see lending margins contract as a result of the low interest rate environment in Japan.
On the positive side, the Fund’s strong stock selection in the U.K. contributed somewhat to returns. Fund holding pharmaceutical company Shire performed well, as it was the subject of a takeover bid by AbbVie. Fund holding Hitachi Metals also helped to drive the Fund’s results, as the company continued to deliver improvements to overall profitability, and announced a major U.S. acquisition as part of the acceleration of its growth strategy. Finally, the Fund’s position in Mitsubishi Electric contributed to performance, due to the very strong customer demand in the company’s factory automation, automotive, and power semiconductor division.
Subadviser outlook
Our view is that there is evidence that developed equity markets are being driven primarily by earnings growth, and equities are unlikely to rise forever without earnings growth to support the higher prices. On the economic front, we have been correct in expecting a continued weak growth environment. The U.S., and to some extent, the U.K., have been among the few areas throughout the world to have seen recent economic growth. In this environment of weaker global growth, we believe growth companies – i.e., those that may be able to deliver earnings growth despite market conditions – are likely to perform best. Consequently, the Fund continues to seek to invest in such businesses.
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MassMutual Premier Focused International Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Focused International Fund Largest Holdings (% of Net Assets) on 9/30/14 | ||||
WPP PLC | 3.1 | % | ||
Total SA | 3.0 | % | ||
AstraZeneca PLC | 3.0 | % | ||
Roche Holding AG | 2.9 | % | ||
Toyota Motor Corp. | 2.8 | % | ||
Actelion Ltd. | 2.7 | % | ||
AXA SA | 2.6 | % | ||
BT Group PLC | 2.4 | % | ||
Reckitt Benckiser Group PLC | 2.3 | % | ||
Mitsubishi Electric Corp. | 2.3 | % | ||
|
| |||
27.1 | % | |||
|
|
MassMutual Premier Focused International Fund Country Weightings (% of Net Assets) on 9/30/14 | ||||
Japan | 26.6 | % | ||
United Kingdom | 25.4 | % | ||
Switzerland | 12.5 | % | ||
Germany | 12.2 | % | ||
France | 8.9 | % | ||
Netherlands | 5.9 | % | ||
United States | 3.5 | % | ||
Channel Islands | 2.6 | % | ||
Singapore | 1.9 | % | ||
Australia | 1.8 | % | ||
Hong Kong | 1.7 | % | ||
Taiwan | 1.2 | % | ||
Luxembourg | 1.0 | % | ||
Canada | 0.8 | % | ||
Republic of Korea | 0.7 | % | ||
|
| |||
Total Long-Term Investments | 106.7 | % | ||
Other Assets and Liabilities | (6.7 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
55
Table of Contents
MassMutual Premier Focused International Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Focused International Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the MSCI EAFE Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Since Inception Average Annual 12/1/05 - 9/30/14 | |||||||||
Class R5 | 0.64% | 4.27% | 4.20% | |||||||||
Service Class | 0.42% | 4.16% | 4.10% | |||||||||
Administrative Class | 0.35% | 4.03% | 3.96% | |||||||||
Class A | 0.13% | 3.78% | 3.71% | |||||||||
Class A (sales load deducted)* | -5.63% | 2.56% | 3.02% | |||||||||
Class R3 | -0.12% | 3.38% | 3.35% | |||||||||
MSCI EAFE Index | 4.25% | 6.56% | 4.50% |
Hypothetical Investments in MassMutual Premier Focused International Fund Class I and the MSCI EAFE Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Since Inception Average Annual 12/3/10 - 9/30/14 | ||||||
Class I | 0.65% | 3.36% | ||||||
MSCI EAFE Index | 4.25% | 7.06% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI EAFE Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
56
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MassMutual Premier Focused International Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Focused International Fund Class R4 and the MSCI EAFE Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class R4 | -1.91% | |||
MSCI EAFE Index | -2.03% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI EAFE Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
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MassMutual Premier Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Premier Strategic Emerging Markets Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth by investing mainly in common stocks of issuers in developing and emerging markets throughout the world and at times, up to 100% of its total assets in foreign securities. Under normal market conditions, the Fund will invest at least 80% of its net assets 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. In general, countries may be considered developing or emerging markets if they are included in any one of the Morgan Stanley Capital Index (“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 OFI Global Institutional, Inc. (OFI Global).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 4.88%, outperforming the 4.30% return of the MSCI Emerging Markets (“EM”) Index (the “benchmark”), an unmanaged market capitalization-weighted index of equity securities of companies domiciled in various countries. The Index is designed to represent the performance of emerging stock markets throughout the world and excludes certain market segments unavailable to U.S.-based investors.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2014, the Fund’s investments in financials, information technology, and materials stocks benefited overall performance relative to the benchmark, due primarily to stronger relative stock selection. Conversely, the Fund’s investments in energy, consumer staples, and utilities stocks worked against relative performance.
Fund holdings that were top contributors included information technology stocks Baidu (China), Tencent Holdings (China), and Naver (South Korea) – and financials stocks Housing Development Finance Corporation (“HDFC”) (India) and ICICI Bank (India). Baidu, the leading Internet search provider in China, continued to perform well over the first half of the year as concerns about monetizing mobile faded. Tencent Holdings, a Chinese Internet social networking company, has an online community nearly the size of Facebook’s. Shares of Tencent gained significantly overall as mobile adoption of its services, particularly its message service, continued to run ahead of expectations. Naver is a Korean Internet services company that was created when NHN Corporation spun off its entertainment division (NHN Entertainment) and renamed its remaining Internet search engine Naver. The company performed well during the period and has benefited from an increasing number of subscribers. HDFC is the leading provider of housing loans in India. HDFC is a public company with no state ownership and, during the period, the stock benefited from increasingly positive investor sentiment towards India. ICICI Bank is a bank in India that has performed well in 2014, which has also benefited from improved investor sentiment toward India.
Conversely, Fund holdings that detracted from performance included Prada (consumer discretionary, Italy), NovaTek (energy, Russia), Yandex (information technology, Russia), Tullow Oil (energy, United Kingdom), and Cencosud (consumer staples, Chile). Prada is a global luxury goods company that primarily operates under the Prada and Miu Miu brands, which have dominant positions in apparel, handbags, and footwear. Investors were disappointed by the company’s recent results, which were impacted by weak cyclical demand and one-off operational issues. NovaTek is a Russian natural gas exploration and production company and Yandex is the leading Internet search engine in Russia. The stocks of both companies declined due to negative investor sentiment on Russian shares caused by political tension over Ukraine. Tullow Oil is an Irish company listed in the U.K. that operates entirely in Africa and Latin America. The company, which focuses on exploration, had a few recent exploration glitches, but overall, has an above-average record of success. Shares of Cencosud, one of Latin America’s largest retailers that operates supermarkets throughout the region, were negatively impacted partly due to general weakness in Chilean stocks.
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MassMutual Premier Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
While there are many issues that contributed to the slowdown in emerging markets – weak demand for commodities, stagnation in global trade, and cyclical downturns in individual economies – we believe the structural growth story for the region remains intact. In our view, that structural growth is driven by many factors, including the growing middle class, demographics, education, urbanization, advances in technology, and political and economic reform.
We believe that the controversies surrounding slower growth have unearthed some interesting opportunities. The past few months have once again reinforced our view that investors should remain focused on investing in companies, not countries. We are active managers that seek high-quality, attractively valued companies for the Fund, regardless of the prevailing macro-economic environment.
MassMutual Premier | ||||
Baidu, Inc. Sponsored ADR (Cayman Islands) | 5.1 | % | ||
Housing Development Finance Corp. | 2.5 | % | ||
Magnit OJSC | 2.4 | % | ||
Petroleo Brasileiro SA Sponsored ADR (Brazil) | 2.3 | % | ||
Infosys Technologies Ltd. | 2.3 | % | ||
NovaTek OAO | 2.1 | % | ||
Yandex NV | 2.0 | % | ||
Glencore PLC | 1.9 | % | ||
ICICI Bank Ltd. Sponsored ADR (India) | 1.9 | % | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1.8 | % | ||
|
| |||
24.3 | % | |||
|
|
MassMutual Premier | ||||
India | 13.4 | % | ||
Brazil | 12.0 | % | ||
Cayman Islands | 12.0 | % | ||
Mexico | 6.2 | % | ||
United Kingdom | 5.9 | % | ||
United States | 5.1 | % | ||
Russia | 4.9 | % | ||
Hong Kong | 4.5 | % | ||
Colombia | 3.1 | % | ||
China | 3.0 | % | ||
Turkey | 2.7 | % | ||
Indonesia | 2.5 | % | ||
France | 2.5 | % | ||
Philippines | 2.1 | % | ||
Netherlands | 2.0 | % | ||
Taiwan | 1.8 | % | ||
Italy | 1.6 | % | ||
South Africa | 1.5 | % | ||
Luxembourg | 1.4 | % | ||
Denmark | 1.2 | % | ||
Malaysia | 1.2 | % | ||
Switzerland | 1.2 | % | ||
Thailand | 1.0 | % | ||
United Arab Emirates | 1.0 | % | ||
Nigeria | 1.0 | % | ||
Bermuda | 0.9 | % | ||
Chile | 0.9 | % | ||
Republic of Korea | 0.8 | % | ||
Egypt | 0.7 | % | ||
Channel Islands | 0.5 | % | ||
|
| |||
Total Long-Term Investments | 98.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.4 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
59
Table of Contents
MassMutual Premier Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Strategic Emerging Markets Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), and the MSCI Emerging Markets Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Five Year Average Annual 10/1/09 - 9/30/14 | Since Inception Average Annual 11/3/08 - 9/30/14 | |||||||||
Class R5 | 4.88% | 2.05% | 10.90% | |||||||||
Service Class | 4.75% | 1.95% | 10.80% | |||||||||
Administrative Class | 4.61% | 1.81% | 10.64% | |||||||||
Class A | 4.36% | 1.54% | 10.35% | |||||||||
Class A (sales load deducted)* | -1.64% | 0.34% | 9.25% | |||||||||
MSCI Emerging Markets Index | 4.30% | 4.42% | 12.78% |
Hypothetical Investments in MassMutual Premier Strategic Emerging Markets Fund Class I and the MSCI Emerging Markets Index.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Since Inception Average Annual 3/1/11 - 9/30/14 | ||||||
Class I | 5.01% | -2.08% | ||||||
MSCI Emerging Markets Index | 4.30% | -0.05% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI Emerging Markets Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
60
Table of Contents
MassMutual Premier Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Strategic Emerging Markets Fund Class R4, Class R3, and the MSCI Emerging Markets Index.
TOTAL RETURN | Since Inception 4/1/14 - 9/30/14 | |||
Class R4 | 3.52% | |||
Class R3 | 3.35% | |||
MSCI Emerging Markets Index | 2.87% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI Emerging Markets Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
61
Table of Contents
MassMutual Premier Money Market Fund – Portfolio of Investments
September 30, 2014
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 102.1% | ||||||||
Commercial Paper — 75.4% | ||||||||
ABB Treasury Center USA, Inc. (a) | $ | 11,000,000 | $ | 10,999,615 | ||||
Abbot Laboratories (a) | 10,000,000 | 9,998,889 | ||||||
Abbot Laboratories (a) | 1,600,000 | 1,599,819 | ||||||
Air Products & Chemicals, Inc. (a) | 4,530,000 | 4,529,824 | ||||||
American Honda Finance Corp. | 2,000,000 | 1,999,949 | ||||||
Anheuser-Busch InBev Worldwide, Inc. (a) | 11,000,000 | 10,998,319 | ||||||
Baker Hughes, Inc. (a) | 12,000,000 | 12,000,000 | ||||||
Bank of Nova Scotia FRN | 10,000,000 | 10,000,573 | ||||||
Basin Electric Power Cooperative (a) | 6,000,000 | 5,999,090 | ||||||
Basin Electric Power Cooperative (a) | 3,000,000 | 2,999,125 | ||||||
Basin Electric Power Cooperative (a) | 2,000,000 | 1,999,644 | ||||||
Berkshire Hathaway, Inc. | 10,000,000 | 10,107,576 | ||||||
BMW US Capital LLC (a) | 2,465,000 | 2,464,904 | ||||||
BMW US Capital LLC (a) | 3,376,000 | 3,375,660 | ||||||
BMW US Capital LLC (a) | 5,000,000 | 4,998,747 | ||||||
Brown-Forman Corp. (a) | 12,000,000 | 11,999,523 | ||||||
Cargill Global Funding PLC (a) | 12,000,000 | 11,999,880 | ||||||
CDP Financial, Inc. (a) | 11,000,000 | 10,998,763 | ||||||
Coca-Cola Co. (a) | 10,000,000 | 9,998,631 | ||||||
Commonwealth Bank of Australia (a) | 5,000,000 | 5,000,094 | ||||||
Commonwealth Bank of Australia (a) | 5,000,000 | 4,999,764 | ||||||
ConocoPhillips Qatar Funding Ltd. (a) | 2,000,000 | 1,999,995 | ||||||
ConocoPhillips Qatar Funding Ltd. (a) | 3,900,000 | 3,899,578 | ||||||
ConocoPhillips Qatar Funding Ltd. (a) | 2,700,000 | 2,699,659 |
Principal Amount | Value | |||||||
ConocoPhillips Qatar Funding Ltd. (a) | $ | 2,400,000 | $ | 2,399,679 | ||||
E.I. Dupont (a) | 10,000,000 | 9,999,650 | ||||||
Eli Lilly & Co. (a) | 12,000,000 | 11,999,920 | ||||||
Emerson Electric Co. (a) | 7,500,000 | 7,499,563 | ||||||
Export-Import Bank of Korea | 11,000,000 | 10,996,590 | ||||||
Honeywell International, Inc. (a) | 7,500,000 | 7,498,281 | ||||||
Honeywell International, Inc. (a) | 3,000,000 | 2,999,388 | ||||||
Illinois Tool Works, Inc. (a) | 10,400,000 | 10,400,000 | ||||||
John Deere Capital Corp. (a) | 4,925,000 | 4,924,808 | ||||||
National Rural Utilities Cooperative Finance Corp. | 3,500,000 | 3,499,776 | ||||||
Nestle Capital Corp. (a) | 10,500,000 | 10,494,502 | ||||||
Nestle Capital Corp. (a) | 500,000 | 499,998 | ||||||
NSTAR Electric Co. | 12,000,000 | 11,999,907 | ||||||
Paccar Financial Corp. | 4,100,000 | 4,098,958 | ||||||
Precision Castparts Corp. (a) | 10,500,000 | 10,498,600 | ||||||
Proctor & Gamble Co. (a) | 10,000,000 | 9,994,833 | ||||||
Reckitt Benckiser Treasury Services PLC (a) | 7,000,000 | 6,996,597 | ||||||
Reckitt Benckiser Treasury Services PLC (a) | 1,250,000 | 1,249,494 | ||||||
Roche Holding, Inc. (a) | 4,000,000 | 3,999,093 | ||||||
Rockwell Automation, Inc. (a) | 12,000,000 | 11,999,640 | ||||||
Toyota Motor Credit Corp. | 10,500,000 | 10,499,810 | ||||||
Union Bank NA | 10,500,000 | 10,497,533 | ||||||
United Healthcare Co. (a) | 10,000,000 | 9,999,906 | ||||||
United Healthcare Co. (a) | 2,000,000 | 1,999,922 |
The accompanying notes are an integral part of the financial statements.
62
Table of Contents
MassMutual Premier Money Market Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Westpac Securities New Zealand Ltd. (a) | $ | 11,000,000 | $ | 10,998,075 | ||||
Wisconsin Gas Co. | 12,000,000 | 11,999,800 | ||||||
|
| |||||||
357,711,944 | ||||||||
|
| |||||||
Corporate Debt — 7.4% | ||||||||
American Honda Finance Corp. FRN (a) | 5,400,000 | 5,400,908 | ||||||
American Honda Finance Corp. FRN (a) | 3,000,000 | 3,000,643 | ||||||
Caterpillar Financial Services Corp. FRN | 950,000 | 950,207 | ||||||
Cisco Systems, Inc. | 1,000,000 | 1,003,491 | ||||||
General Electric Capital Corp. FRN | 2,720,000 | 2,723,131 | ||||||
International Business Machines Corp. | 3,410,000 | 3,414,365 | ||||||
National Rural Utilities Cooperative Finance Corp. FRN | 8,500,000 | 8,501,840 | ||||||
Walt Disney Co., The | 10,000,000 | 10,012,200 | ||||||
|
| |||||||
35,006,785 | ||||||||
|
| |||||||
Discount Notes — 12.9% | ||||||||
Federal Farm Credit Discount Notes 0.065% 12/19/14 | 13,000,000 | 12,998,146 | ||||||
Federal Farm Credit Discount Notes 0.080% 3/12/15 | 500,000 | 499,820 | ||||||
Federal Farm Credit Discount Notes 0.115% 5/05/15 | 790,000 | 789,455 | ||||||
Federal Farm Credit Discount Notes 0.120% 11/21/14 | 4,000,000 | 3,999,320 | ||||||
Federal Home Loan Bank Discount Notes | 482,000 | 481,878 | ||||||
Federal Home Loan Bank Discount Notes | 1,460,000 | 1,460,000 | ||||||
Federal Home Loan Bank Discount Notes | 890,000 | 889,997 | ||||||
Federal Home Loan Bank Discount Notes | 700,000 | 699,841 |
Principal Amount | Value | |||||||
Federal Home Loan Bank Discount Notes | $ | 5,000,000 | $ | 4,999,910 | ||||
Federal Home Loan Bank Discount Notes | 2,000,000 | 1,999,854 | ||||||
Federal Home Loan Bank Discount Notes | 710,000 | 710,000 | ||||||
Federal Home Loan Bank Discount Notes | 5,679,000 | 5,678,375 | ||||||
Federal Home Loan Bank Discount Notes | 900,000 | 899,850 | ||||||
Federal Home Loan Bank Discount Notes | 2,000,000 | 1,999,261 | ||||||
Federal Home Loan Mortgage Corp. 0.035% 1/21/15 | 340,000 | 339,963 | ||||||
Federal Home Loan Mortgage Corp. 0.045% 2/09/15 | 500,000 | 499,918 | ||||||
Federal Home Loan Mortgage Corp. 0.045% 2/24/15 | 860,000 | 859,843 | ||||||
Federal Home Loan Mortgage Corp. 0.070% 1/20/15 | 600,000 | 599,871 | ||||||
Federal Home Loan Mortgage Corp. 0.070% 2/24/15 | 700,000 | 699,801 | ||||||
Federal Home Loan Mortgage Corp. 0.075% 10/24/14 | 1,000,000 | 999,952 | ||||||
Federal Home Loan Mortgage Corp. 0.085% 10/16/14 | 500,000 | 499,982 | ||||||
Federal Home Loan Mortgage Corp. 0.085% 1/08/15 | 1,000,000 | 999,766 | ||||||
Federal Home Loan Mortgage Corp. 0.090% 1/08/15 | 900,000 | 899,777 | ||||||
Federal Home Loan Mortgage Corp. 0.090% 1/13/15 | 600,000 | 599,844 | ||||||
Federal Home Loan Mortgage Corp. 0.094% 2/02/15 | 4,000,000 | 3,998,705 | ||||||
Federal Home Loan Mortgage Corp. 0.095% 1/08/15 | 300,000 | 299,922 | ||||||
Federal Home Loan Mortgage Corp. 0.095% 1/14/15 | 900,000 | 899,751 | ||||||
Federal Home Loan Mortgage Corp. 0.115% 2/24/15 | 600,000 | 599,720 | ||||||
Federal National Mortgage Association | 400,000 | 399,945 | ||||||
Federal National Mortgage Association | 1,350,000 | 1,349,751 | ||||||
Federal National Mortgage Association | 1,300,000 | 1,299,792 |
The accompanying notes are an integral part of the financial statements.
63
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MassMutual Premier Money Market Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Federal National Mortgage Association | $ | 800,000 | $ | 799,802 | ||||
Federal National Mortgage Association | 1,000,000 | 999,927 | ||||||
Federal National Mortgage Association | 1,165,000 | 1,164,891 | ||||||
Federal National Mortgage Association | 500,000 | 499,829 | ||||||
Federal National Mortgage Association | 650,000 | 649,949 | ||||||
Federal National Mortgage Association | 289,000 | 288,933 | ||||||
Federal National Mortgage Association | 2,330,000 | 2,329,441 | ||||||
Federal National Mortgage Association | 516,000 | 515,831 | ||||||
Federal National Mortgage Association | 300,000 | 299,925 | ||||||
|
| |||||||
61,500,538 | ||||||||
|
| |||||||
Time Deposits — 0.1% | ||||||||
Euro Time Deposit | 483,703 | 483,703 | ||||||
|
| |||||||
U.S. Treasury Bonds & Notes — 6.3% | ||||||||
U.S. Treasury Note | 5,000,000 | 5,001,474 | ||||||
U.S. Treasury Note | 25,000,000 | 25,013,592 | ||||||
|
| |||||||
30,015,066 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $484,718,036) | 484,718,036 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.1% (Cost $484,718,036) (b) | 484,718,036 | |||||||
Other Assets/(Liabilities) — (2.1)% | (10,197,830 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 474,520,206 | ||||||
|
|
Notes to Portfolio of Investments
FRN | Floating Rate Note |
(a) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, these securities amounted to a value of $280,413,023 or 59.09% of net assets. |
(b) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
64
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments
September 30, 2014
Principal Amount | Value | |||||||
BONDS & NOTES — 74.4% | ||||||||
CORPORATE DEBT — 39.4% | ||||||||
Aerospace & Defense — 0.1% | ||||||||
Exelis, Inc. | $ | 740,000 | $ | 778,614 | ||||
|
| |||||||
Agriculture — 0.9% | ||||||||
Bunge Ltd. Finance Corp. | 4,895,000 | 5,069,844 | ||||||
|
| |||||||
Airlines — 0.0% | ||||||||
American Airlines Pass Equipment Through Trust, Series 2014-1, Class B | 115,000 | 116,437 | ||||||
|
| |||||||
Auto Manufacturers — 0.5% | ||||||||
General Motors Co. | 595,000 | 604,669 | ||||||
Hyundai Capital America (a) | 485,000 | 488,816 | ||||||
Volvo Treasury AB (a) | 1,475,000 | 1,513,158 | ||||||
|
| |||||||
2,606,643 | ||||||||
|
| |||||||
Automotive & Parts — 0.1% | ||||||||
Lear Corp. | 797,000 | 840,835 | ||||||
|
| |||||||
Banks — 2.7% | ||||||||
Bank of America Corp. | 4,000,000 | 4,234,280 | ||||||
Deutsche Bank AG | 625,000 | 624,758 | ||||||
Deutsche Bank AG | 990,000 | 995,218 | ||||||
First Horizon National Corp. | 1,738,000 | 1,821,563 | ||||||
ICICI Bank Ltd. (a) | 4,130,000 | 4,212,765 | ||||||
Regions Financial Corp. | 209,000 | 215,661 | ||||||
Regions Financial Corp. | 340,000 | 396,398 | ||||||
Regions Financial Corp. | 2,135,000 | 2,150,357 | ||||||
Skandinaviska Enskilda Banken AB (a) | 305,000 | 305,012 | ||||||
SVB Financial Group | 225,000 | 251,695 | ||||||
|
| |||||||
15,207,707 | ||||||||
|
| |||||||
Beverages — 1.1% | ||||||||
Constellation Brands, Inc. | 1,385,000 | 1,401,620 |
Principal Amount | Value | |||||||
SABMiller Holdings, Inc. (a) | $ | 5,000,000 | $ | 5,019,615 | ||||
|
| |||||||
6,421,235 | ||||||||
|
| |||||||
Building Materials — 0.9% | ||||||||
Lafarge SA (a) | 1,100,000 | 1,137,070 | ||||||
Lafarge SA | 550,000 | 589,875 | ||||||
Martin Marietta Materials, Inc. FRN (a) | 585,000 | 587,521 | ||||||
Masco Corp. | 1,090,000 | 1,115,888 | ||||||
Owens Corning, Inc. | 1,815,000 | 1,999,489 | ||||||
|
| |||||||
5,429,843 | ||||||||
|
| |||||||
Chemicals — 1.5% | ||||||||
Ashland, Inc. | 1,806,000 | 1,806,000 | ||||||
Cabot Corp. | 875,000 | 935,834 | ||||||
Incitec Pivot Ltd. (a) | 2,950,000 | 3,042,781 | ||||||
LyondellBasell Industries NV | 450,000 | 496,753 | ||||||
NOVA Chemicals Corp. | 425,000 | 444,125 | ||||||
RPM International, Inc. | 850,000 | 970,437 | ||||||
Yara International ASA (a) | 995,000 | 1,004,236 | ||||||
|
| |||||||
8,700,166 | ||||||||
|
| |||||||
Commercial Services — 1.3% | ||||||||
The ADT Corp. | 780,000 | 760,500 | ||||||
Brambles USA, Inc. (a) | 660,000 | 670,278 | ||||||
Donnelley (R.R.) & Sons Co. | 109,000 | 111,452 | ||||||
Equifax, Inc. | 2,280,000 | 2,283,345 | ||||||
The Western Union Co. | 3,050,000 | 3,325,592 | ||||||
|
| |||||||
7,151,167 | ||||||||
|
| |||||||
Computers — 0.2% | ||||||||
Hewlett-Packard Co. | 370,000 | 375,158 | ||||||
Hewlett-Packard Co. | 675,000 | 686,314 |
The accompanying notes are an integral part of the financial statements.
65
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Hewlett-Packard Co. | $ | 95,000 | $ | 98,318 | ||||
|
| |||||||
1,159,790 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.3% | ||||||||
Avon Products, Inc. | 1,800,000 | 1,937,061 | ||||||
|
| |||||||
Distribution & Wholesale — 0.2% | ||||||||
Arrow Electronics, Inc. | 295,000 | 302,357 | ||||||
Arrow Electronics, Inc. | 935,000 | 959,070 | ||||||
|
| |||||||
1,261,427 | ||||||||
|
| |||||||
Diversified Financial — 8.2% | ||||||||
AerCap Ireland Capital Ltd. (a) | 2,050,000 | 1,988,500 | ||||||
Air Lease Corp. | 850,000 | 843,625 | ||||||
Air Lease Corp. | 1,075,000 | 1,088,437 | ||||||
Air Lease Corp. | 190,000 | 204,963 | ||||||
Capital One Bank USA NA | 500,000 | 499,889 | ||||||
Citigroup, Inc. | 143,000 | 143,266 | ||||||
Citigroup, Inc. | 7,000,000 | 7,588,161 | ||||||
ERAC USA Finance LLC (a) | 1,000,000 | 1,057,462 | ||||||
Ford Motor Credit Co. LLC | 835,000 | 843,024 | ||||||
Ford Motor Credit Co. LLC | 580,000 | 621,012 | ||||||
General Motors Financial Co., Inc. | 540,000 | 542,450 | ||||||
General Motors Financial Co., Inc. | 400,000 | 403,000 | ||||||
General Motors Financial Co., Inc. | 700,000 | 707,000 | ||||||
The Goldman Sachs Group, Inc. | 655,000 | 660,303 | ||||||
Hyundai Capital America (a) | 2,315,000 | 2,403,151 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 2,730,000 | 2,702,700 | ||||||
International Lease Finance Corp. FRN | 1,800,000 | 1,782,000 | ||||||
International Lease Finance Corp. | 270,000 | 267,975 |
Principal Amount | Value | |||||||
International Lease Finance Corp. | $ | 2,208,000 | $ | 2,307,360 | ||||
Janus Capital Group, Inc. | 2,532,000 | 2,833,673 | ||||||
JP Morgan Chase & Co. | 2,365,000 | 2,449,267 | ||||||
Lazard Group LLC | 580,000 | 653,494 | ||||||
Merrill Lynch & Co., Inc. | 3,100,000 | 3,399,035 | ||||||
Merrill Lynch & Co., Inc. | 2,025,000 | 2,174,269 | ||||||
Morgan Stanley | 2,500,000 | 2,604,800 | ||||||
Morgan Stanley | 4,500,000 | 4,835,749 | ||||||
Morgan Stanley | 950,000 | 979,272 | ||||||
|
| |||||||
46,583,837 | ||||||||
|
| |||||||
Electric — 1.6% | ||||||||
IPALCO Enterprises, Inc. | 900,000 | 948,375 | ||||||
IPALCO Enterprises, Inc. (a) | 6,985,000 | 7,456,488 | ||||||
Kansas Gas & Electric Co. | 304,813 | 323,032 | ||||||
Tenaska Oklahoma I LP (a) | 14,389 | 14,400 | ||||||
Tri-State Generation & Transmission Association, Series 2003, Class A (a) | 246,043 | 261,519 | ||||||
|
| |||||||
9,003,814 | ||||||||
|
| |||||||
Electronics — 0.4% | ||||||||
Amphenol Corp. | 620,000 | 624,027 | ||||||
Avnet, Inc. | 595,000 | 655,348 | ||||||
Jabil Circuit, Inc. | 410,000 | 451,000 | ||||||
Jabil Circuit, Inc. | 255,000 | 296,438 | ||||||
|
| |||||||
2,026,813 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
BAA Funding Ltd. (a) | 465,000 | 470,811 | ||||||
|
| |||||||
Foods — 0.3% | ||||||||
Tyson Foods, Inc. | 180,000 | 180,337 | ||||||
Tyson Foods, Inc. | 1,360,000 | 1,471,507 | ||||||
|
| |||||||
1,651,844 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
66
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Forest Products & Paper — 0.4% | ||||||||
Domtar Corp. | $ | 750,000 | $ | 784,810 | ||||
Domtar Corp. | 1,159,000 | 1,402,144 | ||||||
|
| |||||||
2,186,954 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.1% | ||||||||
Kennametal, Inc. | 350,000 | 350,459 | ||||||
|
| |||||||
Health Care – Products — 0.1% | ||||||||
Hospira, Inc. | 400,000 | 430,714 | ||||||
|
| |||||||
Health Care – Services — 0.2% | ||||||||
WellPoint, Inc. | 1,055,000 | 1,053,844 | ||||||
|
| |||||||
Holding Company – Diversified — 0.3% | ||||||||
Leucadia National Corp. | 1,700,000 | 1,809,225 | ||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Rubbermaid, Inc. | 300,000 | 302,855 | ||||||
|
| |||||||
Insurance — 0.1% | ||||||||
AXIS Specialty Finance PLC | 265,000 | 265,875 | ||||||
Willis Group Holdings PLC | 180,000 | 186,961 | ||||||
|
| |||||||
452,836 | ||||||||
|
| |||||||
Internet — 0.3% | ||||||||
Baidu, Inc. | 500,000 | 503,025 | ||||||
Baidu, Inc. | 200,000 | 198,594 | ||||||
Expedia, Inc. | 1,015,000 | 1,187,042 | ||||||
|
| |||||||
1,888,661 | ||||||||
|
| |||||||
Investment Companies — 0.4% | ||||||||
FS Investment Corp. | 1,040,000 | 1,038,969 | ||||||
Xstrata Finance Canada Ltd. (a) | 500,000 | 505,589 | ||||||
Xstrata Finance Canada Ltd. (a) | 550,000 | 551,221 | ||||||
|
| |||||||
2,095,779 | ||||||||
|
| |||||||
Iron & Steel — 0.7% | ||||||||
ArcelorMittal | 1,500,000 | 1,505,625 | ||||||
ArcelorMittal | 75,000 | 77,618 | ||||||
ArcelorMittal | 1,290,000 | 1,325,475 |
Principal Amount | Value | |||||||
Commercial Metals Co. | $ | 355,000 | $ | 379,850 | ||||
Reliance Steel & Aluminum Co. | 499,000 | 537,299 | ||||||
|
| |||||||
3,825,867 | ||||||||
|
| |||||||
Leisure Time — 0.4% | ||||||||
Harley-Davidson Financial Services, Inc. (a) | 2,300,000 | 2,397,324 | ||||||
|
| |||||||
Lodging — 0.3% | ||||||||
Wyndham Worldwide Corp. | 448,000 | 460,171 | ||||||
Wynn Las Vegas LLC | 975,000 | 1,034,718 | ||||||
|
| |||||||
1,494,889 | ||||||||
|
| |||||||
Machinery – Diversified — 0.6% | ||||||||
CNH Industrial Capital LLC | 300,000 | 295,500 | ||||||
CNH Industrial Capital LLC (a) | 660,000 | 622,050 | ||||||
CNH Industrial Capital LLC | 265,000 | 259,038 | ||||||
CNH Industrial Capital LLC | 450,000 | 452,812 | ||||||
CNH Industrial Capital LLC | 510,000 | 536,775 | ||||||
Roper Industries, Inc. | 1,125,000 | 1,128,952 | ||||||
|
| |||||||
3,295,127 | ||||||||
|
| |||||||
Manufacturing — 1.6% | ||||||||
Bombardier, Inc. (a) | 1,309,000 | 1,328,635 | ||||||
Harsco Corp | 3,248,000 | 3,235,820 | ||||||
Textron, Inc. | 2,700,000 | 2,768,045 | ||||||
Tyco Electronics Group SA | 1,461,000 | 1,663,625 | ||||||
|
| |||||||
8,996,125 | ||||||||
|
| |||||||
Mining — 0.6% | ||||||||
Vale Overseas Ltd. | 3,330,000 | 3,535,561 | ||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 300,000 | 314,529 | ||||||
Pitney Bowes, Inc. | 74,000 | 81,462 | ||||||
|
| |||||||
395,991 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Oil & Gas — 2.1% | ||||||||
Chesapeake Energy Corp. | $ | 1,700,000 | $ | 1,704,250 | ||||
Chesapeake Energy Corp., Convertible | 105,000 | 100,209 | ||||||
Chesapeake Energy Corp., Convertible | 1,065,000 | 1,073,653 | ||||||
Newfield Exploration Co. | 550,000 | 573,375 | ||||||
Petrobras Global Finance BV | 1,265,000 | 1,280,142 | ||||||
Petrobras International Finance Co. | 1,900,000 | 1,911,723 | ||||||
Petroleos Mexicanos (a) | 155,000 | 158,875 | ||||||
Range Resources Corp. | 2,300,000 | 2,420,750 | ||||||
Rowan Cos., Inc. | 170,000 | 183,679 | ||||||
Transocean, Inc. | 2,509,000 | 2,605,519 | ||||||
Transocean, Inc. | 200,000 | 213,181 | ||||||
|
| |||||||
12,225,356 | ||||||||
|
| |||||||
Oil & Gas Services — 0.6% | ||||||||
SESI LLC | 315,000 | 327,600 | ||||||
Superior Energy Services, Inc. | 2,409,000 | 2,661,945 | ||||||
Weatherford International Ltd. | 600,000 | 635,297 | ||||||
|
| |||||||
3,624,842 | ||||||||
|
| |||||||
Pharmaceuticals — 0.7% | ||||||||
AbbVie, Inc. | 500,000 | 498,295 | ||||||
McKesson Corp. | 250,000 | 249,114 | ||||||
McKesson Corp. | 255,000 | 253,140 | ||||||
Mylan, Inc. | 500,000 | 499,940 | ||||||
Mylan, Inc. (a) | 2,200,000 | 2,399,723 | ||||||
|
| |||||||
3,900,212 | ||||||||
|
| |||||||
Pipelines — 0.3% | ||||||||
Boardwalk Pipelines LP | 1,100,000 | 1,190,972 | ||||||
Energy Transfer Partners LP FRN | 575,000 | 538,344 | ||||||
Gulf South Pipeline Co. LP (a) | 275,000 | 278,805 | ||||||
|
| |||||||
2,008,121 | ||||||||
|
|
Principal Amount | Value | |||||||
Real Estate — 0.4% | ||||||||
Regency Centers LP | $ | 2,220,000 | $ | 2,302,187 | ||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 4.3% | ||||||||
American Tower Corp. | 2,430,000 | 2,478,537 | ||||||
ARC Properties Operating Partnership LP/Clark Acquisition LLC (a) | 640,000 | 639,647 | ||||||
ARC Properties Operating Partnership LP/Clark Acquisition LLC (a) | 320,000 | 317,700 | ||||||
Boston Properties LP | 3,000,000 | 3,079,281 | ||||||
DDR Corp. | 2,400,000 | 2,825,143 | ||||||
DDR Corp. | 145,000 | 162,770 | ||||||
Developers Diversified Realty Corp. | 1,995,000 | 2,046,064 | ||||||
Duke Realty LP | 1,494,000 | 1,639,578 | ||||||
Duke Realty LP | 550,000 | 681,561 | ||||||
Federal Realty Investment Trust | 2,100,000 | 2,328,667 | ||||||
HCP, Inc. | 1,450,000 | 1,601,538 | ||||||
Highwoods Realty LP | 710,000 | 779,439 | ||||||
Highwoods Realty LP | 170,000 | 198,370 | ||||||
Realty Income Corp. | 205,000 | 204,906 | ||||||
Realty, Inc. | 1,750,000 | 1,910,471 | ||||||
UDR, Inc. | 1,650,000 | 1,672,267 | ||||||
UDR, Inc. | 1,500,000 | 1,578,833 | ||||||
Ventas Realty LP/Ventas Capital Corp. | 500,000 | 513,433 | ||||||
|
| |||||||
24,658,205 | ||||||||
|
| |||||||
Retail — 0.4% | ||||||||
Best Buy Co., Inc. | 1,450,000 | 1,479,000 | ||||||
Macy’s Retail Holdings, Inc. | 250,000 | 287,845 | ||||||
QVC, Inc. | 445,000 | 446,545 | ||||||
|
| |||||||
2,213,390 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
68
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Savings & Loans — 0.7% | ||||||||
Glencore Funding LLC (a) 1.700% 5/27/16 | $ | 2,638,000 | $ | 2,655,899 | ||||
Glencore Funding LLC (a) | 1,150,000 | 1,150,690 | ||||||
|
| |||||||
3,806,589 | ||||||||
|
| |||||||
Telecommunications — 1.5% | ||||||||
American Tower Corp. | 150,000 | 170,759 | ||||||
CenturyLink, Inc. | 1,910,000 | 1,924,325 | ||||||
Frontier Communications Corp. | 2,310,000 | 2,564,100 | ||||||
Qwest Corp. | 975,000 | 1,077,216 | ||||||
Sprint Communications, Inc. (a) | 1,185,000 | 1,368,675 | ||||||
Telefonica Emisiones SAU | 331,000 | 359,732 | ||||||
Verizon Communications, Inc. (a) | 191,000 | 188,604 | ||||||
Virgin Media Finance PLC | 822,000 | 858,579 | ||||||
|
| |||||||
8,511,990 | ||||||||
|
| |||||||
Transportation — 1.1% | ||||||||
Asciano Finance (a) | 4,285,000 | 4,363,981 | ||||||
Asciano Finance (a) | �� | 388,000 | 418,000 | |||||
Ryder System, Inc. | 1,295,000 | 1,318,981 | ||||||
Ryder System, Inc. | 190,000 | 190,261 | ||||||
|
| |||||||
6,291,223 | ||||||||
|
| |||||||
Trucking & Leasing — 0.6% | ||||||||
GATX Corp. | 105,000 | 109,338 | ||||||
GATX Corp. | 185,000 | 189,632 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 420,000 | 428,540 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 770,000 | 765,658 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 1,910,000 | 2,008,166 | ||||||
|
| |||||||
3,501,334 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $222,520,664) | 223,973,548 | |||||||
|
|
Principal Amount | Value | |||||||
MUNICIPAL OBLIGATIONS — 0.4% | ||||||||
Louisiana State Public Facilities Authority FRN | $ | 430,822 | $ | 435,570 | ||||
North Carolina State Education Assistance Authority FRN | 688,666 | 693,047 | ||||||
State of Illinois | 1,200,000 | 1,292,472 | ||||||
|
| |||||||
2,421,089 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $2,313,516) | 2,421,089 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 25.8% | ||||||||
Automobile ABS — 4.4% | ||||||||
American Credit Acceptance Receivables Trust, Series 2014-2, Class A (a) | 526,896 | 526,386 | ||||||
American Credit Acceptance Receivables Trust, Series 2014-3, Class A (a) | 1,334,239 | 1,333,533 | ||||||
American Credit Acceptance Receivables Trust, Series 2014-1, Class A (a) | 1,060,223 | 1,060,919 | ||||||
American Credit Acceptance Receivables Trust, Series 2012-2, Class A (a) | 41,288 | 41,318 | ||||||
ARI Fleet Lease Trust, Series 2012-A, Class A FRN (a) | 182,913 | 183,059 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-1A, Class A (a) | 800,000 | 806,335 | ||||||
California Republic Auto Receivables Trust, Series 2013-1, Class A2 (a) | 1,432,063 | 1,438,401 | ||||||
Capital Automotive REIT, | 522,984 | 539,568 | ||||||
CarNow Auto Receivables Trust, | 1,200,000 | 1,199,648 | ||||||
CarNow Auto Receivables Trust, | 123,229 | 123,224 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 781,471 | 777,466 | ||||||
CFC LLC, Series 2013-1A, Class A (a) | 138,775 | 139,059 |
The accompanying notes are an integral part of the financial statements.
69
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Chesapeake Funding LLC, Series 2012-1A, Class A FRN (a) | $ | 459,520 | $ | 460,785 | ||||
CPS Auto Receivables Trust, Series 2014-B, Class A (a) | 1,086,297 | 1,082,853 | ||||||
CPS Auto Trust, Series 2014-C, Class A (a) | 1,100,000 | 1,096,771 | ||||||
CPS Auto Trust, Series 2013-D, Class A (a) | 680,677 | 682,131 | ||||||
CPS Auto Trust, Series 2013-C, Class A (a) | 780,770 | 783,559 | ||||||
CPS Auto Trust, Series 2013-B, Class A (a) | 1,232,037 | 1,234,940 | ||||||
CPS Auto Trust, Series 2010-PG5, Class A (a) | 657,243 | 662,487 | ||||||
Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A (a) | 1,100,000 | 1,099,835 | ||||||
Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A (a) | 300,534 | 301,884 | ||||||
Enterprise Fleet Financing LLC, Series 2012-1, Class A2 (a) | 223,736 | 224,015 | ||||||
Exeter Automobile Receivables Trust, Series 2014-2A, Class A (a) | 858,520 | 857,120 | ||||||
Exeter Automobile Receivables Trust, Series 2014-1A, Class A (a) | 510,630 | 511,557 | ||||||
First Investors Auto Owner Trust, Series 2013-3A, Class A3 (a) | 870,000 | 870,511 | ||||||
First Investors Auto Owner Trust, Series 2012-1A, Class A2 (a) | 14,570 | 14,579 | ||||||
Flagship Credit Auto Trust, Series 2013-1, Class A (a) | 325,678 | 326,037 | ||||||
Flagship Credit Auto Trust, Series 2013-2, Class A (a) | 602,743 | 605,660 | ||||||
Hertz Vehicle Financing LLC, Series 2010-1A, Class A2 (a) | 450,000 | 465,403 |
Principal Amount | Value | |||||||
Hertz Vehicle Financing LLC, Series 2009-2A, Class A2 (a) | $ | 300,000 | $ | 303,580 | ||||
Oscar US Funding Trust, Series 2014-1A, Class A2 (a) (b) | 1,000,000 | 999,942 | ||||||
Rental Car Finance Corp., Series 2011-1A, Class A1 (a) | 283,333 | 284,331 | ||||||
Santander Drive Auto Receivables Trust, Series 2012-4, Class C | 760,000 | 776,130 | ||||||
Santander Drive Auto Receivables Trust, Series 2012-3, Class C | 830,000 | 845,872 | ||||||
SNAAC Auto Receivables Trust, Series 2014-1A, Class A (a) | 577,542 | 576,636 | ||||||
Tidewater Auto Receivables Trust, Series 2014-AA, Class A2 (a) | 950,000 | 949,583 | ||||||
United Auto Credit Securitization Trust, Series 2014-1, Class A2 (a) | 1,000,000 | 999,977 | ||||||
Wheels SPV LLC, Series 2012-1, Class A2 (a) | 109,314 | 109,473 | ||||||
|
| |||||||
25,294,567 | ||||||||
|
| |||||||
Commercial MBS — 6.4% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, | 643,753 | 704,569 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, | 500,000 | 550,628 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, | 1,275,000 | 1,431,253 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4B | 875,000 | 903,443 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class A4 | 750,000 | 804,556 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class AM | 500,000 | 536,266 |
The accompanying notes are an integral part of the financial statements.
70
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM VRN | $ | 1,185,000 | $ | 1,264,062 | ||||
Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class AM VRN | 880,000 | 941,414 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4 VRN | 700,000 | 768,509 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 | 625,000 | 687,209 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM VRN | 1,215,000 | 1,344,007 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW12, Class AM VRN | 900,000 | 957,387 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-BBG, Class A FRN (a) | 1,085,000 | 1,084,335 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2 | 845,000 | 874,280 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A1A VRN | 618,435 | 655,102 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class AM VRN | 400,000 | 423,212 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4 VRN | 1,055,000 | 1,164,002 | ||||||
DBRR Trust, Series 2013-EZ3, | 779,769 | 783,789 | ||||||
DBUBS Mortgage Trust, Series 2011-LC3A, Class A1 | 238,426 | 240,156 | ||||||
DBUBS Mortgage Trust, Series 2011-LC2A, Class A2 (a) | 525,000 | 543,212 |
Principal Amount | Value | |||||||
DBUBS Mortgage Trust, Series 2011-LC1A, Class A1 (a) | $ | 854,677 | $ | 882,568 | ||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM VRN | 715,000 | 764,594 | ||||||
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, | 1,085,179 | 1,151,883 | ||||||
GS Mortgage Securities Corp., Series 2014-4R, Class AS | 735,000 | 704,204 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4 | 1,200,000 | 1,277,726 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB14, Class AM VRN | 1,400,000 | 1,469,628 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class AM | 1,360,000 | 1,459,972 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4 | 825,000 | 906,324 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM VRN | 680,000 | 747,876 | ||||||
Morgan Stanley Capital I, Series 2006-IQ12, Class AM | 450,000 | 484,266 | ||||||
Morgan Stanley Capital I, Series 2007-HQ11, Class AM VRN | 885,000 | 952,802 | ||||||
Morgan Stanley Capital I, Series 2007-IQ14, Class A2 | 351,212 | 354,210 | ||||||
Morgan Stanley Capital I, Series 2008-T29, Class A4 VRN | 400,000 | 449,218 | ||||||
Morgan Stanley Capital I Trust, Series 2012-C4, Class A2 | 575,000 | 583,382 | ||||||
STRIPs Ltd., Series 2012-1A, Class A (a) | 343,276 | 339,844 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ VRN | 450,000 | 467,074 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3 VRN | $ | 159,507 | $ | 160,534 | ||||
VFC LLC, Series 2014-2, Class A (Acquired 7/9/14, Cost $600,000) (a) (c) | 474,444 | 474,464 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM VRN 5.499% 12/15/44 | 1,025,000 | 1,069,399 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 1,450,000 | 1,550,283 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, | 1,200,000 | 1,278,072 | ||||||
Wells Fargo Reremic Trust, Series 2012-IO, Class A (a) | 273,071 | 273,194 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C10, Class A2 | 880,000 | 879,657 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A2 (a) | 400,000 | 411,747 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A2 (a) | 475,000 | 489,478 | ||||||
|
| |||||||
36,243,790 | ||||||||
|
| |||||||
Home Equity ABS — 2.3% | ||||||||
ACE Securities Corp., Series 2005-AG1, Class A1B1 FRN | 201,244 | 199,537 | ||||||
ACE Securities Corp., Series 2005-HE7, Class A2D FRN | 335,288 | 330,103 | ||||||
ACE Securities Corp., Series 2005-ASP1, Class A2D FRN | 52,113 | 52,089 | ||||||
Ameriquest Mortgage Securities, Inc., Series 2004-R11, Class A2 FRN | 51,015 | 50,990 | ||||||
Argent Securities, Inc., Series 2005-W2, Class A2B2 FRN | 894,279 | 890,762 | ||||||
Asset-Backed Funding Certificates, Series 2005-WMC1, Class M1 FRN | 218,119 | 216,122 |
Principal Amount | Value | |||||||
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE12, Class M1 FRN | $ | 1,000,000 | $ | 968,588 | ||||
Citigroup Mortgage Loan Trust, Inc., Series 2003-HE4, Class A FRN (a) | 43,757 | 43,670 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-OPT4, Class M2 FRN | 203,105 | 197,580 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-3, Class MV2 FRN | 243,452 | 237,812 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A FRN | 83,223 | 82,667 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2006-RP2, Class A2 FRN (a) | 193,863 | 193,033 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1 FRN | 621,403 | 605,577 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF4, Class M1 FRN | 505,957 | 501,161 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3 FRN | 242,528 | 235,390 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1 FRN | 216,827 | 206,510 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A3 FRN | 200,282 | 197,729 | ||||||
Home Equity Asset Trust, Series 2005-4, Class M2 FRN | 129,486 | 128,868 | ||||||
JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2V2 FRN | 873,008 | 850,195 | ||||||
Lake Country Mortgage Loan Trust, Series 2005-HE1, Class M1 FRN (a) | 242,138 | 240,249 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-3, Class 2A2 FRN | 121 | 121 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2 FRN | 911,039 | 876,766 | ||||||
MASTR Asset-Backed Securities Trust, Series 2005-WMC1, Class M3 FRN | 875,000 | 811,468 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-FF1, Class A2C FRN | $ | 291,699 | $ | 287,531 | ||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M1 FRN (a) | 761,708 | 750,740 | ||||||
Morgan Stanley Capital, Inc., Series 2005-WMC6, Class M2 FRN | 500,953 | 495,920 | ||||||
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6 STEP | 160 | 161 | ||||||
Nomura Home Equity Loan, Inc., Series 2005-FM1, Class M1 FRN | 31,564 | 31,430 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A FRN | 348,651 | 347,415 | ||||||
Park Place Securities, Inc., Series 2005-WCW3, Class A2C FRN | 310,601 | 306,513 | ||||||
Park Place Securities, Inc., Series 2005-WHQ1, Class M2 FRN | 261,332 | 257,488 | ||||||
Residential Asset Mortgage Products, Inc., Series 2005-EFC4, | 417,623 | 410,831 | ||||||
Residential Asset Securities Corp., Series 2005-AHL3, Class A2 FRN 0.395% 11/25/35 | 522,282 | 517,649 | ||||||
Residential Asset Securities Corp., Series 2005-KS12, Class A2 FRN | 2,456 | 2,454 | ||||||
Residential Asset Securities Corp., Series 2005-EMX4, Class M1 FRN | 644,701 | 630,483 | ||||||
Security National Mortgage Loan Trust, Series 2006-3A, Class A1 FRN (a) | 717,322 | 709,812 | ||||||
Specialty Underwriting & Residential Finance, Series 2005-AB1, | 43,380 | 43,362 | ||||||
Structured Asset Investment Loan Trust, Series 2005-7, Class A5 FRN | 199,130 | 198,139 | ||||||
|
| |||||||
13,106,915 | ||||||||
|
|
Principal Amount | Value | |||||||
Other ABS — 9.7% | ||||||||
321 Henderson Receivables I LLC, Series 2010-3A, Class A (a) | $ | 1,119,796 | $ | 1,171,684 | ||||
AIMCO CLO Ltd., Series 2014-AA, Class A FRN (a) | 1,000,000 | 1,001,997 | ||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) | 818,797 | 816,750 | ||||||
ARL First LLC, Series 2012-1A, Class A1 FRN (a) | 405,625 | 411,373 | ||||||
Ascentium Equipment Receivables LLC, Series 2014-1A, Class A2 (a) | 1,520,000 | 1,518,617 | ||||||
Ascentium Equipment Receivables LLC, Series 2014-1A, Class B (a) | 700,000 | 697,773 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (a) | 455,520 | 454,837 | ||||||
Belhurst CLO Ltd., Series 2006-1A, Class B FRN (a) | 1,500,000 | 1,482,138 | ||||||
Birchwood Park CLO Ltd., | 1,010,000 | 1,009,992 | ||||||
Cajun Global LLC, Series 2011-1A, Class A2 (a) | 221,386 | 227,966 | ||||||
Carlyle Global Market Strategies, Series 2014-1A, Class A FRN (a) | 1,520,000 | 1,521,164 | ||||||
CLI Funding LLC, Series 2006-1A, Class A FRN (a) | 974,153 | 971,445 | ||||||
Direct Capital Funding V LLC, Series 2013-2, Class A2 (a) | 975,037 | 975,643 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) | 1,285,113 | 1,353,812 | ||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A1 FRN (a) | 804,313 | 809,485 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A1 FRN (a) | 580,513 | 599,418 | ||||||
Eaton Vance CLO, Series 2014-1A, Class A FRN (a) | 1,275,000 | 1,273,591 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Element Rail Leasing I LLC, Series 2014-1A, Class A (a) | $ | 656,937 | $ | 651,620 | ||||
FRS I LLC, Series 2013-1A, | 337,408 | 334,119 | ||||||
Galaxy VIII CLO Ltd., Series 2007-8A, Class A FRN (a) | 1,127,471 | 1,123,844 | ||||||
Global Container Assets Ltd., Series 2013-1A, Class A1 (a) | 914,002 | 919,500 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A FRN (a) | 1,505,000 | 1,486,136 | ||||||
Hercules Capital Funding Trust, Series 2012-1A, Class A (a) | 172,938 | 173,479 | ||||||
HFG Healthco-4 LLC, Series 2011-1A, Class A FRN (a) | 575,000 | 583,854 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) | 1,063,483 | 1,054,828 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) | 927,589 | 932,556 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Series 2013-T2, Class A2 (a) | 590,000 | 590,420 | ||||||
Horizon Funding Trust, Series 2013-1A, Class A (a) | 359,216 | 360,338 | ||||||
Icon Brand Holdings LLC, Series 2012-1A, Class A (a) | 477,833 | 479,238 | ||||||
Icon Brand Holdings LLC, Series 2013-1A, Class A (a) | 511,456 | 510,238 | ||||||
ING Investment Management CLO Ltd., Series 2013-3A, Class A1 FRN (a) | 790,000 | 789,486 | ||||||
ING Investment Management CLO V Ltd., Series 2007-5A, | 1,726,506 | 1,717,775 | ||||||
LCM Ltd., Series 10AR, | 1,400,000 | 1,399,978 | ||||||
LCM Ltd., Series 16A, Class A FRN (a) | 1,250,000 | 1,250,439 |
Principal Amount | Value | |||||||
LEAF II Receivables Funding LLC, Series 2013-1, Class A2 (a) | $ | 1,466,221 | $ | 1,466,514 | ||||
Madison Park Funding XII Ltd., Series 2014-12A, Class A FRN (a) | 1,250,000 | 1,249,054 | ||||||
Marriott Vacation Club Owner Trust, Series 2009-2A, Class A (a) | 716,603 | 726,226 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, | 1,464,214 | 1,445,611 | ||||||
MVW Owner Trust, Series 2014-2, Class A | 1,400,000 | 1,399,603 | ||||||
MVW Owner Trust, Series 2013-1A, Class A (a) | 862,087 | 865,078 | ||||||
Nations Equipment Finance Funding I LLC, Series 2013-1A, Class A (a) | 451,464 | 451,735 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed, Series 2014-T1, Class A1 (a) | 672,500 | 673,240 | ||||||
New York City Tax Lien, Series 2014-A, Class A (a) | 800,000 | 798,498 | ||||||
New York City Tax Lien, Series 2012-AA, Class A (a) | 84,627 | 84,545 | ||||||
Oak Hill Credit Partners IV Ltd., Series 2005-4A, Class A1B FRN (a) | 272,137 | 272,039 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) | 311,976 | 311,932 | ||||||
PFS Financing Corp., Series 2011-BA, Class A FRN (a) | 750,000 | 749,613 | ||||||
RAAC, Series 2006-RP2, Class A FRN (a) | 795,348 | 786,907 | ||||||
Race Point CLO Ltd., Series 2012-7A, Class A FRN (a) | 550,000 | 549,005 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-2A, Class A (a) | 910,808 | 904,705 | ||||||
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A (a) | 776,881 | 785,339 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (a) | $ | 204,606 | $ | 208,113 | ||||
Sierra Receivables Funding Co. LLC, Series 2011-3A, Class A (a) | 143,474 | 146,873 | ||||||
Sonic Capital LLC, Series 2011-1A, Class A2 (a) | 1,125,700 | 1,199,610 | ||||||
SpringCastle America Funding LLC, Series 2014-AA, Class A (a) (d) | 1,400,000 | 1,399,908 | ||||||
Springleaf Funding Trust, Series 2013-AA, Class A (a) | 650,000 | 654,588 | ||||||
Stanfield Bristol CLO Ltd., Series 2005-1A, Class A2 FRN (a) | 1,515,000 | 1,511,644 | ||||||
SVO VOI Mortgage LLC, Series 2010-AA, Class A (a) | 188,799 | 192,266 | ||||||
TAL Advantage LLC, Series 2006-1A FRN (a) | 601,667 | 596,343 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (a) | 914,919 | 915,795 | ||||||
Trade MAPS 1 Ltd., Series 2013-1A, Class A FRN (a) | 1,275,000 | 1,278,450 | ||||||
Trafigura Securitisation Finance PLC, Series 2012-1A, Class A FRN (a) | 1,040,000 | 1,047,931 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1B FRN (a) | 731,851 | 757,032 | ||||||
Westgate Resorts LLC, Series 2014-1A, Class A (a) | 1,100,000 | 1,095,754 | ||||||
|
| |||||||
55,179,484 | ||||||||
|
| |||||||
Student Loans ABS — 2.7% | ||||||||
Access Group, Inc., Series 2007-A, Class A2 FRN | 94,647 | 94,321 | ||||||
Access Group, Inc., Series 2004-A, Class A2 FRN | 564,134 | 559,994 | ||||||
Access Group, Inc., Series 2003-A, Class A3 FRN | 962,608 | 885,020 | ||||||
CIT Education Loan Trust, | 562,696 | 559,309 |
Principal Amount | Value | |||||||
College Loan Corp. Trust, Series 2007-1, Class B2 FRN | $ | 1,075,000 | $ | 903,000 | ||||
Education Funding Capital Trust I, Series 2004-1, Class A2 FRN | 17,986 | 17,978 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A4 FRN | 650,000 | 648,375 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A6 FRN | 450,000 | 442,620 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN | 150,000 | 141,486 | ||||||
GCO Education Loan Funding Trust, Series 2006-2A, Class A2L FRN (a) | 754,447 | 752,987 | ||||||
Goal Capital Funding Trust, Series 2006-1, Class A3 FRN | 398,592 | 396,910 | ||||||
KeyCorp Student Loan Trust, Series 2004-A, Class 2A2 FRN | 353,635 | 352,423 | ||||||
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4 FRN | 685,000 | 658,450 | ||||||
National Collegiate Student Loan Trust, Series 2005-2, Class A3 FRN | 147,058 | 146,507 | ||||||
National Collegiate Student Loan Trust, Series 2004-1, Class A2 FRN | 1,091,683 | 1,082,585 | ||||||
Nelnet Student Loan Trust, Series 2014-6A, Class A FRN (a) | 1,586,762 | 1,578,298 | ||||||
Nelnet Student Loan Trust, Series 2010-4A, Class A FRN (a) | 246,674 | 248,772 | ||||||
Northstar Education Finance, Inc., Series 2005-1, Class A1 FRN | 66,252 | 65,993 | ||||||
Northstar Education Finance, Inc., Series 2006-A, Class A3 FRN | 156,803 | 156,605 | ||||||
SLC Student Loan Trust, Series 2006-A, Class A5 FRN | 1,558,365 | 1,548,471 | ||||||
SLM Student Loan Trust, Series 2003-10A, Class A1G FRN (a) | 100,000 | 99,969 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2003-10A, Class A1F FRN (a) | $ | 100,000 | $ | 99,969 | ||||
SLM Student Loan Trust, Series 2003-10A, Class A1A FRN (a) | 50,000 | 49,984 | ||||||
SLM Student Loan Trust, Series 2006-10, Class B FRN | 539,310 | 484,390 | ||||||
SLM Student Loan Trust, Series 2003-11, Class B FRN | 696,267 | 654,226 | ||||||
SLM Student Loan Trust, Series 2012-B, Class A1 FRN (a) | 1,137,938 | 1,142,722 | ||||||
SLM Student Loan Trust, Series 2012-A, Class A1 FRN (a) | 339,523 | 343,224 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7 FRN | 100,000 | 97,100 | ||||||
Social Professional Loan Program LLC, Series 2014-A, Class A2 (a) | 1,362,366 | 1,371,504 | ||||||
|
| |||||||
15,583,192 | ||||||||
|
| |||||||
WL Collateral CMO — 0.2% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7 FRN | 148,198 | 144,401 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1 FRN | 36,253 | 35,721 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1 FRN | 9,425 | 8,555 | ||||||
GSR Mortgage Loan Trust, | 28,047 | 26,450 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A FRN | 105,011 | 89,443 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2 FRN | 151,903 | 140,251 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA FRN | 12,692 | 11,780 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA FRN | 6,787 | 6,778 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IIA2 FRN | 252,530 | 257,562 |
Principal Amount | Value | |||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A FRN | $ | 331 | $ | 332 | ||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, | 70,028 | 69,903 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, Class A FRN | 154,317 | 156,261 | ||||||
|
| |||||||
947,437 | ||||||||
|
| |||||||
WL Collateral PAC — 0.1% | ||||||||
Structured Asset Securities Corp., Series 2007-BC4, Class A3 FRN | 285,735 | 282,361 | ||||||
Structured Asset Securities Corp., Series 2002-11A, Class 2A1 FRN | 42,529 | 41,345 | ||||||
|
| |||||||
323,706 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $146,163,929) | 146,679,091 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 5.9% | ||||||||
Collateralized Mortgage Obligations — 5.2% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Series 4291, Class K | 3,045,719 | 3,105,551 | ||||||
Series 3990, Class VA | 1,784,814 | 1,894,509 | ||||||
Series 4290, Class CA | 4,031,424 | 4,200,333 | ||||||
Series 4328, Class DA | 3,248,712 | 3,462,026 | ||||||
Series 4325, Class MA | 3,900,273 | 4,156,251 | ||||||
Series 4336, Class MA | 6,134,947 | 6,537,559 | ||||||
Series 4323, Class CA | 1,776,724 | 1,893,170 | ||||||
Federal National Mortgage Association | ||||||||
Series 2014-14, Class A | 2,195,387 | 2,295,922 | ||||||
Series 2014-48, Class AB | 1,944,436 | 2,069,490 | ||||||
|
| |||||||
29,614,811 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Pass-Through Securities — 0.7% | ||||||||
Federal Home Loan Mortgage Corp. | $ | 879,344 | $ | 942,542 | ||||
Pool #E00856 7.500% | 669 | 681 | ||||||
Federal National Mortgage Association | 144,187 | 153,980 | ||||||
Pool #725692 2.271% | 185,760 | 196,783 | ||||||
Pool #888586 2.341% | 384,804 | 408,740 | ||||||
Pool #684154 5.500% | 11,547 | 12,201 | ||||||
Pool #702331 5.500% | 173,741 | 184,215 | ||||||
Pool #725796 5.500% | 872,979 | 936,443 | ||||||
Pool #844564 5.500% | 184,925 | 199,369 | ||||||
Government National Mortgage Association | 33,798 | 40,161 | ||||||
Government National Mortgage Association II | 461,240 | 477,853 | ||||||
Pool #82462 3.500% | 390,330 | 409,879 | ||||||
|
| |||||||
3,962,847 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $33,527,977) | 33,577,658 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 2.9% | ||||||||
U.S. Treasury Bonds & Notes — 2.9% | ||||||||
U.S. Treasury Note | 1,150,000 | 1,148,686 | ||||||
U.S. Treasury Note (e) (f) | 13,050,000 | 13,001,063 | ||||||
U.S. Treasury Note | 2,550,000 | 2,421,130 | ||||||
|
| |||||||
16,570,879 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,503,969) | 16,570,879 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $421,030,055) | 423,222,265 | |||||||
|
|
Notional Amount | Value | |||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Diversified Financial — 0.1% | ||||||||
3-Month USD LIBOR BBA 10 Year Swaption, Call, Expires 4/25/16, Strike 2.50 (OTC - Credit Suisse International); Underlying swap terminates 4/27/26 | $ | 48,380,000 | $ | 530,738 | ||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $848,888) | 530,738 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $421,878,943) | 423,753,003 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 25.9% | ||||||||
Commercial Paper — 25.9% | ||||||||
Agrium, Inc. | 1,865,000 | 1,863,622 | ||||||
0.350% 12/16/14 | 6,460,000 | 6,455,227 | ||||||
BAT International Finance PLC (a) | 8,000,000 | 7,999,431 | ||||||
Centrica PLC (a) | 1,500,000 | 1,500,000 | ||||||
Daimler Finance North America LLC (a) | 4,000,000 | 3,998,167 | ||||||
Daimler Finance North America LLC (a) | 8,000,000 | 7,978,667 | ||||||
Enbridge, Inc. (a) | 1,340,000 | 1,339,271 | ||||||
ERAC USA Finance LLC (a) | 6,300,000 | 6,295,835 | ||||||
Experian Finance PLC (a) | 2,120,000 | 2,119,028 | ||||||
Glencore Funding LLC (a) | 6,910,000 | 6,910,000 | ||||||
Hewlett-Packard Co. (a) | 1,650,000 | 1,649,555 | ||||||
Holcim US Finance SARL & Cie (a) | 1,000,000 | 999,938 | ||||||
Holcim US Finance Sarl & Cie (a) | 3,500,000 | 3,498,744 | ||||||
Holcim US Finance Sarl & Cie (a) | 5,000,000 | 4,998,120 | ||||||
Holcim US Finance Sarl & Cie (a) | 2,300,000 | 2,298,786 | ||||||
Marriott International, Inc. (a) | 4,745,000 | 4,744,732 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Monsanto Co. (a) | $ | 5,285,000 | $ | 5,277,692 | ||||
Nabors Industries, Inc. (a) | 8,000,000 | 7,994,478 | ||||||
National Grid USA (a) | 10,000,000 | 9,994,750 | ||||||
Noble Corp. (a) | 7,000,000 | 6,997,690 | ||||||
Noble Corp. (a) | 3,500,000 | 3,498,110 | ||||||
Sempra Energy Holdings (a) | 3,000,000 | 2,993,250 | ||||||
Sempra Energy Holdings (a) | 5,000,000 | 4,984,833 | ||||||
Vodafone Group PLC (a) | 3,000,000 | 2,990,208 | ||||||
Vodafone Group PLC (a) | 8,000,000 | 7,976,900 | ||||||
WellPoint, Inc. (a) | 8,000,000 | 8,000,000 | ||||||
WPP CP LLC (a) | 5,300,000 | 5,294,382 | ||||||
WPP CP LLC (a) | 6,700,000 | 6,692,965 | ||||||
Xcel Energy, Inc. (a) | 10,000,000 | 9,989,445 | ||||||
|
| |||||||
147,333,826 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $147,333,826) | 147,333,826 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.4% (Cost $569,212,769) (g) | 571,086,829 | |||||||
Other Assets/(Liabilities) — (0.4)% | (2,374,390 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 568,712,439 | ||||||
|
|
Notes to Portfolio of Investments
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
PAC | Planned Amortization Class |
STEP | Step Up Bond |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, these securities amounted to a value of $282,110,741 or 49.61% of net assets. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2014, these securities amounted to a value of $999,942 or 0.18% of net assets. |
(c) | Restricted security. Certain securities are restricted as to resale. At September 30, 2014, these securities amounted to a value of $474,464 or 0.08% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(d) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(e) | A portion of this security is held as collateral for open futures contracts. (Note 2). |
(f) | All or a portion of this security is held as collateral for open swap agreements. (Note 2). |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
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September 30, 2014
Principal Amount | Value | |||||||
BONDS & NOTES — 146.5% | ||||||||
CORPORATE DEBT — 3.1% | ||||||||
Auto Manufacturers — 0.3% | ||||||||
Nissan Motor Acceptance Corp. FRN (a) | $ | 1,100,000 | $ | 1,103,688 | ||||
|
| |||||||
Banks — 0.9% | ||||||||
Deutsche Bank AG FRN | 1,750,000 | 1,758,596 | ||||||
First Horizon National Corp. | 390,000 | 408,751 | ||||||
The Huntington National Bank FRN | 765,000 | 765,485 | ||||||
|
| |||||||
2,932,832 | ||||||||
|
| |||||||
Computers — 0.2% | ||||||||
Hewlett-Packard Co. | 700,000 | 719,060 | ||||||
|
| |||||||
Diversified Financial — 0.7% | ||||||||
Ford Motor Credit Co. LLC | 700,000 | 749,497 | ||||||
The Goldman Sachs Group, Inc. FRN | 1,625,000 | 1,636,393 | ||||||
|
| |||||||
2,385,890 | ||||||||
|
| |||||||
Oil & Gas — 0.5% | ||||||||
Petrobras Global Finance BV FRN | 970,000 | 980,825 | ||||||
Transocean, Inc. | 675,000 | 700,967 | ||||||
|
| |||||||
1,681,792 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.3% | ||||||||
DDR Corp. | 945,000 | 1,060,814 | ||||||
|
| |||||||
Telecommunications — 0.2% | ||||||||
GTP Acquisition Partners I LLC (a) | 430,000 | 439,167 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $6,815,826) | 10,323,243 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.1% | ||||||||
Educational Funding of the South, Inc. FRN | 92,762 | 92,709 | ||||||
Louisiana State Public Facilities Authority FRN | 292,959 | 296,188 | ||||||
|
| |||||||
388,897 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $385,721) | 388,897 | |||||||
|
|
Principal Amount | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 37.5% | ||||||||
Automobile ABS — 11.5% | ||||||||
American Credit Acceptance Receivables Trust, Series 2014-2, Class A (a) | $ | 263,448 | $ | 263,193 | ||||
American Credit Acceptance Receivables Trust, Series 2014-3, Class A (a) | 733,832 | 733,443 | ||||||
American Credit Acceptance Receivables Trust, Series 2014-1, Class A (a) | 566,964 | 567,337 | ||||||
American Credit Acceptance Receivables Trust, Series 2013-2, Class A (a) | 322,532 | 323,048 | ||||||
American Credit Acceptance Receivables Trust, Series 2013-1, Class A (a) | 356,589 | 357,705 | ||||||
American Credit Acceptance Receivables Trust, Series 2012-3, Class A (a) | 86,883 | 87,045 | ||||||
American Credit Acceptance Receivables Trust, Series 2012-2, Class A (a) | 70,038 | 70,088 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2014-3, Class A2B FRN | 1,700,000 | 1,700,054 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2014-1, Class A2 | 354,411 | 354,202 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2013-4, Class A2 | 225,924 | 226,064 | ||||||
ARI Fleet Lease Trust, Series 2013-A, Class A2 (a) | 140,454 | 140,517 | ||||||
ARI Fleet Lease Trust, Series 2012-A, Class A FRN (a) | 122,659 | 122,757 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2011-2A, Class A (a) | 226,667 | 227,014 | ||||||
California Republic Auto Receivables Trust, Series 2013-2, Class A2 | 468,468 | 470,061 | ||||||
California Republic Auto Receivables Trust, Series 2013-1, Class A2 (a) | 772,097 | 775,514 | ||||||
Capital Auto Receivables Asset Trust, Series 2014-3, Class A1 FRN | 860,000 | 860,028 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Capital Auto Receivables Asset Trust, Series 2014-1, Class A1B FRN | $ | 1,065,000 | $ | 1,065,300 | ||||
CarNow Auto Receivables Trust, Series 2014-1A, Class A (a) | 1,500,000 | 1,499,561 | ||||||
CarNow Auto Receivables Trust, Series 2013-1A, Class A (a) | 126,409 | 126,404 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 439,578 | 437,325 | ||||||
CFC LLC, Series 2014-1A, Class A (a) | 353,842 | 353,701 | ||||||
CFC LLC, Series 2013-1A, Class A (a) | 98,530 | 98,732 | ||||||
CFC LLC, Series 2013-2A, Class A (a) | 359,425 | 360,556 | ||||||
Chesapeake Funding LLC, Series 2012-2A, Class A FRN (a) | 480,590 | 481,155 | ||||||
Chesapeake Funding LLC, Series 2012-1A, Class A FRN (a) | 306,347 | 307,190 | ||||||
CPS Auto Receivables Trust, Series 2014-B, Class A (a) | 724,198 | 721,902 | ||||||
CPS Auto Trust, Series 2014-A, Class A (a) | 307,311 | 306,909 | ||||||
CPS Auto Trust, Series 2014-C, Class A (a) | 700,000 | 697,946 | ||||||
CPS Auto Trust, Series 2012-D, Class A (a) | 310,601 | 311,357 | ||||||
CPS Auto Trust, Series 2013-D, Class A (a) | 659,068 | 660,476 | ||||||
CPS Auto Trust, Series 2013-C, Class A (a) | 503,441 | 505,239 | ||||||
CPS Auto Trust, Series 2012-C, Class A (a) | 317,940 | 320,504 | ||||||
CPS Auto Trust, Series 2013-B, Class A (a) | 667,592 | 669,165 | ||||||
CPS Auto Trust, Series 2012-A, Class A (a) | 214,946 | 218,226 | ||||||
CPS Auto Trust, Series 2011-B, Class A (a) | 310,393 | 316,287 |
Principal Amount | Value | |||||||
CPS Auto Trust, Series 2010-PG5, Class A (a) | $ | 315,581 | $ | 318,099 | ||||
Credit Acceptance Auto Loan Trust, Series 2013-1A, Class A (a) | 1,000,000 | 1,001,244 | ||||||
Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A (a) | 855,000 | 857,696 | ||||||
Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A (a) | 680,000 | 679,898 | ||||||
DT Auto Owner Trust, Series 2014-1A, Class A (a) | 370,899 | 370,897 | ||||||
DT Auto Owner Trust, Series 2013-2A, Class A (a) | 354,146 | 354,254 | ||||||
Enterprise Fleet Financing LLC, Series 2012-2, Class A2 (a) | 426,866 | 427,112 | ||||||
Enterprise Fleet Financing LLC, Series 2014-1, Class A2 (a) | 605,000 | 604,509 | ||||||
Exeter Automobile Receivables Trust, Series 2014-2A, Class A (a) | 497,942 | 497,130 | ||||||
Exeter Automobile Receivables Trust, Series 2013-1A, Class A (a) | 145,908 | 146,215 | ||||||
Exeter Automobile Receivables Trust, Series 2014-1A, Class A (a) | 460,239 | 461,074 | ||||||
Exeter Automobile Receivables Trust, Series 2012-2A, Class A (a) | 245,164 | 245,504 | ||||||
Exeter Automobile Receivables Trust, Series 2013-2A, Class A (a) | 409,795 | 411,168 | ||||||
First Investors Auto Owner Trust, Series 2013-3A, Class A2 (a) | 1,010,102 | 1,011,034 | ||||||
First Investors Auto Owner Trust, Series 2013-1A, Class A2 (a) | 665,014 | 665,841 | ||||||
First Investors Auto Owner Trust, Series 2013-2A, Class A2 (a) | 452,877 | 454,144 | ||||||
First Investors Auto Owner Trust, Series 2012-1A, Class A2 (a) | 26,712 | 26,728 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Flagship Credit Auto Trust, Series 2014-1, Class A (a) | $ | 571,110 | $ | 569,659 | ||||
Hertz Fleet Lease Funding LP, Series 2013-3, Class A FRN (a) | 1,650,000 | 1,653,222 | ||||||
Navistar Financial Owner Trust, Series 2012-A, Class A3 (a) | 357,049 | 357,259 | ||||||
Neuberger Berman CLO Ltd. FRN (a) | 1,100,000 | 1,100,090 | ||||||
Oscar US Funding Trust, Series 2014-1A, Class A2 (a) (b) | 800,000 | 799,953 | ||||||
Prestige Auto Receivables Trust, Series 2014-1A, Class A2 (a) | 313,135 | 312,836 | ||||||
Rental Car Finance Corp., Series 2011-1A, Class A1 (a) | 212,500 | 213,248 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-4, Class A2B FRN | 680,000 | 680,022 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-1, Class A2B FRN | 303,383 | 303,383 | ||||||
Santander Drive Auto Receivables Trust, Series 2013-5, Class A2B FRN | 428,483 | 428,629 | ||||||
Santander Drive Auto Receivables Trust, Series 2013-4, Class A2 | 194,587 | 194,667 | ||||||
Santander Drive Auto Receivables Trust, Series 2013-A, Class A3 (a) | 2,000,000 | 2,005,088 | ||||||
Santander Drive Auto Receivables Trust, Series 2012-4, Class B | 460,000 | 461,751 | ||||||
Santander Drive Auto Receivables Trust, Series 2012-4, Class C | 400,000 | 408,489 | ||||||
Santander Drive Auto Receivables Trust, Series 2012-3, Class C | 780,000 | 794,916 | ||||||
Tidewater Auto Receivables Trust, Series 2014-AA, Class A2 (a) | 750,000 | 749,671 | ||||||
Tidewater Auto Receivables Trust, Series 2012-AA, Class A3 (a) | 372,467 | 373,631 | ||||||
United Auto Credit Securitization Trust, Series 2014-1, Class A2 (a) | 580,000 | 579,987 |
Principal Amount | Value | |||||||
United Auto Credit Securitization Trust, Series 2013-1, Class A2 (a) | $ | 48,453 | $ | 48,456 | ||||
Westlake Automobile Receivables | 465,000 | 464,770 | ||||||
Westlake Automobile Receivables | 497,730 | 498,664 | ||||||
Wheels SPV LLC, Series 2012-1, Class A2 (a) | 86,085 | 86,210 | ||||||
|
| |||||||
38,353,153 | ||||||||
|
| |||||||
Commercial MBS — 1.5% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2005-6, Class A4 VRN | 1,131,319 | 1,167,065 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-BBG, Class A FRN (a) | 520,000 | 519,681 | ||||||
DBRR Trust, Series 2013-EZ3, Class A VRN (a) | 409,936 | 412,049 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class AM | 450,000 | 459,674 | ||||||
STRIPs Ltd., Series 2012-1A, Class A (a) | 1,704,784 | 1,687,736 | ||||||
VFC LLC, Series 2014-2, Class A (Acquired 7/9/14, Cost $300,000) (a) (c) | 237,222 | 237,232 | ||||||
Wells Fargo Reremic Trust, Series 2012-IO, Class A (a) | 491,899 | 492,121 | ||||||
|
| |||||||
4,975,558 | ||||||||
|
| |||||||
Home Equity ABS — 1.4% | ||||||||
ACE Securities Corp., Series 2005-AG1, Class A1B1 FRN | 105,530 | 104,635 | ||||||
Ameriquest Mortgage Securities, Inc., Series 2004-R11, Class A2 FRN | 45,551 | 45,528 | ||||||
Asset-Backed Securities Corp. Trust, Series 2005-HE2, Class M1 FRN | 100,149 | 99,195 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-HE1, Class M2 FRN | $ | 266,431 | $ | 265,125 | ||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A FRN | 51,162 | 50,820 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-6, Class M1 FRN | 831,019 | 826,676 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2006-RP2, Class A2 FRN (a) | 276,965 | 275,780 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1 FRN | 419,649 | 408,961 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF4, Class M1 FRN | 278,567 | 275,926 | ||||||
Home Equity Asset Trust, Series 2005-4, Class M2 FRN | 102,226 | 101,738 | ||||||
Lake Country Mortgage Loan Trust, Series 2005-HE1, Class M1 FRN (a) | 174,339 | 172,979 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2 FRN | 560,089 | 539,019 | ||||||
Mastr Asset Backed Securities Trust, Series 2005-WMC1, Class M2 FRN | 361,598 | 355,741 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M1 FRN (a) | 597,418 | 588,816 | ||||||
Morgan Stanley Home Equity Loan Trust, Series 2005-3, Class M1 FRN | 215,407 | 213,347 | ||||||
Nomura Home Equity Loan, Inc., Series 2005-FM1, Class M1 FRN | 20,516 | 20,430 | ||||||
Park Place Securities, Inc., Series 2005-WCW3, Class A2C FRN | 174,713 | 172,414 | ||||||
|
| |||||||
4,517,130 | ||||||||
|
| |||||||
Other ABS — 13.6% | ||||||||
321 Henderson Receivables I LLC, Series 2006-1A, Class A1 FRN (a) | 662,052 | 642,160 | ||||||
321 Henderson Receivables II LLC, Series 2006-3A, Class A1 FRN (a) | 399,675 | 384,268 |
Principal Amount | Value | |||||||
321 Henderson Receivables LLC, Series 2006-4A, Class A1 FRN (a) | $ | 794,353 | $ | 765,600 | ||||
Alterna Funding I LLC, Series 2014-1A, | 438,641 | 437,545 | ||||||
Apidos CDO I Ltd., Series 2005-1A, | 278,273 | 278,221 | ||||||
ARL First LLC, Series 2012-1A, | 1,285,832 | 1,304,052 | ||||||
Ascentium Equipment Receivables LLC, Series 2014-1A, Class A2 (a) | 740,000 | 739,327 | ||||||
Ascentium Equipment Receivables LLC, Series 2014-1A, Class B (a) | 340,000 | 338,918 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (a) | 797,160 | 795,964 | ||||||
CCG Receivables Truste, Series 2013-1, | 316,140 | 316,560 | ||||||
CLI Funding LLC, Series 2006-1A, Class A FRN (a) | 2,427,555 | 2,420,805 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) | 659,463 | 662,114 | ||||||
Direct Capital Funding IV LLC, Series 2013-1, Class A (a) | 169,682 | 169,750 | ||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A1 FRN (a) | 686,609 | 691,024 | ||||||
Dryden XI-Leveraged Loan CDO, Series 2006-11A, Class A1 FRN (a) | 550,486 | 547,572 | ||||||
Galaxy VIII CLO Ltd., Series 2007-8A, Class A FRN (a) | 541,306 | 539,564 | ||||||
GE Dealer Floorplan Master Note Trust, Series 2014-1, Class A FRN | 640,000 | 639,988 | ||||||
Global Container Assets Ltd., Series 2013-1A, Class A1 (a) | 1,204,332 | 1,211,577 | ||||||
Global Container Assets Ltd., Series 2013-1A, Class A2 (a) | 750,000 | 739,457 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Hercules Capital Funding Trust, Series 2012-1A, Class A (a) | $ | 208,390 | $ | 209,042 | ||||
HFG Healthco-4 LLC, Series 2011-1A, Class A FRN (a) | 375,000 | 380,775 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) | 653,016 | 647,701 | ||||||
HLSS Servicer Advance Receivables Trust, Series 2014-T1, Class AT1 (a) | 1,270,000 | 1,271,302 | ||||||
Icon Brand Holdings LLC, Series 2012-1A, Class A (a) | 290,272 | 291,126 | ||||||
ING Investment Management CLO V Ltd., Series 2007-5A, Class A1A FRN (a) | 739,931 | 736,189 | ||||||
LCM XVI LP, Series 16A, Class X FRN (a) | 1,925,000 | 1,925,000 | ||||||
LEAF II Receivables Funding LLC, Series 2013-1, Class A2 (a) | 1,072,311 | 1,072,525 | ||||||
Macquarie Equipment Funding Trust, Series 2012-A, Class A2 (a) | 32,342 | 32,346 | ||||||
Macquarie Equipment Funding Trust, Series 2014-A, Class A2 (a) | 800,000 | 799,594 | ||||||
Madison Park Funding XIV Ltd., Series 2014-14A, Class X FRN (a) | 1,150,000 | 1,150,030 | ||||||
Marriott Vacation Club Owner Trust, Series 2009-2A, Class A (a) | 846,145 | 857,509 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4 FRN | 802,558 | 792,361 | ||||||
Nations Equipment Finance Funding I LLC, Series 2013-1A, Class A (a) | 243,200 | 243,346 | ||||||
Nationstar Agency Advance Funding Trust, Series 2013-T1A, Class AT1 (a) | 400,000 | 399,624 | ||||||
Navitas Equipment Receivables LLC, Series 2013-1, Class A (a) | 611,920 | 611,906 |
Principal Amount | Value | |||||||
New Residential Advance Receivables Trust Advance Receivables Backed, Series 2014-T1, Class A1 (a) | $ | 322,500 | $ | 322,855 | ||||
New York City Tax Lien, Series 2014-A, Class A (a) | 440,000 | 439,174 | ||||||
New York City Tax Lien, Series 2013-A, Class A (a) | 130,625 | 130,538 | ||||||
New York City Tax Lien, Series 2012-AA, Class A (a) | 308,528 | 308,230 | ||||||
Oak Hill Credit Partners IV Ltd., Series 2005-4A, Class A1B FRN (a) | 133,392 | 133,343 | ||||||
Octagon Loan Funding Ltd., Series 2014-1A, Class X FRN (a) | 1,165,000 | 1,164,740 | ||||||
OneMain Financial Issuance Trust, Series 2014-1A, Class A (a) | 260,000 | 259,995 | ||||||
PFS Financing Corp., Series 2013-AA, Class A FRN (a) | 2,100,000 | 2,100,067 | ||||||
PFS Financing Corp., Series 2014-AA, Class A FRN (a) | 1,490,000 | 1,490,462 | ||||||
PFS Financing Corp., Series 2012-BA, Class A FRN (a) | 1,510,000 | 1,510,201 | ||||||
RAAC, Series 2006-RP2, Class A FRN (a) | 407,616 | 403,290 | ||||||
RAAC, Series 2005-RP2, Class M1 FRN (a) | 564,365 | 563,246 | ||||||
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (a) | 1,104,870 | 1,123,809 | ||||||
Sierra Receivables Funding Co. LLC, Series 2011-2A, Class A (a) | 392,325 | 399,924 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A (a) | 264,680 | 265,164 | ||||||
SoFi Professional Loan Program LLC, Series 2014-A, Class A1 FRN (a) | 1,331,680 | 1,345,136 | ||||||
Sonic Capital LLC, Series 2011-1A, Class A2 (a) | 455,909 | 485,842 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Springleaf Funding Trust, Series 2013-AA, Class A (a) | $ | 325,000 | $ | 327,294 | ||||
Stanfield Bristol CLO Ltd., Series 2005-1A, Class A2 FRN (a) | 600,000 | 598,671 | ||||||
SVO VOI Mortgage Corp., Series 2012-AA, Class A (a) | 807,039 | 802,573 | ||||||
Symphony CLO XIV Ltd., Series 2014-14A, Class X FRN (a) | 1,350,000 | 1,350,128 | ||||||
TAL Advantage LLC, Series 2006-1A FRN (a) | 633,333 | 627,729 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (a) | 457,460 | 457,897 | ||||||
Trade MAPS 1 Ltd., Series 2013-1A, Class A FRN (a) | 1,620,000 | 1,624,384 | ||||||
Trafigura Securitisation Finance PLC, Series 2012-1A, Class A FRN (a) | 754,000 | 759,750 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1B FRN (a) | 435,996 | 450,998 | ||||||
Westgate Resorts LLC, Series 2014-1A, Class A (a) | 600,000 | 597,684 | ||||||
Westgate Resorts LLC, Series 2012-2A, Class A (a) | 431,830 | 434,659 | ||||||
|
| |||||||
45,522,625 | ||||||||
|
| |||||||
Student Loans ABS — 9.4% | ||||||||
Academic Loan Funding Trust, Series 2013-1A, Class A FRN (a) | 3,232,162 | 3,231,210 | ||||||
Access Group, Inc., Series 2007-1, Class A2 FRN | 1,198,207 | 1,195,607 | ||||||
Access Group, Inc., Series 2005-1, Class A2 FRN | 26,306 | 26,288 | ||||||
Access Group, Inc., Series 2006-1, Class A2 FRN | 913,285 | 907,348 | ||||||
Access Group, Inc., Series 2007-A, Class A2 FRN | 59,777 | 59,571 | ||||||
Access Group, Inc., Series 2005-2, Class A3 FRN | 245,920 | 244,580 |
Principal Amount | Value | |||||||
Access Group, Inc., Series 2005-A, Class A2 FRN | $ | 463,462 | $ | 462,723 | ||||
Access Group, Inc., Series 2005-B, Class A2 FRN | 277,060 | 275,645 | ||||||
Access Group, Inc., Series 2004-A, Class A2 FRN | 354,858 | 352,254 | ||||||
Access Group, Inc., Series 2003-A, Class A3 FRN | 275,031 | 252,863 | ||||||
Access Group, Inc., Series 2008-1, Class A FRN | 667,440 | 673,033 | ||||||
ALG Student Loan Trust I, Series 2006-1A, Class A2 FRN (a) | 540,260 | 539,582 | ||||||
Brazos Higher Education Authority, Series 2004-I, Class A2 FRN | 125,457 | 125,353 | ||||||
CIT Education Loan Trust, Series 2005-1, Class A3 FRN | 1,475,068 | 1,466,189 | ||||||
College Loan Corp. Trust, Series 2007-1, | 675,000 | 567,000 | ||||||
Collegiate Funding Services Education Loan Trust, Series 2004-A, Class A3 FRN | 719,226 | 716,813 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A2 FRN | 44,016 | 43,997 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A4 FRN | 1,150,000 | 1,147,125 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A6 FRN | 350,000 | 344,260 | ||||||
Education Loan Asset-Backed Trust I, Series 2012-1, Class A1 FRN (a) | 184,886 | 184,912 | ||||||
GCO Education Loan Funding Trust, Series 2007-1A, Class A5L FRN (a) | 150,283 | 149,150 | ||||||
GCO Education Loan Funding Trust, Series 2006-2A, Class A2L FRN (a) | 806,315 | 804,755 | ||||||
Goal Capital Funding Trust, Series 2006-1, Class A3 FRN | 295,623 | 294,375 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
KeyCorp Student Loan Trust, Series 2006-A, Class 2A3 FRN | $ | 1,493,292 | $ | 1,481,798 | ||||
KeyCorp Student Loan Trust, Series 2004-A, Class 2A2 FRN | 1,797,842 | 1,791,680 | ||||||
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4 FRN | 1,120,000 | 1,076,589 | ||||||
National Collegiate Student Loan Trust, Series 2005-2, Class A3 FRN | 76,618 | 76,331 | ||||||
National Collegiate Student Loan Trust, Series 2004-1, Class A2 FRN | 570,054 | 565,303 | ||||||
Nelnet Student Loan Trust, Series 2006-3, Class B FRN | 542,912 | 487,794 | ||||||
Nelnet Student Loan Trust, Series 2014-6A, Class A FRN (a) | 892,554 | 887,793 | ||||||
Nelnet Student Loan Trust, Series 2010-4A, Class A FRN (a) | 129,828 | 130,933 | ||||||
Nelnet Student Loan Trust, Series 2014-2A, Class B FRN (a) | 295,000 | 269,338 | ||||||
Northstar Education Finance, Inc., Series 2005-1, Class A1 FRN | 41,013 | 40,853 | ||||||
Northstar Education Finance, Inc., Series 2006-A, Class A3 FRN | 366,807 | 366,344 | ||||||
Pennsylvania Higher Education Assistance Agency, Series 2004-1, Class A2 FRN | 450,000 | 444,839 | ||||||
Pennsylvania Higher Education Assistance Agency FRN | 388,901 | 391,172 | ||||||
SLC Student Loan Trust, Series 2006-A, Class A5 FRN | 1,179,536 | 1,172,047 | ||||||
SLM Student Loan Trust, Series 2003-10A, Class A1B FRN (a) | 100,000 | 99,969 | ||||||
SLM Student Loan Trust, Series 2003-10A, Class A1G FRN (a) | 100,000 | 99,969 | ||||||
SLM Student Loan Trust, Series 2003-10A, Class A1A FRN (a) | 175,000 | 174,945 |
Principal Amount | Value | |||||||
SLM Student Loan Trust, | $ | 100,000 | $ | 99,969 | ||||
SLM Student Loan Trust, Series 2002-6, Class A4L FRN | 102,293 | 102,273 | ||||||
SLM Student Loan Trust, Series 2007-7, Class A2 FRN | 10,898 | 10,897 | ||||||
SLM Student Loan Trust, Series 2003-3, Class A4 FRN | 138,285 | 138,269 | ||||||
SLM Student Loan Trust, Series 2008-7, Class A2 FRN | 77,609 | 77,757 | ||||||
SLM Student Loan Trust, Series 2014-A, Class A1 FRN (a) | 1,237,416 | 1,238,364 | ||||||
SLM Student Loan Trust, Series 2003-11, Class B FRN | 474,727 | 446,063 | ||||||
SLM Student Loan Trust, Series 2012-E, Class A1 FRN (a) | 284,600 | 285,388 | ||||||
SLM Student Loan Trust, | 600,000 | 600,000 | ||||||
SLM Student Loan Trust, Series 2012-B, Class A1 FRN (a) | 1,508,244 | 1,514,586 | ||||||
SLM Student Loan Trust, Series 2012-C, Class A1 FRN (a) | 225,890 | 227,794 | ||||||
SLM Student Loan Trust, Series 2005-6, Class A5B FRN | 922,107 | 938,451 | ||||||
SLM Student Loan Trust, Series 2012-A, Class A1 FRN (a) | 242,516 | 245,160 | ||||||
SLM Student Loan Trust, Series 2003-2, Class A7 FRN | 900,000 | 900,000 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7 FRN | 500,000 | 485,499 | ||||||
South Carolina Student Loan Corp., Series 2006-1, Class A1 FRN | 125,721 | 125,656 | ||||||
South Carolina Student Loan Corp., Series 2005-1, Class A2 FRN | 362,177 | 359,921 | ||||||
|
| |||||||
31,418,377 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
WL Collateral CMO — 0.1% | ||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-CF1, Class M1 FRN (a) | $ | 314,491 | $ | 299,826 | ||||
|
| |||||||
WL Collateral PAC — 0.0% | ||||||||
Structured Asset Securities Corp., Series 2007-BC4, Class A3 FRN | 140,441 | 138,783 | ||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $123,722,481) | 125,225,452 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.1% | ||||||||
Pass-Through Securities — 0.1% | ||||||||
Government National Mortgage Association II | 260,220 | 273,253 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $276,240) | 273,253 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 105.7% | ||||||||
U.S. Treasury Bonds & Notes — 105.7% | ||||||||
U.S. Treasury Inflation Index (d) | 14,107,627 | 14,270,740 | ||||||
U.S. Treasury Inflation Index (d) (e) (f) | 19,238,128 | 19,493,629 | ||||||
U.S. Treasury Inflation Index (d) | 17,222,663 | 17,359,910 | ||||||
U.S. Treasury Inflation Index (d) | 20,549,326 | 20,599,096 | ||||||
U.S. Treasury Inflation Index (d) | 15,505,682 | 15,149,532 | ||||||
U.S. Treasury Inflation Index (d) | 14,779,253 | 14,427,093 | ||||||
U.S. Treasury Inflation Index (d) | 14,966,755 | 14,480,335 | ||||||
U.S. Treasury Inflation Index | 12,266,565 | 11,776,859 | ||||||
U.S. Treasury Inflation Index (d) | 11,200,153 | 11,078,531 | ||||||
U.S. Treasury Inflation Index (d) | 13,779,299 | 14,057,034 | ||||||
U.S. Treasury Inflation Index (d) | 25,267,120 | 25,393,455 | ||||||
U.S. Treasury Inflation Index (d) | 3,834,236 | 3,384,910 | ||||||
U.S. Treasury Inflation Index (d) | 5,398,528 | 4,943,448 |
Principal Amount | Value | |||||||
U.S. Treasury Inflation Index (d) | $ | 12,955,320 | $ | 13,588,913 | ||||
U.S. Treasury Inflation Index (d) | 10,941,397 | 11,616,689 | ||||||
U.S. Treasury Inflation Index (d) | 5,325,473 | 5,657,069 | ||||||
U.S. Treasury Inflation Index (d) | 6,136,859 | 6,527,605 | ||||||
U.S. Treasury Inflation Index (d) | 9,865,158 | 10,551,861 | ||||||
U.S. Treasury Inflation Index (d) | 5,481,641 | 5,821,246 | ||||||
U.S. Treasury Inflation Index (d) | 2,763,566 | 3,075,979 | ||||||
U.S. Treasury Inflation Index (d) | 5,099,453 | 5,564,380 | ||||||
U.S. Treasury Inflation Index (d) | 5,407,802 | 5,597,919 | ||||||
U.S. Treasury Inflation Index (d) | 6,134,044 | 6,981,787 | ||||||
U.S. Treasury Inflation Index (d) | 4,921,520 | 5,376,376 | ||||||
U.S. Treasury Inflation Index (d) | 3,306,930 | 4,092,326 | ||||||
U.S. Treasury Inflation Index (d) | 3,019,089 | 3,756,172 | ||||||
U.S. Treasury Inflation Index (d) | 5,635,421 | 6,017,131 | ||||||
U.S. Treasury Inflation Index (d) | 9,226,908 | 10,807,016 | ||||||
U.S. Treasury Inflation Index (d) | 4,188,169 | 4,957,092 | ||||||
U.S. Treasury Inflation Index | 2,866,793 | 3,043,054 | ||||||
U.S. Treasury Inflation Index (d) | 6,070,059 | 7,408,792 | ||||||
U.S. Treasury Inflation Index (d) | 5,759,296 | 6,278,980 | ||||||
U.S. Treasury Inflation Index (d) | 3,389,232 | 4,709,443 | ||||||
U.S. Treasury Inflation Index (d) | 5,325,112 | 7,231,337 | ||||||
U.S. Treasury Inflation Index (d) | 7,594,280 | 10,712,681 | ||||||
U.S. Treasury Note (d) | 17,000,000 | 16,981,489 | ||||||
|
| |||||||
352,769,909 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $356,421,387) | 352,769,909 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $487,621,655) | 488,980,754 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
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Notional Amount | Value | |||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Diversified Financial — 0.1% | ||||||||
3-Month USD LIBOR BBA 10 Year Swaption, Call, Expires 4/25/16, Strike 2.50 (OTC - Credit Suisse International); Underlying swap terminates 4/27/26 | $ | 12,290,000 | $ | 134,824 | ||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $215,643) | 134,824 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $487,837,298) | 489,115,578 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 39.1% | ||||||||
Commercial Paper — 39.0% | ||||||||
Agrium, Inc. | $ | 4,650,000 | 4,646,511 | |||||
Airgas, Inc. (a) | 4,500,000 | 4,497,280 | ||||||
Cameron International Corp. (a) | 4,650,000 | 4,647,998 | ||||||
Commonwealth Edison Co. (a) | 2,000,000 | 1,999,633 | ||||||
Daimler Finance North America LLC (a) | 4,500,000 | 4,496,188 | ||||||
Deutsche Telekom AG (a) | 4,500,000 | 4,497,869 | ||||||
Duke Energy Corp. (a) | 4,500,000 | 4,493,613 | ||||||
Ecolab, Inc. (a) | 4,650,000 | 4,648,165 | ||||||
Enbridge (US), Inc. (a) | 4,650,000 | 4,648,558 | ||||||
ERAC USA Finance LLC (a) | 4,650,000 | 4,646,835 | ||||||
Experian Finance PLC (a) 0.330% 12/22/14 | 4,500,000 | 4,496,618 | ||||||
FMC Corp. (a) | 1,550,000 | 1,549,800 | ||||||
FMC Technologies, Inc. (a) | 4,500,000 | 4,498,425 | ||||||
Glencore Funding LLC (a) | 4,650,000 | 4,649,328 | ||||||
Hewlett-Packard Co. (a) | 4,650,000 | 4,648,710 |
Principal Amount | Value | |||||||
Holcim US Finance SARL & Cie (a) | $ | 4,600,000 | $ | 4,599,701 | ||||
Marriott International, Inc. (a) | 4,650,000 | 4,649,159 | ||||||
Molson Coors Brewing Co. (a) | 4,496,000 | 4,495,513 | ||||||
Monsanto Co. (a) | 4,650,000 | 4,647,933 | ||||||
Nabors Industries, Inc. (a) | 4,500,000 | 4,496,850 | ||||||
National Grid USA (a) | 4,500,000 | 4,497,813 | ||||||
Nissan Motor Acceptance Corp. (a) | 4,650,000 | 4,648,127 | ||||||
Noble Corp. (a) | 2,150,000 | 2,149,979 | ||||||
Pentair Finance (a) | 4,750,000 | 4,748,971 | ||||||
Reckitt Benckiser Treasury Services PLC (a) | 6,000,000 | 5,987,543 | ||||||
Sempra Energy Holdings (a) | 2,000,000 | 1,997,700 | ||||||
Sempra Energy Holdings (a) | 2,500,000 | 2,492,417 | ||||||
Time Warner Cable, Inc. (a) | 4,650,000 | 4,648,450 | ||||||
Vodafone Group PLC (a) | 4,000,000 | 3,988,450 | ||||||
WPP CP LLC (a) | 4,650,000 | 4,645,027 | ||||||
Xcel Energy, Inc. (a) | 4,500,000 | 4,495,250 | ||||||
|
| |||||||
130,254,414 | ||||||||
|
| |||||||
Repurchase Agreement — 0.0% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated | 85,262 | 85,262 | ||||||
|
| |||||||
Time Deposits — 0.1% | ||||||||
Euro Time Deposit | 253,998 | 253,998 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $130,593,674) | 130,593,674 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 185.7% (Cost $618,430,972) (h) | 619,709,252 | |||||||
Other Assets/(Liabilities) — (85.7)% | (285,951,518 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 333,757,734 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
87
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments
ABS | Asset-Backed Security |
CDO | Collateralized Debt Obligation |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
PAC | Planned Amortization Class |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, these securities amounted to a value of $216,516,658 or 64.87% of net assets. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2014, these securities amounted to a value of $799,953 or 0.24% of net assets. |
(c) | Restricted security. Certain securities are restricted as to resale. At September 30, 2014, these securities amounted to a value of $237,232 or 0.07% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(d) | All or a portion of this security is held as collateral for open reverse repurchase agreements. (Note 2). |
(e) | All or a portion of this security is held as collateral for open swap agreements. (Note 2). |
(f) | A portion of this security is held as collateral for open futures contracts. (Note 2). |
(g) | Maturity value of $85,262. Collateralized by U.S. Government Agency obligations with a rate of 3.246%, maturity dates of 5/01/41, and an aggregate market value, including accrued interest, of $88,840. |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Core Bond Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 0.2% | ||||||||
PREFERRED STOCK — 0.2% | ||||||||
Financial — 0.2% | ||||||||
Insurance — 0.2% | ||||||||
The Allstate Corp. 5.100% | 130,000 | $ | 3,183,700 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,250,000) | 3,183,700 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $3,250,000) | 3,183,700 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 99.0% | ||||||||
CORPORATE DEBT — 44.7% | ||||||||
Advertising — 0.4% | ||||||||
The Interpublic Group of Cos., Inc. | $ | 1,600,000 | 1,606,282 | |||||
WPP Finance 2010 | 635,000 | 692,746 | ||||||
WPP Finance 2010 | 3,100,000 | 3,368,075 | ||||||
|
| |||||||
5,667,103 | ||||||||
|
| |||||||
Aerospace & Defense — 0.3% | ||||||||
BAE Systems Holdings, Inc. (a) | 1,375,000 | 1,600,762 | ||||||
Exelis, Inc. | 2,465,000 | 2,593,626 | ||||||
L-3 Communications Corp. | 105,000 | 113,375 | ||||||
United Technologies Corp. | 465,000 | 591,045 | ||||||
|
| |||||||
4,898,808 | ||||||||
|
| |||||||
Agriculture — 0.2% | ||||||||
Altria Group, Inc. | 775,000 | 702,768 | ||||||
Bunge Ltd. Finance Corp. | 1,785,000 | 1,848,758 | ||||||
Philip Morris International, Inc. | 225,000 | 282,371 | ||||||
|
| |||||||
2,833,897 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
American Airlines Pass Equipment Through Trust, Series 2014-1, Class B | 315,000 | 318,938 | ||||||
American Airlines Pass Through Trust, Series 2014-1, Class A | 730,000 | 732,737 |
Principal Amount | Value | |||||||
United Air Lines, Inc. (b) | $ | 181,253 | $ | 72,501 | ||||
United Airlines Pass-Through Trust, Series 2014-1, Class A | 895,000 | 899,475 | ||||||
|
| |||||||
2,023,651 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% | ||||||||
General Motors Co. | 1,425,000 | 1,448,156 | ||||||
Hyundai Capital America (a) | 2,080,000 | 2,078,503 | ||||||
Hyundai Capital America (a) | 1,150,000 | 1,159,048 | ||||||
|
| |||||||
4,685,707 | ||||||||
|
| |||||||
Automotive & Parts — 0.2% | ||||||||
Lear Corp. | 625,000 | 617,187 | ||||||
Lear Corp. | 1,929,000 | 2,035,095 | ||||||
TRW Automotive, Inc. (a) | 950,000 | 1,045,000 | ||||||
|
| |||||||
3,697,282 | ||||||||
|
| |||||||
Banks — 3.3% | ||||||||
Associated Banc-Corp. | 2,000,000 | 2,111,832 | ||||||
Bank of America Corp. | 1,600,000 | 1,657,870 | ||||||
Bank of America Corp. | 2,525,000 | 2,551,313 | ||||||
Bank of America Corp. | 1,000,000 | 1,019,460 | ||||||
Bank of America Corp. | 1,150,000 | 1,279,143 | ||||||
Bank of America Corp. | 1,555,000 | 1,730,250 | ||||||
Barclays PLC | 1,585,000 | 1,536,119 | ||||||
Credit Suisse AG | 2,035,000 | 2,269,892 | ||||||
Deutsche Bank AG | 1,500,000 | 1,499,419 | ||||||
Deutsche Bank AG | 2,365,000 | 2,377,464 | ||||||
Discover Bank | 1,920,000 | 1,910,763 | ||||||
Export-Import Bank of Korea | 705,000 | 698,211 | ||||||
Export-Import Bank of Korea | 1,000,000 | 1,053,951 | ||||||
First Horizon National Corp. | 3,666,000 | 3,842,261 |
The accompanying notes are an integral part of the financial statements.
89
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
FirstMerit Corp. | $ | 645,000 | $ | 668,351 | ||||
HSBC Holdings PLC | 930,000 | 1,144,106 | ||||||
ICICI Bank Ltd. (a) | 1,800,000 | 1,900,309 | ||||||
ICICI Bank Ltd. (a) | 1,300,000 | 1,369,296 | ||||||
ICICI Bank Ltd. (a) | 3,224,000 | 3,288,609 | ||||||
JP Morgan Chase & Co. | 1,710,000 | 1,676,387 | ||||||
KFW | 4,590,000 | 4,452,686 | ||||||
Morgan Stanley | 750,000 | 792,362 | ||||||
MUFG Union Bank NA | 550,000 | 559,144 | ||||||
Regions Financial Corp. | 1,990,000 | 2,053,425 | ||||||
Regions Financial Corp. | 895,000 | 1,043,460 | ||||||
Skandinaviska Enskilda Banken AB (a) | 760,000 | 760,030 | ||||||
SVB Financial Group | 515,000 | 576,101 | ||||||
UBS AG | 1,500,000 | 1,691,409 | ||||||
Valley National Bancorp | 1,710,000 | 1,802,750 | ||||||
Wachovia Bank NA | 690,000 | 921,437 | ||||||
Wells Fargo & Co. | 345,000 | 377,827 | ||||||
|
| |||||||
50,615,637 | ||||||||
|
| |||||||
Beverages — 0.1% | ||||||||
Anheuser-Busch Cos, Inc. | 119,000 | 154,950 | ||||||
Fomento Economico Mexicano SAB de CV | 815,000 | 758,260 | ||||||
|
| |||||||
913,210 | ||||||||
|
| |||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc. | 1,600,000 | 1,688,747 | ||||||
|
| |||||||
Building Materials — 0.6% | ||||||||
CRH America, Inc. | 1,730,000 | 2,088,629 | ||||||
Lafarge SA | 1,305,000 | 1,399,613 | ||||||
Martin Marietta Materials, Inc. FRN (a) | 1,540,000 | 1,546,637 |
Principal Amount | Value | |||||||
Masco Corp. | $ | 2,510,000 | $ | 2,569,612 | ||||
Owens Corning, Inc. | 1,245,000 | 1,520,577 | ||||||
|
| |||||||
9,125,068 | ||||||||
|
| |||||||
Chemicals — 2.2% | ||||||||
Ashland, Inc. | 10,540,000 | 10,276,500 | ||||||
Ashland, Inc. | 3,378,000 | 3,521,565 | ||||||
Cabot Corp. | 2,440,000 | 2,609,641 | ||||||
CF Industries, Inc. | 457,000 | 447,992 | ||||||
CF Industries, Inc. | 1,275,000 | 1,334,275 | ||||||
Cytec Industries, Inc. | 520,000 | 509,586 | ||||||
Cytec Industries, Inc. | 450,000 | 534,041 | ||||||
The Dow Chemical Co. | 375,000 | 471,313 | ||||||
Ecolab, Inc. | 650,000 | 704,195 | ||||||
Incitec Pivot Finance LLC (a) | 880,000 | 989,429 | ||||||
Incitec Pivot Ltd. (a) | 2,642,000 | 2,725,094 | ||||||
Methanex Corp. | 550,000 | 604,508 | ||||||
NOVA Chemicals Corp. | 1,500,000 | 1,567,500 | ||||||
Rockwood Specialties Group, Inc. | 4,785,000 | 4,940,512 | ||||||
RPM International, Inc. | 800,000 | 913,353 | ||||||
RPM International, Inc. | 1,375,000 | 1,557,369 | ||||||
Valspar Corp. | 650,000 | 774,316 | ||||||
|
| |||||||
34,481,189 | ||||||||
|
| |||||||
Commercial Services — 0.6% | ||||||||
The ADT Corp. | 2,015,000 | 1,964,625 | ||||||
Brambles USA, Inc. (a) | 1,400,000 | 1,421,801 | ||||||
Cardtronics, Inc., Convertible (a) | 1,400,000 | 1,343,125 | ||||||
Donnelley (R.R.) & Sons Co. | 462,000 | 472,395 | ||||||
ERAC USA Finance LLC (a) | 455,000 | 465,561 |
The accompanying notes are an integral part of the financial statements.
90
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
ERAC USA Finance LLC (a) | $ | 355,000 | $ | 448,396 | ||||
Leidos Holdings, Inc. | 1,825,000 | 1,857,100 | ||||||
The Western Union Co. | 1,405,000 | 1,531,953 | ||||||
|
| |||||||
9,504,956 | ||||||||
|
| |||||||
Computers — 0.5% | ||||||||
Apple, Inc. | 2,700,000 | 2,633,369 | ||||||
Apple, Inc. | 1,875,000 | 1,772,948 | ||||||
SanDisk Corp., Convertible (a) | 2,369,000 | 2,835,397 | ||||||
|
| |||||||
7,241,714 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.1% | ||||||||
Avon Products, Inc. | 400,000 | 391,692 | ||||||
Avon Products, Inc. | 885,000 | 952,388 | ||||||
The Procter & Gamble Co. | 270,000 | 341,144 | ||||||
|
| |||||||
1,685,224 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.0% | ||||||||
Arrow Electronics, Inc. | 170,000 | 175,598 | ||||||
|
| |||||||
Diversified Financial — 5.4% | ||||||||
AerCap Ireland Capital Ltd. (a) | 5,300,000 | 5,141,000 | ||||||
Affiliated Managers Group, Inc. | 1,470,000 | 1,509,084 | ||||||
Air Lease Corp. | 2,505,000 | 2,536,312 | ||||||
Air Lease Corp. | 1,825,000 | 1,843,250 | ||||||
Air Lease Corp. | 600,000 | 647,250 | ||||||
American Express Co. VRN | 200,000 | 213,500 | ||||||
American Express Co. | 610,000 | 761,885 | ||||||
The Bear Stearns Cos., Inc. | 1,520,000 | 1,768,341 | ||||||
Citigroup, Inc. | 590,000 | 605,467 | ||||||
Citigroup, Inc. | 456,000 | 456,847 | ||||||
Citigroup, Inc. | 550,000 | 639,112 |
Principal Amount | Value | |||||||
Citigroup, Inc. | $ | 800,000 | $ | 964,177 | ||||
Citigroup, Inc. | 225,000 | 333,413 | ||||||
Citigroup, Inc. | 688,000 | 859,977 | ||||||
Eaton Vance Corp. | 707,000 | 707,350 | ||||||
Eaton Vance Corp. | 91,000 | 103,112 | ||||||
Ford Motor Credit Co. LLC | 1,850,000 | 1,909,341 | ||||||
General Electric Capital Corp. | 600,000 | 687,587 | ||||||
General Electric Capital Corp. | 1,495,000 | 2,012,100 | ||||||
General Motors Financial Co., Inc. | 1,415,000 | 1,421,420 | ||||||
General Motors Financial Co., Inc. | 1,320,000 | 1,329,900 | ||||||
General Motors Financial Co., Inc. | 1,895,000 | 1,913,950 | ||||||
The Goldman Sachs Group, Inc. | 900,000 | 1,002,032 | ||||||
The Goldman Sachs Group, Inc. | 3,540,000 | 3,844,479 | ||||||
The Goldman Sachs Group, Inc. | 1,600,000 | 1,819,480 | ||||||
The Goldman Sachs Group, Inc. | 420,000 | 473,575 | ||||||
The Goldman Sachs Group, Inc. | 440,000 | 532,938 | ||||||
The Goldman Sachs Group, Inc. | 550,000 | 625,220 | ||||||
The Goldman Sachs Group, Inc. | 565,000 | 674,490 | ||||||
Hyundai Capital America (a) | 995,000 | 1,001,837 | ||||||
Hyundai Capital America (a) | 910,000 | 932,156 | ||||||
Hyundai Capital America (a) | 1,605,000 | 1,694,845 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 7,240,000 | 7,167,600 | ||||||
International Lease Finance Corp. | 2,065,000 | 2,049,512 | ||||||
International Lease Finance Corp. | 6,722,000 | 7,024,490 | ||||||
Janus Capital Group, Inc. | 2,615,000 | 2,926,562 | ||||||
JP Morgan Chase & Co. | 1,500,000 | 1,607,140 |
The accompanying notes are an integral part of the financial statements.
91
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Principal Amount | Value | |||||||
Lazard Group LLC | $ | 3,305,000 | $ | 3,455,110 | ||||
Lazard Group LLC | 3,348,000 | 3,772,235 | ||||||
Legg Mason, Inc. | 1,775,000 | 1,931,715 | ||||||
Leighton Finance USA Pty Ltd. (a) | 945,000 | 994,052 | ||||||
Merrill Lynch & Co., Inc. | 555,000 | 749,954 | ||||||
Morgan Stanley | 850,000 | 885,632 | ||||||
Morgan Stanley | 4,085,000 | 4,087,398 | ||||||
Morgan Stanley | 905,000 | 889,449 | ||||||
Morgan Stanley | 1,526,000 | 1,657,521 | ||||||
Morgan Stanley | 1,415,000 | 1,592,830 | ||||||
Morgan Stanley | 225,000 | 255,645 | ||||||
Stifel Financial Corp. | 995,000 | 1,000,673 | ||||||
TD Ameritrade Holding Corp. | 510,000 | 513,187 | ||||||
|
| |||||||
83,526,132 | ||||||||
|
| |||||||
Electric — 2.2% | ||||||||
The AES Corp. | 325,000 | 342,875 | ||||||
Berkshire Hathaway Energy | 1,525,000 | 1,865,331 | ||||||
CMS Energy Corp. | 1,875,000 | 2,058,579 | ||||||
Duke Energy Progress, Inc. | 37,000 | 47,161 | ||||||
Florida Power & Light Co. | 950,000 | 1,086,558 | ||||||
Georgia Power Co. | �� | 717,000 | 716,508 | |||||
IPALCO Enterprises, Inc. | 3,135,000 | 3,303,506 | ||||||
IPALCO Enterprises, Inc. (a) | 2,020,000 | 2,156,350 | ||||||
Kansas Gas & Electric Co. | 1,007,915 | 1,068,159 | ||||||
LG&E and KU Energy LLC | 1,900,000 | 2,044,125 | ||||||
Metropolitan Edison Co. (a) | 1,505,000 | 1,507,299 | ||||||
National Fuel Gas Co. | 985,000 | 975,316 |
Principal Amount | Value | |||||||
Nevada Power Co. Series N | $ | 1,000,000 | $ | 1,318,370 | ||||
Niagara Mohawk Power Corp. (a) | 1,560,000 | 1,502,058 | ||||||
Oncor Electric Delivery Co. | 75,000 | 87,924 | ||||||
Oncor Electric Delivery Co. | 130,000 | 190,301 | ||||||
Pacific Gas & Electric Co. | 800,000 | 960,570 | ||||||
Pennsylvania Electric Co. (a) | 2,090,000 | 2,090,663 | ||||||
PPL Capital Funding, Inc. | 400,000 | 398,283 | ||||||
PPL Capital Funding, Inc. | 1,320,000 | 1,426,140 | ||||||
Puget Energy, Inc. | 1,985,000 | 2,349,319 | ||||||
Southern California Edison Co. | 820,000 | 1,024,383 | ||||||
State Grid Overseas Investment Ltd. (a) | 1,470,000 | 1,439,690 | ||||||
Tenaska Oklahoma I LP (a) | 53,901 | 53,943 | ||||||
Transelec SA (a) | 1,250,000 | 1,288,593 | ||||||
Tri-State Generation & Transmission Association, Series 2003, Class A (a) | 704,386 | 748,692 | ||||||
Virginia Electric and Power Co. | 925,000 | 1,228,527 | ||||||
Wisconsin Public Service Corp. | 1,405,000 | 1,533,858 | ||||||
|
| |||||||
34,813,081 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.2% | ||||||||
Anixter, Inc. | 2,800,000 | 2,842,000 | ||||||
|
| |||||||
Electronics — 0.5% | ||||||||
Amphenol Corp. | 1,445,000 | 1,454,385 | ||||||
Arrow Electronics, Inc. | 750,000 | 808,366 | ||||||
Arrow Electronics, Inc. | 1,195,000 | 1,354,599 | ||||||
Avnet, Inc. | 944,000 | 997,104 | ||||||
Jabil Circuit, Inc. | 1,430,000 | 1,573,000 | ||||||
Jabil Circuit, Inc. | 675,000 | 784,688 | ||||||
Tech Data Corp. | 1,345,000 | 1,393,018 | ||||||
|
| |||||||
8,365,160 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
92
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Principal Amount | Value | |||||||
Engineering & Construction — 0.1% | ||||||||
BAA Funding Ltd. (a) | $ | 1,755,000 | $ | 1,776,934 | ||||
|
| |||||||
Entertainment — 0.1% | ||||||||
International Game Technology | 750,000 | 793,024 | ||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Republic Services, Inc. | 40,000 | 44,345 | ||||||
Republic Services, Inc. | 795,000 | 900,788 | ||||||
|
| |||||||
945,133 | ||||||||
|
| |||||||
Foods — 0.7% | ||||||||
ConAgra Foods, Inc. | 850,000 | 931,289 | ||||||
ConAgra Foods, Inc. | 500,000 | 612,073 | ||||||
ConAgra Foods, Inc. | 755,000 | 895,671 | ||||||
Delhaize Group | 1,435,000 | 1,606,649 | ||||||
General Mills, Inc. | 65,000 | 73,808 | ||||||
Kraft Foods, Inc. | 1,580,000 | 1,648,581 | ||||||
Kraft Foods, Inc. | 381,000 | 477,707 | ||||||
Tyson Foods, Inc. | 485,000 | 485,907 | ||||||
Tyson Foods, Inc. | 1,010,000 | 1,011,768 | ||||||
Tyson Foods, Inc. | 745,000 | 766,758 | ||||||
Tyson Foods, Inc. | 1,675,000 | 1,812,335 | ||||||
WM Wrigley Jr. Co. (a) | 530,000 | 533,771 | ||||||
|
| |||||||
10,856,317 | ||||||||
|
| |||||||
Forest Products & Paper — 0.2% | ||||||||
Domtar Corp. | 230,000 | 257,756 | ||||||
Domtar Corp. | 245,000 | 296,398 | ||||||
International Paper Co. | 700,000 | 754,345 | ||||||
International Paper Co. | 820,000 | 1,055,169 | ||||||
International Paper Co. | 290,000 | 377,611 | ||||||
|
| |||||||
2,741,279 | ||||||||
|
|
Principal Amount | Value | |||||||
Gas — 0.2% | ||||||||
Boston Gas Co. (a) | $ | 700,000 | $ | 720,432 | ||||
The Laclede Group, Inc. | 2,000,000 | 2,014,626 | ||||||
|
| |||||||
2,735,058 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.1% | ||||||||
Kennametal, Inc. | 1,200,000 | 1,201,573 | ||||||
|
| |||||||
Health Care – Products — 0.2% | ||||||||
Boston Scientific Corp. | 950,000 | 1,083,115 | ||||||
Covidien International Finance SA | 95,000 | 123,986 | ||||||
Hospira, Inc. | 1,020,000 | 1,098,322 | ||||||
Johnson & Johnson | 245,000 | 318,183 | ||||||
|
| |||||||
2,623,606 | ||||||||
|
| |||||||
Health Care – Services — 0.5% | ||||||||
Cigna Corp. | 650,000 | 726,507 | ||||||
Howard Hughes Medical Institute | 1,025,000 | 1,056,063 | ||||||
Kaiser Foundation Hospitals | 600,000 | 604,818 | ||||||
Roche Holdings, Inc. (a) | 250,000 | 349,769 | ||||||
UnitedHealth Group, Inc. | 1,245,000 | 1,203,441 | ||||||
UnitedHealth Group, Inc. | 1,775,000 | 2,430,142 | ||||||
WellPoint, Inc., Convertible | 1,000,000 | 1,646,875 | ||||||
|
| |||||||
8,017,615 | ||||||||
|
| |||||||
Holding Company – Diversified — 0.1% | ||||||||
Hutchison Whampoa International Ltd. (a) | 1,220,000 | 1,392,185 | ||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Whirlpool Corp. | 870,000 | 873,871 | ||||||
Whirlpool Corp. | 295,000 | 312,608 | ||||||
|
| |||||||
1,186,479 | ||||||||
|
| |||||||
Household Products — 0.1% | ||||||||
Avery Dennison Corp. | 565,000 | 549,119 | ||||||
Jarden Corp., Convertible (a) | 543,000 | 541,303 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Jarden Corp., Convertible | $ | 150,000 | $ | 176,344 | ||||
|
| |||||||
1,266,766 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Rubbermaid, Inc. | 1,250,000 | 1,253,846 | ||||||
|
| |||||||
Insurance — 3.2% | ||||||||
Aflac, Inc. | 585,000 | 740,397 | ||||||
The Allstate Corp. | 875,000 | 1,029,509 | ||||||
The Allstate Corp. VRN | 2,270,000 | 2,417,550 | ||||||
Arch Capital Group US, Inc. | 1,150,000 | 1,233,476 | ||||||
AXIS Specialty Finance PLC | 660,000 | 662,178 | ||||||
Brown & Brown, Inc. | 2,040,000 | 2,050,914 | ||||||
The Chubb Corp. VRN | 1,749,000 | 1,917,341 | ||||||
CNA Financial Corp. | 1,250,000 | 1,264,879 | ||||||
CNA Financial Corp. | 1,000,000 | 1,201,823 | ||||||
Five Corners Funding Trust (a) | 1,465,000 | 1,533,373 | ||||||
The Hartford Financial Services Group, Inc. VRN | 1,520,000 | 1,782,200 | ||||||
Liberty Mutual Group, Inc. (a) | 706,000 | 721,547 | ||||||
Lincoln National Corp. | 600,000 | 615,242 | ||||||
Lincoln National Corp. | 1,350,000 | 1,719,704 | ||||||
Marsh & McLennan Cos., Inc. | 900,000 | 1,057,962 | ||||||
MetLife Capital Trust IV (a) | 2,695,000 | 3,449,600 | ||||||
Principal Financial Group, Inc. | 620,000 | 787,123 | ||||||
The Progressive Corp. | 40,000 | 42,229 | ||||||
The Progressive Corp. VRN | 2,589,000 | 2,836,573 | ||||||
Prudential Financial, Inc. | 700,000 | 758,344 | ||||||
Prudential Financial, Inc. VRN | 2,380,000 | 2,396,362 | ||||||
Prudential Financial, Inc. VRN | 1,845,000 | 1,922,859 |
Principal Amount | Value | |||||||
Prudential Financial, Inc. | $ | 500,000 | $ | 611,754 | ||||
Prudential Financial, Inc. VRN | 1,930,000 | 2,328,062 | ||||||
QBE Capital Funding III Ltd. VRN (a) | 1,425,000 | 1,553,250 | ||||||
QBE Insurance Group Ltd. (a) | 900,000 | 900,373 | ||||||
Reinsurance Group of America, Inc. | 1,270,000 | 1,353,268 | ||||||
Reinsurance Group of America, Inc. | 1,775,000 | 1,947,613 | ||||||
Reinsurance Group of America, Inc. | 1,675,000 | 1,960,127 | ||||||
The Travelers Cos., Inc. | 775,000 | 994,697 | ||||||
USF&G Capital I (a) | 1,015,000 | 1,475,926 | ||||||
Voya Financial, Inc. | 900,000 | 1,014,618 | ||||||
Voya Financial, Inc. VRN | 1,510,000 | 1,517,550 | ||||||
Willis Group Holdings PLC | 530,000 | 550,497 | ||||||
Willis North America, Inc. | 706,000 | 823,480 | ||||||
|
| |||||||
49,172,400 | ||||||||
|
| |||||||
Internet — 0.8% | ||||||||
Baidu, Inc. | 440,000 | 436,906 | ||||||
Baidu, Inc. | 1,965,000 | 2,023,142 | ||||||
Expedia, Inc. | 6,190,000 | 6,134,891 | ||||||
Expedia, Inc. | 3,420,000 | 3,999,690 | ||||||
|
| |||||||
12,594,629 | ||||||||
|
| |||||||
Investment Companies — 0.5% | ||||||||
FS Investment Corp. | 2,720,000 | 2,717,304 | ||||||
Xstrata Finance Canada Ltd. (a) | 1,700,000 | 1,719,001 | ||||||
Xstrata Finance Canada Ltd. (a) | 1,800,000 | 1,803,996 | ||||||
Xstrata Finance Canada Ltd. (a) | 1,023,000 | 1,114,139 | ||||||
|
| |||||||
7,354,440 | ||||||||
|
| |||||||
Iron & Steel — 1.2% | ||||||||
Allegheny Technologies, Inc. | 710,000 | 866,718 | ||||||
ArcelorMittal | 4,107,000 | 4,173,739 |
The accompanying notes are an integral part of the financial statements.
94
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
ArcelorMittal | $ | 245,000 | $ | 253,550 | ||||
ArcelorMittal | 1,700,000 | 1,774,375 | ||||||
ArcelorMittal | 3,080,000 | 3,164,700 | ||||||
Cliffs Natural Resources, Inc. | 1,500,000 | 1,290,000 | ||||||
Commercial Metals Co. | 855,000 | 914,850 | ||||||
Reliance Steel & Aluminum Co. | 1,125,000 | 1,156,543 | ||||||
Reliance Steel & Aluminum Co. | 2,562,000 | 2,758,639 | ||||||
Reliance Steel & Aluminum Co. | 1,536,000 | 1,755,476 | ||||||
Tupy Overseas SA (a) | 350,000 | 356,125 | ||||||
|
| |||||||
18,464,715 | ||||||||
|
| |||||||
Leisure Time — 0.1% | ||||||||
Carnival Corp. | 1,100,000 | 1,101,360 | ||||||
|
| |||||||
Lodging — 0.9% | ||||||||
Choice Hotels International, Inc. | 1,500,000 | 1,625,625 | ||||||
Marriott International, Inc. | 2,000,000 | 1,982,312 | ||||||
Marriott International, Inc. | 1,440,000 | 1,477,626 | ||||||
Marriott International, Inc. | 425,000 | 447,300 | ||||||
Marriott International, Inc. | 2,003,000 | 2,170,028 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 305,000 | 353,573 | ||||||
Wyndham Worldwide Corp. | 1,605,000 | 1,609,900 | ||||||
Wyndham Worldwide Corp. | 550,000 | 564,942 | ||||||
Wyndham Worldwide Corp. | 9,000 | 9,831 | ||||||
Wynn Las Vegas LLC | 3,450,000 | 3,661,313 | ||||||
|
| |||||||
13,902,450 | ||||||||
|
| |||||||
Machinery – Diversified — 0.4% | ||||||||
CNH Industrial Capital LLC | 725,000 | 714,125 | ||||||
CNH Industrial Capital LLC (a) | 1,595,000 | 1,503,288 | ||||||
CNH Industrial Capital LLC | 902,000 | 881,705 |
Principal Amount | Value | |||||||
CNH Industrial Capital LLC | $ | 1,705,000 | $ | 1,794,512 | ||||
Xylem, Inc. | 1,265,000 | 1,324,235 | ||||||
Xylem, Inc. | 585,000 | 634,605 | ||||||
|
| |||||||
6,852,470 | ||||||||
|
| |||||||
Manufacturing — 1.2% | ||||||||
Bombardier, Inc. (a) | 1,750,000 | 1,776,250 | ||||||
Harsco Corp | 7,308,000 | 7,280,595 | ||||||
Ingersoll-Rand Global Holding Co. Ltd. | 960,000 | 1,124,329 | ||||||
Textron, Inc. | 5,000,000 | 5,321,665 | ||||||
Textron, Inc. | 3,000,000 | 3,075,606 | ||||||
|
| |||||||
18,578,445 | ||||||||
|
| |||||||
Media — 0.8% | ||||||||
21st Century Fox America Co. | 525,000 | 674,571 | ||||||
CBS Corp. | 970,000 | 1,314,418 | ||||||
Comcast Corp. | 1,035,000 | 1,320,197 | ||||||
Globo Comunicacao e Participacoes SA (a) | 2,100,000 | 2,157,750 | ||||||
Globo Comunicacao e Participacoes SA STEP (a) | 2,110,000 | 2,175,937 | ||||||
Grupo Televisa SAB | 164,000 | 197,389 | ||||||
NBCUniversal Media LLC | 100,000 | 128,795 | ||||||
Time Warner Cable, Inc. | 655,000 | 841,492 | ||||||
Time Warner Cable, Inc. | 235,000 | 292,686 | ||||||
Time Warner Cable, Inc. | 365,000 | 459,466 | ||||||
Time Warner, Inc. | 900,000 | 984,948 | ||||||
Time Warner, Inc. | 950,000 | 1,101,303 | ||||||
Time Warner, Inc. | 15,000 | 17,689 | ||||||
Viacom, Inc. | 1,188,000 | 1,285,665 | ||||||
|
| |||||||
12,952,306 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
95
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Mining — 0.3% | ||||||||
Freeport-McMoRan, Inc. | $ | 1,210,000 | $ | 1,233,751 | ||||
Freeport-McMoRan, Inc. | 810,000 | 812,056 | ||||||
Vale Overseas Ltd. | 1,626,000 | 1,791,331 | ||||||
Vale Overseas Ltd. | 490,000 | 556,312 | ||||||
Vulcan Materials Co. | 109,000 | 117,720 | ||||||
|
| |||||||
4,511,170 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.2% | ||||||||
Pitney Bowes, Inc. | 1,875,000 | 1,900,609 | ||||||
Pitney Bowes, Inc. | 1,140,000 | 1,195,212 | ||||||
Pitney Bowes, Inc. | 275,000 | 293,751 | ||||||
Pitney Bowes, Inc. | 188,000 | 206,957 | ||||||
|
| |||||||
3,596,529 | ||||||||
|
| |||||||
Office Furnishings — 0.0% | ||||||||
Steelcase, Inc. | 100,000 | 115,731 | ||||||
|
| |||||||
Oil & Gas — 3.1% | ||||||||
Anadarko Petroleum Corp. | 900,000 | 1,096,755 | ||||||
Chesapeake Energy Corp. | 3,350,000 | 3,358,375 | ||||||
Chesapeake Energy Corp., Convertible | 360,000 | 343,575 | ||||||
Chesapeake Energy Corp., Convertible | 3,530,000 | 3,558,681 | ||||||
Conoco, Inc. | 230,000 | 307,023 | ||||||
ConocoPhillips | 675,000 | 883,643 | ||||||
Devon Energy Corp. | 1,145,000 | 1,276,445 | ||||||
Devon Energy Corp. | 660,000 | 763,340 | ||||||
Ecopetrol SA | 290,000 | 307,400 | ||||||
EQT Corp. | 835,000 | 912,365 | ||||||
Motiva Enterprises LLC (a) | 1,285,000 | 1,444,999 | ||||||
Motiva Enterprises LLC (a) | 945,000 | 1,242,934 |
Principal Amount | Value | |||||||
Newfield Exploration Co. | $ | 1,700,000 | $ | 1,772,250 | ||||
Nexen, Inc. | 145,000 | 199,992 | ||||||
Pemex Project Funding Master Trust | 202,000 | 233,815 | ||||||
Petrobras Global Finance BV | 1,480,000 | 1,479,926 | ||||||
Petrobras Global Finance BV | 825,000 | 803,558 | ||||||
Petrobras Global Finance BV | 4,695,000 | 4,751,199 | ||||||
Petrobras International Finance Co. | 1,275,000 | 1,304,963 | ||||||
Petrobras International Finance Co. | 2,210,000 | 2,269,670 | ||||||
Petroleos Mexicanos (a) | 395,000 | 404,875 | ||||||
Petroleos Mexicanos | 1,690,000 | 1,859,845 | ||||||
Petroleos Mexicanos (a) | 640,000 | 723,712 | ||||||
Phillips 66 | 700,000 | 829,514 | ||||||
Pioneer Natural Resources Co. | 1,370,000 | 1,477,377 | ||||||
Pride International, Inc. | 2,000,000 | 2,357,936 | ||||||
Rowan Cos., Inc. | 2,700,000 | 2,804,944 | ||||||
Rowan Cos., Inc. | 1,400,000 | 1,512,651 | ||||||
Shell International Finance BV | 450,000 | 542,238 | ||||||
Talisman Energy, Inc. | 900,000 | 916,144 | ||||||
Transocean, Inc. | 3,455,000 | 3,587,910 | ||||||
Transocean, Inc. | 1,500,000 | 1,598,856 | ||||||
Valero Energy Corp. | 1,145,000 | 1,327,838 | ||||||
|
| |||||||
48,254,748 | ||||||||
|
| |||||||
Oil & Gas Services — 0.9% | ||||||||
Baker Hughes, Inc. | 1,100,000 | 1,225,530 | ||||||
Hornbeck Offshore Services, Inc. | 1,280,000 | 1,252,800 | ||||||
SEACOR Holdings, Inc. (a) | 175,000 | 162,531 | ||||||
SESI LLC | 725,000 | 754,000 |
The accompanying notes are an integral part of the financial statements.
96
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Superior Energy Services, Inc. | $ | 5,789,000 | $ | 6,396,845 | ||||
Weatherford International Ltd. | 1,000,000 | 1,041,113 | ||||||
Weatherford International Ltd. | 1,685,000 | 1,809,882 | ||||||
Weatherford International Ltd. | 725,000 | 815,548 | ||||||
|
| |||||||
13,458,249 | ||||||||
|
| |||||||
Packaging & Containers — 0.0% | ||||||||
Brambles USA Inc., Series A (a) | 685,000 | 767,982 | ||||||
|
| |||||||
Pharmaceuticals — 0.8% | ||||||||
AbbVie, Inc. | 750,000 | 704,602 | ||||||
McKesson Corp. | 660,000 | 657,660 | ||||||
McKesson Corp. | 675,000 | 670,077 | ||||||
McKesson Corp. | 550,000 | 554,617 | ||||||
McKesson Corp. | 850,000 | 946,234 | ||||||
McKesson Corp. | 500,000 | 514,852 | ||||||
McKesson Corp. | 800,000 | 943,599 | ||||||
Merck Sharp & Dohme Corp. | 255,000 | 318,237 | ||||||
Mylan, Inc. (a) | 4,250,000 | 4,635,828 | ||||||
Pfizer, Inc. | 970,000 | 1,369,797 | ||||||
Teva Pharmaceutical Finance Co. LLC | 630,000 | 757,494 | ||||||
Zoetis, Inc. | 625,000 | 611,220 | ||||||
|
| |||||||
12,684,217 | ||||||||
|
| |||||||
Pipelines — 2.0% | ||||||||
Access Midstream Partners LP/ACMP Finance Corp. | 4,270,000 | 4,382,087 | ||||||
Alliance Pipeline LP (a) | 677,445 | 764,230 | ||||||
Boardwalk Pipelines LLC | 914,000 | 983,154 | ||||||
Boardwalk Pipelines LP | 2,670,000 | 2,890,814 | ||||||
CenterPoint Energy Resources Corp. | 650,000 | 710,776 | ||||||
CenterPoint Energy Resources Corp. | 645,000 | 792,784 |
Principal Amount | Value | |||||||
DCP Midstream LLC (a) | $ | 70,000 | $ | 89,635 | ||||
DCP Midstream Operating LLC | 225,000 | 225,273 | ||||||
Duke Energy Field Services LLC (a) | 500,000 | 522,540 | ||||||
El Paso Pipeline Partners Operating Co. LLC | 2,900,000 | 2,994,346 | ||||||
Energy Transfer Partners LP FRN | 2,000,000 | 1,872,500 | ||||||
Enterprise Products Operating LP | 600,000 | 619,359 | ||||||
Enterprise Products Operating LP | 630,000 | 749,889 | ||||||
Gulf South Pipeline Co. LP (a) | 868,000 | 880,011 | ||||||
Kinder Morgan Energy Partners LP | 571,000 | 647,505 | ||||||
Kinder Morgan Energy Partners LP | 65,000 | 75,822 | ||||||
Kinder Morgan Finance Co. LLC (a) | 3,900,000 | 4,246,125 | ||||||
Magellan Midstream Partners LP | 1,125,000 | 1,321,843 | ||||||
ONEOK Partners LP | 600,000 | 618,640 | ||||||
Texas Eastern Transmission LP (a) | 850,000 | 946,654 | ||||||
TransCanada PipeLines Ltd. | 840,000 | 1,008,882 | ||||||
The Williams Cos., Inc. | 830,000 | 784,037 | ||||||
Williams Partners LP | 2,045,000 | 2,270,833 | ||||||
|
| |||||||
30,397,739 | ||||||||
|
| |||||||
Real Estate — 0.1% | ||||||||
AMB Property LP | 1,050,000 | 1,124,691 | ||||||
Post Apartment Homes LP | 600,000 | 583,965 | ||||||
|
| |||||||
1,708,656 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.7% | ||||||||
American Tower Corp. | 1,245,000 | 1,271,979 | ||||||
American Tower Corp. | 3,025,000 | 2,965,719 | ||||||
American Tower Corp. | 1,900,000 | 2,028,286 | ||||||
ARC Properties Operating Partnership LP/Clark Acquisition LLC (a) | 1,530,000 | 1,529,155 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
ARC Properties Operating Partnership LP/Clark Acquisition LLC (a) | $ | 765,000 | $ | 759,502 | ||||
Boston Properties LP | 840,000 | 889,178 | ||||||
Brandywine Operating Partners LP | 1,100,000 | 1,185,643 | ||||||
DDR Corp. | 1,400,000 | 1,510,305 | ||||||
DDR Corp. | 1,600,000 | 1,988,171 | ||||||
DDR Corp. | 1,730,000 | 1,942,020 | ||||||
Duke Realty LP | 1,975,000 | 2,447,424 | ||||||
ERP Operating LP | 600,000 | 654,546 | ||||||
Federal Realty Investment Trust | 455,000 | 528,623 | ||||||
HCP, Inc. | 1,415,000 | 1,394,313 | ||||||
Highwoods Realty LP | 2,600,000 | 2,854,282 | ||||||
ProLogis LP | 610,000 | 616,083 | ||||||
Simon Property Group LP | 225,000 | 258,945 | ||||||
Ventas Realty LP/Ventas Capital Corp. | 800,000 | 833,716 | ||||||
|
| |||||||
25,657,890 | ||||||||
|
| |||||||
Retail — 1.3% | ||||||||
Bed Bath & Beyond, Inc. | 460,000 | 456,098 | ||||||
Bed Bath & Beyond, Inc. | 915,000 | 895,930 | ||||||
CVS Health Corp. | 895,000 | 1,102,540 | ||||||
CVS Pass-Through Trust (a) | 2,246,451 | 2,605,344 | ||||||
El Puerto de Liverpool SAB de CV (a) (c) | 2,975,000 | 2,945,250 | ||||||
The Home Depot, Inc. | 800,000 | 996,622 | ||||||
Macy’s Retail Holdings, Inc. | 860,000 | 990,189 | ||||||
McDonald’s Corp. | 645,000 | 829,689 | ||||||
O’Reilly Automotive, Inc. | 759,000 | 774,501 | ||||||
O’Reilly Automotive, Inc. | 875,000 | 954,406 |
Principal Amount | Value | |||||||
QVC, Inc. | $ | 1,075,000 | $ | 1,078,731 | ||||
QVC, Inc. | 1,140,000 | 1,137,363 | ||||||
QVC, Inc. (a) | 1,225,000 | 1,209,166 | ||||||
QVC, Inc. | 750,000 | 787,942 | ||||||
Tiffany & Co. (a) | 1,140,000 | 1,138,344 | ||||||
Wal-Mart Stores, Inc. | 2,085,000 | 2,527,137 | ||||||
|
| |||||||
20,429,252 | ||||||||
|
| |||||||
Savings & Loans — 0.3% | ||||||||
Glencore Funding LLC (a) | 1,593,000 | 1,603,808 | ||||||
Glencore Funding LLC (a) | 1,841,000 | 1,802,192 | ||||||
Glencore Funding LLC (a) | 1,040,000 | 1,040,624 | ||||||
|
| |||||||
4,446,624 | ||||||||
|
| |||||||
Semiconductors — 0.7% | ||||||||
Applied Materials, Inc. | 1,500,000 | 1,792,347 | ||||||
Intel Corp. | 1,403,000 | 2,352,656 | ||||||
Micron Technology, Inc., Convertible | 1,752,000 | 5,504,565 | ||||||
Micron Technology, Inc., Convertible | 566,000 | 744,290 | ||||||
|
| |||||||
10,393,858 | ||||||||
|
| |||||||
Software — 0.4% | ||||||||
Broadridge Financial Solutions, Inc. | 745,000 | 774,188 | ||||||
CA, Inc. | 835,000 | 846,411 | ||||||
CA, Inc. | 2,115,000 | 2,348,318 | ||||||
Citrix Systems, Inc., Convertible (a) | 2,340,000 | 2,553,525 | ||||||
Microsoft Corp. | 525,000 | 544,677 | ||||||
|
| |||||||
7,067,119 | ||||||||
|
| |||||||
Telecommunications — 2.6% | ||||||||
America Movil SAB de CV | 730,000 | 798,846 | ||||||
America Movil SAB de CV | 760,000 | 884,959 | ||||||
AT&T, Inc. | 1,485,000 | 1,804,236 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
AT&T, Inc. | $ | 1,005,000 | $ | 1,260,342 | ||||
British Telecom PLC | 1,050,000 | 1,648,789 | ||||||
CenturyLink, Inc. | 760,000 | 813,200 | ||||||
Cisco Systems, Inc. | 485,000 | 563,080 | ||||||
Deutsche Telekom International Finance BV | 290,000 | 421,654 | ||||||
Embarq Corp. | 561,000 | 610,977 | ||||||
Embarq Corp. | 200,000 | 216,180 | ||||||
ENTEL Chile SA (a) | 1,400,000 | 1,434,871 | ||||||
Juniper Networks, Inc. | 700,000 | 745,860 | ||||||
Juniper Networks, Inc. | 1,000,000 | 1,092,745 | ||||||
Rogers Communications, Inc. | 160,000 | 215,807 | ||||||
Sprint Communications, Inc. (a) | 2,925,000 | 3,378,375 | ||||||
Telecom Italia Capital | 153,000 | 149,749 | ||||||
Telefonaktiebolaget LM Ericsson | 1,250,000 | 1,304,539 | ||||||
Telefonica Emisiones SAU | 4,000,000 | 4,125,468 | ||||||
Telefonica Emisiones SAU | 1,900,000 | 1,977,123 | ||||||
Telefonica Emisiones SAU | 650,000 | 723,876 | ||||||
Verizon Communications, Inc. (a) | 1,866,000 | 1,842,591 | ||||||
Verizon Communications, Inc. (a) | 1,366,000 | 1,369,867 | ||||||
Verizon Communications, Inc. (a) | 1,222,000 | 1,227,801 | ||||||
Verizon Communications, Inc. | 1,495,000 | 1,655,517 | ||||||
Verizon Communications, Inc. | 1,218,000 | 1,521,759 | ||||||
Verizon Communications, Inc. | 1,180,000 | 1,470,795 | ||||||
Virgin Media Finance PLC | 4,900,000 | 5,118,050 | ||||||
WCP Wireless Site Funding (a) | 1,429,830 | 1,456,260 | ||||||
|
| |||||||
39,833,316 | ||||||||
|
|
Principal Amount | Value | |||||||
Transportation — 0.7% | ||||||||
Asciano Finance (a) | $ | 1,300,000 | $ | 1,323,961 | ||||
Asciano Finance (a) | 845,000 | 894,827 | ||||||
Asciano Finance (a) | 1,650,000 | 1,777,578 | ||||||
Burlington Northern Santa Fe LLC 6.750% 3/15/29 | 1,053,000 | 1,322,266 | ||||||
Con-way, Inc. | 1,760,000 | 2,025,271 | ||||||
CSX Corp. | 733,000 | 926,768 | ||||||
Norfolk Southern Corp. | 116,000 | 112,177 | ||||||
Norfolk Southern Corp. | 19,000 | 20,385 | ||||||
Norfolk Southern Corp. | 500,000 | 600,995 | ||||||
Ryder System, Inc. | 480,000 | 480,659 | ||||||
Union Pacific Corp. | 700,000 | 757,765 | ||||||
|
| |||||||
10,242,652 | ||||||||
|
| |||||||
Trucking & Leasing — 0.6% | ||||||||
GATX Corp. | 1,175,000 | 1,181,983 | ||||||
GATX Corp. | 1,650,000 | 1,718,175 | ||||||
GATX Corp. | 735,000 | 747,892 | ||||||
GATX Corp. | 905,000 | 927,657 | ||||||
GATX Corp. | 1,200,000 | 1,297,242 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 2,025,000 | 2,013,581 | ||||||
TTX Co. (a) | 1,730,000 | 1,806,838 | ||||||
|
| |||||||
9,693,368 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $657,192,419) | 689,806,294 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 1.1% | ||||||||
JobsOhio Beverage System Series B 4.532% 1/01/35 | 5,550,000 | 5,784,765 | ||||||
New York City Municipal Water Finance Authority BAB | 390,000 | 493,159 | ||||||
State of California | 895,000 | 963,897 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
State of California BAB | $ | 505,000 | $ | 736,391 | ||||
State of California BAB | 3,925,000 | 5,803,858 | ||||||
State of Illinois | 2,910,000 | 3,134,245 | ||||||
|
| |||||||
16,916,315 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $16,303,836) | 16,916,315 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 18.6% | ||||||||
Automobile ABS — 0.8% | ||||||||
American Credit Acceptance Receivables Trust, Series 2014-3, Class A (a) | 3,526,204 | 3,524,337 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A (a) | 1,600,000 | 1,584,641 | ||||||
Capital Automotive REIT, Series 2012-1A, Class A (a) | 1,801,390 | 1,858,513 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 2,276,035 | 2,264,369 | ||||||
CPS Auto Trust, Series 2014-A, Class A (a) | 1,552,728 | 1,550,699 | ||||||
CPS Auto Trust, Series 2011-B, Class A (a) | 443,579 | 452,003 | ||||||
Rental Car Finance Corp., Series 2011-1A, Class A1 (a) | 983,333 | 986,796 | ||||||
|
| |||||||
12,221,358 | ||||||||
|
| |||||||
Commercial MBS — 6.0% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4 VRN | 2,177,056 | 2,382,725 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM VRN | 1,445,000 | 1,604,397 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR7, Class A3 VRN | 742,584 | 749,539 |
Principal Amount | Value | |||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class A4 | $ | 2,790,000 | $ | 2,992,947 | ||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class AM | 1,295,000 | 1,388,930 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class A4 VRN | 750,000 | 813,227 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM VRN | 2,765,000 | 2,949,477 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4 VRN | 1,000,000 | 1,097,871 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 | 2,150,000 | 2,364,000 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AM VRN | 1,170,000 | 1,284,446 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW12, Class AM VRN | 2,375,000 | 2,526,437 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class AM VRN | 1,660,000 | 1,845,578 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5 | 2,176,000 | 2,266,816 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class AM VRN | 1,320,000 | 1,448,095 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, CMO, VRN | 1,256,096 | 1,331,906 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2007-C9, | 3,693,000 | 4,074,557 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (a) | $ | 1,100,000 | $ | 1,153,338 | ||||
DBRR Trust, Series 2013-EZ3, | 1,938,281 | 1,948,275 | ||||||
DBUBS Mortgage Trust, Series 2011-LC2A, Class A2 (a) | 2,160,000 | 2,234,929 | ||||||
DBUBS Mortgage Trust, Series 2011-LC3A, Class A2 | 1,600,000 | 1,667,431 | ||||||
DBUBS Mortgage Trust, Series 2011-LC1A, Class A1 (a) | 674,745 | 696,764 | ||||||
DBUBS Mortgage Trust, Series 2011-LC1A, Class B VRN (a) | 860,000 | 969,729 | ||||||
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, | 3,734,889 | 3,964,467 | ||||||
GS Mortgage Securities Corp., Series 2014-4R, Class AS | 1,985,000 | 1,901,828 | ||||||
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (a) | 800,000 | 880,187 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2011-C4, Class A2 (a) | 644,944 | 666,004 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class AM | 200,000 | 204,299 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4 | 3,000,000 | 3,194,316 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class AM | 1,675,000 | 1,798,128 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4 VRN | 319,090 | 333,543 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4 VRN | 1,579,636 | 1,673,302 |
Principal Amount | Value | |||||||
ML-CFC Commercial Mortgage Trust, Series 2006-3, Class AM VRN | $ | 1,315,000 | $ | 1,405,463 | ||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM VRN | 1,800,000 | 1,979,671 | ||||||
Morgan Stanley Capital I, Series 2011-C2, Class B VRN (a) | 825,000 | 904,156 | ||||||
Morgan Stanley Capital I, Series 2006-IQ12, Class A4 | 1,097,706 | 1,174,831 | ||||||
Morgan Stanley Capital I, Series 2006-IQ12, Class AM | 1,525,000 | 1,641,124 | ||||||
Morgan Stanley Capital I, Series 2007-IQ14, Class A2 | 895,162 | 902,803 | ||||||
Morgan Stanley Capital I, Series 2008-T29, Class A4 VRN | 1,375,000 | 1,544,186 | ||||||
STRIPs Ltd., Series 2012-1A, Class A (a) | 1,206,106 | 1,194,045 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3 VRN | 319,014 | 321,068 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ VRN | 1,525,000 | 1,582,862 | ||||||
VFC LLC, Series 2014-2, Class A (Acquired 7/9/14, Cost $1,500,000) (a) (d) | 1,186,110 | 1,186,159 | ||||||
VNO Mortgage Trust, Series 2013-PENN, Class A (a) | 1,610,000 | 1,687,085 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, | 2,220,000 | 2,337,311 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, | 2,450,000 | 2,556,125 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 4,525,000 | 4,837,953 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, | 1,530,000 | 1,662,282 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, | $ | 1,250,000 | $ | 1,320,840 | ||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, | 2,168,562 | 2,342,330 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, | 1,775,000 | 1,938,637 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, | 1,345,000 | 1,432,506 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (a) | 478,977 | 498,067 | ||||||
Wells Fargo Reremic Trust, Series 2012-IO, Class A (a) | 938,101 | 938,523 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A2 (a) | 1,997,629 | 2,056,296 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A2 (a) | 1,225,000 | 1,262,339 | ||||||
|
| |||||||
93,114,150 | ||||||||
|
| |||||||
Home Equity ABS — 2.2% | ||||||||
Aames Mortgage Investment Trust, Series 2004-1, Class M5 FRN | 2,906,656 | 2,743,821 | ||||||
ACE Securities Corp., | 546,058 | 541,425 | ||||||
ACE Securities Corp., | 166,760 | 166,686 | ||||||
Ameriquest Mortgage Securities, Inc., Series 2005-R10, Class A2B FRN | 32,243 | 31,912 | ||||||
Ameriquest Mortgage Securities, Inc., Series 2004-R11, Class A2 FRN | 131,219 | 131,154 | ||||||
Asset-Backed Funding Certificates, Series 2005-WMC1, Class M1 FRN | 569,354 | 564,141 | ||||||
Bayview Financial Mortgage Pass-Through Trust, Series 2005-B, | 1,770,000 | 1,734,682 |
Principal Amount | Value | |||||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-HE2, Class A FRN (a) | $ | 135,815 | $ | 135,473 | ||||
Citigroup Mortgage Loan Trust, Inc., Series 2003-HE4, Class A FRN (a) | 319,840 | 319,202 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-OPT4, Class M2 FRN | 650,624 | 632,924 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-3, Class MV2 FRN | 739,176 | 722,052 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A FRN | 254,614 | 252,915 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-6, Class M1 FRN | 280,469 | 279,003 | ||||||
Countrywide Partnership Trust, Series 2004-EC1, Class M1 FRN | 773,329 | 704,557 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2006-RP2, Class A2 FRN (a) | 650,537 | 647,751 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1 FRN | 2,053,858 | 2,001,549 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF7, Class M1 FRN | 1,934,289 | 1,894,975 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF2, Class M3 FRN | 1,190,000 | 1,114,323 | ||||||
Fremont Home Loan Trust, | 628,368 | 609,873 | ||||||
GSAMP Trust, Series 2005-HE5, Class M1 FRN | 880,000 | 827,780 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1 FRN | 542,068 | 516,275 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A3 FRN | 534,085 | 527,278 | ||||||
Home Equity Asset Trust, Series 2005-4, Class M2 FRN | 402,939 | 401,015 | ||||||
Lake Country Mortgage Loan Trust, Series 2005-HE1, Class M1 FRN (a) | 839,410 | 832,862 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Long Beach Mortgage Loan Trust, Series 2005-3, Class 2A2 FRN | $ | 13,495 | $ | 13,495 | ||||
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2 FRN | 1,576,342 | 1,510,302 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2 FRN | 2,669,362 | 2,568,941 | ||||||
MASTR Asset-Backed Securities Trust, Series 2005-WMC1, Class M3 FRN | 2,070,000 | 1,919,702 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M1 FRN (a) | 1,980,437 | 1,951,922 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M2 FRN (a) | 1,300,000 | 1,207,622 | ||||||
Morgan Stanley Capital, Inc., Series 2005-WMC6, Class M2 FRN | 1,678,351 | 1,661,488 | ||||||
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6 STEP | 617 | 619 | ||||||
Nomura Home Equity Loan, Inc., Series 2005-FM1, Class M1 FRN | 56,814 | 56,574 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A FRN | 957,289 | 953,896 | ||||||
Park Place Securities, Inc., Series 2005-WCW3, Class A2C FRN | 805,622 | 795,018 | ||||||
Park Place Securities, Inc., Series 2005-WHQ1, Class M2 FRN | 696,884 | 686,636 | ||||||
Residential Asset Mortgage Products, Inc., Series 2005-EFC5, | 1,795,000 | 1,720,723 | ||||||
Residential Asset Securities Corp., Series 2005-KS12, Class A2 FRN | 15,796 | 15,784 | ||||||
Specialty Underwriting & Residential Finance, Series 2005-AB1, Class A1C FRN | 128,206 | 128,154 | ||||||
Structured Asset Investment Loan Trust, Series 2005-7, Class A5 FRN | 621,348 | 618,256 | ||||||
|
| |||||||
34,142,760 | ||||||||
|
|
Principal Amount | Value | |||||||
Other ABS — 6.4% | ||||||||
AIMCO CLO Ltd., Series 2014-AA, | $ | 2,500,000 | $ | 2,504,992 | ||||
Alterna Funding I LLC, Series 2014-1A, | 2,144,469 | 2,139,108 | ||||||
Apidos CLO XV, Series 2013-15A, | 1,000,000 | 994,539 | ||||||
Applebee’s/IHOP Funding LLC, Series 2014-1, Class A2 (a) | 2,800,000 | 2,773,378 | ||||||
ARL Second LLC, Series 2014-1A, Class A1 (a) | 1,266,551 | 1,260,724 | ||||||
Ascentium Equipment Receivables LLC, | 1,350,000 | 1,348,772 | ||||||
Avery Point CLO Ltd., Series 2014-5A, | 2,500,000 | 2,497,192 | ||||||
Avery Point III CLO Ltd., | 1,400,000 | 1,393,505 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (a) | 1,169,168 | 1,167,414 | ||||||
Birchwood Park CLO Ltd., | 2,415,000 | 2,414,981 | ||||||
Blue Hill CLO Ltd., Series 2013-1A, Class A FRN (a) | 1,400,000 | 1,400,500 | ||||||
BlueMountain CLO Ltd., | 1,100,000 | 1,087,773 | ||||||
BlueMountain CLO Ltd., | 725,000 | 723,772 | ||||||
Cajun Global LLC, Series 2011-1A, Class A2 (a) | 520,909 | 536,390 | ||||||
Carlyle Global Market Strategies, Series 2014-1A, Class A FRN (a) | 3,765,000 | 3,767,884 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) | 434,988 | 442,165 | ||||||
CLI Funding LLC, Series 2006-1A, | 1,277,706 | 1,274,154 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
CLI Funding V LLC, Series 2014-1A, Class A (a) | $ | 1,873,563 | $ | 1,860,690 | ||||
Consumers Securitization Funding LLC, Series 2014-A, Class A2 | 1,300,000 | 1,304,060 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) | 3,169,300 | 3,338,724 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (a) | 1,015,897 | 1,049,251 | ||||||
Eaton Vance CLO, Series 2014-1A, Class A FRN (a) | 3,300,000 | 3,296,353 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (a) | 3,196,084 | 3,190,591 | ||||||
Galaxy XII CLO Ltd., Series 2012-12A, Class A FRN (a) | 1,150,000 | 1,147,524 | ||||||
Global Container Assets Ltd., Series 2013-1A, Class A1 (a) | 1,612,945 | 1,622,647 | ||||||
Global SC Finance II SRL, Series 2014-1A, Class A1 (a) | 1,593,000 | 1,581,625 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A FRN (a) | 4,060,000 | 4,009,112 | ||||||
Henderson Receivables II LLC, Series 2014-2A, Class A (a) | 1,830,000 | 1,821,106 | ||||||
Hercules Capital Funding Trust, Series 2012-1A, Class A (a) | 653,057 | 655,098 | ||||||
HFG Healthco-4 LLC, Series 2011-1A, Class A FRN (a) | 2,125,000 | 2,157,723 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) | 1,019,612 | 1,025,072 | ||||||
Icon Brand Holdings LLC, Series 2012-1A, Class A (a) | 2,078,795 | 2,084,908 | ||||||
ING Investment Management CLO Ltd., Series 2012-3A, Class A FRN (a) | 700,000 | 699,948 | ||||||
ING Investment Management CLO Ltd., Series 2013-3A, Class A1 FRN (a) | 2,025,000 | 2,023,682 |
Principal Amount | Value | |||||||
LCM Ltd., Series 10AR, | $ | 3,500,000 | $ | 3,499,944 | ||||
LCM Ltd., Series 16A, Class A FRN (a) | 3,200,000 | 3,201,123 | ||||||
Madison Park Funding XII Ltd., Series 2014-12A, Class A FRN (a) | 3,200,000 | 3,197,578 | ||||||
Marriott Vacation Club Owner Trust, Series 2012-1A, Class A (a) | 1,203,584 | 1,218,374 | ||||||
New York City Tax Lien, Series 2012-AA, Class A (a) | 291,603 | 291,322 | ||||||
Nomad CLO Ltd., Series 2013-1A, Class A1 FRN (a) | 2,575,000 | 2,550,625 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A FRN (a) | 2,410,000 | 2,376,219 | ||||||
OHA Loan Funding Ltd., Series 2013-1A, Class A FRN (a) | 1,930,000 | 1,912,462 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) | 828,687 | 828,569 | ||||||
PFS Financing Corp., Series 2011-BA, Class A FRN (a) | 600,000 | 599,691 | ||||||
Race Point CLO Ltd., Series 2012-7A, Class A FRN (a) | 1,300,000 | 1,297,648 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class A FRN (a) | 700,000 | 694,236 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-1A, Class A (a) | 1,480,144 | 1,479,944 | ||||||
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (a) | 388,751 | 395,414 | ||||||
Sierra Receivables Funding Co. LLC, Series 2011-1A, Class A (a) | 830,513 | 849,418 | ||||||
Sonic Capital LLC, Series 2011-1A, Class A2 (a) 5.438% 5/20/41 | 1,848,962 | 1,970,360 | ||||||
SpringCastle America Funding LLC, Series 2014-AA, Class A (a) (c) | 3,900,000 | 3,899,744 | ||||||
Springleaf Funding Trust, Series 2013-AA, Class A (a) | 1,625,000 | 1,636,471 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Structured Receivables Finance LLC, Series 2010-B, Class A (a) | $ | 579,772 | $ | 599,741 | ||||
SVO VOI Mortgage Corp., Series 2012-AA, Class A (a) | 1,936,893 | 1,926,174 | ||||||
TAL Advantage LLC, | 380,000 | 376,638 | ||||||
Trafigura Securitisation Finance PLC, Series 2012-1A, Class A FRN (a) | 2,419,000 | 2,437,447 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) | 1,089,991 | 1,143,844 | ||||||
Westgate Resorts LLC, Series 2012-2A, Class A (a) | 587,664 | 591,514 | ||||||
|
| |||||||
99,569,857 | ||||||||
|
| |||||||
Student Loans ABS — 2.9% | ||||||||
Access Group, Inc., Series 2007-A, Class A2 FRN | 273,977 | 273,034 | ||||||
Access Group, Inc., Series 2005-2, Class A3 FRN | 1,189,721 | 1,183,237 | ||||||
Access Group, Inc., Series 2003-A, Class A3 FRN | 1,065,745 | 979,844 | ||||||
College Loan Corp. Trust, | 1,200,000 | 996,000 | ||||||
College Loan Corp. Trust, Series 2007-1, Class B2 FRN | 2,075,000 | 1,743,000 | ||||||
College Loan Corp. Trust I, Series 2002-2, Class A29 FRN (a) | 950,000 | 931,640 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A5 FRN | 2,475,000 | 2,444,199 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A6 FRN | 1,700,000 | 1,672,120 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A4 FRN | 2,600,000 | 2,593,500 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN | 1,000,000 | 943,240 |
Principal Amount | Value | |||||||
Education Loan Asset-Backed Trust I, Series 2003-1, Class A2 FRN (a) | $ | 1,300,000 | $ | 1,238,804 | ||||
Education Loan Asset-Backed Trust I, Series 2003-2, Class 2A1 FRN (a) | 1,950,000 | 1,880,178 | ||||||
GCO Education Loan Funding Trust, Series 2006-2A, Class A2L FRN (a) | 400,800 | 400,024 | ||||||
Goal Capital Funding Trust, Series 2006-1, Class A3 FRN | 1,378,465 | 1,372,648 | ||||||
Higher Education Funding I, Series 2004-1, Class B2 FRN (a) | 600,000 | 493,561 | ||||||
Higher Education Funding I, Series 2004-1, Class B1 FRN (a) | 600,000 | 511,118 | ||||||
Mississippi Higher Education Assistance Corp., Series 2014-1, Class A1 FRN | 2,265,767 | 2,269,873 | ||||||
Nelnet Student Loan Trust, Series 2014-6A, Class A FRN (a) | 4,165,251 | 4,143,033 | ||||||
Nelnet Student Loan Trust, Series 2010-4A, Class A FRN (a) | 701,073 | 707,036 | ||||||
Nelnet Student Loan Trust, Series 2014-5A, Class B FRN (a) | 1,200,000 | 1,076,014 | ||||||
Nelnet Student Loan Trust, Series 2014-3A, Class B FRN (a) | 850,000 | 787,162 | ||||||
Northstar Education Finance, Inc., Series 2006-A, Class A3 FRN | 550,210 | 549,516 | ||||||
SLC Student Loan Trust, Series 2006-A, Class A5 FRN | 4,231,693 | 4,204,826 | ||||||
SLC Student Loan Trust, Series 2006-A, Class B FRN | 697,000 | 662,224 | ||||||
SLM Private Education Loan Trust, Series 2013-R1, Class A FRN (a) | 1,054,831 | 1,065,250 | ||||||
SLM Student Loan Trust, Series 2003-10A, Class A1G FRN (a) | 100,000 | 99,969 | ||||||
SLM Student Loan Trust, Series 2003-10A, Class A1B FRN (a) | 100,000 | 99,969 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2003-10A, Class A1A FRN (a) | $ | 100,000 | $ | 99,969 | ||||
SLM Student Loan Trust, Series 2003-10A, Class A1F FRN (a) | 100,000 | 99,969 | ||||||
SLM Student Loan Trust, Series 2007-3, Class B FRN 0.384% 1/25/28 | 2,600,000 | 2,279,106 | ||||||
SLM Student Loan Trust, Series 2013-2, Class B FRN | 1,970,000 | 1,962,335 | ||||||
SLM Student Loan Trust, Series 2003-2, Class A7 FRN | 600,000 | 600,000 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7 FRN | 450,000 | 436,949 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class A2 FRN | 2,030,000 | 2,020,798 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class B FRN | 1,300,000 | 1,225,132 | ||||||
US Education Loan Trust LLC, Series 2006-1, Class A2 FRN (a) | 410,928 | 410,459 | ||||||
|
| |||||||
44,455,736 | ||||||||
|
| |||||||
WL Collateral CMO — 0.2% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7 FRN | 513,843 | 500,676 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1 FRN | 127,658 | 125,785 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1 FRN | 34,172 | 31,016 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1 FRN | 95,772 | 90,322 | ||||||
HSI Asset Securitization Corp. Trust, Series 2005, Class IIA3 FRN | 187,297 | 185,150 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A FRN | 323,760 | 275,764 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2 FRN | 449,865 | 415,357 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA FRN | 48,172 | 44,710 |
Principal Amount | Value | |||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA FRN | $ | 15,889 | $ | 15,867 | ||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A FRN | 1,102 | 1,108 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, | 251,101 | 250,652 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, Class A FRN | 530,849 | 537,538 | ||||||
|
| |||||||
2,473,945 | ||||||||
|
| |||||||
WL Collateral PAC — 0.1% | ||||||||
Structured Asset Securities Corp., Series 2007-BC4, Class A3 FRN | 752,037 | 743,158 | ||||||
Structured Asset Securities Corp., Series 2002-11A, Class 2A1 FRN | 151,369 | 147,153 | ||||||
|
| |||||||
890,311 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $284,509,604) | 286,868,117 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.8% | ||||||||
Brazilian Government International Bond | 700,000 | 744,100 | ||||||
Mexico Government International Bond | 3,050,000 | 3,027,125 | ||||||
Peruvian Government International Bond | 560,000 | 705,600 | ||||||
Poland Government International Bond | 1,260,000 | 1,480,500 | ||||||
Province of Quebec Canada | 540,000 | 764,955 | ||||||
Republic of Brazil International Bond | 1,825,000 | 1,884,312 | ||||||
Republic of Turkey International Bond | 528,000 | 475,200 | ||||||
Republic of Turkey International Bond | 534,000 | 481,668 | ||||||
Republic of Turkey International Bond 6.750% 4/03/18 | 935,000 | 1,035,513 | ||||||
United Mexican States | 1,110,000 | 1,232,100 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
United Mexican States | $ | 950,000 | $ | 1,206,500 | ||||
|
| |||||||
13,037,573 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $12,446,970) | 13,037,573 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 28.3% | ||||||||
Collateralized Mortgage Obligations — 2.2% | ||||||||
Fannie Mae Benchmark REMIC, Series 2007-B2, Class ZA | 1,547,767 | 1,696,328 | ||||||
Federal Home Loan Mortgage Corp. | 6,656,506 | 6,834,057 | ||||||
Series 4290, Class CA | 3,474,040 | 3,619,596 | ||||||
Series 2617, Class Z | 3,626,209 | 4,056,238 | ||||||
Series 2693, Class Z | 6,135,897 | 6,785,527 | ||||||
Series 2178, Class PB | 454,707 | 519,033 | ||||||
Federal National Mortgage Association | 2,050,988 | 2,166,068 | ||||||
Series 2014-48, Class AB | 5,140,635 | 5,471,247 | ||||||
Series 2010-60, Class HJ | 1,398,637 | 1,547,722 | ||||||
Series 1989-20, Class A | 46,365 | 48,507 | ||||||
U.S. Department of Veteran Affairs, Series 1992-1, Class 2Z | 410,983 | 462,793 | ||||||
|
| |||||||
33,207,116 | ||||||||
|
| |||||||
Pass-Through Securities — 26.1% | ||||||||
Federal Home Loan Mortgage Corp. | 616,882 | 650,787 | ||||||
Pool #E84025 6.000% | 19,764 | 20,465 | ||||||
Pool #G11431 6.000% | 6,319 | 6,634 | ||||||
Pool #G11122 6.500% | 16,770 | 17,303 | ||||||
Pool #E84450 6.500% | 9,924 | 10,312 | ||||||
Pool #E84580 6.500% | 7,123 | 7,428 |
Principal Amount | Value | |||||||
Pool #E84660 6.500% | $ | 3,284 | $ | 3,425 | ||||
Pool #C00836 7.000% | 19,824 | 23,045 | ||||||
Pool #C49314 7.000% | 7,779 | 9,043 | ||||||
Pool #C51422 7.000% | 3,904 | 4,542 | ||||||
Pool #C53034 7.000% | 14,604 | 16,951 | ||||||
Pool #G01311 7.000% | 102,698 | 119,111 | ||||||
Pool #G01317 7.000% | 67,852 | 78,698 | ||||||
Pool #E00856 7.500% | 1,803 | 1,834 | ||||||
Pool #G00143 7.500% | 1,275 | 1,458 | ||||||
Pool #C55867 7.500% | 48,084 | 56,359 | ||||||
Pool #C37986 7.500% | 1,902 | 2,260 | ||||||
Pool #C41497 7.500% | 195 | 232 | ||||||
Pool #C43930 7.500% | 3,058 | 3,649 | ||||||
Pool #C43962 7.500% | 5,953 | 7,061 | ||||||
Pool #C44509 7.500% | 15,391 | 18,360 | ||||||
Pool #C44830 7.500% | 28 | 33 | ||||||
Pool #C45235 7.500% | 39,009 | 46,412 | ||||||
Pool #C46038 7.500% | 1,137 | 1,351 | ||||||
Pool #C01116 7.500% | 2,418 | 2,879 | ||||||
Pool #C46309 7.500% | 586 | 699 | ||||||
Pool #C46560 7.500% | 658 | 772 | ||||||
Pool #C46810 7.500% | 712 | 850 | ||||||
Pool #C47060 7.500% | 1,764 | 2,098 | ||||||
Pool #C47063 7.500% | 3,394 | 4,034 | ||||||
Pool #E00842 8.000% | 3,906 | 3,937 | ||||||
Pool #E00843 8.000% | 895 | 907 | ||||||
Pool #E00852 8.000% | 2,528 | 2,569 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Pool #E80782 8.000% | $ | 212 | $ | 217 | ||||
Pool #E80998 8.000% | 1,732 | 1,770 | ||||||
Pool #E81091 8.000% | 3,472 | 3,547 | ||||||
Pool #E81151 8.000% | 4,321 | 4,414 | ||||||
Pool #555481 8.250% | 6,612 | 7,113 | ||||||
Pool #G00653 8.500% | 29,112 | 34,508 | ||||||
Pool #554904 9.000% | 97 | 104 | ||||||
Federal National Mortgage Association | 433,118 | 462,538 | ||||||
Pool #725692 2.271% | 630,523 | 667,936 | ||||||
Pool #888586 2.341% | 1,174,197 | 1,247,237 | ||||||
Pool #890564 3.000% | 4,924,150 | 4,883,949 | ||||||
Pool #AO8629 3.500% | 7,032,993 | 7,203,598 | ||||||
Pool #AP6609 3.500% | 3,454,133 | 3,534,684 | ||||||
Pool #AR8708 3.500% | 1,837,648 | 1,874,760 | ||||||
Pool #AT0998 3.500% | 9,154,282 | 9,339,156 | ||||||
Pool #AT4050 3.500% | 2,388,030 | 2,436,257 | ||||||
Pool #MA1463 3.500% | 5,963,168 | 6,083,596 | ||||||
Pool #675713 5.000% | 8,056 | 8,495 | ||||||
Pool #545636 6.500% | 47,654 | 49,877 | ||||||
Pool #524355 7.000% | 139 | 162 | ||||||
Pool #254379 7.000% | 68,053 | 79,095 | ||||||
Pool #252717 7.500% | 3,952 | 4,678 | ||||||
Pool #535996 7.500% | 15,321 | 18,193 | ||||||
Pool #254009 7.500% | 41,631 | 49,319 | ||||||
Pool #253394 8.000% | 18,211 | 20,361 | ||||||
Pool #323992 8.000% | 3,053 | 3,670 |
Principal Amount | Value | |||||||
Pool #525725 8.000% | $ | 5,674 | $ | 6,771 | ||||
Pool #253266 8.000% | 6,695 | 8,091 | ||||||
Pool #537433 8.000% | 4,180 | 5,066 | ||||||
Pool #253347 8.000% | 9,391 | 11,367 | ||||||
Pool #544976 8.000% | 899 | 1,088 | ||||||
Pool #535428 8.000% | 9,816 | 11,861 | ||||||
Pool #543290 8.000% | 63 | 76 | ||||||
Pool #547786 8.000% | 2,599 | 3,107 | ||||||
Pool #550767 8.000% | 7,522 | 9,071 | ||||||
Pool #553061 8.000% | 13,905 | 16,736 | ||||||
Pool #253481 8.000% | 8,675 | 10,502 | ||||||
Pool #535533 8.000% | 8,723 | 10,543 | ||||||
Pool #560741 8.000% | 3,035 | 3,684 | ||||||
Pool #253644 8.000% | 4,868 | 5,897 | ||||||
Pool #581170 8.000% | 1,625 | 1,955 | ||||||
Pool #583916 8.000% | 5,063 | 6,159 | ||||||
Pool #593848 8.000% | 1,029 | 1,250 | ||||||
Pool #190317 8.000% | 50,139 | 60,583 | ||||||
Pool #545240 8.000% | 5,499 | 6,656 | ||||||
Pool #541202 8.500% | 69,941 | 81,578 | ||||||
Federal National Mortgage Association TBA | 84,725,000 | 85,181,719 | ||||||
Pool #9768 3.000% | 60,906,000 | 60,025,720 | ||||||
Pool #17115 3.500% | 16,825,000 | 17,194,361 | ||||||
Pool #18388 4.000% | 25,775,000 | 27,162,419 | ||||||
Pool #21133 4.500% | 42,350,000 | 45,694,989 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Government National Mortgage Association | $ | 7,069,824 | $ | 7,325,277 | ||||
Pool #G2MA2149 4.000% | 30,037,699 | 31,929,137 | ||||||
Pool #404246 6.500% | 461 | 529 | ||||||
Pool #781038 6.500% | 108,611 | 124,759 | ||||||
Pool #781468 6.500% | 7,239 | 8,350 | ||||||
Pool #781496 6.500% | 36,315 | 41,930 | ||||||
Pool #363066 7.000% | 7,547 | 8,603 | ||||||
Pool #352049 7.000% | 3,787 | 4,296 | ||||||
Pool #354674 7.000% | 6,531 | 7,401 | ||||||
Pool #358555 7.000% | 5,092 | 5,782 | ||||||
Pool #345964 7.000% | 4,203 | 4,764 | ||||||
Pool #380866 7.000% | 1,328 | 1,508 | ||||||
Pool #781124 7.000% | 12,243 | 14,307 | ||||||
Pool #781319 7.000% | 243,405 | 285,947 | ||||||
Pool #565982 7.000% | 16,023 | 18,917 | ||||||
Pool #581417 7.000% | 77,250 | 91,028 | ||||||
Pool #588012 7.000% | 20,532 | 24,223 | ||||||
Pool #591581 7.000% | 11,094 | 13,098 | ||||||
Pool #190766 7.500% | 9,105 | 9,653 | ||||||
Pool #187548 7.500% | 3,616 | 3,869 | ||||||
Pool #203940 7.500% | 16,954 | 18,043 | ||||||
Pool #181168 7.500% | 3,296 | 3,526 | ||||||
Pool #201622 7.500% | 11,691 | 12,509 | ||||||
Pool #192796 7.500% | 2,630 | 2,819 | ||||||
Pool #357262 7.500% | 3,318 | 3,811 |
Principal Amount | Value | |||||||
Pool #441009 8.000% | $ | 1,175 | $ | 1,393 | ||||
Pool #522777 8.000% | 6,541 | 7,871 | ||||||
Pool #434719 8.000% | 103 | 124 | ||||||
Pool #523043 8.000% | 339 | 409 | ||||||
Pool #529134 8.000% | 1,915 | 2,315 | ||||||
Pool #477036 8.000% | 769 | 930 | ||||||
Pool #503157 8.000% | 27,538 | 32,942 | ||||||
Pool #528714 8.000% | 2,017 | 2,439 | ||||||
Pool #544640 8.000% | 24,043 | 29,122 | ||||||
Pool #531298 8.500% | 2,076 | 2,537 | ||||||
Government National Mortgage Association II | 1,972,122 | 2,043,158 | ||||||
Pool #82462 3.500% | 1,654,257 | 1,737,107 | ||||||
Government National Mortgage Association TBA | ||||||||
Pool #548 3.000% | 25,625,000 | 25,791,162 | ||||||
Pool #1367 4.000% | 33,350,000 | 35,374,448 | ||||||
Pool #1523 4.500% | 21,850,000 | 23,702,128 | ||||||
|
| |||||||
403,358,152 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $438,007,313) | 436,565,268 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 5.5% | ||||||||
U.S. Treasury Bonds & Notes — 5.5% | ||||||||
U.S. Treasury Bond (e) (f) | 20,940,000 | 19,184,158 | ||||||
U.S. Treasury Bond | 9,745,000 | 9,126,295 | ||||||
U.S. Treasury Bond | 10,690,000 | 11,031,791 | ||||||
U.S. Treasury Bond | 7,780,000 | 9,602,763 | ||||||
U.S. Treasury Inflation Index | 14,844,810 | 14,683,610 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
U.S. Treasury Note | $ | 11,800,000 | $ | 11,780,641 | ||||
U.S. Treasury Note | 100,000 | 99,625 | ||||||
U.S. Treasury Note | 6,400,000 | 6,326,000 | ||||||
U.S. Treasury Note | 2,720,000 | 2,736,070 | ||||||
|
| |||||||
84,570,953 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $81,975,574) | 84,570,953 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $1,490,435,716) | 1,527,764,520 | |||||||
|
| |||||||
Notional Amount | ||||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Diversified Financial — 0.1% | ||||||||
3-Month USD LIBOR BBA 10 Year Swaption, Call, Expires 4/25/16, Strike 2.50 (OTC — Credit Suisse International); Underlying swap terminates 4/27/26 | $ | 121,765,000 | 1,335,785 | |||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $2,136,520) | 1,335,785 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,495,822,236) | 1,532,284,005 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 21.4% | ||||||||
Commercial Paper — 21.4% | ||||||||
Agrium, Inc. | $ | 4,500,000 | 4,498,683 | |||||
Agrium, Inc. | 6,000,000 | 5,998,192 | ||||||
Agrium, Inc. | 8,250,000 | 8,246,661 | ||||||
Agrium, Inc. | 8,459,000 | 8,456,970 | ||||||
Airgas, Inc. (a) | 7,000,000 | 6,995,769 |
Principal Amount | Value | |||||||
Ameren Corp. | $ | 10,000,000 | $ | 10,000,000 | ||||
BorgWarner, Inc. (a) | 5,000,000 | 4,999,242 | ||||||
Cameron International Corp. (a) | 7,387,000 | 7,383,819 | ||||||
Commonwealth Edison Co. (a) | 5,350,000 | 5,349,741 | ||||||
Commonwealth Edison Co. (a) | 4,150,000 | 4,149,733 | ||||||
Commonwealth Edison Co. (a) | 6,000,000 | 5,998,900 | ||||||
Daimler Finance North America LLC (a) | 10,000,000 | 9,973,333 | ||||||
Duke Energy Corp. (a) | 10,000,000 | 9,984,600 | ||||||
Enbridge, Inc. (a) | 10,350,000 | 10,349,517 | ||||||
Enbridge, Inc. (a) | 13,500,000 | 13,492,440 | ||||||
ERAC USA Finance LLC (a) | 5,000,000 | 4,996,597 | ||||||
ERAC USA Finance LLC (a) | 3,000,000 | 2,999,285 | ||||||
ERAC USA Finance LLC (a) | 5,500,000 | 5,498,649 | ||||||
Experian Finance PLC (a) | 5,000,000 | 4,997,675 | ||||||
Experian Finance PLC (a) | 9,590,000 | 9,585,868 | ||||||
FMC Technologies, Inc. (a) | 13,000,000 | 12,999,292 | ||||||
Glencore Funding LLC (a) | 10,000,000 | 9,997,942 | ||||||
Glencore Funding LLC (a) | 15,500,000 | 15,497,761 | ||||||
Hewlett-Packard Co. (a) | 6,000,000 | 5,998,335 | ||||||
Holcim US Finance SARL & Cie (a) | 3,200,000 | 3,199,803 | ||||||
Holcim US Finance SARL & Cie (a) | 2,500,000 | 2,498,895 | ||||||
Holcim US Finance SARL & Cie (a) | 5,400,000 | 5,396,892 | ||||||
Holcim US Finance SARL & Cie (a) | 6,500,000 | 6,497,050 | ||||||
Marriott International, Inc. (a) | 5,350,000 | 5,349,033 | ||||||
Marriott International, Inc. (a) | 4,905,000 | 4,903,564 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Monsanto Co. (a) | $ | 5,000,000 | $ | 4,997,917 | ||||
Monsanto Co. (a) | 4,350,000 | 4,348,067 | ||||||
Nabors Industries, Inc. (a) | 7,000,000 | 6,995,100 | ||||||
National Grid USA (a) | 9,945,000 | 9,941,519 | ||||||
Noble Corp. (a) | 5,000,000 | 4,997,300 | ||||||
Pall Corp. (a) | 7,000,000 | 7,000,000 | ||||||
Pentair Finance (a) | 10,000,000 | 9,999,275 | ||||||
Plains Midstream (a) | 19,589,000 | 19,588,717 | ||||||
Plains Midstream (a) | 5,150,000 | 5,149,961 | ||||||
Sempra Energy Holdings (a) | 5,000,000 | 4,994,250 | ||||||
Sempra Energy Holdings (a) | 5,000,000 | 4,984,833 | ||||||
Time Warner Cable, Inc. (a) | 4,300,000 | 4,298,567 | ||||||
Vodafone Group PLC (a) | 10,000,000 | 9,971,125 | ||||||
WPP CP LLC (a) | 5,000,000 | 4,994,653 | ||||||
Xcel Energy, Inc. (a) | 5,000,000 | 4,994,722 | ||||||
Xcel Energy, Inc. (a) | 7,500,000 | 7,499,081 | ||||||
|
| |||||||
331,049,328 | ||||||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 147,588 | 147,588 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $331,196,916) | 331,196,916 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 120.7% (Cost $1,827,019,152) (g) | 1,863,480,921 | |||||||
Other Assets/(Liabilities) — (20.7)% | (319,010,585 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,544,470,336 | ||||||
|
|
Notes to Portfolio of Investments
ABS | Asset-Backed Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
PAC | Planned Amortization Class |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, these securities amounted to a value of $568,375,500 or 36.80% of net assets. |
(b) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At September 30, 2014, these securities amounted to a value of $72,501 or 0.00% of net assets. |
(c) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(d) | Restricted security. Certain securities are restricted as to resale. At September 30, 2014, these securities amounted to a value of $1,186,159 or 0.08% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(e) | A portion of this security is held as collateral for open futures contracts. (Note 2). |
(f) | All or a portion of this security is held as collateral for open swap agreements. (Note 2). |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 0.3% | ||||||||
COMMON STOCK — 0.1% | ||||||||
Basic Materials — 0.1% | ||||||||
Forest Products & Paper — 0.1% | ||||||||
The Newark Group, Inc. (a) (b) | 26,904 | $ | 180,956 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $165,688) | 180,956 | |||||||
|
| |||||||
PREFERRED STOCK — 0.2% | ||||||||
Financial — 0.2% | ||||||||
Insurance — 0.2% | ||||||||
The Allstate Corp. 5.100% | 10,000 | 244,900 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $250,000) | 244,900 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $415,688) | 425,856 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 98.4% | ||||||||
CORPORATE DEBT — 42.0% | ||||||||
Advertising — 0.3% | ||||||||
Omnicom Group, Inc. | $ | 150,000 | 152,206 | |||||
WPP Finance 2010 | 225,000 | 244,457 | ||||||
|
| |||||||
396,663 | ||||||||
|
| |||||||
Aerospace & Defense — 0.6% | ||||||||
AAR Corp. | 190,000 | 204,250 | ||||||
Alliant Techsystems, Inc. (c) | 435,000 | 436,087 | ||||||
BE Aerospace, Inc. | 125,000 | 133,438 | ||||||
United Technologies Corp. | 105,000 | 133,462 | ||||||
|
| |||||||
907,237 | ||||||||
|
| |||||||
Agriculture — 0.2% | ||||||||
Altria Group, Inc. | 110,000 | 105,362 | ||||||
Altria Group, Inc. | 50,000 | 45,340 | ||||||
Bunge Ltd. Finance Corp. | 65,000 | 67,322 | ||||||
|
| |||||||
218,024 | ||||||||
|
|
Principal Amount | Value | |||||||
Airlines — 0.1% | ||||||||
American Airlines Pass Equipment Through Trust, Series 2014-1, Class B | $ | 25,000 | $ | 25,312 | ||||
American Airlines Pass Through Trust, Series 2014-1, Class A | 65,000 | 65,244 | ||||||
United Airlines Pass-Through Trust, Series 2014-1, Class A | 60,000 | 60,300 | ||||||
|
| |||||||
150,856 | ||||||||
|
| |||||||
Auto Manufacturers — 0.4% | ||||||||
Ford Motor Co. | 100,000 | 115,563 | ||||||
Ford Motor Co. | 200,000 | 264,065 | ||||||
Hyundai Capital America (c) | 145,000 | 144,896 | ||||||
Hyundai Capital America (c) | 80,000 | 80,629 | ||||||
|
| |||||||
605,153 | ||||||||
|
| |||||||
Automotive & Parts — 0.6% | ||||||||
Cooper Tire & Rubber Co. | 280,000 | 312,200 | ||||||
International Automotive Components Group SA (c) | 9,000 | 9,495 | ||||||
Meritor, Inc. | 185,000 | 192,400 | ||||||
Meritor, Inc., Convertible | 115,000 | 166,247 | ||||||
TRW Automotive, Inc. (c) | 85,000 | 85,850 | ||||||
TRW Automotive, Inc. (c) | 100,000 | 110,000 | ||||||
|
| |||||||
876,192 | ||||||||
|
| |||||||
Banks — 3.3% | ||||||||
Bank of America Corp. | 165,000 | 170,968 | ||||||
Bank of America Corp. | 165,000 | 166,720 | ||||||
Bank of America Corp. | 30,000 | 33,369 | ||||||
Bank of America Corp. | 55,000 | 65,902 | ||||||
Bank of America Corp. | 115,000 | 128,207 | ||||||
Bank of America Corp. | 850,000 | 1,026,848 | ||||||
Barclays PLC | 200,000 | 193,832 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Credit Suisse AG | $ | 130,000 | $ | 145,005 | ||||
Deutsche Bank AG | 105,000 | 104,959 | ||||||
Discover Bank | 600,000 | 709,837 | ||||||
First Horizon National Corp. | 274,000 | 287,174 | ||||||
FirstMerit Corp. | 35,000 | 36,267 | ||||||
HSBC Holdings PLC | 125,000 | 153,778 | ||||||
ICICI Bank Ltd. (c) | 275,000 | 289,659 | ||||||
ICICI Bank Ltd. (c) | 475,000 | 484,519 | ||||||
JP Morgan Chase & Co. | 140,000 | 137,248 | ||||||
KFW | 270,000 | 261,923 | ||||||
PNC Funding Corp. | 105,000 | 114,467 | ||||||
SVB Financial Group | 35,000 | 39,152 | ||||||
Valley National Bancorp | 110,000 | 115,966 | ||||||
Wells Fargo & Co. | 145,000 | 152,905 | ||||||
Wells Fargo & Co. | 25,000 | 27,379 | ||||||
|
| |||||||
4,846,084 | ||||||||
|
| |||||||
Beverages — 0.3% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 250,000 | 379,100 | ||||||
Fomento Economico Mexicano SAB de CV | 35,000 | 32,563 | ||||||
|
| |||||||
411,663 | ||||||||
|
| |||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc. | 175,000 | 184,707 | ||||||
|
| |||||||
Building Materials — 0.1% | ||||||||
CRH America, Inc. | 95,000 | 114,693 | ||||||
|
| |||||||
Chemicals — 2.3% | ||||||||
Ashland, Inc. | 210,000 | 210,525 | ||||||
CF Industries, Inc. | 28,000 | 27,448 | ||||||
CF Industries, Inc. | 340,000 | 355,807 |
Principal Amount | Value | |||||||
Cytec Industries, Inc. | $ | 30,000 | $ | 29,399 | ||||
Cytec Industries, Inc. | 175,000 | 207,683 | ||||||
The Dow Chemical Co. | 100,000 | 125,683 | ||||||
Hercules, Inc., Convertible | 150,000 | 137,063 | ||||||
Incitec Pivot Finance LLC (c) | 50,000 | 56,218 | ||||||
Incitec Pivot Ltd. (c) | 475,000 | 489,939 | ||||||
LYB International Finance BV | 250,000 | 269,312 | ||||||
Methanex Corp. | 40,000 | 43,964 | ||||||
Nexeo Solutions LLC/Nexeo Solutions Finance Corp. | 50,000 | 49,500 | ||||||
RPM International, Inc. | 650,000 | 742,099 | ||||||
RPM International, Inc. | 75,000 | 84,947 | ||||||
Tronox Finance LLC | 340,000 | 341,275 | ||||||
Valspar Corp. | 150,000 | 178,688 | ||||||
|
| |||||||
3,349,550 | ||||||||
|
| |||||||
Commercial Services — 0.3% | ||||||||
Cardtronics, Inc., Convertible (c) | 100,000 | 95,937 | ||||||
Donnelley (R.R.) & Sons Co. | 67,000 | 68,508 | ||||||
ERAC USA Finance LLC (c) | 25,000 | 25,580 | ||||||
ERAC USA Finance LLC (c) | 75,000 | 74,331 | ||||||
ERAC USA Finance LLC (c) | 50,000 | 66,039 | ||||||
The Western Union Co. | 80,000 | 87,229 | ||||||
|
| |||||||
417,624 | ||||||||
|
| |||||||
Computers — 0.5% | ||||||||
Apple, Inc. | 105,000 | 99,285 | ||||||
Apple, Inc. | 50,000 | 46,362 | ||||||
EMC Corp. | 135,000 | 132,479 | ||||||
Hewlett-Packard Co. | 90,000 | 91,255 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Hewlett-Packard Co. | $ | 125,000 | $ | 127,095 | ||||
SanDisk Corp., Convertible (c) | 143,000 | 171,153 | ||||||
|
| |||||||
667,629 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.0% | ||||||||
Avon Products, Inc. | 55,000 | 59,188 | ||||||
|
| |||||||
Distribution & Wholesale — 0.1% | ||||||||
Arrow Electronics, Inc. | 45,000 | 46,122 | ||||||
Arrow Electronics, Inc. | 45,000 | 46,482 | ||||||
|
| |||||||
92,604 | ||||||||
|
| |||||||
Diversified Financial — 4.6% | ||||||||
Affiliated Managers Group, Inc. | 245,000 | 251,514 | ||||||
Air Lease Corp. | 175,000 | 177,188 | ||||||
Air Lease Corp. | 125,000 | 126,250 | ||||||
Air Lease Corp. | 40,000 | 43,150 | ||||||
Ally Financial, Inc. | 495,000 | 485,100 | ||||||
American Express Co. VRN | 5,000 | 5,338 | ||||||
Citigroup, Inc. | 60,000 | 69,721 | ||||||
Citigroup, Inc. | 75,000 | 90,392 | ||||||
Citigroup, Inc. | 76,000 | 94,997 | ||||||
Eaton Vance Corp. | 43,000 | 43,021 | ||||||
Eaton Vance Corp. | 25,000 | 28,327 | ||||||
Ford Motor Credit Co. LLC | 200,000 | 206,415 | ||||||
Ford Motor Credit Co. LLC | 150,000 | 160,607 | ||||||
General Electric Capital Corp. | 250,000 | 336,471 | ||||||
The Goldman Sachs Group, Inc. | 130,000 | 131,052 | ||||||
The Goldman Sachs Group, Inc. | 35,000 | 42,393 | ||||||
The Goldman Sachs Group, Inc. | 40,000 | 45,471 | ||||||
The Goldman Sachs Group, Inc. | 40,000 | 47,751 |
Principal Amount | Value | |||||||
Guanay Finance Ltd. (c) | $ | 250,000 | $ | 265,313 | ||||
Hyundai Capital America (c) | 80,000 | 80,550 | ||||||
Hyundai Capital America (c) | 60,000 | 61,461 | ||||||
IntercontinentalExchange Group, Inc. | 125,000 | 130,367 | ||||||
International Lease Finance Corp. | 200,000 | 213,000 | ||||||
Janus Capital Group, Inc. | 525,000 | 587,551 | ||||||
JP Morgan Chase & Co. | 145,000 | 154,992 | ||||||
JP Morgan Chase & Co. | 175,000 | 187,500 | ||||||
Lazard Group LLC | 915,000 | 956,558 | ||||||
Lazard Group LLC | 135,000 | 152,106 | ||||||
Legg Mason, Inc. | 125,000 | 136,036 | ||||||
Merrill Lynch & Co., Inc. | 125,000 | 168,909 | ||||||
Morgan Stanley | 200,000 | 208,384 | ||||||
Morgan Stanley | 150,000 | 153,981 | ||||||
Morgan Stanley | 80,000 | 78,625 | ||||||
Morgan Stanley | 60,000 | 68,172 | ||||||
Morgan Stanley | 600,000 | 687,134 | ||||||
Stifel Financial Corp. | 70,000 | 70,399 | ||||||
|
| |||||||
6,746,196 | ||||||||
|
| |||||||
Electric — 1.4% | ||||||||
Berkshire Hathaway Energy | 120,000 | 146,780 | ||||||
Elwood Energy LLC | 283,200 | 316,476 | ||||||
Florida Power & Light Co. | 65,000 | 74,343 | ||||||
Georgia Power Co. | 63,000 | 62,957 | ||||||
LG&E and KU Energy LLC | 250,000 | 268,964 | ||||||
Metropolitan Edison Co. (c) | 105,000 | 105,160 | ||||||
National Fuel Gas Co. | 55,000 | 54,459 |
The accompanying notes are an integral part of the financial statements.
114
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
NiSource Finance Corp. | $ | 90,000 | $ | 91,564 | ||||
Pacific Gas & Electric Co. | 160,000 | 192,114 | ||||||
Pennsylvania Electric Co. (c) | 150,000 | 150,048 | ||||||
PPL Capital Funding, Inc. | 90,000 | 97,237 | ||||||
Southern California Edison Co. | 60,000 | 74,955 | ||||||
Tenaska Oklahoma I LP (c) | 10,216 | 10,224 | ||||||
Transelec SA (c) | 75,000 | 77,316 | ||||||
Tri-State Generation & Transmission Association, Series 2003, Class A (c) | 52,724 | 56,040 | ||||||
Tri-State Generation & Transmission Association, Series 2003, Class B (c) | 185,000 | 224,116 | ||||||
|
| |||||||
2,002,753 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.2% | ||||||||
Anixter, Inc. | 10,000 | 10,150 | ||||||
Legrand France SA | 250,000 | 343,200 | ||||||
|
| |||||||
353,350 | ||||||||
|
| |||||||
Electronics — 0.3% | ||||||||
Agilent Technologies, Inc. | 73,000 | 73,090 | ||||||
Amphenol Corp. | 100,000 | 100,649 | ||||||
Avnet, Inc. | 67,000 | 70,769 | ||||||
Jabil Circuit, Inc. | 45,000 | 52,312 | ||||||
PerkinElmer, Inc. | 125,000 | 134,637 | ||||||
|
| |||||||
431,457 | ||||||||
|
| |||||||
Engineering & Construction — 0.4% | ||||||||
Odebrecht Offshore Drilling Finance Ltd. (c) | 488,050 | 502,691 | ||||||
Zachry Holdings, Inc. (c) | 79,000 | 80,975 | ||||||
|
| |||||||
583,666 | ||||||||
|
| |||||||
Foods — 0.6% | ||||||||
ConAgra Foods, Inc. | 275,000 | 301,299 | ||||||
ConAgra Foods, Inc. | 30,000 | 36,724 |
Principal Amount | Value | |||||||
Delhaize Group | $ | 90,000 | $ | 100,766 | ||||
Tyson Foods, Inc. | 45,000 | 45,084 | ||||||
Tyson Foods, Inc. | 90,000 | 90,158 | ||||||
Tyson Foods, Inc. | 150,000 | 158,975 | ||||||
Tyson Foods, Inc. | 65,000 | 66,899 | ||||||
Tyson Foods, Inc. | 95,000 | 102,789 | ||||||
WM Wrigley Jr. Co. (c) | 35,000 | 35,249 | ||||||
|
| |||||||
937,943 | ||||||||
|
| |||||||
Forest Products & Paper — 0.4% | ||||||||
Celulosa Arauco y Constitucion SA | 200,000 | 202,321 | ||||||
International Paper Co. | 75,000 | 80,823 | ||||||
International Paper Co. | 110,000 | 143,232 | ||||||
Plum Creek Timberlands LP | 105,000 | 100,875 | ||||||
|
| |||||||
527,251 | ||||||||
|
| |||||||
Gas — 0.1% | ||||||||
The Laclede Group, Inc. | 190,000 | 191,389 | ||||||
|
| |||||||
Health Care – Products — 0.2% | ||||||||
Boston Scientific Corp. | 120,000 | 165,974 | ||||||
Teleflex, Inc. | 90,000 | 94,275 | ||||||
|
| |||||||
260,249 | ||||||||
|
| |||||||
Health Care – Services — 0.4% | ||||||||
HCA Holdings, Inc. | 140,000 | 149,625 | ||||||
Kaiser Foundation Hospitals | 65,000 | 65,522 | ||||||
UnitedHealth Group, Inc. | 85,000 | 79,077 | ||||||
UnitedHealth Group, Inc. | 75,000 | 102,682 | ||||||
WellPoint, Inc., Convertible | 100,000 | 164,688 | ||||||
|
| |||||||
561,594 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Whirlpool Corp. | 50,000 | 50,222 |
The accompanying notes are an integral part of the financial statements.
115
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Whirlpool Corp. | $ | 20,000 | $ | 21,194 | ||||
|
| |||||||
71,416 | ||||||||
|
| |||||||
Household Products — 0.1% | ||||||||
Avery Dennison Corp. | 30,000 | 29,157 | ||||||
Jarden Corp., Convertible (c) | 35,000 | 34,891 | ||||||
Jarden Corp., Convertible | 10,000 | 11,756 | ||||||
|
| |||||||
75,804 | ||||||||
|
| |||||||
Housewares — 0.2% | ||||||||
Toro Co. | 170,000 | 215,303 | ||||||
|
| |||||||
Insurance — 3.4% | ||||||||
Aflac, Inc. | 104,000 | 104,748 | ||||||
The Allstate Corp. | 50,000 | 58,829 | ||||||
The Allstate Corp. VRN | 790,000 | 841,350 | ||||||
Arch Capital Group US, Inc. | 80,000 | 85,807 | ||||||
AXIS Specialty Finance PLC | 45,000 | 45,149 | ||||||
Brown & Brown, Inc. | 190,000 | 191,016 | ||||||
The Chubb Corp. VRN | 749,000 | 821,091 | ||||||
CNA Financial Corp. | 85,000 | 86,012 | ||||||
Five Corners Funding Trust (c) | 100,000 | 104,667 | ||||||
Liberty Mutual Group, Inc. (c) | 43,000 | 43,947 | ||||||
Marsh & McLennan Cos., Inc. | 150,000 | 176,327 | ||||||
MetLife Capital Trust IV (c) | 150,000 | 192,000 | ||||||
The Progressive Corp. VRN | 155,000 | 169,822 | ||||||
Prudential Financial, Inc. VRN | 135,000 | 135,928 | ||||||
Prudential Financial, Inc. VRN | 110,000 | 114,642 | ||||||
Prudential Financial, Inc. | 125,000 | 152,939 | ||||||
Prudential Financial, Inc. VRN | 715,000 | 862,469 | ||||||
QBE Capital Funding III Ltd. VRN (c) | 200,000 | 218,000 |
Principal Amount | Value | |||||||
Reinsurance Group of America, Inc. | $ | 95,000 | $ | 101,229 | ||||
Reinsurance Group of America, Inc. | 95,000 | 104,238 | ||||||
Reinsurance Group of America, Inc. | 90,000 | 105,320 | ||||||
USF&G Capital I (c) | 95,000 | 138,141 | ||||||
Voya Financial, Inc. | 100,000 | 112,735 | ||||||
Willis Group Holdings PLC | 20,000 | 20,773 | ||||||
Willis North America, Inc. | 43,000 | 50,155 | ||||||
|
| |||||||
5,037,334 | ||||||||
|
| |||||||
Internet — 0.4% | ||||||||
Baidu, Inc. | 200,000 | 201,210 | ||||||
Expedia, Inc. | 320,000 | 374,240 | ||||||
|
| |||||||
575,450 | ||||||||
|
| |||||||
Investment Companies — 0.1% | ||||||||
FS Investment Corp. | 200,000 | 199,802 | ||||||
|
| |||||||
Iron & Steel — 0.9% | ||||||||
AK Steel Corp., Convertible | 96,000 | 162,540 | ||||||
Allegheny Technologies, Inc. | 105,000 | 128,177 | ||||||
ArcelorMittal | 425,000 | 436,688 | ||||||
Gerdau Trade, Inc. (c) | 90,000 | 85,500 | ||||||
Reliance Steel & Aluminum Co. | 65,000 | 66,822 | ||||||
Reliance Steel & Aluminum Co. | 395,000 | 425,317 | ||||||
|
| |||||||
1,305,044 | ||||||||
|
| |||||||
Leisure Time — 0.0% | ||||||||
Carnival Corp. | 50,000 | 50,062 | ||||||
|
| |||||||
Lodging — 0.6% | ||||||||
Hyatt Hotels Corp. | 40,000 | 38,920 | ||||||
Marriott International, Inc. | 95,000 | 97,482 | ||||||
Wyndham Worldwide Corp. | 60,000 | 61,630 | ||||||
Wyndham Worldwide Corp. | 650,000 | 721,681 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Wyndham Worldwide Corp. | $ | 2,000 | $ | 2,185 | ||||
|
| |||||||
921,898 | ||||||||
|
| |||||||
Machinery – Diversified — 0.4% | ||||||||
The Manitowoc Co., Inc. | 175,000 | 188,125 | ||||||
Roper Industries, Inc. | 100,000 | 97,418 | ||||||
Xylem, Inc. | 200,000 | 209,365 | ||||||
Xylem, Inc. | 100,000 | 108,479 | ||||||
|
| |||||||
603,387 | ||||||||
|
| |||||||
Manufacturing — 0.3% | ||||||||
Carlisle Cos., Inc. | 85,000 | 85,185 | ||||||
Harsco Corp | 257,000 | 256,036 | ||||||
Textron, Inc. | 120,000 | 123,783 | ||||||
|
| |||||||
465,004 | ||||||||
|
| |||||||
Media — 1.0% | ||||||||
21st Century Fox America Co. | 125,000 | 160,612 | ||||||
CBS Corp. | 100,000 | 135,507 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 600,000 | 597,000 | ||||||
Globo Comunicacao e Participacoes SA (c) | 200,000 | 205,500 | ||||||
Globo Comunicacao e Participacoes SA STEP (c) | 150,000 | 154,688 | ||||||
Univision Communications, Inc. (c) | 250,000 | 267,812 | ||||||
|
| |||||||
1,521,119 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.1% | ||||||||
Mueller Water Products, Inc. | 196,000 | 210,700 | ||||||
|
| |||||||
Mining — 1.5% | ||||||||
BHP Billiton Finance USA Ltd. | 300,000 | 329,108 | ||||||
Detour Gold Corp., Convertible | 105,000 | 97,913 | ||||||
FMG Resources Property Ltd. (c) | 250,000 | 254,375 | ||||||
Freeport-McMoRan, Inc. | 70,000 | 71,374 |
Principal Amount | Value | |||||||
Freeport-McMoRan, Inc. | $ | 45,000 | $ | 45,114 | ||||
Newcrest Finance Property Ltd. (c) | 200,000 | 192,222 | ||||||
Teck Resources Ltd. | 200,000 | 203,270 | ||||||
Vale Overseas Ltd. | 865,000 | 952,953 | ||||||
Vale Overseas Ltd. | 85,000 | 96,503 | ||||||
|
| |||||||
2,242,832 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 130,000 | 131,775 | ||||||
Pitney Bowes, Inc. | 50,000 | 52,422 | ||||||
Pitney Bowes, Inc. | 10,000 | 10,682 | ||||||
Pitney Bowes, Inc. | 14,000 | 15,412 | ||||||
|
| |||||||
210,291 | ||||||||
|
| |||||||
Oil & Gas — 4.8% | ||||||||
Alta Mesa Holdings/Alta Mesa Finance Services Corp. | 655,000 | 677,925 | ||||||
Anadarko Petroleum Corp. | 300,000 | 365,585 | ||||||
California Resources Corp. (c) (d) | 115,000 | 118,163 | ||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. | 1,250,000 | 1,268,750 | ||||||
Chesapeake Energy Corp. | 97,000 | 97,485 | ||||||
Chesapeake Energy Corp., Convertible | 80,000 | 76,350 | ||||||
Chesapeake Energy Corp., Convertible | 780,000 | 786,337 | ||||||
CVR Refining LLC/Coffeyville Finance, Inc. | 65,000 | 66,300 | ||||||
Ecopetrol SA | 15,000 | 15,900 | ||||||
Jupiter Resources, Inc. (c) | 124,000 | 110,050 | ||||||
KazMunayGas National Co. JSC (c) | 90,000 | 86,508 | ||||||
Linn Energy LLC/Linn Energy Finance Corp. | 130,000 | 134,388 | ||||||
MEG Energy Corp. (c) | 150,000 | 153,750 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
PBF Holding Co. LLC/PBF Finance Corp. | $ | 555,000 | $ | 581,362 | ||||
Pemex Project Funding Master Trust | 51,000 | 59,033 | ||||||
Petrobras Global Finance BV | 40,000 | 38,960 | ||||||
Petrobras Global Finance BV | 355,000 | 359,249 | ||||||
Petrobras International Finance Co. | 220,000 | 225,170 | ||||||
Petrobras International Finance Co. | 115,000 | 118,105 | ||||||
Petroleos Mexicanos (c) | 25,000 | 25,625 | ||||||
Petroleos Mexicanos | 375,000 | 412,687 | ||||||
Petroleos Mexicanos (c) | 35,000 | 39,578 | ||||||
Phillips 66 | 75,000 | 79,622 | ||||||
Phillips 66 | 75,000 | 88,877 | ||||||
Precision Drilling Corp. | 85,000 | 88,188 | ||||||
Rowan Cos., Inc. | 175,000 | 181,802 | ||||||
Rowan Cos., Inc. | 210,000 | 226,898 | ||||||
Shell International Finance BV | 110,000 | 132,547 | ||||||
SM Energy Co. | 100,000 | 103,750 | ||||||
Talisman Energy, Inc. | 100,000 | 101,794 | ||||||
Transocean, Inc. | 190,000 | 197,309 | ||||||
|
| |||||||
7,018,047 | ||||||||
|
| |||||||
Oil & Gas Services — 0.3% | ||||||||
Hornbeck Offshore Services, Inc. | 75,000 | 73,406 | ||||||
Weatherford International Ltd. | 100,000 | 104,111 | ||||||
Weatherford International Ltd. | 155,000 | 166,488 | ||||||
Weatherford International Ltd. | 25,000 | 28,123 | ||||||
|
| |||||||
372,128 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% | ||||||||
Brambles USA Inc., Series A (c) | 35,000 | 39,240 |
Principal Amount | Value | |||||||
Sonoco Products Co. | $ | 100,000 | $ | 105,352 | ||||
|
| |||||||
144,592 | ||||||||
|
| |||||||
Pharmaceuticals — 0.9% | ||||||||
AbbVie, Inc. | 50,000 | 46,974 | ||||||
AstraZeneca PLC | 250,000 | 324,252 | ||||||
McKesson Corp. | 40,000 | 39,858 | ||||||
McKesson Corp. | 45,000 | 44,672 | ||||||
McKesson Corp. | 75,000 | 75,630 | ||||||
McKesson Corp. | 70,000 | 72,079 | ||||||
Mylan, Inc. (c) | 250,000 | 272,696 | ||||||
Valeant Pharmaceuticals International (c) | 100,000 | 103,270 | ||||||
Valeant Pharmaceuticals International (c) | 135,000 | 139,387 | ||||||
Valeant Pharmaceuticals International (c) | 200,000 | 209,000 | ||||||
Zoetis, Inc. | 35,000 | 34,228 | ||||||
|
| |||||||
1,362,046 | ||||||||
|
| |||||||
Pipelines — 0.6% | ||||||||
CenterPoint Energy Resources Corp. | 175,000 | 191,363 | ||||||
CenterPoint Energy Resources Corp. | 150,000 | 184,368 | ||||||
DCP Midstream Operating LLC | 15,000 | 15,018 | ||||||
Energy Transfer Equity LP | 100,000 | 111,250 | ||||||
Enterprise Products Operating LP | 135,000 | 160,690 | ||||||
Kinder Morgan Energy Partners LP | 85,000 | 96,389 | ||||||
Kinder Morgan Energy Partners LP | 15,000 | 17,497 | ||||||
ONEOK Partners LP | 100,000 | 113,737 | ||||||
The Williams Cos., Inc. | 45,000 | 42,508 | ||||||
|
| |||||||
932,820 | ||||||||
|
| |||||||
Real Estate — 0.2% | ||||||||
AMB Property LP | 225,000 | 241,005 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Real Estate Investment Trusts (REITS) — 1.3% | ||||||||
American Tower Corp. | $ | 80,000 | $ | 81,733 | ||||
American Tower Corp. | 225,000 | 220,591 | ||||||
ARC Properties Operating Partnership LP/Clark Acquisition LLC (c) | 105,000 | 104,942 | ||||||
ARC Properties Operating Partnership LP/Clark Acquisition LLC (c) | 50,000 | 49,641 | ||||||
ARC Properties Operating Partnership LP/Clark Acquisition LLC (c) | 65,000 | 66,171 | ||||||
Brandywine Operating Partners LP | 300,000 | 323,357 | ||||||
DCT Industrial Operating Partnership LP | 60,000 | 61,189 | ||||||
DDR Corp. | 275,000 | 296,667 | ||||||
DDR Corp. | 95,000 | 106,643 | ||||||
Duke Realty LP | 125,000 | 154,900 | ||||||
Federal Realty Investment Trust | 25,000 | 29,045 | ||||||
HCP, Inc. | 95,000 | 93,611 | ||||||
Highwoods Realty LP | 110,000 | 128,357 | ||||||
Liberty Property LP | 50,000 | 48,517 | ||||||
ProLogis LP | 35,000 | 35,349 | ||||||
ProLogis LP | 165,000 | 164,650 | ||||||
|
| |||||||
1,965,363 | ||||||||
|
| |||||||
Retail — 1.0% | ||||||||
Bed Bath & Beyond, Inc. | 30,000 | 29,746 | ||||||
Bed Bath & Beyond, Inc. | 75,000 | 73,437 | ||||||
CVS Health Corp. | 25,000 | 30,797 | ||||||
CVS Pass-Through Trust (c) | 234,005 | 271,390 | ||||||
CVS Pass-Through Trust (c) | 17,992 | 22,888 | ||||||
El Puerto de Liverpool SAB de CV (c) (d) | 280,000 | 277,200 | ||||||
The Home Depot, Inc. | 100,000 | 124,578 |
Principal Amount | Value | |||||||
O’Reilly Automotive, Inc. | $ | 46,000 | $ | 46,939 | ||||
O’Reilly Automotive, Inc. | 225,000 | 245,419 | ||||||
Tiffany & Co. (c) | 105,000 | 104,847 | ||||||
Wal-Mart Stores, Inc. | 205,000 | 248,471 | ||||||
|
| |||||||
1,475,712 | ||||||||
|
| |||||||
Savings & Loans — 0.4% | ||||||||
Education Loan Co. Trust I (c) | 200,000 | 176,053 | ||||||
Glencore Funding LLC (c) | 160,000 | 161,086 | ||||||
Glencore Funding LLC (c) | 114,000 | 111,597 | ||||||
Glencore Funding LLC (c) | 65,000 | 65,039 | ||||||
|
| |||||||
513,775 | ||||||||
|
| |||||||
Semiconductors — 0.7% | ||||||||
Intel Corp. | 90,000 | 150,919 | ||||||
Micron Technology, Inc., Convertible | 225,000 | 787,781 | ||||||
NXP BV/NXP Funding LLC (c) | 110,000 | 108,075 | ||||||
|
| |||||||
1,046,775 | ||||||||
|
| |||||||
Software — 0.6% | ||||||||
Broadridge Financial Solutions, Inc. | 45,000 | 46,763 | ||||||
CA, Inc. | 50,000 | 50,683 | ||||||
CA, Inc. | 105,000 | 116,583 | ||||||
Citrix Systems, Inc., Convertible (c) | 160,000 | 174,600 | ||||||
Fidelity National Information Services, Inc. | 125,000 | 131,725 | ||||||
Oracle Corp. | 90,000 | 86,013 | ||||||
Oracle Corp. | 250,000 | 283,403 | ||||||
|
| |||||||
889,770 | ||||||||
|
| |||||||
Storage & Warehousing — 0.4% | ||||||||
Niska Gas Storage Canada ULC/Niska Gas Storage Canada Finance Corp. (c) | 600,000 | 525,000 | ||||||
|
| |||||||
Telecommunications — 2.0% | ||||||||
AT&T, Inc. | 175,000 | 219,463 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Embarq Corp. | $ | 210,000 | $ | 228,708 | ||||
Embarq Corp. | 45,000 | 48,640 | ||||||
Motorola Solutions, Inc. | 90,000 | 87,012 | ||||||
Sprint Capital Corp. | 100,000 | 105,125 | ||||||
Sprint Communications, Inc. | 200,000 | 256,000 | ||||||
Sprint Corp. (c) | 250,000 | 265,000 | ||||||
T-Mobile USA, Inc. | 50,000 | 51,375 | ||||||
Telecom Italia Capital | 80,000 | 78,300 | ||||||
Telefonaktiebolaget LM Ericsson | 225,000 | 234,817 | ||||||
Telefonica Emisiones SAU | 275,000 | 286,163 | ||||||
Verizon Communications, Inc. (c) | 115,000 | 113,557 | ||||||
Verizon Communications, Inc. (c) | 77,000 | 77,365 | ||||||
Verizon Communications, Inc. | 95,000 | 105,200 | ||||||
Verizon Communications, Inc. | 79,000 | 98,702 | ||||||
Verizon Global Funding Corp. | 300,000 | 412,183 | ||||||
WCP Wireless Site Funding (c) | 107,237 | 109,219 | ||||||
Windstream Corp. | 190,000 | 202,350 | ||||||
|
| |||||||
2,979,179 | ||||||||
|
| |||||||
Transportation — 1.2% | ||||||||
Asciano Finance (c) | 70,000 | 71,290 | ||||||
Asciano Finance (c) | 45,000 | 47,654 | ||||||
Asciano Finance (c) | 345,000 | 371,675 | ||||||
Burlington Northern Santa Fe LLC | 160,000 | 200,914 | ||||||
CHC Helicopter SA | 720,000 | 766,800 | ||||||
CHC Helicopter SA | 105,000 | 110,775 | ||||||
Con-way, Inc. | 30,000 | 34,522 | ||||||
Norfolk Southern Corp. | 125,000 | 150,249 |
Principal Amount | Value | |||||||
Ryder System, Inc. | $ | 30,000 | $ | 30,041 | ||||
|
| |||||||
1,783,920 | ||||||||
|
| |||||||
Trucking & Leasing — 0.5% | ||||||||
GATX Corp. | 90,000 | 93,719 | ||||||
GATX Corp. | 115,000 | 117,879 | ||||||
GATX Corp. | 125,000 | 135,129 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (c) | 240,000 | 244,880 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (c) | 145,000 | 144,182 | ||||||
|
| |||||||
735,789 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $58,881,425) | 61,585,082 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.5% | ||||||||
State of California | 225,000 | 242,320 | ||||||
State of California BAB | 125,000 | 182,275 | ||||||
State of California BAB | 150,000 | 221,804 | ||||||
|
| |||||||
646,399 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $579,835) | 646,399 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 18.3% | ||||||||
Auto Floor Plan ABS — 0.1% | ||||||||
Capital Automotive REIT, | 212,723 | 226,290 | ||||||
Automobile ABS — 0.7% | ||||||||
American Credit Acceptance Receivables Trust, Series 2013-1, Class A (c) | 124,633 | 125,023 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A (c) | 120,000 | 118,848 | ||||||
CarNow Auto Receivables Trust, Series 2013-1A, Class A (c) | 20,671 | 20,670 | ||||||
CFC LLC, Series 2014-2A, Class A (c) | 146,526 | 145,775 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
CPS Auto Trust, Series 2014-A, Class A (c) | $ | 105,133 | $ | 104,995 | ||||
CPS Auto Trust, Series 2014-C, Class A (c) | 260,000 | 259,237 | ||||||
Oscar US Funding Trust, Series 2014-1A, Class A2 (b) (c) | 260,000 | 259,985 | ||||||
|
| |||||||
1,034,533 | ||||||||
|
| |||||||
Commercial MBS — 4.5% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM VRN | 95,000 | 104,619 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM VRN | 100,000 | 111,031 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM VRN | 190,000 | 202,677 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4 VRN | 635,000 | 697,148 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 | 155,000 | 170,428 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, | 110,000 | 120,760 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM VRN | 200,000 | 221,236 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class AM VRN | 115,000 | 127,856 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5 | 152,000 | 158,344 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class AM | 100,000 | 104,434 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A4 VRN | 110,000 | 116,843 |
Principal Amount | Value | |||||||
DBCCRE Mortgage Trust, | $ | 100,000 | $ | 104,849 | ||||
DBRR Trust, Series 2013-EZ3, Class A VRN (c) | 129,219 | 129,885 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM VRN | 105,000 | 112,283 | ||||||
GS Mortgage Securities Corp., | 185,000 | 177,249 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4 | 305,000 | 324,755 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class AM | 240,000 | 257,642 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2006-3, Class AM VRN | 140,000 | 149,631 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM VRN | 115,000 | 126,479 | ||||||
Morgan Stanley Capital I, | 110,000 | 118,376 | ||||||
Morgan Stanley Capital I, | 66,816 | 67,386 | ||||||
Morgan Stanley Capital I, | 125,000 | 131,672 | ||||||
STRIPs Ltd., Series 2012-1A, Class A (c) | 88,139 | 87,257 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ VRN | 100,000 | 103,794 | ||||||
VFC LLC, Series 2014-2, Class A | 197,685 | 197,693 | ||||||
VNO Mortgage Trust, Series 2013-PENN, Class A (c) | 110,000 | 115,267 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class AM | 321,000 | 345,003 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM VRN | 150,000 | 157,926 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM VRN | $ | 185,000 | $ | 193,014 | ||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 535,000 | 572,001 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class AM VRN | 110,000 | 119,510 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM VRN | 100,000 | 109,219 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4 VRN | 99,934 | 107,941 | ||||||
Wells Fargo Reremic Trust, | 92,881 | 92,923 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B | 110,000 | 114,849 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class C VRN | 100,000 | 105,957 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class C VRN (c) | 170,000 | 189,004 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class D VRN (c) | 115,000 | 126,460 | ||||||
|
| |||||||
6,573,401 | ||||||||
|
| |||||||
Home Equity ABS — 2.9% | ||||||||
Aames Mortgage Investment Trust, Series 2004-1, Class M5 FRN | 185,729 | 175,324 | ||||||
Asset-Backed Securities Corporation Home Equity, Series 2005-HE3, Class M3 FRN | 191,273 | 184,702 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE12, Class M1 FRN | 400,000 | 387,435 | ||||||
Citigroup Mortgage Loan Trust, Series 2006-SHL1, Class A1 FRN (c) | 115,122 | 110,820 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A FRN | 195,760 | 189,491 | ||||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class MV1 FRN | 33,300 | 32,811 |
Principal Amount | Value | |||||||
Conseco Finance Corp., Series 2002-A, Class M1 FRN | $ | 93,570 | $ | 92,332 | ||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A FRN | 54,572 | 54,208 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-6, Class M1 FRN | 270,081 | 268,670 | ||||||
Countrywide Partnership Trust, Series 2004-EC1, Class M1 FRN | 193,391 | 176,193 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF7, Class M1 FRN | 139,269 | 136,438 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3 FRN | 110,240 | 106,996 | ||||||
JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2V2 FRN | 168,908 | 164,494 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2 FRN | 279,824 | 268,101 | ||||||
MASTR Asset Backed Securities Trust, Series 2005, Class M1 FRN | 99,504 | 96,291 | ||||||
MASTR Asset-Backed Securities Trust, Series 2005-WMC1, Class M3 FRN | 120,000 | 111,287 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2005-WMC2, Class M3 FRN | 166,111 | 160,301 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M1 FRN (c) | 578,626 | 570,295 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M2 FRN (c) | 325,000 | 301,906 | ||||||
Morgan Stanley Capital, Inc., Series 2005-WMC6, Class M2 FRN | 89,342 | 88,444 | ||||||
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6 STEP | 28 | 28 | ||||||
Park Place Securities Inc, Series 2005-WCW2, Class M1, ABS FRN | 105,000 | 104,603 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A FRN | 58,381 | 58,174 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Popular ABS Mortgage Pass-Through Trust, Series 2006-B, Class A3 FRN | $ | 168,332 | $ | 160,362 | ||||
Residential Asset Securities Corp., Series 2005-AHL3, Class A2 FRN | 96,995 | 96,135 | ||||||
Security National Mortgage Loan Trust, Series 2006-3A, Class A1 FRN (c) | 113,285 | 112,099 | ||||||
|
| |||||||
4,207,940 | ||||||||
|
| |||||||
Other ABS — 6.5% | ||||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE (c) | 146,214 | 145,848 | ||||||
Applebee’s/IHOP Funding LLC, Series 2014-1, Class A2 (c) | 250,000 | 247,623 | ||||||
ARL First LLC, Series 2012-1A, Class A1 FRN (c) | 162,250 | 164,549 | ||||||
Ascentium Equipment Receivables LLC, Series 2014-1A, Class B (c) | 120,000 | 119,618 | ||||||
Avery Point CLO Ltd., Series 2014-5A, Class A FRN (c) | 250,000 | 249,719 | ||||||
Avery Point III CLO Ltd., | 250,000 | 248,840 | ||||||
Birchwood Park CLO Ltd., | 250,000 | 249,998 | ||||||
Blue Hill CLO Ltd., Series 2013-1A, Class A FRN (c) | 250,000 | 250,089 | ||||||
Carlyle Global Market Strategies, Series 2014-1A, Class A FRN (c) | 265,000 | 265,203 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-4A, Class A1 FRN (c) | 300,000 | 299,615 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (c) | 92,863 | 94,395 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (c) | 141,785 | 142,354 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (c) | 236,731 | 249,386 | ||||||
Eaton Vance CLO, Series 2014-1A, Class A FRN (c) | 250,000 | 249,724 |
Principal Amount | Value | |||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (c) | $ | 222,542 | $ | 222,160 | ||||
Global Container Assets Ltd., Series 2013-1A, Class A1 (c) | 179,216 | 180,294 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A FRN (c) | 365,000 | 360,425 | ||||||
Henderson Receivables II LLC, Series 2014-2A, Class A (c) | 130,000 | 129,368 | ||||||
HFG Healthco-4 LLC, Series 2011-1A, Class A FRN (c) | 250,000 | 253,850 | ||||||
Hilton Grand Vacations Trust, | 130,603 | 129,540 | ||||||
Hilton Grand Vacations Trust, | 180,365 | 181,331 | ||||||
Icon Brand Holdings LLC, | 89,315 | 89,577 | ||||||
Icon Brand Holdings LLC, | 73,723 | 73,548 | ||||||
ING Investment Management CLO Ltd., Series 2012-3A, Class A FRN (c) | 250,000 | 249,982 | ||||||
ING Investment Management CLO Ltd., Series 2013-3A, Class A1 FRN (c) | 250,000 | 249,837 | ||||||
LCM Ltd., Series 16A, Class A FRN (c) | 250,000 | 250,088 | ||||||
Madison Park Funding XII Ltd., Series 2014-12A, Class A FRN (c) | 250,000 | 249,811 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (c) | 300,000 | 299,054 | ||||||
MVW Owner Trust, Series 2013-1A, Class A (c) | 141,326 | 141,816 | ||||||
New York City Tax Lien, Series 2014-A, Class A (c) | 140,000 | 139,737 | ||||||
Nomad CLO Ltd., Series 2013-1A, Class A1 FRN (c) | 250,000 | 247,634 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A FRN (c) | 225,000 | 221,846 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
OHA Loan Funding Ltd., Series 2013-1A, Class A FRN (c) | $ | 200,000 | $ | 198,183 | ||||
OneMain Financial Issuance Trust, Series 2014-2A, Class A (c) | 120,000 | 120,038 | ||||||
Orange Lake Timeshare Trust, | 97,493 | 97,479 | ||||||
Ownit Mortgage Loan Trust, | 138,820 | 132,538 | ||||||
RAAC, Series 2006-RP2, Class A FRN (c) | 159,070 | 157,381 | ||||||
Race Point CLO Ltd., Series 2012-7A, Class A FRN (c) | 100,000 | 99,819 | ||||||
Race Point VIII CLO Ltd., | 250,000 | 247,941 | ||||||
Seneca Park CLO Ltd., | 250,000 | 250,092 | ||||||
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (c) | 27,281 | 27,749 | ||||||
Sonic Capital LLC, Series 2011-1A, Class A2 (c) | 177,298 | 188,939 | ||||||
SpringCastle America Funding LLC, Series 2014-AA, Class A (c) (d) | 360,000 | 359,976 | ||||||
Springleaf Funding Trust, Series 2013-AA, Class A (c) | 180,000 | 181,271 | ||||||
SVO VOI Mortgage Corp., | 182,929 | 181,916 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (c) | 247,028 | 247,265 | ||||||
Trafigura Securitisation Finance PLC, Series 2012-1A, Class A FRN (c) | 120,000 | 120,915 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (c) | 62,285 | 65,363 | ||||||
Westgate Resorts LLC, Series 2014-1A, Class A (c) | 270,000 | 268,958 | ||||||
|
| |||||||
9,592,682 | ||||||||
|
|
Principal Amount | Value | |||||||
Student Loans ABS — 3.3% | ||||||||
Access Group, Inc., Series 2003-A, Class A3 FRN | $ | 68,758 | $ | 63,216 | ||||
College Loan Corp. Trust, Series 2002-1, Class B1 FRN (c) | 100,000 | 83,000 | ||||||
College Loan Corp. Trust I, Series 2002-2, Class A30 FRN (c) | 100,000 | 98,067 | ||||||
College Loan Corp. Trust I, Series 2003-1, Class A6 FRN (c) | 200,000 | 196,598 | ||||||
College Loan Corp. Trust I, Series 2002-1, Class A5 FRN (b) (c) | 150,000 | 145,125 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A4 FRN | 100,000 | 99,750 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A5 FRN | 350,000 | 345,644 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A6 FRN | 200,000 | 196,720 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN | 250,000 | 235,810 | ||||||
KeyCorp Student Loan Trust, | 68,828 | 68,592 | ||||||
KeyCorp Student Loan Trust, | 100,000 | 96,354 | ||||||
KeyCorp Student Loan Trust, | 100,000 | 91,721 | ||||||
Mississippi Higher Education Assistance Corp., Series 2014-1, Class A1 FRN | 167,470 | 167,773 | ||||||
National Collegiate Student Loan Trust, Series 2005-2, Class A3 FRN | 23,480 | 23,392 | ||||||
National Collegiate Student Loan Trust, Series 2005-3, Class A3 FRN | 62,801 | 62,562 | ||||||
National Collegiate Student Loan Trust, Series 2004-1, Class A2 FRN | 202,195 | 200,510 | ||||||
National Collegiate Student Loan Trust, Series 2007-4, Class A2A3 FRN | 50,000 | 48,029 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Nelnet Student Loan Trust, Series 2005-4, Class A4R2 FRN | $ | 150,000 | $ | 140,572 | ||||
Nelnet Student Loan Trust, Series 2006-3, | 258,927 | 232,640 | ||||||
Nelnet Student Loan Trust, | 297,518 | 295,931 | ||||||
Nelnet Student Loan Trust, | 200,000 | 180,958 | ||||||
Nelnet Student Loan Trust, | 150,000 | 145,926 | ||||||
Nelnet Student Loan Trust, | 100,000 | 91,301 | ||||||
Nelnet Student Loan Trust, | 240,000 | 224,833 | ||||||
Nelnet Student Loan Trust, | 100,000 | 89,668 | ||||||
SLM Private Education Loan Trust, Series 2013-R1, Class A FRN (c) | 243,049 | 245,449 | ||||||
SLM Student Loan Trust, 2005-9 B FRN | 153,383 | 139,744 | ||||||
SLM Student Loan Trust, | 110,000 | 109,572 | ||||||
SLM Student Loan Trust, | 50,000 | 48,550 | ||||||
Social Professional Loan Program LLC, Series 2014-A, Class A2 (c) | 260,879 | 262,629 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class B FRN | 400,000 | 376,964 | ||||||
|
| |||||||
4,807,600 | ||||||||
|
| |||||||
WL Collateral CMO — 0.3% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7 FRN | 82,183 | 80,077 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1 FRN | 15,976 | 15,741 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1 FRN | 4,448 | 4,037 |
Principal Amount | Value | |||||||
GSR Mortgage Loan Trust, | $ | 14,023 | $ | 13,225 | ||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A FRN | 50,536 | 43,044 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2 FRN | 137,881 | 127,305 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA FRN | 5,370 | 4,984 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA FRN | 2,970 | 2,965 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A FRN | 136 | 137 | ||||||
Structured Adjustable Rate Mortgage | 28,262 | 28,211 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, | 68,288 | 69,149 | ||||||
|
| |||||||
388,875 | ||||||||
|
| |||||||
WL Collateral PAC — 0.0% | ||||||||
Structured Asset Securities Corp., Series 2007-BC4, Class A3 FRN | 25,079 | 24,783 | ||||||
Structured Asset Securities Corp., Series 2002-11A, Class 2A1 FRN | 18,846 | 18,321 | ||||||
|
| |||||||
43,104 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $26,466,016) | 26,874,425 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 1.1% | ||||||||
Brazilian Government International Bond | 100,000 | 106,300 | ||||||
Province of Quebec Canada | 192,000 | 188,230 | ||||||
Province of Quebec Canada | 125,000 | 177,073 | ||||||
Republic of Brazil International Bond | 235,000 | 242,637 | ||||||
Republic of Turkey International Bond | 236,000 | 212,872 | ||||||
Republic of Turkey International Bond | 100,000 | 110,750 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
United Mexican States | $ | 95,000 | $ | 105,450 | ||||
United Mexican States | 375,000 | 476,250 | ||||||
|
| |||||||
1,619,562 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,614,320) | 1,619,562 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 28.3% | ||||||||
Collateralized Mortgage Obligations — 1.6% | ||||||||
Fannie Mae Benchmark REMIC, | 112,157 | 122,922 | ||||||
Federal Home Loan Mortgage Corp. | 485,943 | 498,905 | ||||||
Series 4290, Class CA | 240,252 | 250,318 | ||||||
Series 2617, Class Z | 263,977 | 295,282 | ||||||
Series 2693, Class Z | 453,267 | 501,257 | ||||||
Series 2178, Class PB | 24,712 | 28,208 | ||||||
Federal National Mortgage Association | 147,370 | 155,639 | ||||||
Series 2014-48, Class AB | 376,023 | 400,207 | ||||||
Series 2010-60, Class HJ | 102,841 | 113,803 | ||||||
U.S. Department of Veteran Affairs, | 14,920 | 16,801 | ||||||
|
| |||||||
2,383,342 | ||||||||
|
| |||||||
Pass-Through Securities — 26.7% | ||||||||
Federal Home Loan Mortgage Corp. | 51,762 | 54,860 | ||||||
Pool #B16010 5.000% | 1,115 | 1,193 | ||||||
Pool #B17058 5.000% | 3,820 | 4,048 | ||||||
Pool #B18677 5.000% | 2,179 | 2,331 | ||||||
Pool #E89199 6.000% | 2,421 | 2,545 | ||||||
Pool #G11431 6.000% | 476 | 500 |
Principal Amount | Value | |||||||
Pool #G01311 7.000% | $ | 2,166 | $ | 2,512 | ||||
Pool #C80207 7.500% | 2,384 | 2,750 | ||||||
Pool #C00530 7.500% | 1,792 | 2,107 | ||||||
Pool #C00563 7.500% | 6,096 | 7,175 | ||||||
Pool #C00612 7.500% | 369 | 434 | ||||||
Pool #C55867 7.500% | 7,260 | 8,509 | ||||||
Federal National Mortgage Association Pool #725692 2.271% | 164,048 | 173,782 | ||||||
Pool #888586 2.341% | 355,507 | 377,621 | ||||||
Pool #890564 3.000% | 340,723 | 337,941 | ||||||
Pool #AO8629 3.500% | 395,067 | 404,651 | ||||||
Pool #AP6609 3.500% | 244,818 | 250,527 | ||||||
Pool #AR8708 3.500% | 103,807 | 105,904 | ||||||
Pool #AT0998 3.500% | 524,464 | 535,056 | ||||||
Pool #AT4050 3.500% | 134,996 | 137,722 | ||||||
Pool #MA1463 3.500% | 344,581 | 351,540 | ||||||
Pool #735010 5.000% | 194,797 | 207,982 | ||||||
Pool #253880 6.500% | 1,238 | 1,284 | ||||||
Pool #575579 7.500% | 11,156 | 13,251 | ||||||
Pool #535996 7.500% | 2,120 | 2,517 | ||||||
Federal National Mortgage Association TBA | 7,975,000 | 8,017,990 | ||||||
Pool #9768 3.000% | 6,600,000 | 6,504,610 | ||||||
Pool #17115 3.500% | 2,600,000 | 2,657,078 | ||||||
Pool #18388 4.000% | 2,425,000 | 2,555,533 | ||||||
Pool #21133 4.500% | 3,975,000 | 4,288,963 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Government National Mortgage Association | $ | 502,500 | $ | 520,657 | ||||
Pool #G2MA2149 4.000% | 2,794,205 | 2,970,152 | ||||||
Pool #579140 6.500% | 1,638 | 1,891 | ||||||
Pool #587280 6.500% | 1,400 | 1,609 | ||||||
Pool #550659 6.500% | 129,349 | 148,256 | ||||||
Pool #538689 6.500% | 30,187 | 34,664 | ||||||
Pool #780651 7.000% | 2,516 | 2,918 | ||||||
Pool #462384 7.000% | 1,763 | 2,048 | ||||||
Pool #482668 7.000% | 1,790 | 2,079 | ||||||
Pool #506804 7.000% | 8,260 | 9,575 | ||||||
Pool #506914 7.000% | 31,363 | 36,343 | ||||||
Pool #581417 7.000% | 4,700 | 5,538 | ||||||
Pool #591581 7.000% | 953 | 1,125 | ||||||
Pool #423836 8.000% | 1,360 | 1,609 | ||||||
Pool #444619 8.000% | 10,326 | 12,252 | ||||||
Government National Mortgage Association II | 116,388 | 120,580 | ||||||
Pool #82462 3.500% | 92,936 | 97,590 | ||||||
Government National Mortgage Association TBA | 2,475,000 | 2,491,049 | ||||||
Pool #1367 4.000% | 3,100,000 | 3,288,180 | ||||||
Pool #1523 4.500% | 2,100,000 | 2,278,008 | ||||||
|
| |||||||
39,039,039 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $41,460,256) | 41,422,381 | |||||||
|
|
Principal Amount | Value | |||||||
U.S. TREASURY OBLIGATIONS — 8.2% | ||||||||
U.S. Treasury Bonds & Notes — 8.2% | ||||||||
U.S. Treasury Bond | $ | 1,260,000 | $ | 1,154,348 | ||||
U.S. Treasury Bond | 740,000 | 693,018 | ||||||
U.S. Treasury Bond | 1,580,000 | 1,630,517 | ||||||
U.S. Treasury Bond | 1,140,000 | 1,407,089 | ||||||
U.S. Treasury Inflation Index | 1,054,493 | 1,043,043 | ||||||
U.S. Treasury Note | 800,000 | 798,687 | ||||||
U.S. Treasury Note (f) (g) | 5,265,000 | 5,245,257 | ||||||
|
| |||||||
11,971,959 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $11,822,653) | 11,971,959 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $140,824,505) | 144,119,808 | |||||||
|
| |||||||
Notional Amount | ||||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Diversified Financial — 0.1% | ||||||||
3-Month LIBOR BBA 10 Year Swaption, Call, Expires 4/25/16, Strike 2.50 (OTC — Credit Suisse International); underlying swap terminates 4/27/26 | $ | 17,725,000 | 194,447 | |||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $311,007) | 194,447 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $141,551,200) | 144,740,111 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 23.2% | ||||||||
Commercial Paper — 21.1% | ||||||||
Agrium, Inc. | $ | 2,000,000 | 1,998,500 | |||||
Discovery Communication, LLC (c) | 1,500,000 | 1,499,912 | ||||||
Enbridge, Inc. (c) | 1,800,000 | 1,799,020 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
ERAC USA Finance LLC (c) | $ | 2,500,000 | $ | 2,499,197 | ||||
Experian Finance PLC (c) | 2,500,000 | 2,499,565 | ||||||
Glencore Funding LLC (c) | 1,350,000 | 1,349,722 | ||||||
Hewlett-Packard Co. (c) | 1,721,000 | 1,720,535 | ||||||
Holcim US Finance Sarl & Cie (c) | 1,000,000 | 999,789 | ||||||
JM Smucker Co. (c) | 1,750,000 | 1,749,817 | ||||||
Magellan Midstream Holdings LP (c) | 2,600,000 | 2,599,737 | ||||||
Marriott International, Inc. (c) | 2,500,000 | 2,499,358 | ||||||
Monsanto Co. (c) | 1,000,000 | 999,556 | ||||||
Noble Corp. (c) | 2,500,000 | 2,499,514 | ||||||
Pall Corp. (c) | 2,431,000 | 2,431,000 | ||||||
Pentair Finance (c) | 1,250,000 | 1,249,789 | ||||||
Plains Midstream (c) | 2,500,000 | 2,499,963 | ||||||
|
| |||||||
30,894,974 | ||||||||
|
| |||||||
Time Deposits — 2.1% | ||||||||
Euro Time Deposit | 3,137,571 | 3,137,571 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $34,032,545) | 34,032,545 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 122.0% (Cost $175,583,745) (h) | 178,772,656 | |||||||
Other Assets/(Liabilities) — (22.0)% | (32,199,365 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 146,573,291 | ||||||
|
|
Notes to Portfolio of Investments
ABS | Asset-Backed Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
PAC | Planned Amortization Class |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | Non-income producing security. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2014, these securities amounted to a value of $586,066 or 0.40% of net assets. |
(c) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, these securities amounted to a value of $54,755,304 or 37.36% of net assets. |
(d) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(e) | Restricted security. Certain securities are restricted as to resale. At September 30, 2014, these securities amounted to a value of $197,693 or 0.13% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(f) | All or a portion of this security is held as collateral for open swap agreements. (Note 2). |
(g) | A portion of this security is held as collateral for open futures contracts. (Note 2). |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier High Yield Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 0.9% | ||||||||
COMMON STOCK — 0.9% | ||||||||
Basic Materials — 0.9% | ||||||||
Forest Products & Paper — 0.9% | ||||||||
The Newark Group, Inc. (a) (b) | 329,969 | $ | 2,219,371 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $2,113,591) | 2,219,371 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $2,113,591) | 2,219,371 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 95.6% | ||||||||
BANK LOANS — 6.0% | ||||||||
Electronics — 1.2% | ||||||||
Kronos, Inc., 2nd Lien Term Loan | $ | 660,004 | 677,329 | |||||
RP Crown Parent LLC, 2nd Lien | 2,500,000 | 2,369,650 | ||||||
|
| |||||||
3,046,979 | ||||||||
|
| |||||||
Health Care Technology — 0.9% | ||||||||
The TriZetto Group, Inc., Term Loan B | 1,839,253 | 1,832,356 | ||||||
The TriZetto Group, Inc., 2nd Lien | 534,414 | 537,086 | ||||||
|
| |||||||
2,369,442 | ||||||||
|
| |||||||
Oil & Gas — 3.0% | ||||||||
Caelus Energy Alaska O3 LLC, 2nd Lien Term Loan | 5,254,429 | 5,175,612 | ||||||
MD America Energy LLC, 2nd Lien Term Loan | 2,934,412 | 2,856,152 | ||||||
|
| |||||||
8,031,764 | ||||||||
|
| |||||||
Pharmaceuticals — 0.9% | ||||||||
Synarc-Biocore Holdings LLC, 2nd Lien Term Loan | 2,448,101 | 2,386,899 | ||||||
|
| |||||||
TOTAL BANK LOANS (Cost $15,862,065) | 15,835,084 | |||||||
|
| |||||||
CORPORATE DEBT — 89.6% | ||||||||
Aerospace & Defense — 1.7% | ||||||||
Ducommun, Inc. | 2,265,000 | 2,449,031 |
Principal Amount | Value | |||||||
Hawker Beechcraft Acquisition Co. LLC/Hawker Beechcraft Notes Co. (b) (c) | $ | 1,805,000 | $ | - | ||||
TransDigm, Inc. (d) | 2,035,000 | 2,027,369 | ||||||
|
| |||||||
4,476,400 | ||||||||
|
| |||||||
Agriculture — 1.6% | ||||||||
Pinnacle Operating Corp. (d) | 3,873,000 | 4,134,428 | ||||||
|
| |||||||
Airlines — 1.7% | ||||||||
Intrepid Aviation Group Holdings LLC/Intrepid Finance Co. (d) | 4,495,000 | 4,506,237 | ||||||
|
| |||||||
Apparel — 1.8% | ||||||||
Perry Ellis International, Inc. | 4,696,000 | 4,742,960 | ||||||
|
| |||||||
Auto Manufacturers — 1.4% | ||||||||
Allied Specialty Vehicles, Inc. (d) | 3,600,000 | 3,753,000 | ||||||
|
| |||||||
Automotive & Parts — 2.9% | ||||||||
Accuride Corp. | 2,790,000 | 2,908,575 | ||||||
Cooper Tire & Rubber Co. | 760,000 | 847,400 | ||||||
International Automotive Components Group SA (d) | 2,634,000 | 2,778,870 | ||||||
Meritor, Inc., Convertible | 839,000 | 1,212,879 | ||||||
|
| |||||||
7,747,724 | ||||||||
|
| |||||||
Banks — 1.3% | ||||||||
Ally Financial, Inc. | 2,175,000 | 2,713,313 | ||||||
Sophia Holding Finance LP/Sophia Holding Finance, Inc. (d) | 790,000 | 797,900 | ||||||
|
| |||||||
3,511,213 | ||||||||
|
| |||||||
Building Materials — 2.0% | ||||||||
Headwaters, Inc. | 2,500,000 | 2,587,500 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance, Inc. (d) | 2,665,000 | 2,798,250 | ||||||
|
| |||||||
5,385,750 | ||||||||
|
| |||||||
Chemicals — 1.4% | ||||||||
Cornerstone Chemical Co. (d) | 1,410,000 | 1,480,500 | ||||||
Omnova Solutions, Inc. | 2,075,000 | 2,111,313 | ||||||
|
| |||||||
3,591,813 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
129
Table of Contents
MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Coal — 2.7% | ||||||||
Alpha Natural Resources, Inc. (d) | $ | 530,000 | $ | 474,350 | ||||
Murray Energy Corp. (d) | 2,178,000 | 2,254,230 | ||||||
Murray Energy Corp. (d) | 540,000 | 594,000 | ||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. (d) | 355,000 | 372,750 | ||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. (d) | 1,525,000 | 1,601,250 | ||||||
Westmoreland Coal Co./Westmoreland Partners | 1,680,000 | 1,764,000 | ||||||
|
| |||||||
7,060,580 | ||||||||
|
| |||||||
Commercial Services — 3.9% | ||||||||
Mustang Merger Corp. (d) | 7,420,000 | 7,679,700 | ||||||
StoneMor Partners LP/Cornerstone Family Services of WV (d) | 2,545,000 | 2,621,350 | ||||||
|
| |||||||
10,301,050 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.3% | ||||||||
Global Partners LP/GLP Finance Corp. (d) | 888,000 | 883,560 | ||||||
|
| |||||||
Diversified Financial — 0.8% | ||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 2,000,000 | 2,000,000 | ||||||
|
| |||||||
Electrical Components & Equipment — 0.7% | ||||||||
International Wire Group Holdings, Inc. (d) | 1,700,000 | 1,823,250 | ||||||
|
| |||||||
Electronics — 0.4% | ||||||||
Rexel SA (d) | 1,047,000 | 1,051,581 | ||||||
|
| |||||||
Engineering & Construction — 1.0% | ||||||||
Weekley Homes LLC/Weekley Finance Corp. | 1,440,000 | 1,393,200 | ||||||
Zachry Holdings, Inc. (d) | 1,169,000 | 1,198,225 | ||||||
|
| |||||||
2,591,425 | ||||||||
|
| |||||||
Foods — 2.2% | ||||||||
Chiquita Brands International, Inc., Convertible | 2,447,000 | 2,447,000 |
Principal Amount | Value | |||||||
Hearthside Group Holdings LLC/Hearthside Finance Co. (d) | $ | 485,000 | $ | 471,662 | ||||
JBS Investments GMBH Co. (d) | $ | 2,600,000 | $ | 2,762,500 | ||||
|
| |||||||
5,681,162 | ||||||||
|
| |||||||
Forest Products & Paper — 2.7% | ||||||||
Appvion, Inc. (d) | 3,168,000 | 2,617,560 | ||||||
Unifrax I LLC/Unifrax Holding Co. (d) | 490,000 | 494,900 | ||||||
Xerium Technologies, Inc. | 3,926,000 | 4,141,930 | ||||||
|
| |||||||
7,254,390 | ||||||||
|
| |||||||
Gas — 0.5% | ||||||||
LBC Tank Terminals Holding Netherlands BV (d) | 1,188,000 | 1,265,220 | ||||||
|
| |||||||
Health Care – Products — 0.7% | ||||||||
Alere, Inc. | 1,940,000 | 1,930,300 | ||||||
|
| |||||||
Health Care – Services — 1.0% | ||||||||
HEALTHSOUTH Corp. | 515,000 | 525,300 | ||||||
Tenet Healthcare Corp. | 2,050,000 | 2,249,875 | ||||||
|
| |||||||
2,775,175 | ||||||||
|
| |||||||
Holding Company – Diversified — 0.7% | ||||||||
Carlson Travel Holdings, Inc. (d) | 1,755,000 | 1,772,550 | ||||||
|
| |||||||
Home Builders — 2.1% | ||||||||
Brookfield Residential Properties, Inc. (d) | 2,230,000 | 2,313,625 | ||||||
William Lyon Homes, Inc. | 760,000 | 746,700 | ||||||
William Lyon Homes, Inc. | 2,238,000 | 2,417,040 | ||||||
|
| |||||||
5,477,365 | ||||||||
|
| |||||||
Insurance — 0.6% | ||||||||
Onex York Acquisition Corp. (d) (e) | 1,602,000 | 1,591,988 | ||||||
|
| |||||||
Leisure Time — 2.9% | ||||||||
Brunswick Corp. (d) | 910,000 | 884,975 | ||||||
Brunswick Corp. | 3,993,000 | 4,312,440 | ||||||
Brunswick Corp. | 650,000 | 713,375 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Carlson Wagonlit BV (d) | $ | 1,646,000 | $ | 1,724,185 | ||||
|
| |||||||
7,634,975 | ||||||||
|
| |||||||
Machinery – Diversified — 1.8% | ||||||||
Welltec A/S (d) | $ | 2,950,000 | $ | 3,053,250 | ||||
Zebra Technologies Corp. (d) (e) | 1,718,000 | 1,718,000 | ||||||
|
| |||||||
4,771,250 | ||||||||
|
| |||||||
Manufacturing — 2.7% | ||||||||
CTP Transportation Products LLC/CTP Finance, Inc. (d) | 1,135,000 | 1,211,612 | ||||||
EnPro Industries, Inc. (d) | 1,895,000 | 1,923,425 | ||||||
JB Poindexter & Co., Inc. (d) | 3,805,000 | 4,085,619 | ||||||
|
| |||||||
7,220,656 | ||||||||
|
| |||||||
Media — 5.6% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 1,438,000 | 1,430,810 | ||||||
Cogeco Cable, Inc. (d) | 1,310,000 | 1,300,175 | ||||||
Entercom Radio LLC | 1,805,000 | 1,976,475 | ||||||
Gannett Co., Inc. (d) | 840,000 | 827,400 | ||||||
Harron Communications LP/Harron Finance Corp. (d) | 1,610,000 | 1,754,900 | ||||||
Numericable Group SA (d) | 770,000 | 775,775 | ||||||
Numericable Group SA (d) | 415,000 | 413,963 | ||||||
RCN Telecom Services LLC/RCN Capital Corp. (d) | 4,051,000 | 4,132,020 | ||||||
Sirius XM Radio, Inc. (d) | 765,000 | 776,475 | ||||||
Townsquare Radio LLC/Townsquare Radio, Inc. (d) | 1,225,000 | 1,319,937 | ||||||
|
| |||||||
14,707,930 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.3% | ||||||||
Mueller Water Products, Inc. | 669,000 | 679,871 | ||||||
|
| |||||||
Mining — 1.5% | ||||||||
Alcoa, Inc. | 1,095,000 | 1,096,422 |
Principal Amount | Value | |||||||
First Quantum Minerals Ltd. (d) | $ | 1,822,000 | $ | 1,862,995 | ||||
Hecla Mining Co. | 1,086,000 | 1,020,840 | ||||||
|
| |||||||
3,980,257 | ||||||||
|
| |||||||
Oil & Gas — 15.7% | ||||||||
American Energy - Woodford LLC/AEW Finance Corp. (d) | $ | 2,775,000 | $ | 2,573,812 | ||||
American Energy-Permian Basin LLC/AEPB Finance Corp. (d) | 550,000 | 503,938 | ||||||
American Energy-Permian Basin LLC/AEPB Finance Corp. (d) | 1,240,000 | 1,134,600 | ||||||
Baytex Energy Corp. (d) | 1,390,000 | 1,334,400 | ||||||
California Resources Corp. (d) (e) | 1,700,000 | 1,746,750 | ||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. (d) | 2,162,000 | 2,053,900 | ||||||
CVR Refining LLC/Coffeyville Finance, Inc. | 3,093,000 | 3,154,860 | ||||||
Halcon Resources Corp. | 1,110,000 | 1,093,350 | ||||||
Halcon Resources Corp. | 3,190,000 | 3,245,825 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co. (d) | 1,280,000 | 1,232,000 | ||||||
Jupiter Resources, Inc. (d) | 2,700,000 | 2,396,250 | ||||||
Magnum Hunter Resources Corp. | 3,475,000 | 3,674,812 | ||||||
Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC | 1,615,000 | 1,590,775 | ||||||
Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC | 1,650,000 | 1,711,875 | ||||||
Millennium Offshore Services Superholdings LLC (d) | 2,159,000 | 2,288,540 | ||||||
Precision Drilling Corp. (d) | 1,790,000 | 1,727,350 | ||||||
RKI Exploration & Production LLC/RKI Finance Corp. (d) | 2,365,000 | 2,441,863 |
The accompanying notes are an integral part of the financial statements.
131
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MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Sabine Oil & Gas LLC / Sabine Oil & Gas Finance Corp. | $ | 2,600,000 | $ | 2,626,000 | ||||
Seventy Seven Energy, Inc. (d) | 1,150,000 | 1,129,875 | ||||||
Shelf Drilling Holdings Ltd. (d) | 1,816,000 | 1,906,800 | ||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. | $ | 680,000 | $ | 666,400 | ||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. | 1,180,000 | 1,262,600 | ||||||
|
| |||||||
41,496,575 | ||||||||
|
| |||||||
Packaging & Containers — 1.2% | ||||||||
Ardagh Finance Holdings SA (d) | 865,000 | 869,325 | ||||||
Sealed Air Corp. (d) | 2,334,000 | 2,272,733 | ||||||
|
| |||||||
3,142,058 | ||||||||
|
| |||||||
Pharmaceuticals — 2.5% | ||||||||
BioScrip, Inc. (d) | 3,841,000 | 3,932,224 | ||||||
Capsugel SA (d) | 705,000 | 703,237 | ||||||
Endo Finance LLC/ Endo Finco, Inc. (d) | 2,195,000 | 2,096,225 | ||||||
|
| |||||||
6,731,686 | ||||||||
|
| |||||||
Real Estate — 0.2% | ||||||||
Forestar USA Real Estate Group, Inc. (d) | 470,000 | 481,750 | ||||||
|
| |||||||
Retail — 2.1% | ||||||||
Chinos Intermediate Holdings A, Inc. (d) | 966,000 | 915,285 | ||||||
Landry’s, Inc. (d) | 1,850,000 | 1,956,375 | ||||||
The Men’s Wearhouse, Inc. (d) | 460,000 | 464,600 | ||||||
The Pantry, Inc. | 1,080,000 | 1,128,600 | ||||||
Petco Holdings, Inc. (d) | 1,115,000 | 1,131,725 | ||||||
|
| |||||||
5,596,585 | ||||||||
|
| |||||||
Savings & Loans — 2.0% | ||||||||
Infinity Acquisition LLC/Infinity Acquisition Finance Corp. (d) | 5,360,000 | 5,172,400 | ||||||
|
|
Principal Amount | Value | |||||||
Semiconductors — 1.0% | ||||||||
Micron Technology, Inc. (d) | $ | 2,800,000 | $ | 2,744,000 | ||||
|
| |||||||
Software — 1.0% | ||||||||
Audatex North America, Inc. (d) | 1,675,000 | 1,716,875 | ||||||
Audatex North America, Inc. (d) | 875,000 | 896,875 | ||||||
|
| |||||||
2,613,750 | ||||||||
|
| |||||||
Storage & Warehousing — 1.1% | ||||||||
Niska Gas Storage Canada ULC/Niska Gas Storage Canada Finance Corp. (d) | $ | 3,200,000 | $ | 2,800,000 | ||||
|
| |||||||
Telecommunications — 6.9% | ||||||||
Altice Financing SA (d) | 1,485,000 | 1,522,125 | ||||||
Altice Finco SA (d) | 1,385,000 | 1,481,950 | ||||||
Altice SA (d) | 1,955,000 | 2,018,537 | ||||||
DigitalGlobe, Inc. (d) | 1,050,000 | 1,008,000 | ||||||
Frontier Communications Corp. | 1,060,000 | 1,046,750 | ||||||
Frontier Communications Corp. | 1,835,000 | 1,903,813 | ||||||
Sprint Corp. (d) | 560,000 | 564,200 | ||||||
Sprint Corp. (d) | 1,460,000 | 1,520,225 | ||||||
Sprint Corp. (d) | 2,880,000 | 3,052,800 | ||||||
T-Mobile USA, Inc. | 1,955,000 | 1,950,113 | ||||||
West Corp. (d) | 2,175,000 | 2,006,437 | ||||||
|
| |||||||
18,074,950 | ||||||||
|
| |||||||
Transportation — 5.0% | ||||||||
The Kenan Advantage Group, Inc. (d) | 5,510,000 | 5,751,062 | ||||||
Quality Distribution LLC/QD Capital Corp. | 1,588,000 | 1,667,400 | ||||||
Topaz Marine SA (d) | 2,838,000 | 2,937,898 | ||||||
Watco Cos. LLC/Watco Finance Corp. (d) | 2,730,000 | 2,743,650 | ||||||
|
| |||||||
13,100,010 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
132
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MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
TOTAL CORPORATE DEBT (Cost $235,122,959) | $ | 236,257,824 | ||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $250,985,024) | 252,092,908 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $253,098,615) | 254,312,279 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 4.2% | ||||||||
Time Deposits — 4.2% | ||||||||
Euro Time Deposit | $ | 10,977,222 | $ | 10,977,222 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,977,222) | 10,977,222 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.7% (Cost $264,075,837) (f) | 265,289,501 | |||||||
Other Assets/(Liabilities) — (0.7)% | (1,716,717 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 263,572,784 | ||||||
|
|
Notes to Portfolio of Investments
(a) | Non-income producing security. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2014, these securities amounted to a value of $2,219,371 or 0.84% of net assets. |
(c) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At September 30, 2014, these securities amounted to a value of $0 or 0.00% of net assets. |
(d) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, these securities amounted to a value of $159,116,102 or 60.37% of net assets. |
(e) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
133
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 56.8% | ||||||||
COMMON STOCK — 56.7% | ||||||||
Basic Materials — 1.5% | ||||||||
Chemicals — 1.2% | ||||||||
Air Products & Chemicals, Inc. | 630 | $ | 82,012 | |||||
Airgas, Inc. | 3 | 332 | ||||||
CF Industries Holdings, Inc. | 1,115 | 311,330 | ||||||
The Dow Chemical Co. | 6,693 | 350,981 | ||||||
E.I. du Pont de Nemours & Co. | 71 | 5,095 | ||||||
Eastman Chemical Co. | 794 | 64,227 | ||||||
Ecolab, Inc. | 224 | 25,722 | ||||||
International Flavors & Fragrances, Inc. | 113 | 10,834 | ||||||
LyondellBasell Industries NV Class A | 3,700 | 402,042 | ||||||
Monsanto Co. | 9 | 1,013 | ||||||
The Mosaic Co. | 3,800 | 168,758 | ||||||
PPG Industries, Inc. | 864 | 169,983 | ||||||
Praxair, Inc. | 4 | 516 | ||||||
Rayonier Advanced Materials, Inc. | 5,766 | 189,759 | ||||||
The Sherwin-Williams Co. | 127 | 27,812 | ||||||
Sigma-Aldrich Corp. | 749 | 101,872 | ||||||
|
| |||||||
1,912,288 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% | ||||||||
International Paper Co. | 2,607 | 124,458 | ||||||
MeadWestvaco Corp. | 107 | 4,381 | ||||||
|
| |||||||
128,839 | ||||||||
|
| |||||||
Iron & Steel — 0.0% | ||||||||
Allegheny Technologies, Inc. | 19 | 705 | ||||||
Nucor Corp. | 61 | 3,311 | ||||||
|
| |||||||
4,016 | ||||||||
|
| |||||||
Mining — 0.2% | ||||||||
Alcoa, Inc. | 7,546 | 121,415 | ||||||
Freeport-McMoRan, Inc. | 4,748 | 155,022 | ||||||
Newmont Mining Corp. | 784 | 18,071 | ||||||
Vulcan Materials Co. | 698 | 42,041 | ||||||
|
| |||||||
336,549 | ||||||||
|
| |||||||
2,381,692 | ||||||||
|
| |||||||
Communications — 7.6% | ||||||||
Advertising — 0.1% | ||||||||
The Interpublic Group of Companies, Inc. | 1,733 | 31,749 | ||||||
Omnicom Group, Inc. | 1,998 | 137,582 | ||||||
|
| |||||||
169,331 | ||||||||
|
| |||||||
Internet — 1.9% | ||||||||
Akamai Technologies, Inc. (a) | 610 | 36,478 | ||||||
Amazon.com, Inc. (a) | 46 | 14,832 | ||||||
eBay, Inc. (a) | 6,865 | 388,765 | ||||||
Expedia, Inc. | 3,373 | 295,542 |
Number of Shares | Value | |||||||
F5 Networks, Inc. (a) | 1,380 | $ | 163,861 | |||||
Facebook, Inc. Class A (a) | 3,700 | 292,448 | ||||||
FTD Cos., Inc. (a) | 8,100 | 276,291 | ||||||
Google, Inc. Class A (a) | 514 | 302,443 | ||||||
Google, Inc. Class C (a) | 494 | 285,216 | ||||||
Netflix, Inc. (a) | 326 | 147,085 | ||||||
New Media Investment Group, Inc. | 9,300 | 154,659 | ||||||
The Priceline Group, Inc. (a) | 224 | 259,522 | ||||||
Symantec Corp. | 4,979 | 117,056 | ||||||
TripAdvisor, Inc. (a) | 543 | 49,641 | ||||||
VeriSign, Inc. (a) | 6,589 | 363,186 | ||||||
Yahoo!, Inc. (a) | 34 | 1,385 | ||||||
|
| |||||||
3,148,410 | ||||||||
|
| |||||||
Media — 2.8% | ||||||||
Cablevision Systems Corp. Class A | 16,500 | 288,915 | ||||||
CBS Corp. Class B | 70 | 3,745 | ||||||
Comcast Corp. Class A | 12,481 | 671,228 | ||||||
DIRECTV (a) | 3,686 | 318,913 | ||||||
Discovery Communications, Inc. Series A (a) | 200 | 7,560 | ||||||
Discovery Communications, Inc. Series C (a) | 200 | 7,456 | ||||||
Gannett Co., Inc. | 1,107 | 32,845 | ||||||
Liberty Media Corp. (a) | 7,420 | 348,666 | ||||||
Liberty Media Corp. Class A (a) | 6,560 | 309,501 | ||||||
The McGraw Hill Financial, Inc. | 609 | 51,430 | ||||||
News Corp. (a) | 16,400 | 264,532 | ||||||
News Corp. Class A (a) | 2,230 | 36,461 | ||||||
Nielsen NV | 900 | 39,897 | ||||||
Scripps Networks Interactive Class A | 424 | 33,110 | ||||||
Starz Class A (a) | 18,700 | 618,596 | ||||||
Time Warner Cable, Inc. | 808 | 115,940 | ||||||
Time Warner, Inc. | 4,788 | 360,105 | ||||||
Twenty-First Century Fox Class A | 321 | 11,007 | ||||||
Viacom, Inc. Class B | 3,190 | 245,439 | ||||||
The Walt Disney Co. | 10,382 | 924,309 | ||||||
|
| |||||||
4,689,655 | ||||||||
|
| |||||||
Telecommunications — 2.8% | ||||||||
AT&T, Inc. | 23,270 | 820,035 | ||||||
CenturyLink, Inc. | 2,554 | 104,433 | ||||||
Cisco Systems, Inc. | 34,524 | 868,969 | ||||||
Corning, Inc. | 9,174 | 177,425 | ||||||
Crown Castle International Corp. | 200 | 16,106 | ||||||
Frontier Communications Corp. | 33,870 | 220,494 | ||||||
Harris Corp. | 1,354 | 89,905 | ||||||
Juniper Networks, Inc. | 5,848 | 129,533 | ||||||
Knowles Corp. (a) | 4,200 | 111,300 | ||||||
Motorola Solutions, Inc. | 34 | 2,151 | ||||||
QUALCOMM, Inc. | 13,188 | 986,067 | ||||||
Verizon Communications, Inc. | 19,732 | 986,403 |
The accompanying notes are an integral part of the financial statements.
134
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Windstream Corp. | 1,351 | $ | 14,564 | |||||
|
| |||||||
4,527,385 | ||||||||
|
| |||||||
12,534,781 | ||||||||
|
| |||||||
Consumer, Cyclical — 4.8% | ||||||||
Airlines — 0.4% | ||||||||
Delta Air Lines, Inc. | 10,600 | 383,190 | ||||||
Southwest Airlines Co. | 9,066 | 306,159 | ||||||
|
| |||||||
689,349 | ||||||||
|
| |||||||
Apparel — 0.3% | ||||||||
Nike, Inc. Class B | 3,802 | 339,139 | ||||||
Ralph Lauren Corp. | 180 | 29,651 | ||||||
VF Corp. | 500 | 33,015 | ||||||
|
| |||||||
401,805 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% | ||||||||
Ford Motor Co. | 17,962 | 265,658 | ||||||
General Motors Co. | 4,000 | 127,760 | ||||||
Paccar, Inc. | 34 | 1,934 | ||||||
|
| |||||||
395,352 | ||||||||
|
| |||||||
Automotive & Parts — 0.3% | ||||||||
BorgWarner, Inc. | 1,000 | 52,610 | ||||||
Delphi Automotive PLC | 4,100 | 251,494 | ||||||
The Goodyear Tire & Rubber Co. | 9,161 | 206,901 | ||||||
Johnson Controls, Inc. | 5 | 220 | ||||||
|
| |||||||
511,225 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.0% | ||||||||
Fastenal Co. | 70 | 3,143 | ||||||
Fossil Group, Inc. (a) | 30 | 2,817 | ||||||
Genuine Parts Co. | 536 | 47,012 | ||||||
W.W. Grainger, Inc. | 4 | 1,007 | ||||||
|
| |||||||
53,979 | ||||||||
|
| |||||||
Home Builders — 0.0% | ||||||||
D.R. Horton, Inc. | 59 | 1,210 | ||||||
PulteGroup, Inc. | 1,974 | 34,861 | ||||||
|
| |||||||
36,071 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Harman International Industries, Inc. | 454 | 44,510 | ||||||
Whirlpool Corp. | 584 | 85,060 | ||||||
|
| |||||||
129,570 | ||||||||
|
| |||||||
Housewares — 0.0% | ||||||||
Newell Rubbermaid, Inc. | 1,083 | 37,266 | ||||||
|
| |||||||
Leisure Time — 0.1% | ||||||||
Carnival Corp. | 2,373 | 95,323 | ||||||
Harley-Davidson, Inc. | 1,008 | 58,666 | ||||||
|
| |||||||
153,989 | ||||||||
|
| |||||||
Lodging — 0.5% | ||||||||
Marriott International, Inc. Class A | 3,413 | 238,569 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,460 | 121,486 |
Number of Shares | Value | |||||||
Wyndham Worldwide Corp. | 4,822 | $ | 391,836 | |||||
Wynn Resorts Ltd. | 549 | 102,707 | ||||||
|
| |||||||
854,598 | ||||||||
|
| |||||||
Retail — 2.8% | ||||||||
AutoNation, Inc. (a) | 20 | 1,006 | ||||||
AutoZone, Inc. (a) | 206 | 104,990 | ||||||
Bed Bath & Beyond, Inc. (a) | 1,773 | 116,717 | ||||||
Best Buy Co., Inc. | 3,408 | 114,475 | ||||||
CarMax, Inc. (a) | 1,000 | 46,450 | ||||||
Coach, Inc. | 1,384 | 49,284 | ||||||
Costco Wholesale Corp. | 948 | 118,803 | ||||||
CVS Health Corp. | 7,513 | 597,960 | ||||||
Darden Restaurants, Inc. | 173 | 8,903 | ||||||
Dollar General Corp. (a) | 600 | 36,666 | ||||||
Dollar Tree, Inc. (a) | 1,160 | 65,041 | ||||||
Family Dollar Stores, Inc. | 47 | 3,630 | ||||||
GameStop Corp. Class A | 1,361 | 56,073 | ||||||
The Gap, Inc. | 905 | 37,729 | ||||||
The Home Depot, Inc. | 9,410 | 863,273 | ||||||
Kohl’s Corp. | 3,461 | 211,225 | ||||||
Lowe’s Cos., Inc. | 7,029 | 371,975 | ||||||
Macy’s, Inc. | 3,640 | 211,775 | ||||||
McDonald’s Corp. | 2,275 | 215,693 | ||||||
Nordstrom, Inc. | 711 | 48,611 | ||||||
O’Reilly Automotive, Inc. (a) | 734 | 110,364 | ||||||
PetSmart, Inc. | 400 | 28,036 | ||||||
Ross Stores, Inc. | 1,496 | 113,068 | ||||||
Staples, Inc. | 3,183 | 38,514 | ||||||
Starbucks Corp. | 2,295 | 173,181 | ||||||
Target Corp. | 2,467 | 154,632 | ||||||
Tiffany & Co. | 311 | 29,952 | ||||||
The TJX Cos., Inc. | 1,740 | 102,956 | ||||||
Urban Outfitters, Inc. (a) | 760 | 27,892 | ||||||
Wal-Mart Stores, Inc. | 2,253 | 172,287 | ||||||
Walgreen Co. | 5,006 | 296,706 | ||||||
Yum! Brands, Inc. | 536 | 38,581 | ||||||
|
| |||||||
4,566,448 | ||||||||
|
| |||||||
Textiles — 0.0% | ||||||||
Cintas Corp. | 649 | 45,813 | ||||||
|
| |||||||
Toys, Games & Hobbies — 0.0% | ||||||||
Hasbro, Inc. | 47 | 2,585 | ||||||
Mattel, Inc. | 61 | 1,869 | ||||||
|
| |||||||
4,454 | ||||||||
|
| |||||||
7,879,919 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 13.1% | ||||||||
Agriculture — 1.0% | ||||||||
Altria Group, Inc. | 7,441 | 341,839 | ||||||
Archer-Daniels-Midland Co. | 6,226 | 318,149 | ||||||
Lorillard, Inc. | 2,979 | 178,472 | ||||||
Philip Morris International, Inc. | 8,396 | 700,226 | ||||||
Reynolds American, Inc. | 444 | 26,196 | ||||||
|
| |||||||
1,564,882 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
135
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Beverages — 1.6% | ||||||||
Brown-Forman Corp. Class B | 11 | $ | 992 | |||||
The Coca-Cola Co. | 22,924 | 977,938 | ||||||
Coca-Cola Enterprises, Inc. | 1,385 | 61,439 | ||||||
Constellation Brands, Inc. Class A (a) | 3,522 | 306,978 | ||||||
Dr. Pepper Snapple Group, Inc. | 2,610 | 167,849 | ||||||
Keurig Green Mountain, Inc. | 440 | 57,257 | ||||||
Molson Coors Brewing Co. Class B | 3,836 | 285,552 | ||||||
Monster Beverage Corp. (a) | 900 | 82,503 | ||||||
PepsiCo, Inc. | 7,392 | 688,121 | ||||||
|
| �� | ||||||
2,628,629 | ||||||||
|
| |||||||
Biotechnology — 1.0% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 460 | 76,277 | ||||||
Amgen, Inc. | 7,445 | 1,045,725 | ||||||
Biogen Idec, Inc. (a) | 1,194 | 394,987 | ||||||
Celgene Corp. (a) | 198 | 18,767 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 110 | 39,657 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 100 | 11,231 | ||||||
|
| |||||||
1,586,644 | ||||||||
|
| |||||||
Commercial Services — 0.8% | ||||||||
The ADT Corp. | 650 | 23,049 | ||||||
Automatic Data Processing, Inc. | 421 | 34,977 | ||||||
Equifax, Inc. | 336 | 25,113 | ||||||
H&R Block, Inc. | 8,442 | 261,786 | ||||||
Iron Mountain, Inc. | 69 | 2,253 | ||||||
MasterCard, Inc. Class A | 50 | 3,696 | ||||||
McKesson Corp. | 1,941 | 377,854 | ||||||
Moody’s Corp. | 735 | 69,458 | ||||||
Paychex, Inc. | 813 | 35,935 | ||||||
Quanta Services, Inc. (a) | 1,024 | 37,161 | ||||||
Robert Half International, Inc. | 335 | 16,415 | ||||||
Total System Services, Inc. | 621 | 19,226 | ||||||
Vectrus, Inc. (a) | 1,478 | 28,861 | ||||||
Visa, Inc. Class A | 120 | 25,604 | ||||||
Western Union Co. | 17,307 | 277,604 | ||||||
|
| |||||||
1,238,992 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.6% | ||||||||
Avon Products, Inc. | 17,809 | 224,393 | ||||||
Colgate-Palmolive Co. | 806 | 52,567 | ||||||
The Estee Lauder Cos., Inc. Class A | 996 | 74,421 | ||||||
The Procter & Gamble Co. | 8,433 | 706,180 | ||||||
|
| |||||||
1,057,561 | ||||||||
|
| |||||||
Foods — 1.0% | ||||||||
Campbell Soup Co. | 165 | 7,051 | ||||||
ConAgra Foods, Inc. | 384 | 12,687 | ||||||
General Mills, Inc. | 894 | 45,102 | ||||||
The Hershey Co. | 419 | 39,985 | ||||||
Hormel Foods Corp. | 94 | 4,831 | ||||||
The J.M. Smucker Co. | 394 | 39,002 | ||||||
Kellogg Co. | 1,835 | 113,036 | ||||||
Kraft Foods Group, Inc. | 2,473 | 139,477 |
Number of Shares | Value | |||||||
The Kroger Co. | 4,034 | $ | 209,768 | |||||
McCormick & Co., Inc. | 73 | 4,884 | ||||||
Mondelez International, Inc. Class A | 6,221 | 213,163 | ||||||
Safeway, Inc. | 3,821 | 131,060 | ||||||
Sysco Corp. | 566 | 21,480 | ||||||
Tyson Foods, Inc. Class A | 1,020 | 40,157 | ||||||
WhiteWave Foods Co. Class A (a) | 16,500 | 599,445 | ||||||
Whole Foods Market, Inc. | 472 | 17,988 | ||||||
|
| |||||||
1,639,116 | ||||||||
|
| |||||||
Health Care – Products — 2.2% | ||||||||
Baxter International, Inc. | 1,822 | 130,765 | ||||||
Becton, Dickinson & Co. | 822 | 93,552 | ||||||
Boston Scientific Corp. (a) | 6,721 | 79,375 | ||||||
C.R. Bard, Inc. | 2,674 | 381,607 | ||||||
CareFusion Corp. (a) | 1,248 | 56,472 | ||||||
Covidien PLC | 2,500 | 216,275 | ||||||
Edwards Lifesciences Corp. (a) | 2,350 | 240,052 | ||||||
Intuitive Surgical, Inc. (a) | 14 | 6,465 | ||||||
Johnson & Johnson | 12,919 | 1,377,036 | ||||||
Medtronic, Inc. | 9,769 | 605,190 | ||||||
St. Jude Medical, Inc. | 1,998 | 120,140 | ||||||
Stryker Corp. | 1,059 | 85,514 | ||||||
Varian Medical Systems, Inc. (a) | 674 | 54,001 | ||||||
Zimmer Holdings, Inc. | 1,234 | 124,079 | ||||||
|
| |||||||
3,570,523 | ||||||||
|
| |||||||
Health Care – Services — 1.0% | ||||||||
Aetna, Inc. | 3,272 | 265,032 | ||||||
Cigna Corp. | 2,359 | 213,938 | ||||||
DaVita HealthCare Partners, Inc. (a) | 746 | 54,562 | ||||||
Humana, Inc. | 1,175 | 153,091 | ||||||
Laboratory Corporation of America Holdings (a) | 601 | 61,152 | ||||||
Quest Diagnostics, Inc. | 635 | 38,532 | ||||||
Tenet Healthcare Corp. (a) | 29 | 1,722 | ||||||
Thermo Fisher Scientific, Inc. | 248 | 30,182 | ||||||
UnitedHealth Group, Inc. | 4,681 | 403,736 | ||||||
Universal Health Services, Inc. Class B | 2,070 | 216,315 | ||||||
WellPoint, Inc. | 2,188 | 261,728 | ||||||
|
| |||||||
1,699,990 | ||||||||
|
| |||||||
Household Products — 0.2% | ||||||||
Avery Dennison Corp. | 582 | 25,986 | ||||||
The Clorox Co. | 447 | 42,930 | ||||||
Kimberly-Clark Corp. | 2,130 | 229,124 | ||||||
|
| |||||||
298,040 | ||||||||
|
| |||||||
Pharmaceuticals — 3.7% | ||||||||
Abbott Laboratories | 4,704 | 195,639 | ||||||
AbbVie, Inc. | 4,704 | 271,703 | ||||||
Actavis PLC (a) | 462 | 111,471 | ||||||
Allergan, Inc. | 1,147 | 204,384 | ||||||
AmerisourceBergen Corp. | 560 | 43,288 |
The accompanying notes are an integral part of the financial statements.
136
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Bristol-Myers Squibb Co. | 7,212 | $ | 369,110 | |||||
Cardinal Health, Inc. | 2,855 | 213,897 | ||||||
DENTSPLY International, Inc. | 161 | 7,342 | ||||||
Eli Lilly & Co. | 2,507 | 162,579 | ||||||
Express Scripts Holding Co. (a) | 3,745 | 264,509 | ||||||
Gilead Sciences, Inc. (a) | 10,032 | 1,067,906 | ||||||
Hospira, Inc. (a) | 624 | 32,467 | ||||||
Mead Johnson Nutrition Co. | 624 | 60,041 | ||||||
Merck & Co., Inc. | 17,929 | 1,062,831 | ||||||
Mylan, Inc. (a) | 2,459 | 111,860 | ||||||
Patterson Cos., Inc. | 61 | 2,527 | ||||||
Perrigo Co. PLC | 40 | 6,008 | ||||||
Pfizer, Inc. | 44,122 | 1,304,688 | ||||||
Zoetis, Inc. | 16,810 | 621,130 | ||||||
|
| |||||||
6,113,380 | ||||||||
|
| |||||||
21,397,757 | ||||||||
|
| |||||||
Diversified — 0.0% | ||||||||
Holding Company – Diversified — 0.0% | ||||||||
Leucadia National Corp. | 2,236 | 53,306 | ||||||
|
| |||||||
Energy — 5.3% | ||||||||
Coal — 0.0% | ||||||||
CONSOL Energy, Inc. | 1,457 | 55,162 | ||||||
|
| |||||||
Energy – Alternate Sources — 0.0% | ||||||||
First Solar, Inc. (a) | 400 | 26,324 | ||||||
|
| |||||||
Oil & Gas — 4.5% | ||||||||
Anadarko Petroleum Corp. | 3,097 | 314,160 | ||||||
Apache Corp. | 1,098 | 103,069 | ||||||
Cabot Oil & Gas Corp. | 92 | 3,007 | ||||||
Chesapeake Energy Corp. | 5,198 | 119,502 | ||||||
Chevron Corp. | 9,100 | 1,085,812 | ||||||
Cimarex Energy Co. | 300 | 37,959 | ||||||
ConocoPhillips | 10,195 | 780,121 | ||||||
Denbury Resources, Inc. | 2,185 | 32,841 | ||||||
Devon Energy Corp. | 2,517 | 171,609 | ||||||
Diamond Offshore Drilling, Inc. | 85 | 2,913 | ||||||
Ensco PLC Class A | 1,100 | 45,441 | ||||||
EOG Resources, Inc. | 1,492 | 147,738 | ||||||
EQT Corp. | 629 | 57,579 | ||||||
Exxon Mobil Corp. | 19,249 | 1,810,368 | ||||||
Helmerich & Payne, Inc. | 840 | 82,211 | ||||||
Hess Corp. | 2,747 | 259,097 | ||||||
Marathon Oil Corp. | 5,185 | 194,904 | ||||||
Marathon Petroleum Corp. | 2,342 | 198,297 | ||||||
Murphy Oil Corp. | 1,422 | 80,926 | ||||||
Murphy USA, Inc. (a) | 6,000 | 318,360 | ||||||
Nabors Industries Ltd. | 10,099 | 229,853 | ||||||
Newfield Exploration Co. (a) | 1,300 | 48,191 | ||||||
Noble Corp. PLC | 700 | 15,554 | ||||||
Noble Energy, Inc. | 66 | 4,512 | ||||||
Occidental Petroleum Corp. | 4,030 | 387,485 | ||||||
Phillips 66 | 5,605 | 455,743 |
Number of Shares | Value | |||||||
Pioneer Natural Resources Co. | 3 | $ | 591 | |||||
QEP Resources, Inc. | 98 | 3,016 | ||||||
Range Resources Corp. | 99 | 6,713 | ||||||
Tesoro Corp. | 3,486 | 212,576 | ||||||
Valero Energy Corp. | 4,410 | 204,051 | ||||||
|
| |||||||
7,414,199 | ||||||||
|
| |||||||
Oil & Gas Services — 0.8% | ||||||||
Baker Hughes, Inc. | 2,874 | 186,983 | ||||||
Cameron International Corp. (a) | 37 | 2,456 | ||||||
FMC Technologies, Inc. (a) | 72 | 3,910 | ||||||
Halliburton Co. | 5,171 | 333,581 | ||||||
National Oilwell Varco, Inc. | 4,809 | 365,965 | ||||||
Schlumberger Ltd. | 2,845 | 289,308 | ||||||
Transocean Ltd. | 2,300 | 73,531 | ||||||
|
| |||||||
1,255,734 | ||||||||
|
| |||||||
Pipelines — 0.0% | ||||||||
Kinder Morgan, Inc. | 60 | 2,300 | ||||||
Spectra Energy Corp. | 71 | 2,788 | ||||||
The Williams Cos., Inc. | 33 | 1,827 | ||||||
|
| |||||||
6,915 | ||||||||
|
| |||||||
8,758,334 | ||||||||
|
| |||||||
Financial — 8.7% | ||||||||
Banks — 2.5% | ||||||||
Bank of America Corp. | 16,642 | 283,746 | ||||||
Bank of New York Mellon Corp. | 5,995 | 232,186 | ||||||
BB&T Corp. | 1,912 | 71,146 | ||||||
Capital One Financial Corp. | 5,775 | 471,355 | ||||||
Comerica, Inc. | 924 | 46,071 | ||||||
Fifth Third Bancorp | 2,921 | 58,478 | ||||||
Huntington Bancshares, Inc. | 13,210 | 128,533 | ||||||
KeyCorp | 10,972 | 146,257 | ||||||
M&T Bank Corp. | 281 | 34,644 | ||||||
Northern Trust Corp. | 661 | 44,968 | ||||||
PNC Financial Services Group, Inc. | 3,745 | 320,497 | ||||||
Regions Financial Corp. | 13,043 | 130,952 | ||||||
State Street Corp. | 1,685 | 124,033 | ||||||
SunTrust Banks, Inc. | 3,000 | 114,090 | ||||||
U.S. Bancorp | 8,229 | 344,219 | ||||||
Wells Fargo & Co. | 30,364 | 1,574,981 | ||||||
Zions Bancorp | 449 | 13,048 | ||||||
|
| |||||||
4,139,204 | ||||||||
|
| |||||||
Diversified Financial — 2.8% | ||||||||
Affiliated Managers Group, Inc. (a) | 260 | 52,094 | ||||||
American Express Co. | 4,588 | 401,633 | ||||||
Ameriprise Financial, Inc. | 1,215 | 149,907 | ||||||
BlackRock, Inc. | 710 | 233,107 | ||||||
The Charles Schwab Corp. | 3,122 | 91,756 | ||||||
Citigroup, Inc. | 14,084 | 729,833 | ||||||
CME Group, Inc. | 55 | 4,398 | ||||||
Discover Financial Services | 2,895 | 186,409 |
The accompanying notes are an integral part of the financial statements.
137
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
E*TRADE Financial Corp. (a) | 2,893 | $ | 65,353 | |||||
Franklin Resources, Inc. | 1,548 | 84,536 | ||||||
The Goldman Sachs Group, Inc. | 2,878 | 528,314 | ||||||
IntercontinentalExchange, Inc. | 2 | 390 | ||||||
Invesco Ltd. | 2,123 | 83,816 | ||||||
JP Morgan Chase & Co. | 21,565 | 1,299,076 | ||||||
Legg Mason, Inc. | 2,347 | 120,072 | ||||||
Morgan Stanley | 9,596 | 331,734 | ||||||
The NASDAQ OMX Group, Inc. | 722 | 30,627 | ||||||
Navient Corp. | 7,618 | 134,915 | ||||||
T. Rowe Price Group, Inc. | 1,186 | 92,982 | ||||||
|
| |||||||
4,620,952 | ||||||||
|
| |||||||
Insurance — 3.1% | ||||||||
ACE Ltd. | 2,830 | 296,782 | ||||||
Aflac, Inc. | 2,945 | 171,546 | ||||||
The Allstate Corp. | 2,786 | 170,977 | ||||||
American International Group, Inc. | 11,411 | 616,422 | ||||||
Aon PLC | 1,636 | 143,428 | ||||||
Assurant, Inc. | 3,010 | 193,543 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 9,543 | 1,318,270 | ||||||
The Chubb Corp. | 1,664 | 151,557 | ||||||
Cincinnati Financial Corp. | 524 | 24,654 | ||||||
Genworth Financial, Inc. Class A (a) | 4,855 | 63,601 | ||||||
The Hartford Financial Services Group, Inc. | 1,290 | 48,053 | ||||||
Lincoln National Corp. | 3,658 | 195,996 | ||||||
Loews Corp. | 434 | 18,080 | ||||||
Marsh & McLennan Cos., Inc. | 1,230 | 64,378 | ||||||
MetLife, Inc. | 5,929 | 318,506 | ||||||
Principal Financial Group, Inc. | 3,535 | 185,481 | ||||||
The Progressive Corp. | 2,734 | 69,116 | ||||||
Prudential Financial, Inc. | 4,235 | 372,426 | ||||||
Torchmark Corp. | 1,980 | 103,693 | ||||||
The Travelers Cos., Inc. | 2,163 | 203,192 | ||||||
Unum Group | 4,235 | 145,599 | ||||||
XL Group PLC | 5,697 | 188,969 | ||||||
|
| |||||||
5,064,269 | ||||||||
|
| |||||||
Real Estate — 0.0% | ||||||||
CBRE Group, Inc. (a) | 98 | 2,915 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.3% | ||||||||
American Tower Corp. | 1,698 | 158,984 | ||||||
Apartment Investment & Management Co. Class A | 64 | 2,036 | ||||||
AvalonBay Communities, Inc. | 4 | 564 | ||||||
Boston Properties, Inc. | 317 | 36,696 | ||||||
Equity Residential | 1 | 62 | ||||||
General Growth Properties, Inc. | 2,900 | 68,295 | ||||||
HCP, Inc. | 976 | 38,757 | ||||||
Health Care REIT, Inc. | 74 | 4,615 | ||||||
Host Hotels & Resorts, Inc. | 4,030 | 85,960 | ||||||
Kimco Realty Corp. | 1,410 | 30,893 | ||||||
The Macerich Co. | 400 | 25,532 |
Number of Shares | Value | |||||||
Plum Creek Timber Co., Inc. | 73 | $ | 2,848 | |||||
Prologis, Inc. | 16 | 603 | ||||||
Public Storage | 27 | 4,478 | ||||||
Simon Property Group, Inc. | 4 | 658 | ||||||
Ventas, Inc. | 36 | 2,230 | ||||||
Vornado Realty Trust | 165 | 16,493 | ||||||
Weyerhaeuser Co. | 177 | 5,639 | ||||||
|
| |||||||
485,343 | ||||||||
|
| |||||||
Savings & Loans — 0.0% | ||||||||
Hudson City Bancorp, Inc. | 1,335 | 12,976 | ||||||
People’s United Financial, Inc. | 1,059 | 15,324 | ||||||
|
| |||||||
28,300 | ||||||||
|
| |||||||
14,340,983 | ||||||||
|
| |||||||
Industrial — 6.2% | ||||||||
Aerospace & Defense — 1.5% | ||||||||
The Boeing Co. | 3,106 | 395,642 | ||||||
Exelis, Inc. | 26,600 | 439,964 | ||||||
General Dynamics Corp. | 2,048 | 260,280 | ||||||
L-3 Communications Holdings, Inc. | 594 | 70,638 | ||||||
Lockheed Martin Corp. | 2,431 | 444,338 | ||||||
Northrop Grumman Corp. | 2,223 | 292,903 | ||||||
Raytheon Co. | 2,096 | 212,996 | ||||||
Rockwell Collins, Inc. | 457 | 35,875 | ||||||
United Technologies Corp. | 2,792 | 294,835 | ||||||
|
| |||||||
2,447,471 | ||||||||
|
| |||||||
Building Materials — 0.0% | ||||||||
Masco Corp. | 894 | 21,384 | ||||||
|
| |||||||
Electrical Components & Equipment — 0.1% | ||||||||
AMETEK, Inc. | 1,000 | 50,210 | ||||||
Emerson Electric Co. | 3,243 | 202,947 | ||||||
|
| |||||||
253,157 | ||||||||
|
| |||||||
Electronics — 0.6% | ||||||||
Agilent Technologies, Inc. | 873 | 49,744 | ||||||
Allegion PLC | 6,000 | 285,840 | ||||||
Amphenol Corp. Class A | 36 | 3,595 | ||||||
FLIR Systems, Inc. | 735 | 23,035 | ||||||
Garmin Ltd. | 6,800 | 353,532 | ||||||
Jabil Circuit, Inc. | 6,102 | 123,077 | ||||||
PerkinElmer, Inc. | 24 | 1,046 | ||||||
TE Connectivity Ltd. | 1,000 | 55,290 | ||||||
Waters Corp. (a) | 430 | 42,622 | ||||||
|
| |||||||
937,781 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
Fluor Corp. | 2,347 | 156,756 | ||||||
Jacobs Engineering Group, Inc. (a) | 324 | 15,818 | ||||||
|
| |||||||
172,574 | ||||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Republic Services, Inc. | 87 | 3,395 | ||||||
Stericycle, Inc. (a) | 87 | 10,140 |
The accompanying notes are an integral part of the financial statements.
138
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Waste Management, Inc. | 1,645 | $ | 78,187 | |||||
|
| |||||||
91,722 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.0% | ||||||||
Snap-on, Inc. | 85 | 10,292 | ||||||
Stanley Black & Decker, Inc. | 242 | 21,487 | ||||||
|
| |||||||
31,779 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.5% | ||||||||
Caterpillar, Inc. | 6,850 | 678,356 | ||||||
Ingersoll-Rand PLC | 1,200 | 67,632 | ||||||
Joy Global, Inc. | 600 | 32,724 | ||||||
|
| |||||||
778,712 | ||||||||
|
| |||||||
Machinery – Diversified — 0.3% | ||||||||
Cummins, Inc. | 823 | 108,620 | ||||||
Deere & Co. | 2,081 | 170,621 | ||||||
Flowserve Corp. | 891 | 62,833 | ||||||
Rockwell Automation, Inc. | 446 | 49,006 | ||||||
Roper Industries, Inc. | 524 | 76,656 | ||||||
Xylem, Inc. | 701 | 24,879 | ||||||
|
| |||||||
492,615 | ||||||||
|
| |||||||
Manufacturing — 1.6% | ||||||||
3M Co. | 3,405 | 482,421 | ||||||
Danaher Corp. | 2,572 | 195,421 | ||||||
Dover Corp. | 1,003 | 80,571 | ||||||
Eaton Corp. PLC | 682 | 43,218 | ||||||
General Electric Co. | 45,186 | 1,157,665 | ||||||
Honeywell International, Inc. | 1,675 | 155,976 | ||||||
Illinois Tool Works, Inc. | 3,460 | 292,093 | ||||||
Leggett & Platt, Inc. | 795 | 27,761 | ||||||
Pall Corp. | 461 | 38,586 | ||||||
Parker Hannifin Corp. | 840 | 95,886 | ||||||
Pentair PLC | 819 | 53,636 | ||||||
Textron, Inc. | 2,785 | 100,232 | ||||||
|
| |||||||
2,723,466 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.4% | ||||||||
Precision Castparts Corp. | 9 | 2,132 | ||||||
TimkenSteel Corp. | 13,200 | 613,668 | ||||||
|
| |||||||
615,800 | ||||||||
|
| |||||||
Packaging & Containers — 0.2% | ||||||||
Ball Corp. | 3,920 | 248,018 | ||||||
Bemis Co., Inc. | 1,177 | 44,750 | ||||||
Owens-Illinois, Inc. (a) | 922 | 24,018 | ||||||
Sealed Air Corp. | 47 | 1,639 | ||||||
|
| |||||||
318,425 | ||||||||
|
| |||||||
Transportation — 0.8% | ||||||||
American ExpressNorfolk Southern Corp. | 1,713 | 191,171 | ||||||
C.H. Robinson Worldwide, Inc. | 2,254 | 149,485 | ||||||
CSX Corp. | 5,073 | 162,640 |
Number of Shares | Value | |||||||
Expeditors International of Washington, Inc. | 84 | $ | 3,409 | |||||
FedEx Corp. | 1,346 | 217,312 | ||||||
Ryder System, Inc. | 1,174 | 105,625 | ||||||
Union Pacific Corp. | 2,930 | 317,670 | ||||||
United Parcel Service, Inc. Class B | 1,085 | 106,645 | ||||||
|
| |||||||
1,253,957 | ||||||||
|
| |||||||
10,138,843 | ||||||||
|
| |||||||
Technology — 7.9% | ||||||||
Computers — 3.5% | ||||||||
Accenture PLC Class A | 400 | 32,528 | ||||||
Apple, Inc. | 27,276 | 2,748,057 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 3,818 | 170,932 | ||||||
Computer Sciences Corp. | 3,175 | 194,151 | ||||||
EMC Corp. | 9,353 | 273,669 | ||||||
Hewlett-Packard Co. | 16,763 | 594,584 | ||||||
International Business Machines Corp. | 6,370 | 1,209,217 | ||||||
NetApp, Inc. | 1,709 | 73,419 | ||||||
SanDisk Corp. | 1,910 | 187,084 | ||||||
Seagate Technology PLC | 1,400 | 80,178 | ||||||
Teradata Corp. (a) | 98 | 4,108 | ||||||
Western Digital Corp. | 2,431 | 236,585 | ||||||
|
| |||||||
5,804,512 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.2% | ||||||||
Pitney Bowes, Inc. | 9,699 | 242,378 | ||||||
Xerox Corp. | 13,273 | 175,602 | ||||||
|
| |||||||
417,980 | ||||||||
|
| |||||||
Semiconductors — 1.4% | ||||||||
Altera Corp. | 1,197 | 42,829 | ||||||
Analog Devices, Inc. | 1,459 | 72,206 | ||||||
Applied Materials, Inc. | 2,667 | 57,634 | ||||||
Avago Technologies Ltd. | 600 | 52,200 | ||||||
Broadcom Corp. Class A | 2,924 | 118,188 | ||||||
Intel Corp. | 26,011 | 905,703 | ||||||
KLA-Tencor Corp. | 298 | 23,476 | ||||||
Lam Research Corp. | 863 | 64,466 | ||||||
Linear Technology Corp. | 2,381 | 105,693 | ||||||
Microchip Technology, Inc. | 1,024 | 48,363 | ||||||
Micron Technology, Inc. (a) | 5,333 | 182,709 | ||||||
NVIDIA Corp. | 13,685 | 252,488 | ||||||
Texas Instruments, Inc. | 4,945 | 235,827 | ||||||
Xilinx, Inc. | 1,561 | 66,108 | ||||||
|
| |||||||
2,227,890 | ||||||||
|
| |||||||
Software — 2.8% | ||||||||
Adobe Systems, Inc. (a) | 2,705 | 187,159 | ||||||
Autodesk, Inc. (a) | 1,247 | 68,710 | ||||||
CA, Inc. | 1,885 | 52,667 | ||||||
Cerner Corp. (a) | 200 | 11,914 | ||||||
Citrix Systems, Inc. (a) | 1,145 | 81,684 |
The accompanying notes are an integral part of the financial statements.
139
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
The Dun & Bradstreet Corp. | 1,329 | $ | 156,118 | |||||
Electronic Arts, Inc. (a) | 3,186 | 113,453 | ||||||
Fidelity National Information Services, Inc. | 1,160 | 65,308 | ||||||
Fiserv, Inc. (a) | 1,994 | 128,882 | ||||||
Intuit, Inc. | 889 | 77,921 | ||||||
Microsoft Corp. | 55,241 | 2,560,973 | ||||||
Oracle Corp. | 23,688 | 906,777 | ||||||
Red Hat, Inc. (a) | 24 | 1,347 | ||||||
Salesforce.com, Inc. (a) | 2,280 | 131,168 | ||||||
|
| |||||||
4,544,081 | ||||||||
|
| |||||||
12,994,463 | ||||||||
|
| |||||||
Utilities — 1.6% | ||||||||
Electric — 1.4% | ||||||||
The AES Corp. | 5,777 | 81,918 | ||||||
Ameren Corp. | 972 | 37,257 | ||||||
American Electric Power Co., Inc. | 4,196 | 219,073 | ||||||
CenterPoint Energy, Inc. | 2,135 | 52,243 | ||||||
CMS Energy Corp. | 1,110 | 32,923 | ||||||
Consolidated Edison, Inc. | 609 | 34,506 | ||||||
Dominion Resources, Inc. | 1,362 | 94,101 | ||||||
DTE Energy Co. | 612 | 46,561 | ||||||
Duke Energy Corp. | 3,586 | 268,125 | ||||||
Edison International | 1,534 | 85,781 | ||||||
Entergy Corp. | 1,411 | 109,113 | ||||||
Exelon Corp. | 5,923 | 201,915 | ||||||
FirstEnergy Corp. | 766 | 25,715 | ||||||
Integrys Energy Group, Inc. | 61 | 3,954 | ||||||
NextEra Energy, Inc. | 836 | 78,484 | ||||||
Northeast Utilities | 622 | 27,555 | ||||||
NRG Energy, Inc. | 2,320 | 70,714 | ||||||
Pepco Holdings, Inc. | 4,098 | 109,662 | ||||||
PG&E Corp. | 723 | 32,564 | ||||||
Pinnacle West Capital Corp. | 250 | 13,660 | ||||||
PPL Corp. | 3,384 | 111,130 | ||||||
Public Service Enterprise Group, Inc. | 3,709 | 138,123 | ||||||
SCANA Corp. | 772 | 38,299 | ||||||
The Southern Co. | 5,534 | 241,559 | ||||||
TECO Energy, Inc. | 98 | 1,703 | ||||||
Wisconsin Energy Corp. | 296 | 12,728 | ||||||
Xcel Energy, Inc. | 1,145 | 34,808 | ||||||
|
| |||||||
2,204,174 | ||||||||
|
| |||||||
Gas — 0.2% | ||||||||
AGL Resources, Inc. | 5,916 | 303,727 | ||||||
NiSource, Inc. | 172 | 7,049 | ||||||
Sempra Energy | 182 | 19,179 | ||||||
|
| |||||||
329,955 | ||||||||
|
| |||||||
2,534,129 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $84,654,194) | 93,014,207 | |||||||
|
|
Number of Shares | Value | |||||||
PREFERRED STOCK — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Insurance — 0.1% | ||||||||
The Allstate Corp. | 5,000 | $ | 122,450 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $125,000) | 122,450 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $84,779,194) | 93,136,657 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 33.3% | ||||||||
CORPORATE DEBT — 14.4% | ||||||||
Advertising — 0.1% | ||||||||
WPP Finance 2010 | $ | 20,000 | 21,819 | |||||
WPP Finance 2010 | 125,000 | 135,809 | ||||||
|
| |||||||
157,628 | ||||||||
|
| |||||||
Aerospace & Defense — 0.1% | ||||||||
BAE Systems Holdings, Inc. (b) | 50,000 | 58,209 | ||||||
Exelis, Inc. | 70,000 | 73,653 | ||||||
L-3 Communications Corp. | 5,000 | 5,399 | ||||||
United Technologies Corp. | 15,000 | 19,066 | ||||||
|
| |||||||
156,327 | ||||||||
|
| |||||||
Agriculture — 0.1% | ||||||||
Altria Group, Inc. | 35,000 | 33,524 | ||||||
Altria Group, Inc. | 20,000 | 18,136 | ||||||
Bunge Ltd. Finance Corp. | 45,000 | 46,607 | ||||||
Philip Morris International, Inc. | 5,000 | 6,275 | ||||||
|
| |||||||
104,542 | ||||||||
|
| |||||||
Airlines — 0.0% | ||||||||
American Airlines Pass Equipment Through Trust, Series 2014-1, Class B | 15,000 | 15,187 | ||||||
American Airlines Pass Through Trust, Series 2014-1, Class A | 25,000 | 25,094 |
The accompanying notes are an integral part of the financial statements.
140
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
United Airlines Pass-Through Trust, Series 2014-1, Class A | $ | 30,000 | $ | 30,150 | ||||
|
| |||||||
70,431 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% | ||||||||
General Motors Co. | 50,000 | 50,812 | ||||||
Hyundai Capital America (b) | 75,000 | 74,946 | ||||||
Hyundai Capital America (b) | 40,000 | 40,315 | ||||||
Oshkosh Corp. | 277,000 | 292,235 | ||||||
|
| |||||||
458,308 | ||||||||
|
| |||||||
Automotive & Parts — 0.1% | ||||||||
Lear Corp. | 46,000 | 48,530 | ||||||
TRW Automotive, Inc. (b) | 100,000 | 110,000 | ||||||
|
| |||||||
158,530 | ||||||||
|
| |||||||
Banks — 1.0% | ||||||||
Associated Banc-Corp. | 75,000 | 79,194 | ||||||
Bank of America Corp. | 55,000 | 56,989 | ||||||
Bank of America Corp. | 75,000 | 75,782 | ||||||
Bank of America Corp. | 35,000 | 35,681 | ||||||
Bank of America Corp. | 60,000 | 66,738 | ||||||
Bank of America Corp. | 40,000 | 47,928 | ||||||
Credit Suisse AG | 70,000 | 78,080 | ||||||
Deutsche Bank AG | 50,000 | 49,981 | ||||||
Deutsche Bank AG | 85,000 | 85,448 | ||||||
Discover Bank | 45,000 | 44,784 | ||||||
Export-Import Bank of Korea | 10,000 | 9,904 | ||||||
First Horizon National Corp. | 129,000 | 135,202 | ||||||
FirstMerit Corp. | 15,000 | 15,543 | ||||||
ICICI Bank Ltd. (b) | 200,000 | 211,145 | ||||||
ICICI Bank Ltd. (b) | 59,000 | 62,145 |
Principal Amount | Value | |||||||
ICICI Bank Ltd. (b) | $ | 94,000 | $ | 95,884 | ||||
JP Morgan Chase & Co. | 10,000 | 9,579 | ||||||
JP Morgan Chase & Co. | 50,000 | 49,017 | ||||||
KFW | 135,000 | 130,961 | ||||||
Regions Financial Corp. | 50,000 | 51,594 | ||||||
Regions Financial Corp. | 30,000 | 34,976 | ||||||
SVB Financial Group | 15,000 | 16,780 | ||||||
UBS AG | 55,000 | 62,018 | ||||||
Valley National Bancorp | 50,000 | 52,712 | ||||||
Wells Fargo & Co. | 70,000 | 73,816 | ||||||
|
| |||||||
1,631,881 | ||||||||
|
| |||||||
Beverages — 0.1% | ||||||||
Fomento Economico Mexicano SAB de CV | 15,000 | 13,956 | ||||||
Pernod Ricard SA (b) | 150,000 | 154,633 | ||||||
|
| |||||||
168,589 | ||||||||
|
| |||||||
Biotechnology — 0.0% | ||||||||
Amgen, Inc. | 45,000 | 47,496 | ||||||
|
| |||||||
Building Materials — 0.1% | ||||||||
CRH America, Inc. | 50,000 | 60,365 | ||||||
Lafarge SA | 45,000 | 48,263 | ||||||
Martin Marietta Materials, Inc. FRN (b) | 50,000 | 50,215 | ||||||
Owens Corning, Inc. | 40,000 | 44,066 | ||||||
Owens Corning, Inc. | 10,000 | 12,213 | ||||||
|
| |||||||
215,122 | ||||||||
|
| |||||||
Chemicals — 0.7% | ||||||||
Ashland, Inc. | 385,000 | 375,375 | ||||||
Ashland, Inc. | 105,000 | 109,462 | ||||||
Cabot Corp. | 75,000 | 80,214 |
The accompanying notes are an integral part of the financial statements.
141
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CF Industries, Inc. | $ | 14,000 | $ | 13,724 | ||||
CF Industries, Inc. | 40,000 | 41,860 | ||||||
Cytec Industries, Inc. | 10,000 | 9,800 | ||||||
Cytec Industries, Inc. | 15,000 | 17,801 | ||||||
The Dow Chemical Co. | 15,000 | 18,853 | ||||||
E.I. du Pont de Nemours & Co. | 5,000 | 5,729 | ||||||
Ecolab, Inc. | 15,000 | 16,251 | ||||||
Incitec Pivot Finance LLC (b) | 25,000 | 28,109 | ||||||
Incitec Pivot Ltd. (b) | 113,000 | 116,554 | ||||||
Methanex Corp. | 5,000 | 5,496 | ||||||
NOVA Chemicals Corp. | 25,000 | 26,125 | ||||||
Rockwood Specialties Group, Inc. | 155,000 | 160,037 | ||||||
RPM International, Inc. | 50,000 | 48,657 | ||||||
RPM International, Inc. | 50,000 | 57,085 | ||||||
RPM International, Inc. | 20,000 | 22,653 | ||||||
Valspar Corp. | 25,000 | 29,781 | ||||||
|
| |||||||
1,183,566 | ||||||||
|
| |||||||
Commercial Services — 0.4% | ||||||||
The ADT Corp. | 65,000 | 63,375 | ||||||
Brambles USA, Inc. (b) | 55,000 | 55,857 | ||||||
Cardtronics, Inc., Convertible (b) | 50,000 | 47,969 | ||||||
Donnelley (R.R.) & Sons Co. | 8,000 | 8,180 | ||||||
ERAC USA Finance LLC (b) | 15,000 | 15,348 | ||||||
ERAC USA Finance LLC (b) | 35,000 | 44,208 | ||||||
Leidos Holdings, Inc. | 60,000 | 61,055 | ||||||
The Western Union Co. | 290,000 | 316,204 | ||||||
|
| |||||||
612,196 | ||||||||
|
|
Principal Amount | Value | |||||||
Computers — 0.2% | ||||||||
Apple, Inc. | $ | 75,000 | $ | 73,149 | ||||
Apple, Inc. | 50,000 | 47,279 | ||||||
Apple, Inc. | 25,000 | 23,181 | ||||||
EMC Corp. | 67,000 | 65,748 | ||||||
International Business Machines Corp. | 30,000 | 35,936 | ||||||
SanDisk Corp., Convertible (b) | 81,000 | 96,947 | ||||||
|
| |||||||
342,240 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.0% | ||||||||
Avon Products, Inc. | 30,000 | 32,284 | ||||||
The Procter & Gamble Co. | 10,000 | 12,635 | ||||||
|
| |||||||
44,919 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.0% | ||||||||
Arrow Electronics, Inc. | 15,000 | 15,494 | ||||||
|
| |||||||
Diversified Financial — 1.8% | ||||||||
AerCap Ireland Capital Ltd. (b) | 180,000 | 174,600 | ||||||
Affiliated Managers Group, Inc. | 51,000 | 52,356 | ||||||
Air Lease Corp. | 90,000 | 91,125 | ||||||
Air Lease Corp. | 60,000 | 60,600 | ||||||
Air Lease Corp. | 15,000 | 16,181 | ||||||
American Express Co. | 50,000 | 56,294 | ||||||
American Express Co. | 30,000 | 37,470 | ||||||
The Bear Stearns Cos., Inc. | 60,000 | 69,803 | ||||||
BlackRock, Inc. | 20,000 | 22,601 | ||||||
Citigroup, Inc. | 50,000 | 56,582 | ||||||
Citigroup, Inc. | 18,000 | 18,033 | ||||||
Citigroup, Inc. | 115,000 | 124,663 | ||||||
Citigroup, Inc. | 5,000 | 5,810 |
The accompanying notes are an integral part of the financial statements.
142
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Citigroup, Inc. | $ | 20,000 | $ | 24,104 | ||||
Citigroup, Inc. | 15,000 | 22,228 | ||||||
Citigroup, Inc. | 30,000 | 37,499 | ||||||
Eaton Vance Corp. | 21,000 | 21,010 | ||||||
Eaton Vance Corp. | 4,000 | 4,532 | ||||||
General Electric Capital Corp. | 60,000 | 60,112 | ||||||
General Electric Capital Corp. | 25,000 | 28,263 | ||||||
General Electric Capital Corp. | 30,000 | 34,988 | ||||||
General Electric Capital Corp. | 55,000 | 74,024 | ||||||
General Motors Financial Co., Inc. | 45,000 | 45,204 | ||||||
General Motors Financial Co., Inc. | 35,000 | 35,263 | ||||||
General Motors Financial Co., Inc. | 65,000 | 65,650 | ||||||
The Goldman Sachs Group, Inc. | 45,000 | 50,102 | ||||||
The Goldman Sachs Group, Inc. | 35,000 | 38,010 | ||||||
The Goldman Sachs Group, Inc. | 40,000 | 45,487 | ||||||
The Goldman Sachs Group, Inc. | 20,000 | 22,551 | ||||||
The Goldman Sachs Group, Inc. | 20,000 | 22,735 | ||||||
HSBC Finance Corp. | 30,000 | 35,168 | ||||||
Hyundai Capital America (b) | 30,000 | 30,206 | ||||||
Hyundai Capital America (b) | 30,000 | 30,730 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 235,000 | 232,650 | ||||||
International Lease Finance Corp. | 55,000 | 54,588 | ||||||
International Lease Finance Corp. | 191,000 | 199,595 | ||||||
Janus Capital Group, Inc. | 75,000 | 83,936 | ||||||
JP Morgan Chase & Co. | 40,000 | 42,857 | ||||||
JP Morgan Chase & Co. | 70,000 | 77,339 |
Principal Amount | Value | |||||||
JP Morgan Chase & Co. | $ | 95,000 | $ | 108,748 | ||||
Lazard Group LLC | 110,000 | 114,996 | ||||||
Lazard Group LLC | 75,000 | 84,504 | ||||||
Legg Mason, Inc. | 55,000 | 59,856 | ||||||
Leighton Finance USA Pty Ltd. (b) | 25,000 | 26,298 | ||||||
Merrill Lynch & Co., Inc. | 20,000 | 27,025 | ||||||
Morgan Stanley | 30,000 | 31,258 | ||||||
Morgan Stanley | 130,000 | 130,076 | ||||||
Morgan Stanley | 30,000 | 29,485 | ||||||
Morgan Stanley | 60,000 | 65,171 | ||||||
Morgan Stanley | 50,000 | 56,284 | ||||||
Morgan Stanley | 20,000 | 22,724 | ||||||
Stifel Financial Corp. | 30,000 | 30,171 | ||||||
TD Ameritrade Holding Corp. | 15,000 | 15,094 | ||||||
|
| |||||||
3,006,639 | ||||||||
|
| |||||||
Electric — 0.9% | ||||||||
The AES Corp. | 8,000 | 8,440 | ||||||
Berkshire Hathaway Energy | 70,000 | 85,622 | ||||||
CMS Energy Corp. | 80,000 | 87,833 | ||||||
Florida Power & Light Co. | 25,000 | 28,594 | ||||||
Georgia Power Co. | 10,000 | 9,993 | ||||||
IPALCO Enterprises, Inc. | 75,000 | 79,031 | ||||||
IPALCO Enterprises, Inc. (b) | 303,000 | 323,452 | ||||||
Kansas Gas & Electric Co. | 49,351 | 52,300 | ||||||
LG&E and KU Energy LLC | 60,000 | 64,551 | ||||||
Metropolitan Edison Co. (b) | 50,000 | 50,076 | ||||||
National Fuel Gas Co. | 20,000 | 19,803 |
The accompanying notes are an integral part of the financial statements.
143
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Nevada Power Co. Series N | $ | 20,000 | $ | 26,367 | ||||
Niagara Mohawk Power Corp. (b) | 35,000 | 33,700 | ||||||
NiSource Finance Corp. | 45,000 | 45,782 | ||||||
NiSource Finance Corp. | 40,000 | 46,302 | ||||||
Oncor Electric Delivery Co. | 5,000 | 5,862 | ||||||
Oncor Electric Delivery Co. | 15,000 | 21,958 | ||||||
Pacific Gas & Electric Co. | 25,000 | 30,018 | ||||||
Pennsylvania Electric Co. (b) | 70,000 | 70,022 | ||||||
PPL Capital Funding, Inc. | 15,000 | 14,936 | ||||||
PPL Capital Funding, Inc. | 45,000 | 48,618 | ||||||
Puget Energy, Inc. | 59,000 | 69,829 | ||||||
Southern California Edison Co. | 20,000 | 24,985 | ||||||
State Grid Overseas Investment Ltd. (b) | 45,000 | 44,072 | ||||||
Tenaska Oklahoma I LP (b) | 4,605 | 4,608 | ||||||
Transelec SA (b) | 25,000 | 25,772 | ||||||
Tri-State Generation & Transmission Association, Series 2003, Class A (b) | 42,179 | 44,832 | ||||||
Virginia Electric and Power Co. | 30,000 | 39,844 | ||||||
Wisconsin Public Service Corp. | 50,000 | 54,586 | ||||||
|
| |||||||
1,461,788 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.1% | ||||||||
Anixter, Inc. | 130,000 | 131,950 | ||||||
|
| |||||||
Electronics — 0.3% | ||||||||
Amphenol Corp. | 50,000 | 50,325 | ||||||
Amphenol Corp. | 20,000 | 20,957 | ||||||
Arrow Electronics, Inc. | 45,000 | 51,010 | ||||||
Avnet, Inc. | 23,000 | 24,294 | ||||||
Jabil Circuit, Inc. | 285,000 | 313,500 |
Principal Amount | Value | |||||||
Jabil Circuit, Inc. | $ | 20,000 | $ | 23,250 | ||||
|
| |||||||
483,336 | ||||||||
|
| |||||||
Entertainment — 0.0% | ||||||||
International Game Technology | 25,000 | 26,434 | ||||||
|
| |||||||
Environmental Controls — 0.0% | ||||||||
Republic Services, Inc. | 30,000 | 31,872 | ||||||
Republic Services, Inc. | 5,000 | 5,665 | ||||||
|
| |||||||
37,537 | ||||||||
|
| |||||||
Foods — 0.3% | ||||||||
ConAgra Foods, Inc. | 30,000 | 32,869 | ||||||
ConAgra Foods, Inc. | 15,000 | 18,362 | ||||||
ConAgra Foods, Inc. | 32,000 | 37,962 | ||||||
Delhaize Group | 45,000 | 50,383 | ||||||
Ingredion Inc | 150,000 | 150,613 | ||||||
Kraft Foods, Inc. | 60,000 | 62,604 | ||||||
Kraft Foods, Inc. | 14,000 | 17,554 | ||||||
Tyson Foods, Inc. | 15,000 | 15,028 | ||||||
Tyson Foods, Inc. | 30,000 | 30,052 | ||||||
Tyson Foods, Inc. | 25,000 | 25,730 | ||||||
Tyson Foods, Inc. | 45,000 | 48,690 | ||||||
WM Wrigley Jr. Co. (b) | 15,000 | 15,107 | ||||||
|
| |||||||
504,954 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% | ||||||||
International Paper Co. | 20,000 | 21,553 | ||||||
International Paper Co. | 25,000 | 32,170 | ||||||
International Paper Co. | 15,000 | 19,531 | ||||||
The Mead Corp. | 50,000 | 61,144 | ||||||
|
| |||||||
134,398 | ||||||||
|
| |||||||
Gas — 0.1% | ||||||||
Boston Gas Co. (b) | 10,000 | 10,292 |
The accompanying notes are an integral part of the financial statements.
144
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
The Laclede Group, Inc. | $ | 70,000 | $ | 70,512 | ||||
|
| |||||||
80,804 | ||||||||
|
| |||||||
Health Care – Products — 0.1% | ||||||||
Boston Scientific Corp. | 35,000 | 39,904 | ||||||
Hospira, Inc. | 35,000 | 37,688 | ||||||
Johnson & Johnson | 10,000 | 12,987 | ||||||
|
| |||||||
90,579 | ||||||||
|
| |||||||
Health Care – Services — 0.1% | ||||||||
Cigna Corp. | 40,000 | 41,345 | ||||||
Cigna Corp. | 20,000 | 22,354 | ||||||
Howard Hughes Medical Institute | 35,000 | 36,061 | ||||||
Kaiser Foundation Hospitals | 15,000 | 15,121 | ||||||
Roche Holdings, Inc. (b) | 9,000 | 10,430 | ||||||
Roche Holdings, Inc. (b) | 5,000 | 6,995 | ||||||
UnitedHealth Group, Inc. | 45,000 | 61,609 | ||||||
|
| |||||||
193,915 | ||||||||
|
| |||||||
Holding Company – Diversified — 0.0% | ||||||||
Hutchison Whampoa International Ltd. (b) | 45,000 | 51,351 | ||||||
|
| |||||||
Home Furnishing — 0.0% | ||||||||
Whirlpool Corp. | 20,000 | 20,089 | ||||||
Whirlpool Corp. | 10,000 | 10,597 | ||||||
|
| |||||||
30,686 | ||||||||
|
| |||||||
Household Products — 0.0% | ||||||||
Avery Dennison Corp. | 15,000 | 14,578 | ||||||
Jarden Corp., Convertible (b) | 17,000 | 16,947 | ||||||
Jarden Corp., Convertible | 5,000 | 5,878 | ||||||
|
| |||||||
37,403 | ||||||||
|
| |||||||
Housewares — 0.0% | ||||||||
Newell Rubbermaid, Inc. | 15,000 | 15,046 | ||||||
|
| |||||||
Insurance — 1.0% | ||||||||
Aflac, Inc. | 52,000 | 52,374 |
Principal Amount | Value | |||||||
Aflac, Inc. | $ | 25,000 | $ | 31,641 | ||||
The Allstate Corp. | 30,000 | 35,297 | ||||||
The Allstate Corp. VRN | 70,000 | 74,550 | ||||||
The Allstate Corp. | 5,000 | 6,133 | ||||||
Arch Capital Group US, Inc. | 40,000 | 42,904 | ||||||
AXIS Specialty Finance PLC | 20,000 | 20,066 | ||||||
Brown & Brown, Inc. | 70,000 | 70,374 | ||||||
The Chubb Corp. VRN | 52,000 | 57,005 | ||||||
CNA Financial Corp. | 40,000 | 40,476 | ||||||
CNA Financial Corp. | 40,000 | 48,073 | ||||||
The Hartford Financial Services Group, Inc. VRN | 50,000 | 58,625 | ||||||
Liberty Mutual Group, Inc. (b) | 21,000 | 21,462 | ||||||
Lincoln National Corp. | 20,000 | 20,508 | ||||||
Lincoln National Corp. | 50,000 | 63,693 | ||||||
Marsh & McLennan Cos., Inc. | 45,000 | 49,555 | ||||||
Marsh & McLennan Cos., Inc. | 50,000 | 58,776 | ||||||
MetLife Capital Trust IV (b) | 70,000 | 89,600 | ||||||
MetLife, Inc. Series A | 10,000 | 11,727 | ||||||
Principal Financial Group, Inc. | 30,000 | 38,087 | ||||||
The Progressive Corp. VRN | 75,000 | 82,172 | ||||||
Prudential Financial, Inc. | 25,000 | 27,084 | ||||||
Prudential Financial, Inc. VRN | 65,000 | 65,447 | ||||||
Prudential Financial, Inc. VRN | 45,000 | 46,899 | ||||||
Prudential Financial, Inc. | 15,000 | 18,353 | ||||||
Prudential Financial, Inc. VRN | 55,000 | 66,344 | ||||||
QBE Insurance Group Ltd. (b) | 25,000 | 25,010 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Reinsurance Group of America, Inc. | $ | 55,000 | $ | 58,606 | ||||
Reinsurance Group of America, Inc. | 40,000 | 43,890 | ||||||
Reinsurance Group of America, Inc. | 45,000 | 52,660 | ||||||
The Travelers Cos., Inc. | 25,000 | 32,087 | ||||||
USF&G Capital I (b) | 35,000 | 50,894 | ||||||
Voya Financial, Inc. | 30,000 | 33,821 | ||||||
Voya Financial, Inc. VRN | 45,000 | 45,225 | ||||||
Willis Group Holdings PLC | 5,000 | 5,193 | ||||||
Willis North America, Inc. | 21,000 | 24,494 | ||||||
|
| |||||||
1,569,105 | ||||||||
|
| |||||||
Internet — 0.2% | ||||||||
Expedia, Inc. | 210,000 | 208,130 | ||||||
Expedia, Inc. | 90,000 | 105,255 | ||||||
|
| |||||||
313,385 | ||||||||
|
| |||||||
Investment Companies — 0.2% | ||||||||
FS Investment Corp. | 90,000 | 89,911 | ||||||
Xstrata Finance Canada Ltd. (b) | 50,000 | 50,559 | ||||||
Xstrata Finance Canada Ltd. (b) | 50,000 | 50,111 | ||||||
Xstrata Finance Canada Ltd. (b) | 45,000 | 49,009 | ||||||
|
| |||||||
239,590 | ||||||||
|
| |||||||
Iron & Steel — 0.3% | ||||||||
Allegheny Technologies, Inc. | 25,000 | 30,518 | ||||||
ArcelorMittal | 141,000 | 143,291 | ||||||
ArcelorMittal | 60,000 | 62,625 | ||||||
ArcelorMittal | 115,000 | 118,163 | ||||||
Cliffs Natural Resources, Inc. | 25,000 | 21,500 | ||||||
Commercial Metals Co. | 30,000 | 32,100 | ||||||
Reliance Steel & Aluminum Co. | 30,000 | 30,841 | ||||||
Reliance Steel & Aluminum Co. | 55,000 | 59,221 |
Principal Amount | Value | |||||||
Reliance Steel & Aluminum Co. | $ | 55,000 | $ | 62,859 | ||||
|
| |||||||
561,118 | ||||||||
|
| |||||||
Leisure Time — 0.0% | ||||||||
Carnival Corp. | 50,000 | 50,062 | ||||||
|
| |||||||
Lodging — 0.2% | ||||||||
Choice Hotels International, Inc. | 55,000 | 59,606 | ||||||
Marriott International, Inc. | 50,000 | 51,306 | ||||||
Marriott International, Inc. | 15,000 | 15,787 | ||||||
Marriott International, Inc. | 110,000 | 119,173 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 5,000 | 5,796 | ||||||
Wyndham Worldwide Corp. | 35,000 | 35,107 | ||||||
Wyndham Worldwide Corp. | 15,000 | 15,408 | ||||||
Wynn Las Vegas LLC | 90,000 | 95,513 | ||||||
|
| |||||||
397,696 | ||||||||
|
| |||||||
Machinery – Diversified — 0.2% | ||||||||
CNH Industrial Capital LLC | 25,000 | 24,625 | ||||||
CNH Industrial Capital LLC (b) | 50,000 | 47,125 | ||||||
CNH Industrial Capital LLC | 25,000 | 24,438 | ||||||
CNH Industrial Capital LLC | 70,000 | 70,437 | ||||||
CNH Industrial Capital LLC | 45,000 | 47,362 | ||||||
Xylem, Inc. | 40,000 | 41,873 | ||||||
Xylem, Inc. | 20,000 | 21,696 | ||||||
|
| |||||||
277,556 | ||||||||
|
| |||||||
Manufacturing — 0.3% | ||||||||
Eaton Corp. | 25,000 | 24,892 | ||||||
General Electric Co. | 50,000 | 49,678 | ||||||
Harsco Corp | 246,000 | 245,077 | ||||||
Ingersoll-Rand Global Holding Co. Ltd. | 40,000 | 46,847 | ||||||
Textron, Inc. | 50,000 | 51,260 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Tyco Electronics Group SA | $ | 40,000 | $ | 45,548 | ||||
|
| |||||||
463,302 | ||||||||
|
| |||||||
Media — 0.3% | ||||||||
21st Century Fox America Co. | 25,000 | 32,122 | ||||||
CBS Corp. | 40,000 | 54,203 | ||||||
Comcast Corp. | 35,000 | 44,644 | ||||||
Globo Comunicacao e Participacoes SA STEP (b) | 100,000 | 103,125 | ||||||
NBCUniversal Media LLC | 5,000 | 6,440 | ||||||
Time Warner Cable, Inc. | 25,000 | 32,118 | ||||||
Time Warner Cable, Inc. | 10,000 | 12,455 | ||||||
Time Warner Cable, Inc. | 10,000 | 12,588 | ||||||
Time Warner, Inc. | 35,000 | 38,304 | ||||||
Time Warner, Inc. | 25,000 | 28,982 | ||||||
Time Warner, Inc. | 5,000 | 5,896 | ||||||
Viacom, Inc. | 40,000 | 43,288 | ||||||
|
| |||||||
414,165 | ||||||||
|
| |||||||
Mining — 0.1% | ||||||||
Freeport-McMoRan, Inc. | 30,000 | 30,589 | ||||||
Freeport-McMoRan, Inc. | 20,000 | 20,051 | ||||||
Rio Tinto Finance USA Ltd. | 50,000 | 64,029 | ||||||
Vale Overseas Ltd. | 65,000 | 71,609 | ||||||
Vale Overseas Ltd. | 15,000 | 17,030 | ||||||
Vulcan Materials Co. | 3,000 | 3,240 | ||||||
|
| |||||||
206,548 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 65,000 | 65,888 | ||||||
Pitney Bowes, Inc. | 25,000 | 26,211 | ||||||
Pitney Bowes, Inc. | 5,000 | 5,341 |
Principal Amount | Value | |||||||
Pitney Bowes, Inc. | $ | 6,000 | $ | 6,605 | ||||
|
| |||||||
104,045 | ||||||||
|
| |||||||
Office Furnishings — 0.0% | ||||||||
Steelcase, Inc. | 50,000 | 57,866 | ||||||
|
| |||||||
Oil & Gas — 0.9% | ||||||||
Anadarko Petroleum Corp. | 100,000 | 113,352 | ||||||
Anadarko Petroleum Corp. | 30,000 | 36,559 | ||||||
Chesapeake Energy Corp. | 175,000 | 175,437 | ||||||
Chesapeake Energy Corp., Convertible | 10,000 | 9,544 | ||||||
Chesapeake Energy Corp., Convertible | 90,000 | 90,731 | ||||||
ConocoPhillips | 20,000 | 26,182 | ||||||
Devon Energy Corp. | 40,000 | 44,592 | ||||||
Ecopetrol SA | 10,000 | 10,600 | ||||||
EQT Corp. | 25,000 | 27,316 | ||||||
Motiva Enterprises LLC (b) | 40,000 | 44,981 | ||||||
Motiva Enterprises LLC (b) | 35,000 | 46,035 | ||||||
Nexen, Inc. | 5,000 | 6,896 | ||||||
Pemex Project Funding Master Trust | 5,000 | 5,787 | ||||||
Petrobras Global Finance BV | 35,000 | 34,998 | ||||||
Petrobras Global Finance BV | 20,000 | 19,480 | ||||||
Petrobras Global Finance BV | 175,000 | 177,095 | ||||||
Petrobras International Finance Co. | 59,000 | 60,386 | ||||||
Petrobras International Finance Co. | 50,000 | 50,541 | ||||||
Petrobras International Finance Co. | 20,000 | 20,540 | ||||||
Petroleos Mexicanos (b) | 10,000 | 10,250 | ||||||
Petroleos Mexicanos | 60,000 | 66,030 | ||||||
Petroleos Mexicanos (b) | 15,000 | 16,962 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Phillips 66 | $ | 20,000 | $ | 23,700 | ||||
Pioneer Natural Resources Co. | 50,000 | 53,919 | ||||||
Pioneer Natural Resources Co. | 50,000 | 60,806 | ||||||
Rowan Cos., Inc. | 50,000 | 51,943 | ||||||
Rowan Cos., Inc. | 40,000 | 43,219 | ||||||
Shell International Finance BV | 15,000 | 18,075 | ||||||
Talisman Energy, Inc. | 20,000 | 20,359 | ||||||
Transocean, Inc. | 70,000 | 72,693 | ||||||
Transocean, Inc. | 40,000 | 42,636 | ||||||
Valero Energy Corp. | 40,000 | 46,387 | ||||||
|
| |||||||
1,528,031 | ||||||||
|
| |||||||
Oil & Gas Services — 0.3% | ||||||||
Baker Hughes, Inc. | 40,000 | 44,565 | ||||||
Hornbeck Offshore Services, Inc. | 50,000 | 48,937 | ||||||
SEACOR Holdings, Inc. (b) | 7,000 | 6,501 | ||||||
SESI LLC | 25,000 | 26,000 | ||||||
Superior Energy Services, Inc. | 187,000 | 206,635 | ||||||
Weatherford International Ltd. | 25,000 | 26,028 | ||||||
Weatherford International Ltd. | 45,000 | 48,335 | ||||||
|
| |||||||
407,001 | ||||||||
|
| |||||||
Packaging & Containers — 0.0% | ||||||||
Brambles USA Inc., Series A (b) | 15,000 | 16,817 | ||||||
|
| |||||||
Pharmaceuticals — 0.3% | ||||||||
McKesson Corp. | 20,000 | 19,929 | ||||||
McKesson Corp. | 20,000 | 19,854 | ||||||
McKesson Corp. | 15,000 | 15,126 | ||||||
McKesson Corp. | 30,000 | 33,397 | ||||||
McKesson Corp. | 10,000 | 10,297 |
Principal Amount | Value | |||||||
McKesson Corp. | $ | 30,000 | $ | 35,385 | ||||
Merck Sharp & Dohme Corp. | 10,000 | 12,480 | ||||||
Mylan, Inc. (b) | 225,000 | 245,426 | ||||||
Pfizer, Inc. | 35,000 | 49,426 | ||||||
Teva Pharmaceutical Finance Co. LLC | 25,000 | 30,059 | ||||||
Zoetis, Inc. | 15,000 | 14,669 | ||||||
|
| |||||||
486,048 | ||||||||
|
| |||||||
Pipelines — 0.5% | ||||||||
Access Midstream Partners LP/ACMP Finance Corp. | 145,000 | 148,806 | ||||||
Boardwalk Pipelines LLC | 40,000 | 43,026 | ||||||
Boardwalk Pipelines LP | 95,000 | 102,857 | ||||||
CenterPoint Energy Resources Corp. | 25,000 | 27,338 | ||||||
CenterPoint Energy Resources Corp. | 20,000 | 24,582 | ||||||
DCP Midstream LLC (b) | 5,000 | 6,403 | ||||||
El Paso Pipeline Partners Operating Co. LLC | 25,000 | 25,813 | ||||||
Energy Transfer Partners LP FRN | 50,000 | 46,813 | ||||||
Enterprise Products Operating LP | 25,000 | 25,807 | ||||||
Gulf South Pipeline Co. LP (b) | 40,000 | 40,554 | ||||||
Kinder Morgan Energy Partners LP | 25,000 | 27,470 | ||||||
Kinder Morgan Energy Partners LP | 25,000 | 28,350 | ||||||
Kinder Morgan Energy Partners LP | 5,000 | 5,832 | ||||||
Kinder Morgan Finance Co. LLC (b) | 35,000 | 38,106 | ||||||
ONEOK Partners LP | 25,000 | 25,777 | ||||||
ONEOK Partners LP | 30,000 | 34,121 | ||||||
Southern Natural Gas Co. LLC (b) | 55,000 | 60,717 | ||||||
TransCanada PipeLines Ltd. | 30,000 | 36,032 |
The accompanying notes are an integral part of the financial statements.
148
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
The Williams Cos., Inc. | $ | 20,000 | $ | 18,892 | ||||
Williams Partners LP | 75,000 | 83,282 | ||||||
|
| |||||||
850,578 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.6% | ||||||||
American Tower Corp. | 40,000 | 40,867 | ||||||
American Tower Corp. | 100,000 | 98,040 | ||||||
American Tower Corp. | 60,000 | 64,051 | ||||||
ARC Properties Operating Partnership LP/Clark Acquisition LLC (b) | 55,000 | 54,970 | ||||||
ARC Properties Operating Partnership LP/Clark Acquisition LLC (b) | 25,000 | 24,820 | ||||||
Boston Properties LP | 20,000 | 21,167 | ||||||
Boston Properties LP | 30,000 | 31,756 | ||||||
Brandywine Operating Partners LP | 40,000 | 43,114 | ||||||
DDR Corp. | 15,000 | 16,182 | ||||||
DDR Corp. | 115,000 | 142,900 | ||||||
Developers Diversified Realty Corp. | 75,000 | 76,920 | ||||||
Duke Realty LP | 50,000 | 61,960 | ||||||
ERP Operating LP | 15,000 | 16,364 | ||||||
Federal Realty Investment Trust | 10,000 | 11,618 | ||||||
HCP, Inc. | 35,000 | 34,488 | ||||||
Highwoods Realty LP | 100,000 | 109,780 | ||||||
ProLogis LP | 15,000 | 15,149 | ||||||
Realty Income Corp. | 90,000 | 89,959 | ||||||
Ventas Realty LP/Ventas Capital Corp. | 20,000 | 20,843 | ||||||
|
| |||||||
974,948 | ||||||||
|
| |||||||
Retail — 0.4% | ||||||||
Bed Bath & Beyond, Inc. | 15,000 | 14,873 | ||||||
Bed Bath & Beyond, Inc. | 35,000 | 34,271 |
Principal Amount | Value | |||||||
CVS Health Corp. | $ | 10,000 | $ | 12,319 | ||||
CVS Pass-Through Trust (b) | 56,161 | 65,134 | ||||||
El Puerto de Liverpool SAB de CV (b) (c) | 200,000 | 198,000 | ||||||
The Home Depot, Inc. | 30,000 | 37,373 | ||||||
McDonald’s Corp. | 25,000 | 32,158 | ||||||
O’Reilly Automotive, Inc. | 23,000 | 23,470 | ||||||
O’Reilly Automotive, Inc. | 40,000 | 43,630 | ||||||
QVC, Inc. | 35,000 | 35,121 | ||||||
QVC, Inc. | 25,000 | 24,942 | ||||||
QVC, Inc. (b) | 45,000 | 44,418 | ||||||
QVC, Inc. | 10,000 | 10,506 | ||||||
Tiffany & Co. (b) | 40,000 | 39,942 | ||||||
Wal-Mart Stores, Inc. | 40,000 | 48,453 | ||||||
|
| |||||||
664,610 | ||||||||
|
| |||||||
Savings & Loans — 0.1% | ||||||||
Glencore Funding LLC (b) | 33,000 | 33,224 | ||||||
Glencore Funding LLC (b) | 55,000 | 53,841 | ||||||
Glencore Funding LLC (b) | 30,000 | 30,018 | ||||||
|
| |||||||
117,083 | ||||||||
|
| |||||||
Semiconductors — 0.1% | ||||||||
Micron Technology, Inc., Convertible | 44,000 | 138,243 | ||||||
Micron Technology, Inc., Convertible | 19,000 | 24,985 | ||||||
|
| |||||||
163,228 | ||||||||
|
| |||||||
Software — 0.2% | ||||||||
Broadridge Financial Solutions, Inc. | 25,000 | 25,980 | ||||||
CA, Inc. | 25,000 | 25,342 | ||||||
CA, Inc. | 40,000 | 44,413 | ||||||
Citrix Systems, Inc., Convertible (b) | 80,000 | 87,300 | ||||||
Microsoft Corp. | 5,000 | 5,187 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Oracle Corp. | $ | 50,000 | $ | 49,639 | ||||
|
| |||||||
237,861 | ||||||||
|
| |||||||
Telecommunications — 0.8% | ||||||||
America Movil SAB de CV | 25,000 | 27,358 | ||||||
America Movil SAB de CV | 30,000 | 34,933 | ||||||
AT&T, Inc. | 65,000 | 78,973 | ||||||
British Telecom PLC | 15,000 | 23,554 | ||||||
CenturyLink, Inc. | 30,000 | 32,100 | ||||||
CenturyLink, Inc. | 10,000 | 9,875 | ||||||
Cisco Systems, Inc. | 10,000 | 11,610 | ||||||
Deutsche Telekom International Finance BV | 15,000 | 21,810 | ||||||
Embarq Corp. | 30,000 | 32,672 | ||||||
Juniper Networks, Inc. | 25,000 | 26,638 | ||||||
Juniper Networks, Inc. | 35,000 | 38,246 | ||||||
Rogers Communications, Inc. | 5,000 | 6,744 | ||||||
Sprint Communications, Inc. (b) | 95,000 | 109,725 | ||||||
Telecom Italia Capital | 10,000 | 9,787 | ||||||
Telefonaktiebolaget LM Ericsson | 25,000 | 26,091 | ||||||
Telefonica Emisiones SAU | 250,000 | 257,842 | ||||||
Telefonica Emisiones SAU | 65,000 | 67,638 | ||||||
Telefonica Emisiones SAU | 30,000 | 33,410 | ||||||
Verizon Communications, Inc. (b) | 57,000 | 56,285 | ||||||
Verizon Communications, Inc. (b) | 55,000 | 55,156 | ||||||
Verizon Communications, Inc. (b) | 41,000 | 41,195 | ||||||
Verizon Communications, Inc. | 50,000 | 55,368 | ||||||
Verizon Communications, Inc. | 42,000 | 52,474 | ||||||
Verizon Communications, Inc. | 19,000 | 23,682 |
Principal Amount | Value | |||||||
Virgin Media Finance PLC | $ | 100,000 | $ | 104,450 | ||||
|
| |||||||
1,237,616 | ||||||||
|
| |||||||
Transportation — 0.2% | ||||||||
Asciano Finance (b) | 25,000 | 25,461 | ||||||
Asciano Finance (b) | 20,000 | 21,179 | ||||||
Asciano Finance (b) | 55,000 | 59,253 | ||||||
Canadian National Railway Co. | 20,000 | 26,594 | ||||||
Con-way, Inc. | 10,000 | 11,507 | ||||||
CSX Corp. | 10,000 | 12,643 | ||||||
Norfolk Southern Corp. | 20,000 | 24,040 | ||||||
Ryder System, Inc. | 110,000 | 112,037 | ||||||
Ryder System, Inc. | 15,000 | 15,021 | ||||||
Union Pacific Corp. | 25,000 | 27,063 | ||||||
|
| |||||||
334,798 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
GATX Corp. | 30,000 | 30,178 | ||||||
GATX Corp. | 40,000 | 41,653 | ||||||
GATX Corp. | 20,000 | 20,351 | ||||||
GATX Corp. | 35,000 | 35,876 | ||||||
GATX Corp. | 30,000 | 32,431 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (b) | 65,000 | 64,634 | ||||||
|
| |||||||
225,123 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $22,615,770) | 23,552,269 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.4% | ||||||||
JobsOhio Beverage System Series B | 150,000 | 156,345 | ||||||
San Diego County Regional Airport Authority | 200,000 | 213,990 | ||||||
State of California | 35,000 | 37,694 |
The accompanying notes are an integral part of the financial statements.
150
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
State of California BAB | $ | 25,000 | $ | 36,455 | ||||
State of California BAB | 85,000 | 125,689 | ||||||
State of Illinois | 100,000 | 107,706 | ||||||
|
| |||||||
677,879 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $648,840) | 677,879 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 5.9% | ||||||||
Automobile ABS — 0.3% | ||||||||
American Credit Acceptance Receivables Trust, Series 2013-2, Class A (b) | 33,773 | 33,827 | ||||||
American Credit Acceptance Receivables Trust, Series 2012-3, Class A (b) | 10,458 | 10,478 | ||||||
American Credit Acceptance Receivables Trust, Series 2012-2, Class A (b) | 1,382 | 1,383 | ||||||
Capital Automotive REIT, Series 2011-1A, Class A (b) | 96,481 | 102,966 | ||||||
CarNow Auto Receivables Trust, Series 2013-1A, Class A (b) | 18,286 | 18,285 | ||||||
CPS Auto Trust, Series 2014-C, Class A (b) | 100,000 | 99,706 | ||||||
CPS Auto Trust, Series 2012-D, Class A (b) | 43,139 | 43,244 | ||||||
First Investors Auto Owner Trust, Series 2013-3A, Class A3 (b) | 75,000 | 75,044 | ||||||
Flagship Credit Auto Trust, Series 2013-1, Class A (b) | 30,397 | 30,430 | ||||||
Flagship Credit Auto Trust, Series 2013-2, Class A (b) | 48,608 | 48,844 | ||||||
Santander Drive Auto Receivables Trust, Series 2013-3, Class A2 | 5,558 | 5,559 | ||||||
Santander Drive Auto Receivables Trust, Series 2013-4, Class A2 | 14,594 | 14,600 | ||||||
Santander Drive Auto Receivables Trust, Series 2012-3, Class C | 70,000 | 71,339 | ||||||
SNAAC Auto Receivables Trust 2013-1, Series 2013-1A, Class A (b) | 8,568 | 8,572 | ||||||
|
| |||||||
564,277 | ||||||||
|
|
Principal Amount | Value | |||||||
Commercial MBS — 1.9% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4 VRN | $ | 58,523 | $ | 64,052 | ||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM VRN | 45,000 | 49,557 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4 VRN | 75,000 | 84,191 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM VRN | 50,000 | 55,515 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4B 4.943% 9/11/42 | 75,000 | 77,438 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class A4 | 75,000 | 80,456 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class AM | 50,000 | 53,627 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, | 105,000 | 112,005 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, | 40,000 | 43,915 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, | 120,000 | 132,741 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW12, | 85,000 | 90,420 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2013-GAM, Class A1 (b) | 116,404 | 113,873 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2012-CR4, Class B (b) | 35,000 | 34,609 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5 | 77,000 | 80,214 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-CR14, | 55,000 | 58,421 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Commercial Mortgage Pass Through Certificates, Series 2007-C9, | $ | 50,000 | $ | 54,852 | ||||
Commercial Mortgage Pass Through Certificates, Series 2007-C9, | 83,000 | 91,575 | ||||||
DBCCRE Mortgage Trust, | 100,000 | 104,849 | ||||||
DBRR Trust, Series 2013-EZ3, | 89,117 | 89,576 | ||||||
GS Mortgage Securities Corp., Trust, Series 2013-NYC5 (b) | 100,000 | 100,622 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4 | 100,000 | 106,477 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM VRN | 65,000 | 70,055 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class AM | 60,000 | 64,411 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM VRN | 60,000 | 65,989 | ||||||
Morgan Stanley Capital I, Series 2011-C2, Class B VRN (b) | 100,000 | 109,595 | ||||||
Morgan Stanley Capital I, Series 2006-IQ12, Class AM | 40,000 | 43,046 | ||||||
Morgan Stanley Capital I, | 60,000 | 64,597 | ||||||
Morgan Stanley Capital I, Series 2007-IQ14, Class A2 | 35,978 | 36,285 | ||||||
Morgan Stanley Capital I, Series 2006-HQ8, Class AM VRN | 60,000 | 63,203 | ||||||
Morgan Stanley Capital I, Series 2008-T29, Class A4 VRN | 35,000 | 39,307 | ||||||
STRIPs Ltd., Series 2012-1A, Class A (b) | 46,389 | 45,925 |
Principal Amount | Value | |||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ VRN | $ | 50,000 | $ | 51,897 | ||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class AM | 70,000 | 75,234 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM VRN | 70,000 | 73,699 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM VRN | 105,000 | 109,548 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 150,000 | 160,374 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4 VRN | 34,977 | 37,780 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM VRN | 50,000 | 54,609 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (b) | 73,689 | 76,626 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A2 (b) | 100,000 | 103,048 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B | 40,000 | 41,763 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class B (b) | 50,000 | 53,290 | ||||||
|
| |||||||
3,119,266 | ||||||||
|
| |||||||
Home Equity ABS — 0.7% | ||||||||
ACE Securities Corp., Series 2005-AG1, Class A1B1 FRN | 41,721 | 41,367 | ||||||
ACE Securities Corp., Series 2005-HE7, Class A2D FRN | 32,639 | 32,134 | ||||||
Ameriquest Mortgage Securities, Inc., Series 2004-R11, Class A2 FRN | 5,849 | 5,846 | ||||||
Asset-Backed Funding Certificates, | 20,850 | 20,659 | ||||||
Asset-Backed Securities Corp. Trust, Series 2005-HE2, Class M1 FRN | 14,031 | 13,897 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Bayview Financial Mortgage Pass-Through Trust, Series 2005-B, Class M1 FRN | $ | 40,000 | $ | 39,202 | ||||
Citigroup Mortgage Loan Trust, | 62,166 | 59,843 | ||||||
Citigroup Mortgage Loan Trust, Inc., | 4,128 | 4,120 | ||||||
Citigroup Mortgage Loan Trust, Inc., | 20,655 | 20,093 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-3, Class MV2 FRN | 22,934 | 22,403 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A FRN | 8,868 | 8,809 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-6, Class M1 FRN | 10,388 | 10,333 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2006-RP2, Class A2 FRN (b) | 18,384 | 18,305 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1 FRN | 56,491 | 55,052 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF4, Class M1 FRN | 33,531 | 33,213 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF7, Class M1 FRN | 64,218 | 62,913 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3 FRN | 22,048 | 21,399 | ||||||
GSAMP Trust, Series 2005-AHL, | 21,683 | 20,651 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A3 FRN | 22,254 | 21,970 | ||||||
Home Equity Asset Trust, Series 2005-4, Class M2 FRN | 11,075 | 11,022 | ||||||
JP Morgan Mortgage Acquisition Corp., Series 2005-FLD1, Class M2 FRN | 18,664 | 18,529 | ||||||
Lake Country Mortgage Loan Trust, | 19,371 | 19,220 |
Principal Amount | Value | |||||||
Long Beach Mortgage Loan Trust, | $ | 485 | $ | 485 | ||||
Long Beach Mortgage Loan Trust, | 55,965 | 53,620 | ||||||
Long Beach Mortgage Loan Trust, | 83,417 | 80,279 | ||||||
MASTR Asset-Backed Securities Trust, Series 2005-WMC1, Class M3 FRN | 75,000 | 69,554 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M1 FRN (b) | 74,677 | 73,602 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M2 FRN (b) | 100,000 | 92,894 | ||||||
Morgan Stanley Capital, Inc., Series 2005-WMC6, Class M2 FRN | 35,099 | 34,746 | ||||||
Morgan Stanley Home Equity Loan Trust, Series 2005-3, Class M1 FRN | 33,337 | 33,018 | ||||||
Nomura Home Equity Loan, Inc., Series 2005-FM1, Class M1 FRN | 3,156 | 3,143 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A FRN | 29,191 | 29,087 | ||||||
Park Place Securities, Inc., Series 2005-WCW3, Class A2C FRN | 29,119 | 28,736 | ||||||
Park Place Securities, Inc., Series 2005-WHQ1, Class M2 FRN | 24,889 | 24,523 | ||||||
Security National Mortgage Loan Trust, Series 2006-3A, Class A1 FRN (b) | 59,362 | 58,740 | ||||||
Specialty Underwriting & Residential Finance, Series 2005-AB1, | 5,104 | 5,102 | ||||||
Structured Asset Investment Loan Trust, Series 2005-7, Class A5 FRN | 15,605 | 15,527 | ||||||
|
| |||||||
1,164,036 | ||||||||
|
| |||||||
Other ABS — 2.1% | ||||||||
AIMCO CLO Ltd., Series 2014-AA, Class A FRN (b) | 250,000 | 250,499 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE (b) | $ | 97,476 | $ | 97,232 | ||||
Applebee’s/IHOP Funding LLC, Series 2014-1, Class A2 (b) | 90,000 | 89,144 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (b) | 75,920 | 75,806 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (b) | 48,875 | 49,681 | ||||||
CLI Funding LLC, Series 2006-1A, | 43,489 | 43,368 | ||||||
CLI Funding V LLC, Series 2014-1A, Class A (b) | 97,328 | 96,659 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (b) | 96,625 | 101,790 | ||||||
Eaton Vance CLO, Series 2014-1A, | 250,000 | 249,724 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (b) | 94,699 | 94,536 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A FRN (b) | 250,000 | 246,866 | ||||||
Hilton Grand Vacations Trust, | 73,618 | 74,012 | ||||||
Icon Brand Holdings LLC, | 44,657 | 44,789 | ||||||
Icon Brand Holdings LLC, | 46,077 | 45,967 | ||||||
LCM Ltd., Series 16A, Class A FRN (b) | 250,000 | 250,088 | ||||||
Madison Park Funding XII Ltd., Series 2014-12A, Class A FRN (b) | 250,000 | 249,811 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4 FRN | 119,839 | 118,316 | ||||||
MVW Owner Trust, Series 2013-1A, Class A (b) | 70,663 | 70,908 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A FRN (b) | 200,000 | 197,197 |
Principal Amount | Value | |||||||
RAAC, Series 2005-RP2, | $ | 27,474 | $ | 27,420 | ||||
Race Point CLO Ltd., Series 2012-7A, Class A FRN (b) | 250,000 | 249,548 | ||||||
Sierra Receivables Funding Co. LLC, Series 2012-3A, Class A (b) | 36,005 | 36,182 | ||||||
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (b) | 27,281 | 27,748 | ||||||
Sierra Receivables Funding Co. LLC, Series 2011-1A, Class A (b) | 20,528 | 20,995 | ||||||
Sonic Capital LLC, Series 2011-1A, Class A2 (b) | 56,285 | 59,981 | ||||||
SpringCastle America Funding LLC, Series 2014-AA, Class A (b) (c) | 140,000 | 139,991 | ||||||
Springleaf Funding Trust, Series 2013-AA, Class A (b) | 100,000 | 100,706 | ||||||
SVO VOI Mortgage Corp., | 64,563 | 64,206 | ||||||
TAL Advantage LLC, | 63,333 | 62,773 | ||||||
Trafigura Securitisation Finance PLC, Series 2012-1A, Class A FRN (b) | 100,000 | 100,763 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (b) | 62,285 | 65,363 | ||||||
|
| |||||||
3,402,069 | ||||||||
|
| |||||||
Student Loans ABS — 0.8% | ||||||||
Access Group, Inc., Series 2007-A, Class A2 FRN | 19,926 | 19,857 | ||||||
Access Group, Inc., Series 2003-A, Class A3 FRN | 34,379 | 31,608 | ||||||
College Loan Corp. Trust, Series 2007-1, Class B2 FRN | 75,000 | 63,000 | ||||||
College Loan Corp. Trust I, Series 2002-2, Class A29 FRN (b) | 50,000 | 49,034 | ||||||
College Loan Corp. Trust I, Series 2003-1, Class A6 FRN (b) | 100,000 | 98,299 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
College Loan Corp. Trust I, Series 2002-1, Class A5 FRN (b) (d) | $ | 50,000 | $ | 48,375 | ||||
EdLinc Student Loan Funding Trust, Series 2012-1, Class B FRN (b) | 65,000 | 72,338 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A2 FRN | 1,458 | 1,458 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A4 FRN | 50,000 | 49,875 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A6 FRN | 50,000 | 49,180 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN | 50,000 | 47,162 | ||||||
Education Loan Asset-Backed Trust I, Series 2003-2, Class 2A1 FRN (b) | 50,000 | 48,210 | ||||||
Goal Capital Funding Trust, Series 2006-1, Class A3 FRN | 66,432 | 66,152 | ||||||
Goal Capital Funding Trust, Series 2007-1, Class C1 FRN | 30,749 | 30,534 | ||||||
KeyCorp Student Loan Trust, | 70,015 | 69,775 | ||||||
Mississippi Higher Education Assistance Corp., Series 2014-1, Class A1 FRN | 98,512 | 98,690 | ||||||
Nelnet Student Loan Trust, Series 2014-6A, Class A FRN (b) | 138,842 | 138,101 | ||||||
Nelnet Student Loan Trust, Series 2010-4A, Class A FRN (b) | 25,966 | 26,187 | ||||||
Northstar Education Finance, Inc., Series 2006-A, Class A3 FRN | 28,001 | 27,965 | ||||||
SLC Student Loan Trust, Series 2006-A, Class A5 FRN | 86,098 | 85,551 | ||||||
SLM Student Loan Trust, Series 2006-10, Class B FRN | 89,142 | 80,064 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A9 FRN | 50,000 | 50,000 |
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2003-5, Class A7 FRN | $ | 50,000 | $ | 48,550 | ||||
|
| |||||||
1,299,965 | ||||||||
|
| |||||||
WL Collateral CMO — 0.1% | ||||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1 FRN | 7,988 | 7,871 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1 FRN | 2,062 | 1,871 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1 FRN | 5,943 | 5,605 | ||||||
HSI Asset Securitization Corp. Trust, Series 2005, Class IIA3 FRN | 7,106 | 7,025 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A FRN | 22,971 | 19,565 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2 FRN | 16,359 | 15,104 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA FRN | 2,929 | 2,718 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA FRN | 1,697 | 1,695 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A FRN | 78 | 78 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A FRN | 15,631 | 15,603 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, | 32,807 | 33,221 | ||||||
|
| |||||||
110,356 | ||||||||
|
| |||||||
WL Collateral PAC — 0.0% | ||||||||
Structured Asset Securities Corp., Series 2007-BC4, Class A3 FRN | 25,079 | 24,783 | ||||||
Structured Asset Securities Corp., Series 2002-11A, Class 2A1 FRN | 9,173 | 8,917 | ||||||
|
| |||||||
33,700 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $9,537,277) | 9,693,669 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.3% | ||||||||
Colombia Government International Bond | $ | 40,000 | $ | 47,700 | ||||
Mexico Government International Bond | 91,000 | 90,317 | ||||||
Peruvian Government International Bond | 20,000 | 25,200 | ||||||
Poland Government International Bond | 50,000 | 58,750 | ||||||
Province of Quebec Canada | 92,000 | 90,193 | ||||||
Province of Quebec Canada | 20,000 | 28,332 | ||||||
Republic of Brazil International Bond | 65,000 | 67,113 | ||||||
Republic of Turkey International Bond | 19,000 | 17,138 | ||||||
United Mexican States | 35,000 | 38,850 | ||||||
United Mexican States | 35,000 | 44,450 | ||||||
|
| |||||||
508,043 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $491,849) | 508,043 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 9.7% | ||||||||
Collateralized Mortgage Obligations — 0.7% | ||||||||
Fannie Mae Benchmark REMIC Series 2007-B2, Class ZA | 52,340 | 57,364 | ||||||
Federal Home Loan Mortgage Corp. | ||||||||
Series 4303, Class AP | 224,634 | 230,626 | ||||||
Series 4290, Class CA | 120,126 | 125,159 | ||||||
Series 2617, Class Z | 120,411 | 134,690 | ||||||
Series 2693, Class Z | 209,846 | 232,063 | ||||||
Federal National Mortgage Association | ||||||||
Series 2014-7, Class VA | 66,554 | 70,288 | ||||||
Series 2014-48, Class AB | 173,169 | 184,306 | ||||||
Series 2010-60, Class HJ | 41,136 | 45,521 | ||||||
U.S. Department of Veteran Affairs | 47,473 | 53,458 | ||||||
|
| |||||||
1,133,475 | ||||||||
|
|
Principal Amount | Value | |||||||
Pass-Through Securities — 9.0% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #G05253 5.000% | $ | 22,528 | $ | 24,833 | ||||
Pool #E85389 6.000% | 4,413 | 4,591 | ||||||
Pool #G11431 6.000% | 1,711 | 1,796 | ||||||
Pool #E85015 6.500% | 1,364 | 1,420 | ||||||
Pool #G00729 8.000% | 22,190 | 26,415 | ||||||
Pool #554904 9.000% | 65 | 70 | ||||||
Federal National Mortgage Association | ||||||||
Pool #725692 2.271% | 24,125 | 25,556 | ||||||
Pool #888586 2.341% | 43,262 | 45,953 | ||||||
Pool #890564 3.000% | 177,363 | 175,915 | ||||||
Pool #AO8629 3.500% | 240,313 | 246,143 | ||||||
Pool #AP6609 3.500% | 84,420 | 86,389 | ||||||
Pool #AR8708 3.500% | 51,904 | 52,952 | ||||||
Pool #AT0998 3.500% | 257,464 | 262,664 | ||||||
Pool #AT4050 3.500% | 65,170 | 66,487 | ||||||
Pool #MA1463 3.500% | 172,291 | 175,770 | ||||||
Pool #564594 7.000% | 8,263 | 9,567 | ||||||
Pool #253795 7.000% | 8,128 | 9,454 | ||||||
Pool #507061 7.500% | 858 | 1,015 | ||||||
Pool #527761 7.500% | 1,971 | 2,282 | ||||||
Pool #531196 7.500% | 982 | 1,167 | ||||||
Pool #534119 7.500% | 672 | 799 | ||||||
Pool #534420 7.500% | 687 | 817 | ||||||
Pool #253183 7.500% | 3,335 | 3,952 | ||||||
Pool #253265 7.500% | 2,706 | 3,190 | ||||||
Pool #535248 8.000% | 220 | 265 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Pool #539460 8.000% | $ | 1,999 | $ | 2,422 | ||||
Pool #546988 8.000% | 1,107 | 1,159 | ||||||
Pool #190317 8.000% | 2,541 | 3,070 | ||||||
Federal National Mortgage Association TBA | ||||||||
Pool #6560 2.500% | 3,025,000 | 3,041,307 | ||||||
Pool #9768 3.000% | 2,434,000 | 2,398,821 | ||||||
Pool #17115 3.500% | 825,000 | 843,111 | ||||||
Pool #18388 4.000% | 950,000 | 1,001,137 | ||||||
Pool #21133 4.500% | 1,550,000 | 1,672,426 | ||||||
Government National Mortgage Association | ||||||||
Pool #783896 3.500% | 243,787 | 252,596 | ||||||
Pool #G2MA2149 4.000% | 1,072,775 | 1,140,326 | ||||||
Pool #351528 7.000% | 6,083 | 6,563 | ||||||
Pool #352049 7.000% | 1,269 | 1,440 | ||||||
Pool #588012 7.000% | 3,472 | 4,096 | ||||||
Pool #591581 7.000% | 2,994 | 3,535 | ||||||
Pool #185306 7.500% | 1,481 | 1,537 | ||||||
Pool #189371 7.500% | 907 | 960 | ||||||
Government National Mortgage Association II | ||||||||
Pool #82488 1.625% | 38,796 | 40,193 | ||||||
Pool #82462 3.500% | 37,174 | 39,036 | ||||||
Government National Mortgage Association TBA | ||||||||
Pool #548 3.000% | 975,000 | 981,322 | ||||||
Pool #1367 4.000% | 1,225,000 | 1,299,361 | ||||||
Pool #1523 4.500% | 825,000 | 894,932 | ||||||
|
| |||||||
14,858,812 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $16,029,128) | 15,992,287 | |||||||
|
|
Principal Amount | Value | |||||||
U.S. TREASURY OBLIGATIONS — 2.6% | ||||||||
U.S. Treasury Bonds & Notes — 2.6% | ||||||||
U.S. Treasury Bond (e) (f) | $ | 710,000 | $ | 650,466 | ||||
U.S. Treasury Bond | 285,000 | 266,906 | ||||||
U.S. Treasury Bond | 430,000 | 443,748 | ||||||
U.S. Treasury Bond | 400,000 | 493,715 | ||||||
U.S. Treasury Inflation Index | 563,079 | 556,965 | ||||||
U.S. Treasury Note | 1,415,000 | 1,409,694 | ||||||
U.S. Treasury Note | 225,000 | 222,398 | ||||||
U.S. Treasury Note | 165,000 | 165,975 | ||||||
|
| |||||||
4,209,867 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $4,137,261) | 4,209,867 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $53,460,125) | 54,634,014 | |||||||
|
| |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 7.0% | ||||||||
Diversified Financial — 7.0% | ||||||||
iShares China Large-Cap ETF | 1,800 | 68,904 | ||||||
iShares MSCI Australia Index Fund | 7,200 | 172,368 | ||||||
iShares MSCI EAFE Index Fund | 73,430 | 4,708,332 | ||||||
iShares MSCI France Index Fund | 2,900 | 76,995 | ||||||
iShares MSCI Germany Index Fund | 5,000 | 138,500 | ||||||
iShares MSCI Hong Kong Index Fund | 2,100 | 42,693 | ||||||
iShares MSCI Italy Capped Index Fund | 2,400 | 37,656 | ||||||
iShares MSCI Japan Index Fund | 26,500 | 311,905 | ||||||
iShares MSCI Netherlands Investable Market Index Fund | 100 | 2,414 | ||||||
iShares MSCI New Zealand Capped Investable Market Index Fund | 100 | 3,849 | ||||||
iShares MSCI Singapore ETF | 300 | 4,002 | ||||||
iShares MSCI Spain Index Fund | 1,900 | 73,910 | ||||||
iShares MSCI Sweden Index Fund | 2,000 | 66,180 | ||||||
iShares MSCI Switzerland Capped Index Fund | 3,700 | 120,287 | ||||||
iShares MSCI Turkey Investable Market Index Fund | 1,400 | 68,712 | ||||||
iShares MSCI United Kingdom ETF | 14,200 | 275,196 |
The accompanying notes are an integral part of the financial statements.
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Number of Shares | Value | |||||||
Vanguard FTSE Developed Markets ETF | 74,840 | $ | 2,974,890 | |||||
Vanguard MSCI Emerging Markets ETF | 55,800 | 2,327,418 | ||||||
|
| |||||||
11,474,211 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $10,925,757) | 11,474,211 | |||||||
|
| |||||||
Notional Amount | ||||||||
PURCHASED OPTIONS — 0.0% | ||||||||
Financial — 0.0% | ||||||||
Diversified Financial — 0.0% | ||||||||
3-Month LIBOR BBA 10 Year Swaption, Call, Expires 4/25/16, Strike 2.50 (OTC - Credit Suisse International); Underlying swap terminates 4/27/26 | $ | 4,290,000 | 47,062 | |||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $75,272) | 47,062 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $149,240,348) | 159,291,944 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 10.3% | ||||||||
Commercial Paper — 9.0% | ||||||||
Agrium, Inc. | $ | 500,000 | 499,798 | |||||
Agrium, Inc. | 416,000 | 415,693 | ||||||
Ameren Corp. | 532,000 | 531,936 | ||||||
Bacardi USA, Inc. (b) | 975,000 | 974,901 | ||||||
Cameron International Corp. (b) | 613,000 | 612,736 | ||||||
Commonwealth Edison Co. (b) | 629,000 | 628,959 | ||||||
Enbridge (US), Inc. (b) | 536,000 | 535,906 | ||||||
Enbridge (US), Inc. (b) | 1,000,000 | 999,858 | ||||||
Enbridge Energy Partners LP (b) | 500,000 | 499,996 | ||||||
Equifax, Inc. (b) | 628,000 | 627,980 | ||||||
FMC Technologies, Inc. (b) | 553,000 | 552,970 |
Principal Amount | Value | |||||||
Glencore Funding LLC (b) | $ | 595,000 | $ | 594,877 | ||||
Hewlett-Packard Co. (b) | 855,000 | 854,840 | ||||||
JM Smucker Co. (b) | 844,000 | 843,912 | ||||||
Marriott International, Inc. (b) | 845,000 | 844,753 | ||||||
Noble Corp. (b) | 696,000 | 695,965 | ||||||
Pall Corp. (b) | 569,000 | 569,000 | ||||||
Pentair Finance (b) | 314,000 | 313,995 | ||||||
Plains Midstream (b) | 1,000,000 | 999,985 | ||||||
Spectra Energy Capital LLC (b) | 657,000 | 656,929 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 997,000 | 996,856 | ||||||
Time Warner Cable, Inc. (b) | 573,000 | 572,960 | ||||||
|
| |||||||
14,824,805 | ||||||||
|
| |||||||
Repurchase Agreement — 1.0% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/14, 0.010%, due 10/01/14 (g) | 1,631,992 | 1,631,992 | ||||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 15,961 | 15,961 | ||||||
|
| |||||||
U.S. Treasury Bills — 0.3% | ||||||||
U.S. Treasury Bill | 500,000 | 499,932 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,972,690) | 16,972,690 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 107.4% (Cost $166,213,038) (h) | 176,264,634 | |||||||
Other Assets/(Liabilities) — (7.4)% | (12,221,161 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 164,043,473 | ||||||
|
|
Notes to Portfolio of Investments
ABS | Asset-Backed Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
ETF | Exchange-Traded Fund |
FRN | Floating Rate Note |
The accompanying notes are an integral part of the financial statements.
158
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
MBS | Mortgage-Backed Security |
PAC | Planned Amortization Class |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | Non-income producing security. |
(b) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, these securities amounted to a value of $22,092,511 or 13.47% of net assets. |
(c) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(d) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2014, these securities amounted to a value of $48,375 or 0.03% of net assets. |
(e) | A portion of this security is held as collateral for open futures contracts. (Note 2). |
(f) | All or a portion of this security is held as collateral for open swap agreements. (Note 2). |
(g) | Maturity value of $1,631,992. Collateralized by U.S. Government Agency obligations with a rate of 3.246%, maturity dates of 5/01/41, and an aggregate market value, including accrued interest, of $1,666,351. |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
159
Table of Contents
MassMutual Premier Value Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 101.1% | ||||||||
COMMON STOCK — 101.1% | ||||||||
Basic Materials — 1.8% | ||||||||
Chemicals — 1.8% | ||||||||
LyondellBasell Industries NV Class A | 8,549 | $ | 928,934 | |||||
Potash Corp. of Saskatchewan, Inc. | 19,101 | 660,131 | ||||||
|
| |||||||
1,589,065 | ||||||||
|
| |||||||
Communications — 5.1% | ||||||||
Media — 3.0% | ||||||||
Comcast Corp. Class A | 14,870 | 799,709 | ||||||
DISH Network Corp. Class A (a) | 8,000 | 516,640 | ||||||
The Walt Disney Co. | 14,530 | 1,293,606 | ||||||
|
| |||||||
2,609,955 | ||||||||
|
| |||||||
Telecommunications — 2.1% | ||||||||
Verizon Communications, Inc. | 36,659 | 1,832,583 | ||||||
|
| |||||||
4,442,538 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.5% | ||||||||
Airlines — 2.0% | ||||||||
Delta Air Lines, Inc. | 48,260 | 1,744,599 | ||||||
|
| |||||||
Auto Manufacturers — 1.1% | ||||||||
Daimler AG | 8,070 | 615,660 | ||||||
Ford Motor Co. | 20,530 | 303,639 | ||||||
|
| |||||||
919,299 | ||||||||
|
| |||||||
Automotive & Parts — 1.3% | ||||||||
Johnson Controls, Inc. | 25,720 | 1,131,680 | ||||||
|
| |||||||
Entertainment — 0.6% | ||||||||
Cinemark Holdings, Inc. | 14,180 | 482,687 | ||||||
|
| |||||||
Household Products — 1.1% | ||||||||
Reckitt Benckiser Group PLC Sponsored ADR (United Kingdom) | 57,680 | 1,003,055 | ||||||
|
| |||||||
Housewares — 0.6% | ||||||||
Newell Rubbermaid, Inc. | 14,990 | 515,806 | ||||||
|
| |||||||
Leisure Time — 1.2% | ||||||||
Royal Caribbean Cruises Ltd. | 14,970 | 1,007,331 | ||||||
|
| |||||||
Lodging — 0.7% | ||||||||
MGM Resorts International (a) | 28,660 | 652,875 | ||||||
|
| |||||||
Retail — 2.9% | ||||||||
Costco Wholesale Corp. | 4,830 | 605,296 | ||||||
The Gap, Inc. | 13,850 | 577,406 | ||||||
Kohl’s Corp. | 5,090 | 310,643 | ||||||
Macy’s, Inc. | 3,260 | 189,667 | ||||||
Ross Stores, Inc. | 3,240 | 244,879 | ||||||
Walgreen Co. | 10,380 | 615,223 | ||||||
|
| |||||||
2,543,114 | ||||||||
|
| |||||||
10,000,446 | ||||||||
|
|
Number of Shares | Value | |||||||
Consumer, Non-cyclical — 19.6% | ||||||||
Agriculture — 1.7% | ||||||||
Lorillard, Inc. | 24,850 | $ | 1,488,763 | |||||
|
| |||||||
Beverages — 1.1% | ||||||||
PepsiCo, Inc. | 10,430 | 970,929 | ||||||
|
| |||||||
Biotechnology — 0.9% | ||||||||
Amgen, Inc. | 5,280 | 741,629 | ||||||
|
| |||||||
Commercial Services — 0.5% | ||||||||
Apollo Education Group, Inc. (a) | 18,670 | 469,551 | ||||||
|
| |||||||
Foods — 1.4% | ||||||||
ConAgra Foods, Inc. | 10,880 | 359,475 | ||||||
Kraft Foods Group, Inc. | 14,940 | 842,616 | ||||||
|
| |||||||
1,202,091 | ||||||||
|
| |||||||
Health Care – Products — 1.0% | ||||||||
Baxter International, Inc. | 12,250 | 879,182 | ||||||
|
| |||||||
Health Care – Services — 3.4% | ||||||||
HCA Holdings, Inc. (a) | 7,040 | 496,461 | ||||||
Thermo Fisher Scientific, Inc. | 9,140 | 1,112,338 | ||||||
UnitedHealth Group, Inc. | 15,620 | 1,347,225 | ||||||
|
| |||||||
2,956,024 | ||||||||
|
| |||||||
Pharmaceuticals — 9.6% | ||||||||
Cardinal Health, Inc. | 25,330 | 1,897,724 | ||||||
Gilead Sciences, Inc. (a) | 5,330 | 567,378 | ||||||
Merck & Co., Inc. | 29,110 | 1,725,641 | ||||||
Roche Holding AG Sponsored ADR (Switzerland) | 39,960 | 1,478,120 | ||||||
Sanofi ADR (France) | 33,490 | 1,889,841 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel) | 14,540 | 781,525 | ||||||
|
| |||||||
8,340,229 | ||||||||
|
| |||||||
17,048,398 | ||||||||
|
| |||||||
Energy — 11.9% | ||||||||
Oil & Gas — 7.9% | ||||||||
Anadarko Petroleum Corp. | 12,680 | 1,286,259 | ||||||
BP PLC Sponsored ADR (United Kingdom) | 22,590 | 992,831 | ||||||
Occidental Petroleum Corp. | 13,720 | 1,319,178 | ||||||
Phillips 66 | 9,230 | 750,491 | ||||||
Suncor Energy, Inc. | 70,050 | 2,532,307 | ||||||
|
| |||||||
6,881,066 | ||||||||
|
| |||||||
Oil & Gas Services — 2.6% | ||||||||
National Oilwell Varco, Inc. | 11,380 | 866,018 | ||||||
Schlumberger Ltd. | 10,890 | 1,107,404 | ||||||
Transocean Ltd. (b) | 10,020 | 320,340 | ||||||
|
| |||||||
2,293,762 | ||||||||
|
| |||||||
Pipelines — 1.4% | ||||||||
Enbridge, Inc. | 25,000 | 1,197,000 | ||||||
|
| |||||||
10,371,828 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
160
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MassMutual Premier Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Financial — 23.9% | ||||||||
Banks — 5.7% | ||||||||
Bank of America Corp. | 34,110 | $ | 581,576 | |||||
Capital One Financial Corp. | 20,240 | 1,651,989 | ||||||
KeyCorp | 65,700 | 875,781 | ||||||
U.S. Bancorp | 26,370 | 1,103,057 | ||||||
Zions Bancorp | 23,654 | 687,385 | ||||||
|
| |||||||
4,899,788 | ||||||||
|
| |||||||
Diversified Financial — 10.5% | ||||||||
The Charles Schwab Corp. | 29,470 | 866,123 | ||||||
Citigroup, Inc. | 56,520 | 2,928,867 | ||||||
CME Group, Inc. | 5,060 | 404,572 | ||||||
The Goldman Sachs Group, Inc. | 9,930 | 1,822,850 | ||||||
Invesco Ltd. | 16,840 | 664,844 | ||||||
Morgan Stanley | 57,970 | 2,004,023 | ||||||
Navient Corp. | 25,326 | 448,524 | ||||||
|
| |||||||
9,139,803 | ||||||||
|
| |||||||
Insurance — 6.8% | ||||||||
Aflac, Inc. | 9,120 | 531,240 | ||||||
The Allstate Corp. | 19,290 | 1,183,827 | ||||||
American International Group, Inc. | 28,040 | 1,514,721 | ||||||
Aon PLC | 10,350 | 907,384 | ||||||
MetLife, Inc. | 25,540 | 1,372,009 | ||||||
Sun Life Financial, Inc. | 10,060 | 364,876 | ||||||
|
| |||||||
�� | 5,874,057 | |||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.9% | ||||||||
Public Storage | 4,910 | 814,274 | ||||||
|
| |||||||
20,727,922 | ||||||||
|
| |||||||
Industrial — 10.9% | ||||||||
Building Materials — 0.9% | ||||||||
Louisiana-Pacific Corp. (a) | 55,860 | 759,137 | ||||||
|
| |||||||
Electrical Components & Equipment — 0.6% | ||||||||
Schneider Electric SE | 31,200 | 475,644 | ||||||
|
| |||||||
Electronics — 1.3% | ||||||||
TE Connectivity Ltd. | 20,370 | 1,126,257 | ||||||
|
| |||||||
Environmental Controls — 1.1% | ||||||||
Waste Management, Inc. | 20,150 | 957,730 | ||||||
|
| |||||||
Machinery – Construction & Mining — 1.0% | ||||||||
Caterpillar, Inc. | 8,700 | 861,561 | ||||||
|
| |||||||
Manufacturing — 4.6% | ||||||||
Danaher Corp. | 13,135 | 997,997 | ||||||
Eaton Corp. PLC | 25,260 | 1,600,726 | ||||||
Parker Hannifin Corp. | 8,844 | 1,009,543 | ||||||
Siemens AG Sponsored ADR (Germany) | 3,600 | 428,652 | ||||||
|
| |||||||
4,036,918 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.4% | ||||||||
The Timken Co. | 6,170 | 261,546 | ||||||
TimkenSteel Corp. | 2,465 | 114,598 | ||||||
|
| |||||||
376,144 | ||||||||
|
|
Number of Shares | Value | |||||||
Transportation — 1.0% | ||||||||
CSX Corp. | 26,430 | $ | 847,346 | |||||
|
| |||||||
9,440,737 | ||||||||
|
| |||||||
Technology — 14.2% | ||||||||
Computers — 4.9% | ||||||||
Apple, Inc. | 16,360 | 1,648,270 | ||||||
EMC Corp. | 43,100 | 1,261,106 | ||||||
SanDisk Corp. | 9,490 | 929,546 | ||||||
Synopsys, Inc. (a) | 10,590 | 420,370 | ||||||
|
| |||||||
4,259,292 | ||||||||
|
| |||||||
Semiconductors — 4.8% | ||||||||
Avago Technologies Ltd. | 5,590 | 486,330 | ||||||
Broadcom Corp. Class A | 40,690 | 1,644,690 | ||||||
Intel Corp. | 41,090 | 1,430,754 | ||||||
Microchip Technology, Inc. | 2,540 | 119,964 | ||||||
Micron Technology, Inc. (a) | 13,945 | 477,755 | ||||||
|
| |||||||
4,159,493 | ||||||||
|
| |||||||
Software — 4.5% | ||||||||
CA, Inc. | 15,740 | 439,776 | ||||||
Citrix Systems, Inc. (a) | 11,660 | 831,824 | ||||||
Microsoft Corp. | 26,350 | 1,221,586 | ||||||
Oracle Corp. | 38,100 | 1,458,468 | ||||||
|
| |||||||
3,951,654 | ||||||||
|
| |||||||
12,370,439 | ||||||||
|
| |||||||
Utilities — 2.2% | ||||||||
Electric — 2.2% | ||||||||
Edison International | 24,030 | 1,343,758 | ||||||
Entergy Corp. | 6,880 | 532,030 | ||||||
|
| |||||||
1,875,788 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $75,117,952) | 87,867,161 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $75,117,952) | 87,867,161 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.4% | ||||||||
Diversified Financial — 0.4% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 324,847 | 324,847 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $324,847) | 324,847 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $75,442,799) | 88,192,008 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
161
Table of Contents
MassMutual Premier Value Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 1.0% | ||||||||
Repurchase Agreement — 1.0% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/14, 0.010%, due 10/01/14 (d) | $ | 898,390 | $ | 898,390 | ||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 2,746 | 2,746 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $901,136) | 901,136 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.5% (Cost $76,343,935) (e) | 89,093,144 | |||||||
Other Assets/(Liabilities) — (2.5)% | (2,166,942 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 86,926,202 | ||||||
|
|
Notes to Portfolio of Investments
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2014, was $317,110 or 0.36% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Represents investment of security lending collateral. (Note 2). |
(d) | Maturity value of $898,390. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity dates of 2/15/41, and an aggregate market value, including accrued interest, of $919,516. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
162
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 99.7% | ||||||||
COMMON STOCK — 99.7% | ||||||||
Basic Materials — 2.8% | ||||||||
Chemicals — 1.4% | ||||||||
Air Products & Chemicals, Inc. | 2,510 | $ | 326,752 | |||||
Albemarle Corp. | 1,600 | 94,240 | ||||||
Ashland, Inc. | 2,300 | 239,430 | ||||||
Cabot Corp. | 5,600 | 284,312 | ||||||
Celanese Corp. Series A | 5,300 | 310,156 | ||||||
CF Industries Holdings, Inc. | 2,498 | 697,492 | ||||||
Cytec Industries, Inc. | 6,680 | 315,897 | ||||||
The Dow Chemical Co. | 34,210 | 1,793,973 | ||||||
Huntsman Corp. | 1,900 | 49,381 | ||||||
The Mosaic Co. | 11,600 | 515,156 | ||||||
Sigma-Aldrich Corp. | 1,230 | 167,292 | ||||||
W.R. Grace & Co. (a) | 100 | 9,094 | ||||||
Westlake Chemical Corp. | 60 | 5,195 | ||||||
|
| |||||||
4,808,370 | ||||||||
|
| |||||||
Forest Products & Paper — 0.3% | ||||||||
Domtar Corp. | 13,200 | 463,716 | ||||||
International Paper Co. | 6,800 | 324,632 | ||||||
MeadWestvaco Corp. | 2,500 | 102,350 | ||||||
Rock-Tenn Co. Class A | 1,540 | 73,273 | ||||||
|
| |||||||
963,971 | ||||||||
|
| |||||||
Iron & Steel — 0.4% | ||||||||
Cliffs Natural Resources, Inc. | 4,900 | 50,862 | ||||||
Steel Dynamics, Inc. | 8,800 | 198,968 | ||||||
United States Steel Corp. | 29,990 | 1,174,708 | ||||||
|
| |||||||
1,424,538 | ||||||||
|
| |||||||
Mining — 0.7% | ||||||||
Alcoa, Inc. | 38,100 | 613,029 | ||||||
Freeport-McMoRan, Inc. | 32,431 | 1,058,872 | ||||||
Newmont Mining Corp. | 9,200 | 212,060 | ||||||
Royal Gold, Inc. | 3,100 | 201,314 | ||||||
Vulcan Materials Co. | 6,700 | 403,541 | ||||||
|
| |||||||
2,488,816 | ||||||||
|
| |||||||
9,685,695 | ||||||||
|
| |||||||
Communications — 6.6% | ||||||||
Internet — 0.3% | ||||||||
Liberty Interactive Corp. Class A (a) | 1,100 | 31,372 | ||||||
Symantec Corp. | 12,400 | 291,524 | ||||||
Yahoo!, Inc. (a) | 14,900 | 607,175 | ||||||
|
| |||||||
930,071 | ||||||||
|
| |||||||
Media — 1.7% | ||||||||
CBS Corp. Class B | 2,000 | 107,000 | ||||||
Comcast Corp. Class A | 8,600 | 462,508 | ||||||
Gannett Co., Inc. | 55 | 1,632 | ||||||
Graham Holdings Co. Class B | 136 | 95,144 |
Number of Shares | Value | |||||||
John Wiley & Sons, Inc. Class A | 8,400 | $ | 471,324 | |||||
Liberty Media Corp. Class A (a) | 350 | 16,513 | ||||||
News Corp. Class A (a) | 18,000 | 294,300 | ||||||
Nielsen NV | 1,700 | 75,361 | ||||||
Starz Class A (a) | 8,757 | 289,681 | ||||||
Thomson Reuters Corp. | 5,300 | 192,973 | ||||||
Time Warner, Inc. | 34,490 | 2,593,993 | ||||||
Twenty-First Century Fox Class A | 11,400 | 390,906 | ||||||
The Walt Disney Co. | 9,390 | 835,992 | ||||||
|
| |||||||
5,827,327 | ||||||||
|
| |||||||
Telecommunications — 4.6% | ||||||||
Amdocs Ltd. | 9,100 | 417,508 | ||||||
AT&T, Inc. | 178,914 | 6,304,929 | ||||||
CenturyLink, Inc. | 23,407 | 957,112 | ||||||
Cisco Systems, Inc. | 163,200 | 4,107,744 | ||||||
Corning, Inc. | 33,200 | 642,088 | ||||||
EchoStar Corp. Class A (a) | 7,800 | 380,328 | ||||||
Frontier Communications Corp. | 159,189 | 1,036,321 | ||||||
Harris Corp. | 5,800 | 385,120 | ||||||
Juniper Networks, Inc. | 17,000 | 376,550 | ||||||
Level 3 Communications, Inc. (a) | 100 | 4,573 | ||||||
Sprint Corp. (a) | 24,500 | 155,330 | ||||||
T-Mobile US, Inc. (a) | 5,250 | 151,568 | ||||||
Telephone & Data Systems, Inc. | 1,918 | 45,955 | ||||||
Windstream Corp. | 68,662 | 740,176 | ||||||
|
| |||||||
15,705,302 | ||||||||
|
| |||||||
22,462,700 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.1% | ||||||||
Airlines — 0.9% | ||||||||
Alaska Air Group, Inc. | 18,000 | 783,720 | ||||||
Copa Holdings SA Class A | 6,400 | 686,656 | ||||||
Delta Air Lines, Inc. | 30,900 | 1,117,035 | ||||||
Southwest Airlines Co. | 10,900 | 368,093 | ||||||
|
| |||||||
2,955,504 | ||||||||
|
| |||||||
Apparel — 0.0% | ||||||||
Ascena Retail Group, Inc. (a) | 5,900 | 78,470 | ||||||
|
| |||||||
Auto Manufacturers — 1.0% | ||||||||
Ford Motor Co. | 163,500 | 2,418,165 | ||||||
General Motors Co. | 31,000 | 990,140 | ||||||
Oshkosh Corp. | 1,500 | 66,225 | ||||||
Paccar, Inc. | 700 | 39,812 | ||||||
|
| |||||||
3,514,342 | ||||||||
|
| |||||||
Automotive & Parts — 0.4% | ||||||||
Johnson Controls, Inc. | 4,700 | 206,800 | ||||||
Lear Corp. | 6,600 | 570,306 | ||||||
TRW Automotive Holdings Corp. (a) | 3,090 | 312,863 | ||||||
Visteon Corp/New (a) | 1,700 | 165,325 | ||||||
|
| |||||||
1,255,294 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
163
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Distribution & Wholesale — 0.1% | ||||||||
Ingram Micro, Inc. Class A (a) | 4,000 | $ | 103,240 | |||||
Tech Data Corp. (a) | 4,500 | 264,870 | ||||||
WESCO International, Inc. (a) | 1,200 | 93,912 | ||||||
|
| |||||||
462,022 | ||||||||
|
| |||||||
Entertainment — 0.1% | ||||||||
Gaming and Leisure Properties, Inc. | 1,076 | 33,248 | ||||||
Regal Entertainment Group Class A | 5,200 | 103,376 | ||||||
|
| |||||||
136,624 | ||||||||
|
| |||||||
Home Builders — 0.2% | ||||||||
PulteGroup, Inc. | 19,100 | 337,306 | ||||||
Toll Brothers, Inc. (a) | 4,200 | 130,872 | ||||||
|
| |||||||
468,178 | ||||||||
|
| |||||||
Home Furnishing — 0.0% | ||||||||
Whirlpool Corp. | 850 | 123,803 | ||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Rubbermaid, Inc. | 5,600 | 192,696 | ||||||
|
| |||||||
Leisure Time — 0.2% | ||||||||
Carnival Corp. | 11,600 | 465,972 | ||||||
Royal Caribbean Cruises Ltd. | 4,300 | 289,347 | ||||||
|
| |||||||
755,319 | ||||||||
|
| |||||||
Lodging — 0.4% | ||||||||
Hyatt Hotels Corp. Class A (a) | 6,500 | 393,380 | ||||||
Marriott International, Inc. Class A | 6,900 | 482,310 | ||||||
MGM Resorts International (a) | 14,400 | 328,032 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 2,900 | 241,309 | ||||||
|
| |||||||
1,445,031 | ||||||||
|
| |||||||
Retail — 2.7% | ||||||||
Bed Bath & Beyond, Inc. (a) | 6,000 | 394,980 | ||||||
Best Buy Co., Inc. | 8,700 | 292,233 | ||||||
Big Lots, Inc. | 6,400 | 275,520 | ||||||
Chico’s FAS, Inc. | 2,500 | 36,925 | ||||||
CVS Health Corp. | 36,200 | 2,881,158 | ||||||
Dillard’s, Inc. Class A | 1,740 | 189,625 | ||||||
Dollar General Corp. (a) | 2,200 | 134,442 | ||||||
DSW, Inc. Class A | 1,000 | 30,110 | ||||||
Foot Locker, Inc. | 5,600 | 311,640 | ||||||
GameStop Corp. Class A | 4,700 | 193,640 | ||||||
Kohl’s Corp. | 7,100 | 433,313 | ||||||
Macy’s, Inc. | 3,344 | 194,554 | ||||||
Rite Aid Corp. (a) | 35,500 | 171,820 | ||||||
Staples, Inc. | 28,400 | 343,640 | ||||||
Target Corp. | 10,700 | 670,676 | ||||||
Wal-Mart Stores, Inc. | 32,000 | 2,447,040 | ||||||
Walgreen Co. | 2,100 | 124,467 | ||||||
World Fuel Services Corp. | 3,500 | 139,720 | ||||||
|
| |||||||
9,265,503 | ||||||||
|
|
Number of Shares | Value | |||||||
Textiles — 0.0% | ||||||||
Cintas Corp. | 800 | $ | 56,472 | |||||
|
| |||||||
20,709,258 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 19.4% | ||||||||
Agriculture — 1.1% | ||||||||
Altria Group, Inc. | 3,800 | 174,572 | ||||||
Archer-Daniels-Midland Co. | 28,600 | 1,461,460 | ||||||
Bunge Ltd. | 4,300 | 362,189 | ||||||
Philip Morris International, Inc. | 18,900 | 1,576,260 | ||||||
Reynolds American, Inc. | 1,840 | 108,560 | ||||||
|
| |||||||
3,683,041 | ||||||||
|
| |||||||
Beverages — 0.3% | ||||||||
Constellation Brands, Inc. | 6,130 | 534,291 | ||||||
Molson Coors Brewing Co. Class B | 5,860 | 436,218 | ||||||
|
| |||||||
970,509 | ||||||||
|
| |||||||
Biotechnology — 0.5% | ||||||||
Amgen, Inc. | 5,890 | 827,309 | ||||||
Bio-Rad Laboratories, Inc. | 720 | 81,648 | ||||||
Charles River Laboratories International, Inc. (a) | 600 | 35,844 | ||||||
Myriad Genetics, Inc. (a) | 22,644 | 873,379 | ||||||
|
| |||||||
1,818,180 | ||||||||
|
| |||||||
Commercial Services — 0.9% | ||||||||
The ADT Corp. | 4,600 | 163,116 | ||||||
Apollo Education Group, Inc. (a) | 14,700 | 369,705 | ||||||
Booz Allen Hamilton Holding Corp. | 25,300 | 592,020 | ||||||
Corrections Corporation of America | 1,505 | 51,712 | ||||||
DeVry, Inc. | 18,800 | 804,828 | ||||||
Donnelley (R.R.) & Sons Co. | 15,700 | 258,422 | ||||||
KAR Auction Services, Inc. | 800 | 22,904 | ||||||
Live Nation Entertainment, Inc. (a) | 1,300 | 31,226 | ||||||
Manpower, Inc. | 6,900 | 483,690 | ||||||
Paychex, Inc. | 300 | 13,260 | ||||||
Quanta Services, Inc. (a) | 6,200 | 224,998 | ||||||
Service Corp. International | 5,400 | 114,156 | ||||||
Total System Services, Inc. | 700 | 21,672 | ||||||
Towers Watson & Co. Class A | 1,200 | 119,400 | ||||||
Vectrus, Inc. (a) | 183 | 3,580 | ||||||
|
| |||||||
3,274,689 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.8% | ||||||||
Avon Products, Inc. | 9,500 | 119,700 | ||||||
Colgate-Palmolive Co. | 2,600 | 169,572 | ||||||
Coty, Inc. | 10,200 | 168,810 | ||||||
The Procter & Gamble Co. | 67,410 | 5,644,913 | ||||||
|
| |||||||
6,102,995 | ||||||||
|
| |||||||
Foods — 1.2% | ||||||||
ConAgra Foods, Inc. | 6,200 | 204,848 | ||||||
Ingredion, Inc. | 4,070 | 308,465 | ||||||
The J.M. Smucker Co. | 1,820 | 180,162 |
The accompanying notes are an integral part of the financial statements.
164
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Mondelez International, Inc. Class A | 39,950 | $ | 1,368,887 | |||||
Pilgrim’s Pride Corp. (a) | 38,800 | 1,185,728 | ||||||
Safeway, Inc. | 9,300 | 318,990 | ||||||
Sysco Corp. | 3,300 | 125,235 | ||||||
Tyson Foods, Inc. Class A | 10,600 | 417,322 | ||||||
|
| |||||||
4,109,637 | ||||||||
|
| |||||||
Health Care – Products — 4.5% | ||||||||
Alere, Inc. (a) | 5,700 | 221,046 | ||||||
Boston Scientific Corp. (a) | 48,500 | 572,785 | ||||||
CareFusion Corp. (a) | 4,000 | 181,000 | ||||||
Covidien PLC | 15,500 | 1,340,905 | ||||||
Hill-Rom Holdings, Inc. | 3,000 | 124,290 | ||||||
Hologic, Inc. (a) | 10,500 | 255,465 | ||||||
Johnson & Johnson | 82,300 | 8,772,357 | ||||||
Medtronic, Inc. | 39,500 | 2,447,025 | ||||||
QIAGEN NV (a) | 6,700 | 152,559 | ||||||
St. Jude Medical, Inc. | 4,100 | 246,533 | ||||||
Stryker Corp. | 5,500 | 444,125 | ||||||
Zimmer Holdings, Inc. | 5,070 | 509,789 | ||||||
|
| |||||||
15,267,879 | ||||||||
|
| |||||||
Health Care – Services — 3.0% | ||||||||
Aetna, Inc. | 11,421 | 925,101 | ||||||
Cigna Corp. | 11,500 | 1,042,935 | ||||||
HCA Holdings, Inc. (a) | 16,200 | 1,142,424 | ||||||
Health Net, Inc. (a) | 2,200 | 101,442 | ||||||
Humana, Inc. | 5,540 | 721,807 | ||||||
Laboratory Corporation of America Holdings (a) | 1,890 | 192,307 | ||||||
LifePoint Hospitals, Inc. (a) | 9,800 | 678,062 | ||||||
MEDNAX, Inc. (a) | 400 | 21,928 | ||||||
Quest Diagnostics, Inc. | 4,800 | 291,264 | ||||||
Thermo Fisher Scientific, Inc. | 4,660 | 567,122 | ||||||
UnitedHealth Group, Inc. | 30,000 | 2,587,500 | ||||||
Universal Health Services, Inc. Class B | 4,600 | 480,700 | ||||||
WellPoint, Inc. | 11,780 | 1,409,124 | ||||||
|
| |||||||
10,161,716 | ||||||||
|
| |||||||
Household Products — 0.2% | ||||||||
Avery Dennison Corp. | 2,200 | 98,230 | ||||||
Jarden Corp. (a) | 3,900 | 234,429 | ||||||
Kimberly-Clark Corp. | 2,350 | 252,790 | ||||||
|
| |||||||
585,449 | ||||||||
|
| |||||||
Pharmaceuticals — 5.9% | ||||||||
Abbott Laboratories | 50,700 | 2,108,613 | ||||||
Bristol-Myers Squibb Co. | 11,200 | 573,216 | ||||||
Cardinal Health, Inc. | 10,700 | 801,644 | ||||||
DENTSPLY International, Inc. | 100 | 4,560 | ||||||
Eli Lilly & Co. | 20,020 | 1,298,297 | ||||||
Express Scripts Holding Co. (a) | 3,800 | 268,394 | ||||||
Hospira, Inc. (a) | 6,200 | 322,586 | ||||||
Mallinckrodt PLC (a) | 1,200 | 108,180 |
Number of Shares | Value | |||||||
Merck & Co., Inc. | 104,128 | $ | 6,172,708 | |||||
Omnicare, Inc. | 4,000 | 249,040 | ||||||
Pfizer, Inc. | 271,113 | 8,016,811 | ||||||
VCA Antech, Inc. (a) | 3,300 | 129,789 | ||||||
|
| |||||||
20,053,838 | ||||||||
|
| |||||||
66,027,933 | ||||||||
|
| |||||||
Diversified — 0.1% | ||||||||
Holding Company – Diversified — 0.1% | ||||||||
Leucadia National Corp. | 7,800 | 185,952 | ||||||
|
| |||||||
Energy — 13.5% | ||||||||
Coal — 0.1% | ||||||||
CONSOL Energy, Inc. | 8,300 | 314,238 | ||||||
Peabody Energy Corp. | 8,100 | 100,278 | ||||||
|
| |||||||
414,516 | ||||||||
|
| |||||||
Energy – Alternate Sources — 0.1% | ||||||||
First Solar, Inc. (a) | 3,300 | 217,173 | ||||||
|
| |||||||
Oil & Gas — 12.0% | ||||||||
Anadarko Petroleum Corp. | 12,480 | 1,265,971 | ||||||
Apache Corp. | 7,428 | 697,266 | ||||||
Chesapeake Energy Corp. | 16,900 | 388,531 | ||||||
Chevron Corp. | 67,495 | 8,053,503 | ||||||
Cimarex Energy Co. | 1,800 | 227,754 | ||||||
ConocoPhillips | 56,628 | 4,333,175 | ||||||
Denbury Resources, Inc. | 10,614 | 159,528 | ||||||
Devon Energy Corp. | 12,350 | 842,023 | ||||||
Diamond Offshore Drilling, Inc. | 3,800 | 130,226 | ||||||
Exxon Mobil Corp. | 138,190 | 12,996,770 | ||||||
Helmerich & Payne, Inc. | 3,900 | 381,693 | ||||||
Hess Corp. | 13,000 | 1,226,160 | ||||||
Marathon Oil Corp. | 24,200 | 909,678 | ||||||
Marathon Petroleum Corp. | 2,300 | 194,741 | ||||||
Murphy Oil Corp. | 6,100 | 347,151 | ||||||
Murphy USA, Inc. (a) | 16,800 | 891,408 | ||||||
Nabors Industries Ltd. | 20,800 | 473,408 | ||||||
Newfield Exploration Co. (a) | 9,300 | 344,751 | ||||||
Noble Energy, Inc. | 80 | 5,469 | ||||||
Occidental Petroleum Corp. | 19,230 | 1,848,965 | ||||||
Patterson-UTI Energy, Inc. | 17,000 | 553,010 | ||||||
PBF Energy, Inc. Class A | 18,900 | 453,600 | ||||||
Phillips 66 | 16,000 | 1,300,960 | ||||||
Questar Corp. | 6,100 | 135,969 | ||||||
Rice Energy, Inc. (a) | 100 | 2,660 | ||||||
Rowan Cos. PLC Class A | 4,600 | 116,426 | ||||||
SandRidge Energy, Inc. (a) | 52,500 | 225,225 | ||||||
Tesoro Corp. | 11,800 | 719,564 | ||||||
Ultra Petroleum Corp. (a) | 11,200 | 260,512 | ||||||
Unit Corp. (a) | 4,900 | 287,385 | ||||||
Valero Energy Corp. | 16,164 | 747,908 | ||||||
Whiting Petroleum Corp. (a) | 5,400 | 418,770 | ||||||
WPX Energy, Inc. (a) | 5,066 | 121,888 | ||||||
|
| |||||||
41,062,048 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
165
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Oil & Gas Services — 1.0% | ||||||||
Baker Hughes, Inc. | 16,503 | $ | 1,073,685 | |||||
HollyFrontier Corp. | 8,200 | 358,176 | ||||||
National Oilwell Varco, Inc. | 15,900 | 1,209,990 | ||||||
NOW, Inc. (a) | 3,975 | 120,880 | ||||||
Oil States International, Inc. (a) | 2,820 | 174,558 | ||||||
Superior Energy Services, Inc. | 9,400 | 308,978 | ||||||
Tidewater, Inc. | 30 | 1,171 | ||||||
|
| |||||||
3,247,438 | ||||||||
|
| |||||||
Pipelines — 0.3% | ||||||||
National Fuel Gas Co. | 4,050 | 283,459 | ||||||
Spectra Energy Corp. | 17,700 | 694,902 | ||||||
|
| |||||||
978,361 | ||||||||
|
| |||||||
45,919,536 | ||||||||
|
| |||||||
Financial — 27.5% | ||||||||
Banks — 8.3% | ||||||||
Associated Banc-Corp. | 7,350 | 128,037 | ||||||
Bank of America Corp. | 230,473 | 3,929,565 | ||||||
Bank of Hawaii Corp. | 920 | 52,265 | ||||||
Bank of New York Mellon Corp. | 36,950 | 1,431,073 | ||||||
BB&T Corp. | 20,119 | 748,628 | ||||||
BOK Financial Corp. | 700 | 46,536 | ||||||
Capital One Financial Corp. | 23,250 | 1,897,665 | ||||||
City National Corp. | 1,970 | 149,070 | ||||||
Comerica, Inc. | 8,600 | 428,796 | ||||||
Commerce Bancshares, Inc. | 3,730 | 166,526 | ||||||
Cullen/Frost Bankers, Inc. | 1,000 | 76,510 | ||||||
East West Bancorp, Inc. | 6,900 | 234,600 | ||||||
Fifth Third Bancorp | 22,160 | 443,643 | ||||||
First Horizon National Corp. | 3,016 | 37,036 | ||||||
First Republic Bank | 2,600 | 128,388 | ||||||
Fulton Financial Corp. | 19,400 | 214,952 | ||||||
Huntington Bancshares, Inc. | 29,671 | 288,699 | ||||||
KeyCorp | 43,700 | 582,521 | ||||||
M&T Bank Corp. | 5 | 616 | ||||||
Northern Trust Corp. | 8,000 | 544,240 | ||||||
PacWest Bancorp | 3,800 | 156,674 | ||||||
PNC Financial Services Group, Inc. | 22,036 | 1,885,841 | ||||||
Popular, Inc. (a) | 14,900 | 438,582 | ||||||
Regions Financial Corp. | 56,260 | 564,850 | ||||||
Signature Bank (a) | 60 | 6,724 | ||||||
State Street Corp. | 13,300 | 979,013 | ||||||
SunTrust Banks, Inc. | 23,300 | 886,099 | ||||||
SVB Financial Group (a) | 1,700 | 190,553 | ||||||
Synovus Financial Corp. | 3,171 | 74,962 | ||||||
U.S. Bancorp | 58,990 | 2,467,552 | ||||||
Wells Fargo & Co. | 170,510 | 8,844,354 | ||||||
Zions Bancorp | 3,250 | 94,445 | ||||||
|
| |||||||
28,119,015 | ||||||||
|
| |||||||
Diversified Financial — 6.7% | ||||||||
Air Lease Corp. | 10,100 | 328,250 | ||||||
Ameriprise Financial, Inc. | 6,430 | 793,334 |
Number of Shares | Value | |||||||
BlackRock, Inc. | 1,920 | $ | 630,374 | |||||
The Charles Schwab Corp. | 21,000 | 617,190 | ||||||
Citigroup, Inc. | 108,771 | 5,636,513 | ||||||
CME Group, Inc. | 60 | 4,797 | ||||||
Discover Financial Services | 11,900 | 766,241 | ||||||
E*TRADE Financial Corp. (a) | 10,500 | 237,195 | ||||||
FNF Group | 5,757 | 159,699 | ||||||
The Goldman Sachs Group, Inc. | 17,520 | 3,216,147 | ||||||
Interactive Brokers Group, Inc. Class A | 1,400 | 34,930 | ||||||
IntercontinentalExchange, Inc. | 7 | 1,365 | ||||||
Invesco Ltd. | 9,800 | 386,904 | ||||||
JP Morgan Chase & Co. | 123,227 | 7,423,195 | ||||||
Legg Mason, Inc. | 5,200 | 266,032 | ||||||
Morgan Stanley | 58,200 | 2,011,974 | ||||||
The NASDAQ OMX Group, Inc. | 4,100 | 173,922 | ||||||
Navient Corp. | 9,900 | 175,329 | ||||||
Raymond James Financial, Inc. | 300 | 16,074 | ||||||
TD Ameritrade Holding Corp. | 800 | 26,696 | ||||||
|
| |||||||
22,906,161 | ||||||||
|
| |||||||
Diversified Financial Services — 0.0% | ||||||||
Voya Financial, Inc. | 2,700 | 105,570 | ||||||
|
| |||||||
Insurance — 9.3% | ||||||||
ACE Ltd. | 11,210 | 1,175,593 | ||||||
Aflac, Inc. | 16,400 | 955,300 | ||||||
Alleghany Corp. (a) | 235 | 98,265 | ||||||
Allied World Assurance Co. Holdings Ltd. | 3,060 | 112,730 | ||||||
The Allstate Corp. | 9,700 | 595,289 | ||||||
American Financial Group, Inc. | 3,500 | 202,615 | ||||||
American International Group, Inc. | 54,702 | 2,955,002 | ||||||
American National Insurance Co. | 1,120 | 125,888 | ||||||
Aon PLC | 2,460 | 215,668 | ||||||
Arch Capital Group Ltd. (a) | 4,100 | 224,352 | ||||||
Aspen Insurance Holdings Ltd. | 17,400 | 744,198 | ||||||
Assurant, Inc. | 7,690 | 494,467 | ||||||
Assured Guaranty Ltd. | 10,500 | 232,680 | ||||||
Axis Capital Holdings Ltd. | 4,200 | 198,786 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 67,410 | 9,312,017 | ||||||
The Chubb Corp. | 3,060 | 278,705 | ||||||
Cincinnati Financial Corp. | 3,620 | 170,321 | ||||||
CNA Financial Corp. | 17,700 | 673,131 | ||||||
Endurance Specialty Holdings Ltd. | 5,000 | 275,900 | ||||||
Everest Re Group Ltd. | 2,800 | 453,628 | ||||||
Genworth Financial, Inc. Class A (a) | 36,460 | 477,626 | ||||||
The Hanover Insurance Group, Inc. | 2,100 | 128,982 | ||||||
The Hartford Financial Services Group, Inc. | 12,390 | 461,527 | ||||||
HCC Insurance Holdings, Inc. | 4,470 | 215,856 | ||||||
Lincoln National Corp. | 13,598 | 728,581 | ||||||
Loews Corp. | 20 | 833 | ||||||
Markel Corp. (a) | 5 | 3,181 | ||||||
Marsh & McLennan Cos., Inc. | 3,600 | 188,424 |
The accompanying notes are an integral part of the financial statements.
166
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MBIA, Inc. (a) | 27,300 | $ | 250,614 | |||||
Mercury General Corp. | 890 | 43,441 | ||||||
MetLife, Inc. | 29,340 | 1,576,145 | ||||||
Old Republic International Corp. | 20,900 | 298,452 | ||||||
PartnerRe Ltd. | 5,930 | 651,648 | ||||||
Principal Financial Group, Inc. | 12,300 | 645,381 | ||||||
The Progressive Corp. | 16,600 | 419,648 | ||||||
Protective Life Corp. | 2,580 | 179,078 | ||||||
Prudential Financial, Inc. | 18,700 | 1,644,478 | ||||||
Reinsurance Group of America, Inc. Class A | 12,850 | 1,029,670 | ||||||
RenaissanceRe Holdings Ltd. | 4,700 | 469,953 | ||||||
StanCorp Financial Group, Inc. | 1,870 | 118,147 | ||||||
Torchmark Corp. | 5,490 | 287,511 | ||||||
The Travelers Cos., Inc. | 15,169 | 1,424,976 | ||||||
Unum Group | 8,600 | 295,668 | ||||||
Validus Holdings Ltd. | 2,800 | 109,592 | ||||||
W.R. Berkley Corp. | 6,600 | 315,480 | ||||||
White Mountains Insurance Group Ltd. | 53 | 33,394 | ||||||
XL Group PLC | 9,550 | 316,774 | ||||||
|
| |||||||
31,809,595 | ||||||||
|
| |||||||
Real Estate — 0.1% | ||||||||
Jones Lang LaSalle, Inc. | 1,090 | 137,711 | ||||||
WP Carey, Inc. | 3,100 | 197,687 | ||||||
|
| |||||||
335,398 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.8% | ||||||||
Alexandria Real Estate Equities, Inc. | 1,600 | 118,000 | ||||||
American Campus Communities, Inc. | 100 | 3,645 | ||||||
American Capital Agency Corp. | 9,000 | 191,250 | ||||||
Annaly Capital Management, Inc. | 24,260 | 259,097 | ||||||
AvalonBay Communities, Inc. | 2,324 | 327,614 | ||||||
BioMed Realty Trust, Inc. | 1,600 | 32,320 | ||||||
Boston Properties, Inc. | 4,670 | 540,599 | ||||||
Brandywine Realty Trust | 7,200 | 101,304 | ||||||
Chimera Investment Corp. | 212,800 | 646,912 | ||||||
Columbia Property Trust, Inc. | 4,300 | 102,641 | ||||||
Equity Commonwealth | 10,367 | 266,536 | ||||||
Equity Residential | 14,600 | 899,068 | ||||||
Essex Property Trust, Inc. | 3 | 536 | ||||||
General Growth Properties, Inc. | 19,940 | 469,587 | ||||||
HCP, Inc. | 12,700 | 504,317 | ||||||
Hospitality Properties Trust | 4,540 | 121,899 | ||||||
Host Hotels & Resorts, Inc. | 30,403 | 648,496 | ||||||
Kilroy Realty Corp. | 3,100 | 184,264 | ||||||
Kimco Realty Corp. | 9,500 | 208,145 | ||||||
Liberty Property Trust | 2,170 | 72,174 | ||||||
The Macerich Co. | 2,282 | 145,660 | ||||||
MFA Financial, Inc. | 59,000 | 459,020 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 7,600 | 134,064 | ||||||
Prologis, Inc. | 85 | 3,205 | ||||||
Realty Income Corp. | 7,000 | 285,530 |
Number of Shares | Value | |||||||
Senior Housing Properties Trust | 11,400 | $ | 238,488 | |||||
SL Green Realty Corp. | 4,190 | 424,531 | ||||||
Spirit Realty Capital, Inc. | 16,100 | 176,617 | ||||||
Starwood Property Trust, Inc. | 8,400 | 184,464 | ||||||
Taubman Centers, Inc. | 4,600 | 335,800 | ||||||
Two Harbors Investment Corp. | 32,100 | 310,407 | ||||||
Ventas, Inc. | 3,300 | 204,435 | ||||||
Vornado Realty Trust | 1,478 | 147,741 | ||||||
Washington Prime Group, Inc. | 18,400 | 321,632 | ||||||
Weingarten Realty Investors | 5,400 | 170,100 | ||||||
Weyerhaeuser Co. | 10,600 | 337,716 | ||||||
|
| |||||||
9,577,814 | ||||||||
|
| |||||||
Savings & Loans — 0.3% | ||||||||
BankUnited, Inc. | 8,900 | 271,361 | ||||||
First Niagara Financial Group, Inc. | 9,700 | 80,801 | ||||||
Hudson City Bancorp, Inc. | 10,350 | 100,602 | ||||||
New York Community Bancorp, Inc. | 21,290 | 337,872 | ||||||
People’s United Financial, Inc. | 5,400 | 78,138 | ||||||
|
| |||||||
868,774 | ||||||||
|
| |||||||
93,722,327 | ||||||||
|
| |||||||
Industrial — 10.2% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
Alliant Techsystems, Inc. | 400 | 51,056 | ||||||
Exelis, Inc. | 3,300 | 54,582 | ||||||
General Dynamics Corp. | 15,460 | 1,964,812 | ||||||
L-3 Communications Holdings, Inc. | 2,260 | 268,759 | ||||||
Northrop Grumman Corp. | 8,200 | 1,080,432 | ||||||
Raytheon Co. | 11,170 | 1,135,095 | ||||||
Spirit AeroSystems Holdings, Inc. Class A (a) | 7,500 | 285,450 | ||||||
United Technologies Corp. | 18,040 | 1,905,024 | ||||||
|
| |||||||
6,745,210 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.3% | ||||||||
Emerson Electric Co. | 5,400 | 337,932 | ||||||
Energizer Holdings, Inc. | 4,180 | 515,018 | ||||||
Hubbell, Inc. Class B | 400 | 48,212 | ||||||
SunPower Corp. (a) | 7,600 | 257,488 | ||||||
|
| |||||||
1,158,650 | ||||||||
|
| |||||||
Electronics — 1.0% | ||||||||
Agilent Technologies, Inc. | 6,200 | 353,276 | ||||||
Arrow Electronics, Inc. (a) | 12,200 | 675,270 | ||||||
Avnet, Inc. | 3,600 | 149,400 | ||||||
AVX Corp. | 1,400 | 18,592 | ||||||
Dolby Laboratories, Inc. Class A (a) | 13,200 | 551,628 | ||||||
FLIR Systems, Inc. | 1,200 | 37,608 | ||||||
Garmin Ltd. | 9,500 | 493,905 | ||||||
Gentex Corp. | 15,100 | 404,227 | ||||||
Jabil Circuit, Inc. | 13,800 | 278,346 | ||||||
PerkinElmer, Inc. | 2,610 | 113,796 | ||||||
Vishay Intertechnology, Inc. | 19,200 | 274,368 | ||||||
|
| |||||||
3,350,416 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
167
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Engineering & Construction — 0.4% | ||||||||
AECOM Technology Corp. (a) | 6,700 | $ | 226,125 | |||||
Fluor Corp. | 2,200 | 146,938 | ||||||
KBR, Inc. | 15,700 | 295,631 | ||||||
URS Corp. | 11,700 | 674,037 | ||||||
|
| |||||||
1,342,731 | ||||||||
|
| |||||||
Environmental Controls — 0.2% | ||||||||
Republic Services, Inc. | 4,690 | 183,004 | ||||||
Waste Connections, Inc. | 450 | 21,834 | ||||||
Waste Management, Inc. | 11,340 | 538,990 | ||||||
|
| |||||||
743,828 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.3% | ||||||||
Lincoln Electric Holdings, Inc. | 1,600 | 110,616 | ||||||
Regal-Beloit Corp. | 1,500 | 96,375 | ||||||
Snap-on, Inc. | 2,030 | 245,792 | ||||||
Stanley Black & Decker, Inc. | 5,035 | 447,058 | ||||||
|
| |||||||
899,841 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 1.1% | ||||||||
Caterpillar, Inc. | 25,400 | 2,515,362 | ||||||
Ingersoll-Rand PLC | 10,800 | 608,688 | ||||||
Joy Global, Inc. | 11,400 | 621,756 | ||||||
Terex Corp. | 2,200 | 69,894 | ||||||
|
| |||||||
3,815,700 | ||||||||
|
| |||||||
Machinery – Diversified — 0.3% | ||||||||
AGCO Corp. | 1,770 | 80,464 | ||||||
Deere & Co. | 8,000 | 655,920 | ||||||
IDEX Corp. | 1,000 | 72,370 | ||||||
Roper Industries, Inc. | 2,330 | 340,856 | ||||||
Xylem, Inc. | 1,700 | 60,333 | ||||||
|
| |||||||
1,209,943 | ||||||||
|
| |||||||
Manufacturing — 3.6% | ||||||||
A.O. Smith Corp. | 4,000 | 189,120 | ||||||
Carlisle Cos., Inc. | 2,600 | 208,988 | ||||||
Crane Co. | 220 | 13,906 | ||||||
Danaher Corp. | 11,800 | 896,564 | ||||||
Dover Corp. | 300 | 24,099 | ||||||
Eaton Corp. PLC | 3,172 | 201,010 | ||||||
General Electric Co. | 333,590 | 8,546,576 | ||||||
ITT Corp. | 2,400 | 107,856 | ||||||
Leggett & Platt, Inc. | 4,610 | 160,981 | ||||||
Parker Hannifin Corp. | 2,520 | 287,658 | ||||||
Pentair PLC | 5,319 | 348,341 | ||||||
SPX Corp. | 5,970 | 560,762 | ||||||
Teleflex, Inc. | 1,740 | 182,770 | ||||||
Textron, Inc. | 9,400 | 338,306 | ||||||
Trinity Industries, Inc. | 4,200 | 196,224 | ||||||
|
| |||||||
12,263,161 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.1% | ||||||||
The Timken Co. | 3,100 | 131,409 | ||||||
Valmont Industries, Inc. | 1,830 | 246,922 | ||||||
|
| |||||||
378,331 | ||||||||
|
|
Number of Shares | Value | |||||||
Packaging & Containers — 0.1% | ||||||||
Bemis Co., Inc. | 760 | $ | 28,895 | |||||
Greif, Inc. Class A | 1,900 | 83,239 | ||||||
Owens-Illinois, Inc. (a) | 2,300 | 59,915 | ||||||
|
| |||||||
172,049 | ||||||||
|
| |||||||
Shipbuilding — 0.0% | ||||||||
Huntington Ingalls Industries, Inc. | 1,400 | 145,894 | ||||||
|
| |||||||
Transportation — 0.7% | ||||||||
American ExpressNorfolk Southern Corp. | 7,200 | 803,520 | ||||||
Con-way, Inc. | 1,200 | 57,000 | ||||||
CSX Corp. | 20,200 | 647,612 | ||||||
FedEx Corp. | 2,960 | 477,892 | ||||||
Ryder System, Inc. | 3,590 | 322,992 | ||||||
|
| |||||||
2,309,016 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
AMERCO | 840 | 219,988 | ||||||
GATX Corp. | 4,000 | 233,480 | ||||||
|
| |||||||
453,468 | ||||||||
|
| |||||||
34,988,238 | ||||||||
|
| |||||||
Technology — 7.9% | ||||||||
Computers — 2.5% | ||||||||
Brocade Communications Systems, Inc. | 46,500 | 505,455 | ||||||
Computer Sciences Corp. | 14,070 | 860,381 | ||||||
DST Systems, Inc. | 3,000 | 251,760 | ||||||
EMC Corp. | 49,100 | 1,436,666 | ||||||
Hewlett-Packard Co. | 83,800 | 2,972,386 | ||||||
Lexmark International, Inc. Class A | 12,500 | 531,250 | ||||||
NetApp, Inc. | 12,600 | 541,296 | ||||||
SanDisk Corp. | 4,800 | 470,160 | ||||||
Synopsys, Inc. (a) | 3,600 | 142,902 | ||||||
Western Digital Corp. | 7,400 | 720,168 | ||||||
|
| |||||||
8,432,424 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.4% | ||||||||
Pitney Bowes, Inc. | 34,400 | 859,656 | ||||||
Xerox Corp. | 53,556 | 708,546 | ||||||
|
| |||||||
1,568,202 | ||||||||
|
| |||||||
Semiconductors — 2.7% | ||||||||
Altera Corp. | 4,700 | 168,166 | ||||||
Analog Devices, Inc. | 4,300 | 212,807 | ||||||
Applied Materials, Inc. | 5,900 | 127,499 | ||||||
Broadcom Corp. Class A | 16,100 | 650,762 | ||||||
Intel Corp. | 170,800 | 5,947,256 | ||||||
KLA-Tencor Corp. | 100 | 7,878 | ||||||
Lam Research Corp. | 1,952 | 145,814 | ||||||
Marvell Technology Group Ltd. | 43,400 | 585,032 | ||||||
Maxim Integrated Products, Inc. | 6,900 | 208,656 | ||||||
Micron Technology, Inc. (a) | 4,900 | 167,874 | ||||||
NVIDIA Corp. | 24,900 | 459,405 |
The accompanying notes are an integral part of the financial statements.
168
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Rovi Corp. (a) | 25,600 | $ | 505,472 | |||||
Teradyne, Inc. | 200 | 3,878 | ||||||
|
| |||||||
9,190,499 | ||||||||
|
| |||||||
Software — 2.3% | ||||||||
Activision Blizzard, Inc. | 20,800 | 432,432 | ||||||
ANSYS, Inc. (a) | 1,400 | 105,938 | ||||||
CA, Inc. | 12,990 | 362,941 | ||||||
The Dun & Bradstreet Corp. | 2,610 | 306,597 | ||||||
Electronic Arts, Inc. (a) | 17,200 | 612,492 | ||||||
Fidelity National Information Services, Inc. | 1,900 | 106,970 | ||||||
Leidos Holdings, Inc. | 9,150 | 314,119 | ||||||
Microsoft Corp. | 118,400 | 5,489,024 | ||||||
SEI Investments Co. | 1,300 | 47,008 | ||||||
|
| |||||||
7,777,521 | ||||||||
|
| |||||||
26,968,646 | ||||||||
|
| |||||||
Utilities — 5.6% | ||||||||
Electric — 5.1% | ||||||||
The AES Corp. | 17,500 | 248,150 | ||||||
Alliant Energy Corp. | 4,300 | 238,263 | ||||||
Ameren Corp. | 11,860 | 454,594 | ||||||
American Electric Power Co., Inc. | 29,230 | 1,526,098 | ||||||
Calpine Corp. (a) | 16,100 | 349,370 | ||||||
CenterPoint Energy, Inc. | 15,800 | 386,626 | ||||||
CMS Energy Corp. | 13,900 | 412,274 | ||||||
Consolidated Edison, Inc. | 18,660 | 1,057,276 | ||||||
Dominion Resources, Inc. | 900 | 62,181 | ||||||
DTE Energy Co. | 7,810 | 594,185 | ||||||
Duke Energy Corp. | 12,314 | 920,718 | ||||||
Edison International | 19,280 | 1,078,138 | ||||||
Entergy Corp. | 11,000 | 850,630 | ||||||
Exelon Corp. | 35,775 | 1,219,570 | ||||||
FirstEnergy Corp. | 5,127 | 172,113 | ||||||
Great Plains Energy, Inc. | 4,237 | 102,408 | ||||||
Hawaiian Electric Industries, Inc. | 1,700 | 45,135 | ||||||
Integrys Energy Group, Inc. | 940 | 60,931 | ||||||
MDU Resources Group, Inc. | 9,000 | 250,290 | ||||||
NextEra Energy, Inc. | 13,660 | 1,282,401 | ||||||
Northeast Utilities | 7,081 | 313,688 | ||||||
NRG Energy, Inc. | 12,600 | 384,048 | ||||||
OGE Energy Corp. | 2,220 | 82,384 | ||||||
Pepco Holdings, Inc. | 12,810 | 342,796 | ||||||
PG&E Corp. | 2,130 | 95,935 | ||||||
Pinnacle West Capital Corp. | 1,260 | 68,846 | ||||||
PPL Corp. | 32,500 | 1,067,300 | ||||||
Public Service Enterprise Group, Inc. | 26,900 | 1,001,756 | ||||||
SCANA Corp. | 7,020 | 348,262 | ||||||
The Southern Co. | 15,950 | 696,218 | ||||||
TECO Energy, Inc. | 8,030 | 139,561 | ||||||
Westar Energy, Inc. | 7,600 | 259,312 | ||||||
Wisconsin Energy Corp. | 9,160 | 393,880 |
Number of Shares | Value | |||||||
Xcel Energy, Inc. | 25,020 | $ | 760,608 | |||||
|
| |||||||
17,265,945 | ||||||||
|
| |||||||
Gas — 0.5% | ||||||||
AGL Resources, Inc. | 10,660 | 547,285 | ||||||
Atmos Energy Corp. | 4,350 | 207,495 | ||||||
NiSource, Inc. | 8,090 | 331,528 | ||||||
Sempra Energy | 1,230 | 129,617 | ||||||
UGI Corp. | 9,735 | 331,866 | ||||||
Vectren Corp. | 4,150 | 165,585 | ||||||
|
| |||||||
1,713,376 | ||||||||
|
| |||||||
Water — 0.0% | ||||||||
American Water Works Co., Inc. | 1,400 | 67,522 | ||||||
Aqua America, Inc. | 25 | 588 | ||||||
|
| |||||||
68,110 | ||||||||
|
| |||||||
19,047,431 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $308,437,757) | 339,717,716 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $308,437,757) | 339,717,716 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $308,437,757) | 339,717,716 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||||
Repurchase Agreement — 0.4% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/14, 0.010%, due 10/01/14 (b) | $ | 1,334,362 | 1,334,362 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,334,362) | 1,334,362 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $309,772,119) (c) | 341,052,078 | |||||||
Other Assets/(Liabilities) — (0.1)% | (251,736 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 340,800,342 | ||||||
|
|
Notes to Portfolio of Investments
(a) | Non-income producing security. |
(b) | Maturity value of $1,334,363. Collateralized by U.S. Government Agency obligations with a rate of 3.246%, maturity dates of 5/01/41, and an aggregate market value, including accrued interest, of $1,361,413. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
169
Table of Contents
MassMutual Premier Main Street Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 99.6% | ||||||||
COMMON STOCK — 99.5% | ||||||||
Basic Materials — 2.1% | ||||||||
Mining — 2.1% | ||||||||
Teck Resources Ltd. Class B | 53,200 | $ | 1,004,948 | |||||
Vulcan Materials Co. | 53,175 | 3,202,730 | ||||||
|
| |||||||
4,207,678 | ||||||||
|
| |||||||
Communications — 17.4% | ||||||||
Internet — 8.8% | ||||||||
eBay, Inc. (a) | 84,900 | 4,807,887 | ||||||
Facebook, Inc. Class A (a) | 36,800 | 2,908,672 | ||||||
Google, Inc. Class A (a) | 6,828 | 4,017,664 | ||||||
Google, Inc. Class C (a) | 10,298 | 5,945,653 | ||||||
|
| |||||||
17,679,876 | ||||||||
|
| |||||||
Media — 5.5% | ||||||||
Comcast Corp. Class A | 103,990 | 5,592,582 | ||||||
The McGraw Hill Financial, Inc. | 45,060 | 3,805,317 | ||||||
Twenty-First Century Fox Class A | 46,640 | 1,599,286 | ||||||
|
| |||||||
10,997,185 | ||||||||
|
| |||||||
Telecommunications — 3.1% | ||||||||
Amdocs Ltd. | 63,040 | 2,892,275 | ||||||
Verizon Communications, Inc. | 69,120 | 3,455,309 | ||||||
|
| |||||||
6,347,584 | ||||||||
|
| |||||||
35,024,645 | ||||||||
|
| |||||||
Consumer, Cyclical — 8.2% | ||||||||
Auto Manufacturers — 1.2% | ||||||||
General Motors Co. | 77,710 | 2,482,057 | ||||||
|
| |||||||
Automotive & Parts — 1.4% | ||||||||
Delphi Automotive PLC | 46,550 | 2,855,377 | ||||||
|
| |||||||
Retail — 5.6% | ||||||||
AutoZone, Inc. (a) | 8,236 | 4,197,560 | ||||||
The Home Depot, Inc. | 38,900 | 3,568,686 | ||||||
PVH Corp. | 9,890 | 1,198,174 | ||||||
The TJX Cos., Inc. | 37,990 | 2,247,868 | ||||||
|
| |||||||
11,212,288 | ||||||||
|
| |||||||
16,549,722 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 27.8% | ||||||||
Agriculture — 2.7% | ||||||||
Philip Morris International, Inc. | 65,381 | 5,452,775 | ||||||
|
| |||||||
Beverages — 2.1% | ||||||||
Diageo PLC | 144,560 | 4,179,804 | ||||||
|
| |||||||
Commercial Services — 2.1% | ||||||||
MasterCard, Inc. Class A | 57,720 | 4,266,662 | ||||||
|
| |||||||
Foods — 2.8% | ||||||||
Mondelez International, Inc. Class A | 163,530 | 5,603,356 | ||||||
|
|
Number of Shares | Value | |||||||
Health Care – Products — 0.7% | ||||||||
Covidien PLC | 11,469 | $ | 992,183 | |||||
Intuitive Surgical, Inc. (a) | 850 | 392,547 | ||||||
|
| |||||||
1,384,730 | ||||||||
|
| |||||||
Health Care – Services — 1.4% | ||||||||
UnitedHealth Group, Inc. | 31,650 | 2,729,813 | ||||||
|
| |||||||
Household Products — 2.0% | ||||||||
Henkel AG & Co. KGaA | 42,558 | 3,977,527 | ||||||
|
| |||||||
Pharmaceuticals — 14.0% | ||||||||
AbbVie, Inc. | 58,829 | 3,397,963 | ||||||
Actavis PLC (a) | 20,844 | 5,029,240 | ||||||
Allergan, Inc. | 18,660 | 3,325,025 | ||||||
Express Scripts Holding Co. (a) | 52,910 | 3,737,033 | ||||||
Gilead Sciences, Inc. (a) | 53,730 | 5,719,559 | ||||||
Pfizer, Inc. | 155,313 | 4,592,606 | ||||||
Zoetis, Inc. | 64,805 | 2,394,545 | ||||||
|
| |||||||
28,195,971 | ||||||||
|
| |||||||
55,790,638 | ||||||||
|
| |||||||
Energy — 8.6% | ||||||||
Oil & Gas — 5.9% | ||||||||
Chevron Corp. | 49,020 | 5,849,066 | ||||||
Noble Energy, Inc. | 87,380 | 5,973,297 | ||||||
|
| |||||||
11,822,363 | ||||||||
|
| |||||||
Oil & Gas Services — 2.7% | ||||||||
National Oilwell Varco, Inc. | 70,182 | 5,340,850 | ||||||
|
| |||||||
17,163,213 | ||||||||
|
| |||||||
Financial — 15.7% | ||||||||
Diversified Financial — 10.5% | ||||||||
CIT Group, Inc. | 63,614 | 2,923,699 | ||||||
Citigroup, Inc. | 114,734 | 5,945,516 | ||||||
CME Group, Inc. | 54,375 | 4,347,553 | ||||||
Discover Financial Services | 50,660 | 3,261,997 | ||||||
JP Morgan Chase & Co. | 76,191 | 4,589,746 | ||||||
|
| |||||||
21,068,511 | ||||||||
|
| |||||||
Insurance — 4.9% | ||||||||
American International Group, Inc. | 71,950 | 3,886,739 | ||||||
Genworth Financial, Inc. Class A (a) | 155,880 | 2,042,028 | ||||||
Lincoln National Corp. | 27,230 | 1,458,983 | ||||||
Marsh & McLennan Cos., Inc. | 45,313 | 2,371,683 | ||||||
|
| |||||||
9,759,433 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.3% | ||||||||
Digital Realty Trust, Inc. (b) | 11,510 | 717,994 | ||||||
|
| |||||||
31,545,938 | ||||||||
|
| |||||||
Industrial — 10.4% | ||||||||
Environmental Controls — 1.0% | ||||||||
Republic Services, Inc. | 48,420 | 1,889,348 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
170
Table of Contents
MassMutual Premier Main Street Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Machinery – Diversified — 2.4% | ||||||||
Deere & Co. (b) | 59,450 | $ | 4,874,306 | |||||
|
| |||||||
Manufacturing — 5.3% | ||||||||
General Electric Co. | 229,090 | 5,869,286 | ||||||
Tyco International Ltd. | 104,580 | 4,661,130 | ||||||
|
| |||||||
10,530,416 | ||||||||
|
| |||||||
Transportation — 1.7% | ||||||||
Canadian National Railway Co. | 49,160 | 3,488,394 | ||||||
|
| |||||||
20,782,464 | ||||||||
|
| |||||||
Technology — 7.7% | ||||||||
Computers — 5.0% | ||||||||
Apple, Inc. | 79,905 | 8,050,429 | ||||||
Western Digital Corp. | 20,496 | 1,994,670 | ||||||
|
| |||||||
10,045,099 | ||||||||
|
| |||||||
Office Equipment/Supplies — 1.6% | ||||||||
Xerox Corp. | 241,170 | 3,190,679 | ||||||
|
| |||||||
Semiconductors — 1.1% | ||||||||
Applied Materials, Inc. | 106,260 | 2,296,279 | ||||||
|
| |||||||
15,532,057 | ||||||||
|
| |||||||
Utilities — 1.6% | ||||||||
Electric — 1.6% | ||||||||
Exelon Corp. | 92,564 | 3,155,507 | ||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $160,055,735) | 199,751,862 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% | ||||||||
Consumer, Non-cyclical — 0.1% | ||||||||
Household Products — 0.1% | ||||||||
Henkel AG & Co. KGaA 1.430% | 2,603 | 259,929 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $245,015) | 259,929 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $160,300,750) | 200,011,791 | |||||||
|
| |||||||
MUTUAL FUNDS — 2.8% | ||||||||
Diversified Financial — 2.8% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 5,655,474 | 5,655,474 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $5,655,474) | 5,655,474 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $165,956,224) | 205,667,265 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 1.2% | ||||||||
Repurchase Agreement — 1.2% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated | $ | 2,328,496 | $ | 2,328,496 | ||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 10,105 | 10,105 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,338,601) | 2,338,601 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.6% (Cost $168,294,825) (e) | 208,005,866 | |||||||
Other Assets/(Liabilities) — (3.6)% | (7,265,712 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 200,740,154 | ||||||
|
|
Notes to Portfolio of Investments
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2014, was $5,536,279 or 2.76% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Represents investment of security lending collateral. (Note 2). |
(d) | Maturity value of $2,328,496. Collateralized by U.S. Government Agency obligations with rates ranging from 3.246% – 3.500%, maturity dates ranging from 2/15/41 – 5/01/41, and an aggregate market value, including accrued interest, of $2,378,452. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
171
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 99.6% | ||||||||
COMMON STOCK — 99.6% | ||||||||
Basic Materials — 2.8% | ||||||||
Chemicals — 2.7% | ||||||||
Albemarle Corp. | 2,000 | $ | 117,800 | |||||
Cabot Corp. | 10,000 | 507,700 | ||||||
Celanese Corp. Series A | 12,490 | 730,915 | ||||||
Cytec Industries, Inc. | 300 | 14,187 | ||||||
The Dow Chemical Co. | 8,000 | 419,520 | ||||||
Eastman Chemical Co. | 6,196 | 501,195 | ||||||
Ecolab, Inc. | 3,638 | 417,752 | ||||||
Huntsman Corp. | 6,200 | 161,138 | ||||||
International Flavors & Fragrances, Inc. | 2,500 | 239,700 | ||||||
LyondellBasell Industries NV Class A | 34,670 | 3,767,242 | ||||||
Monsanto Co. | 5,570 | 626,681 | ||||||
NewMarket Corp. | 1,710 | 651,544 | ||||||
PPG Industries, Inc. | 6,880 | 1,353,571 | ||||||
Praxair, Inc. | 9,130 | 1,177,770 | ||||||
Rayonier Advanced Materials, Inc. | 21 | 691 | ||||||
Rockwood Holdings, Inc. | 800 | 61,160 | ||||||
The Sherwin-Williams Co. | 800 | 175,192 | ||||||
Sigma-Aldrich Corp. | 2,540 | 345,465 | ||||||
W.R. Grace & Co. (a) | 1,800 | 163,692 | ||||||
Westlake Chemical Corp. | 3,900 | 337,701 | ||||||
|
| |||||||
11,770,616 | ||||||||
|
| |||||||
Forest Products & Paper — 0.0% | ||||||||
International Paper Co. | 3,200 | 152,768 | ||||||
Rayonier, Inc. | 65 | 2,024 | ||||||
|
| |||||||
154,792 | ||||||||
|
| |||||||
Mining — 0.1% | ||||||||
Compass Minerals International, Inc. | 2,600 | 219,128 | ||||||
Southern Copper Corp. | 4,202 | 124,589 | ||||||
|
| |||||||
343,717 | ||||||||
|
| |||||||
12,269,125 | ||||||||
|
| |||||||
Communications — 17.3% | ||||||||
Advertising — 0.3% | ||||||||
Clear Channel Outdoor Holdings, Inc. Class A | 14,900 | 100,426 | ||||||
The Interpublic Group of Companies, Inc. | 18,000 | 329,760 | ||||||
Lamar Advertising Co. Class A | 2,000 | 98,500 | ||||||
Omnicom Group, Inc. | 12,000 | 826,320 | ||||||
|
| |||||||
1,355,006 | ||||||||
|
| |||||||
Internet — 6.9% | ||||||||
Amazon.com, Inc. (a) | 8,981 | 2,895,834 | ||||||
CDW Corp. | 20,700 | 642,735 | ||||||
eBay, Inc. (a) | 40,030 | 2,266,899 |
Number of Shares | Value | |||||||
Expedia, Inc. | 15,300 | $ | 1,340,586 | |||||
F5 Networks, Inc. (a) | 7,470 | 886,988 | ||||||
Facebook, Inc. Class A (a) | 51,600 | 4,078,464 | ||||||
Google, Inc. Class A (a) | 9,199 | 5,412,783 | ||||||
Google, Inc. Class C (a) | 11,660 | 6,732,018 | ||||||
Groupon, Inc. (a) | 45,400 | 303,272 | ||||||
HomeAway, Inc. (a) | 1,100 | 39,050 | ||||||
IAC/InterActiveCorp | 7,100 | 467,890 | ||||||
Liberty Interactive Corp. Class A (a) | 1,900 | 54,188 | ||||||
Liberty Ventures Series A (a) | 6,200 | 235,352 | ||||||
Netflix, Inc. (a) | 1,541 | 695,268 | ||||||
The Priceline Group, Inc. (a) | 2,275 | 2,635,769 | ||||||
TripAdvisor, Inc. (a) | 3,800 | 347,396 | ||||||
VeriSign, Inc. (a) | 21,540 | 1,187,285 | ||||||
Yelp, Inc. (a) | 1,400 | 95,550 | ||||||
|
| |||||||
30,317,327 | ||||||||
|
| |||||||
Media — 4.9% | ||||||||
Cablevision Systems Corp. Class A | 62,500 | 1,094,375 | ||||||
CBS Corp. Class B | 6,600 | 353,100 | ||||||
Comcast Corp. Class A | 120,400 | 6,475,112 | ||||||
DIRECTV (a) | 30,800 | 2,664,816 | ||||||
Discovery Communications, Inc. Series A (a) | 600 | 22,680 | ||||||
Discovery Communications, Inc. Series C (a) | 600 | 22,368 | ||||||
DISH Network Corp. Class A (a) | 4,100 | 264,778 | ||||||
FactSet Research Systems, Inc. | 50 | 6,077 | ||||||
The McGraw Hill Financial, Inc. | 6,070 | 512,611 | ||||||
Nielsen NV | 8,900 | 394,537 | ||||||
Pandora Media, Inc. (a) | 4,700 | 113,552 | ||||||
Scripps Networks Interactive Class A | 4,600 | 359,214 | ||||||
Starz Class A (a) | 19,200 | 635,136 | ||||||
Time Warner Cable, Inc. | 8,460 | 1,213,925 | ||||||
Twenty-First Century Fox Class A | 3,000 | 102,870 | ||||||
Viacom, Inc. Class B | 15,700 | 1,207,958 | ||||||
The Walt Disney Co. | 68,900 | 6,134,167 | ||||||
|
| |||||||
21,577,276 | ||||||||
|
| |||||||
Telecommunications — 5.2% | ||||||||
ARRIS Group, Inc. (a) | 36,300 | 1,029,287 | ||||||
CenturyLink, Inc. | 4,100 | 167,649 | ||||||
CommScope Holding Co., Inc. (a) | 10,600 | 253,446 | ||||||
Corning, Inc. | 41,700 | 806,478 | ||||||
Crown Castle International Corp. | 5,600 | 450,968 | ||||||
EchoStar Corp. Class A (a) | 18,600 | 906,936 | ||||||
Harris Corp. | 5,270 | 349,928 | ||||||
Juniper Networks, Inc. | 29,500 | 653,425 | ||||||
Level 3 Communications, Inc. (a) | 2,900 | 132,617 | ||||||
Motorola Solutions, Inc. | 1,600 | 101,248 | ||||||
Palo Alto Networks, Inc. (a) | 1,700 | 166,770 | ||||||
QUALCOMM, Inc. | 100,490 | 7,513,637 |
The accompanying notes are an integral part of the financial statements.
172
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MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
SBA Communications Corp. Class A (a) | 3,740 | $ | 414,766 | |||||
tw telecom, Inc. (a) | 200 | 8,322 | ||||||
Verizon Communications, Inc. | 194,700 | 9,733,053 | ||||||
Windstream Corp. | 16,770 | 180,781 | ||||||
|
| |||||||
22,869,311 | ||||||||
|
| |||||||
76,118,920 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.9% | ||||||||
Airlines — 1.5% | ||||||||
Alaska Air Group, Inc. | 34,000 | 1,480,360 | ||||||
American Airlines Group, Inc. | 24,100 | 855,068 | ||||||
Copa Holdings SA Class A | 6,420 | 688,802 | ||||||
Delta Air Lines, Inc. | 37,300 | 1,348,395 | ||||||
Southwest Airlines Co. | 47,800 | 1,614,206 | ||||||
Spirit Airlines, Inc. (a) | 6,100 | 421,754 | ||||||
|
| |||||||
6,408,585 | ||||||||
|
| |||||||
Apparel — 0.5% | ||||||||
Deckers Outdoor Corp. (a) | 6,000 | 583,080 | ||||||
Nike, Inc. Class B | 17,880 | 1,594,896 | ||||||
Ralph Lauren Corp. | 150 | 24,710 | ||||||
VF Corp. | 3,400 | 224,502 | ||||||
|
| |||||||
2,427,188 | ||||||||
|
| |||||||
Auto Manufacturers — 0.0% | ||||||||
Paccar, Inc. | 3,600 | 204,750 | ||||||
|
| |||||||
Automotive & Parts — 0.6% | ||||||||
Allison Transmission Holdings, Inc. | 12,300 | 350,427 | ||||||
BorgWarner, Inc. | 9,080 | 477,699 | ||||||
The Goodyear Tire & Rubber Co. | 37,800 | 853,713 | ||||||
Lear Corp. | 9,200 | 794,972 | ||||||
WABCO Holdings, Inc. (a) | 2,310 | 210,094 | ||||||
|
| |||||||
2,686,905 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.0% | ||||||||
Fossil Group, Inc. (a) | 810 | 76,059 | ||||||
Genuine Parts Co. | 1,400 | 122,794 | ||||||
|
| |||||||
198,853 | ||||||||
|
| |||||||
Entertainment — 0.1% | ||||||||
Cinemark Holdings, Inc. | 7,600 | 258,704 | ||||||
Regal Entertainment Group Class A | 800 | 15,904 | ||||||
Six Flags Entertainment Corp. | 1,200 | 41,268 | ||||||
|
| |||||||
315,876 | ||||||||
|
| |||||||
Home Builders — 0.1% | ||||||||
NVR, Inc. (a) | 130 | 146,903 | ||||||
Thor Industries, Inc. | 1,600 | 82,400 | ||||||
|
| |||||||
229,303 | ||||||||
|
| |||||||
Home Furnishing — 0.2% | ||||||||
Harman International Industries, Inc. | 3,840 | 376,474 | ||||||
Tempur Sealy International, Inc. (a) | 1,900 | 106,723 | ||||||
Whirlpool Corp. | 3,950 | 575,317 | ||||||
|
| |||||||
1,058,514 | ||||||||
|
|
Number of Shares | Value | |||||||
Housewares — 0.1% | ||||||||
Newell Rubbermaid, Inc. | 5,700 | $ | 196,137 | |||||
The Toro Co. | 3,180 | 188,351 | ||||||
|
| |||||||
384,488 | ||||||||
|
| |||||||
Leisure Time — 0.2% | ||||||||
Harley-Davidson, Inc. | 8,200 | 477,240 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 200 | 7,204 | ||||||
Sabre Corp. | 15,400 | 275,891 | ||||||
|
| |||||||
760,335 | ||||||||
|
| |||||||
Lodging — 0.9% | ||||||||
Hilton Worldwide Holdings, Inc. (a) | 15,400 | 379,302 | ||||||
Hyatt Hotels Corp. Class A (a) | 10,000 | 605,200 | ||||||
Las Vegas Sands Corp. | 13,300 | 827,393 | ||||||
Marriott International, Inc. Class A | 9,167 | 640,773 | ||||||
MGM Resorts International (a) | 13,200 | 300,696 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 3,400 | 282,914 | ||||||
Wyndham Worldwide Corp. | 10,400 | 845,104 | ||||||
Wynn Resorts Ltd. | 1,410 | 263,783 | ||||||
|
| |||||||
4,145,165 | ||||||||
|
| |||||||
Retail — 7.6% | ||||||||
Abercrombie & Fitch Co. Class A | 24,600 | 893,964 | ||||||
Advance Auto Parts, Inc. | 800 | 104,240 | ||||||
AutoZone, Inc. (a) | 1,378 | 702,312 | ||||||
Bed Bath & Beyond, Inc. (a) | 7,300 | 480,559 | ||||||
Best Buy Co., Inc. | 9,500 | 319,105 | ||||||
Big Lots, Inc. | 10,300 | 443,415 | ||||||
Brinker International, Inc. | 2,900 | 147,291 | ||||||
CarMax, Inc. (a) | 3,300 | 153,285 | ||||||
Chico’s FAS, Inc. | 5,500 | 81,235 | ||||||
Chipotle Mexican Grill, Inc. (a) | 1,343 | 895,230 | ||||||
Coach, Inc. | 12,909 | 459,690 | ||||||
Costco Wholesale Corp. | 9,830 | 1,231,896 | ||||||
CST Brands, Inc. | 3,400 | 122,230 | ||||||
CVS Health Corp. | 8,800 | 700,392 | ||||||
Dick’s Sporting Goods, Inc. | 400 | 17,552 | ||||||
Dillard’s, Inc. Class A | 10,644 | 1,159,983 | ||||||
Dollar General Corp. (a) | 5,700 | 348,327 | ||||||
Dollar Tree, Inc. (a) | 6,420 | 359,969 | ||||||
Domino’s Pizza, Inc. | 1,800 | 138,528 | ||||||
Dunkin’ Brands Group, Inc. | 3,700 | 165,834 | ||||||
Family Dollar Stores, Inc. | 30 | 2,317 | ||||||
Foot Locker, Inc. | 16,200 | 901,530 | ||||||
The Gap, Inc. | 7,200 | 300,168 | ||||||
GNC Holdings, Inc. Class A | 3,600 | 139,464 | ||||||
Hanesbrands, Inc. | 5,800 | 623,152 | ||||||
The Home Depot, Inc. | 64,200 | 5,889,708 | ||||||
Kohl’s Corp. | 16,100 | 982,583 | ||||||
L Brands, Inc. | 300 | 20,094 | ||||||
Lowe’s Cos., Inc. | 47,600 | 2,518,992 |
The accompanying notes are an integral part of the financial statements.
173
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MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Macy’s, Inc. | 17,600 | $ | 1,023,968 | |||||
McDonald’s Corp. | 23,470 | 2,225,191 | ||||||
Michael Kors Holdings Ltd. (a) | 7,600 | 542,564 | ||||||
MSC Industrial Direct Co., Inc. Class A | 200 | 17,092 | ||||||
Nordstrom, Inc. | 7,200 | 492,264 | ||||||
Nu Skin Enterprises, Inc. Class A | 30 | 1,351 | ||||||
O’Reilly Automotive, Inc. (a) | 5,580 | 839,009 | ||||||
Panera Bread Co. Class A (a) | 120 | 19,526 | ||||||
PetSmart, Inc. | 1,200 | 84,108 | ||||||
Rite Aid Corp. (a) | 29,600 | 143,264 | ||||||
Ross Stores, Inc. | 11,180 | 844,984 | ||||||
Sally Beauty Holdings, Inc. (a) | 2,100 | 57,477 | ||||||
Starbucks Corp. | 28,200 | 2,127,972 | ||||||
Target Corp. | 1,600 | 100,288 | ||||||
Tiffany & Co. | 2,000 | 192,620 | ||||||
The TJX Cos., Inc. | 25,820 | 1,527,769 | ||||||
Urban Outfitters, Inc. (a) | 2,900 | 106,430 | ||||||
Wal-Mart Stores, Inc. | 1,240 | 94,823 | ||||||
Walgreen Co. | 27,900 | 1,653,633 | ||||||
Williams-Sonoma, Inc. | 1,000 | 66,570 | ||||||
World Fuel Services Corp. | 3,300 | 131,736 | ||||||
Yum! Brands, Inc. | 9,740 | 701,085 | ||||||
|
| |||||||
33,296,769 | ||||||||
|
| |||||||
Textiles — 0.1% | ||||||||
Cintas Corp. | 3,400 | 240,006 | ||||||
|
| |||||||
Toys, Games & Hobbies — 0.0% | ||||||||
Hasbro, Inc. | 70 | 3,850 | ||||||
|
| |||||||
52,360,587 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 25.9% | ||||||||
Agriculture — 2.0% | ||||||||
Altria Group, Inc. | 57,870 | 2,658,548 | ||||||
Archer-Daniels-Midland Co. | 15,200 | 776,720 | ||||||
Lorillard, Inc. | 11,790 | 706,339 | ||||||
Philip Morris International, Inc. | 48,970 | 4,084,098 | ||||||
Reynolds American, Inc. | 7,100 | 418,900 | ||||||
|
| |||||||
8,644,605 | ||||||||
|
| |||||||
Beverages — 3.8% | ||||||||
Brown-Forman Corp. Class B | 1,987 | 179,267 | ||||||
The Coca-Cola Co. | 149,360 | 6,371,698 | ||||||
Coca-Cola Enterprises, Inc. | 7,900 | 350,444 | ||||||
Constellation Brands, Inc. Class A (a) | 10,900 | 950,044 | ||||||
Dr. Pepper Snapple Group, Inc. | 12,000 | 771,720 | ||||||
Keurig Green Mountain, Inc. | 6,820 | 887,487 | ||||||
Monster Beverage Corp. (a) | 7,700 | 705,859 | ||||||
PepsiCo, Inc. | 69,223 | 6,443,969 | ||||||
|
| |||||||
16,660,488 | ||||||||
|
| |||||||
Biotechnology — 3.2% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 770 | 127,681 | ||||||
Alkermes PLC (a) | 2,500 | 107,175 |
Number of Shares | Value | |||||||
Amgen, Inc. | 51,750 | $ | 7,268,805 | |||||
Biogen Idec, Inc. (a) | 10,470 | 3,463,581 | ||||||
Celgene Corp. (a) | 9,980 | 945,905 | ||||||
Charles River Laboratories International, Inc. (a) | 2,800 | 167,272 | ||||||
Illumina, Inc. (a) | 4,930 | 808,126 | ||||||
Intercept Pharmaceuticals, Inc. (a) | 90 | 21,302 | ||||||
Myriad Genetics, Inc. (a) | 21,858 | 843,063 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 270 | 97,340 | ||||||
Seattle Genetics, Inc. (a) | 4,200 | 156,156 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 2,100 | 235,851 | ||||||
|
| |||||||
14,242,257 | ||||||||
|
| |||||||
Commercial Services — 3.5% | ||||||||
Aaron’s, Inc. | 2,750 | 66,880 | ||||||
Aramark | 5,700 | 149,910 | ||||||
Automatic Data Processing, Inc. | 9,980 | 829,139 | ||||||
Avis Budget Group, Inc. (a) | 9,900 | 543,411 | ||||||
Booz Allen Hamilton Holding Corp. | 53,000 | 1,240,200 | ||||||
Donnelley (R.R.) & Sons Co. | 30,400 | 500,384 | ||||||
Equifax, Inc. | 1,800 | 134,532 | ||||||
FleetCor Technologies, Inc. (a) | 5,770 | 820,032 | ||||||
Gartner, Inc. (a) | 3,900 | 286,533 | ||||||
Genpact Ltd. (a) | 800 | 13,056 | ||||||
Global Payments, Inc. | 6,050 | 422,774 | ||||||
H&R Block, Inc. | 12,000 | 372,120 | ||||||
Hertz Global Holdings, Inc. (a) | 12,600 | 319,914 | ||||||
Iron Mountain, Inc. | 1,999 | 65,267 | ||||||
KAR Auction Services, Inc. | 5,700 | 163,191 | ||||||
Live Nation Entertainment, Inc. (a) | 1,800 | 43,236 | ||||||
MasterCard, Inc. Class A | 2,260 | 167,059 | ||||||
McKesson Corp. | 12,160 | 2,367,187 | ||||||
Moody’s Corp. | 7,900 | 746,550 | ||||||
Paychex, Inc. | 3,600 | 159,120 | ||||||
Quanta Services, Inc. (a) | 2,100 | 76,209 | ||||||
Robert Half International, Inc. | 4,100 | 200,900 | ||||||
Service Corp. International | 5,000 | 105,700 | ||||||
Total System Services, Inc. | 17,500 | 541,800 | ||||||
United Rentals, Inc. (a) | 8,670 | 963,237 | ||||||
Vantiv, Inc. Class A (a) | 3,200 | 98,880 | ||||||
Visa, Inc. Class A | 12,070 | 2,575,376 | ||||||
Western Union Co. | 87,320 | 1,400,613 | ||||||
|
| |||||||
15,373,210 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.7% | ||||||||
Avon Products, Inc. | 19,200 | 241,920 | ||||||
Colgate-Palmolive Co. | 22,480 | 1,466,146 | ||||||
Coty, Inc. | 29,000 | 479,950 | ||||||
The Estee Lauder Cos., Inc. Class A | 8,860 | 662,019 | ||||||
The Procter & Gamble Co. | 5,100 | 427,074 | ||||||
|
| |||||||
3,277,109 | ||||||||
|
| |||||||
Foods — 1.9% | ||||||||
Burger King Worldwide, Inc. | 23,200 | 688,112 | ||||||
Campbell Soup Co. | 1,200 | 51,276 |
The accompanying notes are an integral part of the financial statements.
174
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Flowers Foods, Inc. | 1,500 | $ | 27,540 | |||||
General Mills, Inc. | 23,660 | 1,193,647 | ||||||
The Hershey Co. | 4,400 | 419,892 | ||||||
Hormel Foods Corp. | 1,900 | 97,641 | ||||||
Ingredion, Inc. | 7,200 | 545,688 | ||||||
Kellogg Co. | 9,240 | 569,184 | ||||||
Kraft Foods Group, Inc. | 29,366 | 1,656,242 | ||||||
The Kroger Co. | 15,860 | 824,720 | ||||||
McCormick & Co., Inc. | 2,400 | 160,560 | ||||||
Pilgrim’s Pride Corp. (a) | 40,600 | 1,240,736 | ||||||
Sysco Corp. | 1,200 | 45,540 | ||||||
The Hain Celestial Group, Inc. (a) | 2,000 | 204,700 | ||||||
Tyson Foods, Inc. Class A | 5,900 | 232,283 | ||||||
WhiteWave Foods Co. Class A (a) | 8,423 | 306,008 | ||||||
Whole Foods Market, Inc. | 600 | 22,866 | ||||||
|
| |||||||
8,286,635 | ||||||||
|
| |||||||
Health Care – Products — 2.4% | ||||||||
Baxter International, Inc. | 21,620 | 1,551,667 | ||||||
Becton, Dickinson & Co. | 7,810 | 888,856 | ||||||
Boston Scientific Corp. (a) | 45,300 | 534,993 | ||||||
C.R. Bard, Inc. | 4,290 | 612,226 | ||||||
The Cooper Cos., Inc. | 1,380 | 214,935 | ||||||
Edwards Lifesciences Corp. (a) | 5,220 | 533,223 | ||||||
Henry Schein, Inc. (a) | 2,590 | 301,657 | ||||||
Hill-Rom Holdings, Inc. | 3,600 | 149,148 | ||||||
Hologic, Inc. (a) | 36,100 | 878,313 | ||||||
IDEXX Laboratories, Inc. (a) | 800 | 94,264 | ||||||
Intuitive Surgical, Inc. (a) | 1,446 | 667,792 | ||||||
Johnson & Johnson | 20,950 | 2,233,061 | ||||||
ResMed, Inc. | 5,900 | 290,693 | ||||||
St. Jude Medical, Inc. | 8,140 | 489,458 | ||||||
Stryker Corp. | 9,000 | 726,750 | ||||||
Techne Corp. | 840 | 78,582 | ||||||
Varian Medical Systems, Inc. (a) | 4,400 | 352,528 | ||||||
Zimmer Holdings, Inc. | 400 | 40,220 | ||||||
|
| |||||||
10,638,366 | ||||||||
|
| |||||||
Health Care – Services — 1.0% | ||||||||
Aetna, Inc. | 8,800 | 712,800 | ||||||
Catamaran Corp. (a) | 3,960 | 166,914 | ||||||
Centene Corp. (a) | 2,200 | 181,962 | ||||||
Cigna Corp. | 7,200 | 652,968 | ||||||
Covance, Inc. (a) | 2,000 | 157,400 | ||||||
DaVita HealthCare Partners, Inc. (a) | 1,660 | 121,412 | ||||||
HCA Holdings, Inc. (a) | 14,800 | 1,043,696 | ||||||
Laboratory Corporation of America Holdings (a) | 1,140 | 115,995 | ||||||
MEDNAX, Inc. (a) | 3,200 | 175,424 | ||||||
Tenet Healthcare Corp. (a) | 2,500 | 148,475 | ||||||
Thermo Fisher Scientific, Inc. | 6,090 | 741,153 | ||||||
Universal Health Services, Inc. Class B | 2,800 | 292,600 | ||||||
|
| |||||||
4,510,799 | ||||||||
|
|
Number of Shares | Value | |||||||
Household Products — 0.8% | ||||||||
Avery Dennison Corp. | 16,400 | $ | 732,260 | |||||
Church & Dwight Co., Inc. | 5,560 | 390,090 | ||||||
The Clorox Co. | 2,080 | 199,763 | ||||||
Jarden Corp. (a) | 3,650 | 219,401 | ||||||
Kimberly-Clark Corp. | 14,000 | 1,505,980 | ||||||
The Scotts Miracle-Gro Co. Class A | 2,400 | 132,000 | ||||||
Tupperware Brands Corp. | 3,200 | 220,928 | ||||||
|
| |||||||
3,400,422 | ||||||||
|
| |||||||
Pharmaceuticals — 6.6% | ||||||||
AbbVie, Inc. | 67,100 | 3,875,696 | ||||||
Actavis PLC (a) | 5,816 | 1,403,284 | ||||||
Align Technology, Inc. (a) | 2,000 | 103,360 | ||||||
Allergan, Inc. | 15,110 | 2,692,451 | ||||||
Alnylam Pharmaceuticals, Inc. (a) | 1,000 | 78,100 | ||||||
AmerisourceBergen Corp. | 3,400 | 262,820 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 400 | 28,864 | ||||||
Bristol-Myers Squibb Co. | 21,100 | 1,079,898 | ||||||
Cardinal Health, Inc. | 9,900 | 741,708 | ||||||
Cubist Pharmaceuticals, Inc. (a) | 2,000 | 132,680 | ||||||
DENTSPLY International, Inc. | 1,950 | 88,920 | ||||||
Endo International PLC (a) | 7,300 | 498,882 | ||||||
Express Scripts Holding Co. (a) | 40,780 | 2,880,291 | ||||||
Gilead Sciences, Inc. (a) | 87,890 | 9,355,890 | ||||||
Herbalife Ltd. | 13,480 | 589,750 | ||||||
Jazz Pharmaceuticals Plc (a) | 6,030 | 968,177 | ||||||
Mallinckrodt PLC (a) | 4,988 | 449,668 | ||||||
Mead Johnson Nutrition Co. | 8,100 | 779,382 | ||||||
Merck & Co., Inc. | 19,400 | 1,150,032 | ||||||
Mylan, Inc. (a) | 14,400 | 655,056 | ||||||
Perrigo Co. PLC | 350 | 52,567 | ||||||
Pharmacyclics, Inc. (a) | 1,420 | 166,751 | ||||||
Sirona Dental Systems, Inc. (a) | 200 | 15,336 | ||||||
United Therapeutics Corp. (a) | 5,910 | 760,322 | ||||||
Zoetis, Inc. | 1,600 | 59,120 | ||||||
|
| |||||||
28,869,005 | ||||||||
|
| |||||||
113,902,896 | ||||||||
|
| |||||||
Diversified — 0.1% | ||||||||
Holding Company – Diversified — 0.1% | ||||||||
Leucadia National Corp. | 11,100 | 264,624 | ||||||
Liberty TripAdvisor Holdings, Inc. (a) | 6,200 | 210,180 | ||||||
|
| |||||||
474,804 | ||||||||
|
| |||||||
Energy — 5.8% | ||||||||
Oil & Gas — 3.4% | ||||||||
Anadarko Petroleum Corp. | 3,000 | 304,320 | ||||||
Athlon Energy, Inc. (a) | 2,200 | 128,106 | ||||||
Chesapeake Energy Corp. | 18,200 | 418,418 | ||||||
Cobalt International Energy, Inc. (a) | 11,000 | 149,600 | ||||||
Concho Resources, Inc. (a) | 1,870 | 234,479 | ||||||
Continental Resources, Inc. (a) | 40 | 2,659 |
The accompanying notes are an integral part of the financial statements.
175
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MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
CVR Energy, Inc. | 300 | $ | 13,419 | |||||
EOG Resources, Inc. | 25,690 | 2,543,824 | ||||||
EQT Corp. | 4,940 | 452,208 | ||||||
Helmerich & Payne, Inc. | 4,320 | 422,799 | ||||||
Kosmos Energy Ltd. (a) | 18,700 | 186,252 | ||||||
Marathon Petroleum Corp. | 11,700 | 990,639 | ||||||
Murphy USA, Inc. (a) | 14,800 | 785,288 | ||||||
Nabors Industries Ltd. | 26,800 | 609,968 | ||||||
Noble Energy, Inc. | 40 | 2,734 | ||||||
Patterson-UTI Energy, Inc. | 38,100 | 1,239,393 | ||||||
PBF Energy, Inc. Class A | 19,000 | 456,000 | ||||||
Phillips 66 | 16,900 | 1,374,139 | ||||||
Rice Energy, Inc. (a) | 18,700 | 497,420 | ||||||
Seadrill Ltd. | 18,500 | 495,060 | ||||||
SM Energy Co. | 4,900 | 382,200 | ||||||
Southwestern Energy Co. (a) | 8,300 | 290,085 | ||||||
Tesoro Corp. | 20,400 | 1,243,992 | ||||||
Valero Energy Corp. | 21,300 | 985,551 | ||||||
Whiting Petroleum Corp. (a) | 7,500 | 581,625 | ||||||
|
| |||||||
14,790,178 | ||||||||
|
| |||||||
Oil & Gas Services — 2.4% | ||||||||
Baker Hughes, Inc. | 2,600 | 169,156 | ||||||
Cameron International Corp. (a) | 2,280 | 151,347 | ||||||
Dresser-Rand Group, Inc. (a) | 70 | 5,758 | ||||||
FMC Technologies, Inc. (a) | 5,300 | 287,843 | ||||||
Halliburton Co. | 39,000 | 2,515,890 | ||||||
HollyFrontier Corp. | 15,800 | 690,144 | ||||||
National Oilwell Varco, Inc. | 15,900 | 1,209,990 | ||||||
RPC, Inc. | 3,750 | 82,350 | ||||||
Schlumberger Ltd. | 46,470 | 4,725,534 | ||||||
Superior Energy Services, Inc. | 16,400 | 539,068 | ||||||
Targa Resources Corp. | 2,000 | 272,340 | ||||||
|
| |||||||
10,649,420 | ||||||||
|
| |||||||
Pipelines — 0.0% | ||||||||
Kinder Morgan, Inc. | 54 | 2,070 | ||||||
ONEOK, Inc. | 2,900 | 190,095 | ||||||
|
| |||||||
192,165 | ||||||||
|
| |||||||
25,631,763 | ||||||||
|
| |||||||
Financial — 5.0% | ||||||||
Banks — 0.1% | ||||||||
Signature Bank (a) | 2,090 | 234,205 | ||||||
|
| |||||||
Diversified Financial — 2.6% | ||||||||
Affiliated Managers Group, Inc. (a) | 2,870 | 575,033 | ||||||
Air Lease Corp. | 22,800 | 741,000 | ||||||
Ally Financial, Inc. (a) | 11,100 | 256,854 | ||||||
American Express Co. | 41,800 | 3,659,172 | ||||||
Ameriprise Financial, Inc. | 6,990 | 862,426 | ||||||
Artisan Partners Asset Management, Inc. | 200 | 10,410 | ||||||
BlackRock, Inc. | 3,070 | 1,007,942 |
Number of Shares | Value | |||||||
The Charles Schwab Corp. | 8,100 | $ | 238,059 | |||||
Eaton Vance Corp. | 3,500 | 132,055 | ||||||
Federated Investors, Inc. Class B | 80 | 2,349 | ||||||
Franklin Resources, Inc. | 12,990 | 709,384 | ||||||
Invesco Ltd. | 8,900 | 351,372 | ||||||
Lazard Ltd. Class A | 8,800 | 446,160 | ||||||
Legg Mason, Inc. | 6,300 | 322,308 | ||||||
LPL Financial Holdings, Inc. | 2,200 | 101,310 | ||||||
Ocwen Financial Corp. (a) | 2,200 | 57,596 | ||||||
Santander Consumer USA Holdings, Inc. | 23,000 | 409,630 | ||||||
T. Rowe Price Group, Inc. | 11,600 | 909,440 | ||||||
TD Ameritrade Holding Corp. | 8,100 | 270,297 | ||||||
Waddell & Reed Financial, Inc. Class A | 3,600 | 186,084 | ||||||
|
| |||||||
11,248,881 | ||||||||
|
| |||||||
Insurance — 0.9% | ||||||||
American Financial Group, Inc. | 12,200 | 706,258 | ||||||
Aon PLC | 14,900 | 1,306,283 | ||||||
Arthur J. Gallagher & Co. | 3,200 | 145,152 | ||||||
Erie Indemnity Co. Class A | 90 | 6,823 | ||||||
Marsh & McLennan Cos., Inc. | 14,200 | 743,228 | ||||||
Reinsurance Group of America, Inc. Class A | 13,700 | 1,097,781 | ||||||
|
| |||||||
4,005,525 | ||||||||
|
| |||||||
Real Estate — 0.3% | ||||||||
CBRE Group, Inc. (a) | 5,500 | 163,570 | ||||||
Jones Lang LaSalle, Inc. | 9,190 | 1,161,065 | ||||||
|
| |||||||
1,324,635 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.1% | ||||||||
American Tower Corp. | 19,115 | 1,789,737 | ||||||
Boston Properties, Inc. | 1,000 | 115,760 | ||||||
Equity Lifestyle Properties, Inc. | 2,800 | 118,608 | ||||||
Extra Space Storage, Inc. | 6,200 | 319,734 | ||||||
OMEGA Healthcare Investors, Inc. | 3,800 | 129,922 | ||||||
Public Storage | 1,780 | 295,195 | ||||||
Simon Property Group, Inc. | 7,849 | 1,290,533 | ||||||
Tanger Factory Outlet Centers, Inc. | 500 | 16,360 | ||||||
Taubman Centers, Inc. | 8,700 | 635,100 | ||||||
Ventas, Inc. | 2,500 | 154,875 | ||||||
Weyerhaeuser Co. | 1,500 | 47,790 | ||||||
Zillow, Inc. Class A (a) | 1,350 | 156,587 | ||||||
|
| |||||||
5,070,201 | ||||||||
|
| |||||||
21,883,447 | ||||||||
|
| |||||||
Industrial — 10.0% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
The Boeing Co. | 34,190 | 4,355,122 | ||||||
Lockheed Martin Corp. | 17,410 | 3,182,200 | ||||||
Rockwell Collins, Inc. | 1,400 | 109,900 | ||||||
Spirit AeroSystems Holdings, Inc. Class A (a) | 15,600 | 593,736 |
The accompanying notes are an integral part of the financial statements.
176
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
TransDigm Group, Inc. | 250 | $ | 46,082 | |||||
United Technologies Corp. | 3,450 | 364,320 | ||||||
|
| |||||||
8,651,360 | ||||||||
|
| |||||||
Building Materials — 0.2% | ||||||||
Lennox International, Inc. | 10 | 769 | ||||||
Martin Marietta Materials, Inc. | 3,430 | 442,264 | ||||||
Masco Corp. | 8,600 | 205,712 | ||||||
|
| |||||||
648,745 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.4% | ||||||||
AMETEK, Inc. | 8,575 | 430,551 | ||||||
Emerson Electric Co. | 16,710 | 1,045,712 | ||||||
Hubbell, Inc. Class B | 900 | 108,477 | ||||||
|
| |||||||
1,584,740 | ||||||||
|
| |||||||
Electronics — 0.7% | ||||||||
Agilent Technologies, Inc. | 6,420 | 365,812 | ||||||
Allegion PLC | 2,600 | 123,864 | ||||||
Amphenol Corp. Class A | 5,000 | 499,300 | ||||||
Avnet, Inc. | 15,500 | 643,250 | ||||||
FLIR Systems, Inc. | 3,400 | 106,556 | ||||||
Gentex Corp. | 29,960 | 802,029 | ||||||
Mettler-Toledo International, Inc. (a) | 900 | 230,517 | ||||||
Trimble Navigation Ltd. (a) | 4,620 | 140,910 | ||||||
Waters Corp. (a) | 3,140 | 311,237 | ||||||
|
| |||||||
3,223,475 | ||||||||
|
| |||||||
Engineering & Construction — 0.2% | ||||||||
Chicago Bridge & Iron Co. NV | 9,000 | 520,650 | ||||||
Fluor Corp. | 5,600 | 374,024 | ||||||
Foster Wheeler AG | 3,900 | 123,318 | ||||||
|
| |||||||
1,017,992 | ||||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Clean Harbors, Inc. (a) | 700 | 37,744 | ||||||
Stericycle, Inc. (a) | 1,620 | 188,827 | ||||||
Waste Connections, Inc. | 3,400 | 164,968 | ||||||
Waste Management, Inc. | 1,200 | 57,036 | ||||||
|
| |||||||
448,575 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.0% | ||||||||
Lincoln Electric Holdings, Inc. | 1,200 | 82,962 | ||||||
Snap-on, Inc. | 300 | 36,324 | ||||||
|
| |||||||
119,286 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.3% | ||||||||
Caterpillar, Inc. | 8,880 | 879,386 | ||||||
Ingersoll-Rand PLC | 10,600 | 597,416 | ||||||
|
| |||||||
1,476,802 | ||||||||
|
| |||||||
Machinery – Diversified — 0.8% | ||||||||
Cummins, Inc. | 7,770 | 1,025,485 | ||||||
Deere & Co. | 2,800 | 229,572 | ||||||
Flowserve Corp. | 90 | 6,347 | ||||||
IDEX Corp. | 7,150 | 517,445 | ||||||
Nordson Corp. | 2,200 | 167,354 |
Number of Shares | Value | |||||||
Rockwell Automation, Inc. | 5,300 | $ | 582,364 | |||||
Roper Industries, Inc. | 4,070 | 595,400 | ||||||
Xylem, Inc. | 6,500 | 230,685 | ||||||
Zebra Technologies Corp. Class A (a) | 4,350 | 308,720 | ||||||
|
| |||||||
3,663,372 | ||||||||
|
| |||||||
Manufacturing — 2.6% | ||||||||
3M Co. | 27,740 | �� | 3,930,203 | |||||
A.O. Smith Corp. | 5,100 | 241,128 | ||||||
Acuity Brands, Inc. | 1,160 | 136,544 | ||||||
AptarGroup, Inc. | 1,500 | 91,050 | ||||||
Colfax Corp. (a) | 2,900 | 165,213 | ||||||
Crane Co. | 700 | 44,247 | ||||||
Danaher Corp. | 5,720 | 434,606 | ||||||
Dover Corp. | 5,000 | 401,650 | ||||||
Honeywell International, Inc. | 15,760 | 1,467,571 | ||||||
Illinois Tool Works, Inc. | 20,100 | 1,696,842 | ||||||
ITT Corp. | 14,000 | 629,160 | ||||||
Pall Corp. | 4,700 | 393,390 | ||||||
Parker Hannifin Corp. | 4,460 | 509,109 | ||||||
Trinity Industries, Inc. | 10,600 | 495,232 | ||||||
Tyco International Ltd. | 17,900 | 797,803 | ||||||
|
| |||||||
11,433,748 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.2% | ||||||||
Precision Castparts Corp. | 880 | 208,454 | ||||||
Valmont Industries, Inc. | 3,560 | 480,351 | ||||||
|
| |||||||
688,805 | ||||||||
|
| |||||||
Packaging & Containers — 0.3% | ||||||||
Ball Corp. | 13,100 | 828,837 | ||||||
Crown Holdings, Inc. (a) | 7,200 | 320,544 | ||||||
Owens-Illinois, Inc. (a) | 8,700 | 226,635 | ||||||
Packaging Corporation of America | 200 | 12,764 | ||||||
Silgan Holdings, Inc. | 2,500 | 117,500 | ||||||
|
| |||||||
1,506,280 | ||||||||
|
| |||||||
Shipbuilding — 0.3% | ||||||||
Huntington Ingalls Industries, Inc. | 10,800 | 1,125,468 | ||||||
|
| |||||||
Transportation — 1.7% | ||||||||
American ExpressNorfolk Southern Corp. | 2,480 | 276,768 | ||||||
C.H. Robinson Worldwide, Inc. | 4,400 | 291,808 | ||||||
Expeditors International of Washington, Inc. | 2,700 | 109,566 | ||||||
FedEx Corp. | 4,660 | 752,357 | ||||||
Kirby Corp. (a) | 2,400 | 282,840 | ||||||
Landstar System, Inc. | 1,660 | 119,835 | ||||||
Old Dominion Freight Line, Inc. (a) | 3,300 | 233,112 | ||||||
Union Pacific Corp. | 33,680 | 3,651,586 | ||||||
United Continental Holdings, Inc. (a) | 19,055 | 891,583 | ||||||
United Parcel Service, Inc. Class B | 9,650 | 948,499 | ||||||
|
| |||||||
7,557,954 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
177
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Trucking & Leasing — 0.2% | ||||||||
AMERCO | 3,260 | $ | 853,761 | |||||
|
| |||||||
44,000,363 | ||||||||
|
| |||||||
Technology — 20.7% | ||||||||
Computers — 9.6% | ||||||||
Accenture PLC Class A | 14,400 | 1,171,008 | ||||||
Apple, Inc. | 247,283 | 24,913,762 | ||||||
Cadence Design Systems, Inc. (a) | 9,100 | 156,611 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 27,100 | 1,213,267 | ||||||
Computer Sciences Corp. | 12,100 | 739,915 | ||||||
Diebold, Inc. | 21,500 | 759,380 | ||||||
DST Systems, Inc. | 6,920 | 580,726 | ||||||
EMC Corp. | 15,080 | 441,241 | ||||||
IHS, Inc. Class A (a) | 2,910 | 364,303 | ||||||
International Business Machines Corp. | 50,280 | 9,544,652 | ||||||
Jack Henry & Associates, Inc. | 3,600 | 200,376 | ||||||
NCR Corp. (a) | 60 | 2,005 | ||||||
NetApp, Inc. | 13,760 | 591,130 | ||||||
Riverbed Technology, Inc. (a) | 22,900 | 424,681 | ||||||
SanDisk Corp. | 7,750 | 759,112 | ||||||
Teradata Corp. (a) | 11,100 | 465,312 | ||||||
|
| |||||||
42,327,481 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.3% | ||||||||
Pitney Bowes, Inc. | 46,700 | 1,167,033 | ||||||
|
| |||||||
Semiconductors — 3.0% | ||||||||
Altera Corp. | 11,500 | 411,470 | ||||||
Analog Devices, Inc. | 3,880 | 192,021 | ||||||
Applied Materials, Inc. | 13,200 | 285,252 | ||||||
Atmel Corp. (a) | 12,700 | 102,616 | ||||||
Avago Technologies Ltd. | 10,400 | 904,800 | ||||||
Freescale Semiconductor Ltd. (a) | 600 | 11,718 | ||||||
Intel Corp. | 16,700 | 581,494 | ||||||
KLA-Tencor Corp. | 4,800 | 378,144 | ||||||
Lam Research Corp. | 1,700 | 126,990 | ||||||
Linear Technology Corp. | 16,020 | 711,128 | ||||||
Maxim Integrated Products, Inc. | 11,000 | 332,640 | ||||||
Microchip Technology, Inc. | 13,000 | 613,990 | ||||||
Micron Technology, Inc. (a) | 51,800 | 1,774,668 | ||||||
NVIDIA Corp. | 66,900 | 1,234,305 | ||||||
ON Semiconductor Corp. (a) | 17,600 | 157,344 | ||||||
Skyworks Solutions, Inc. | 14,600 | 847,530 | ||||||
SunEdison, Inc. (a) | 30,800 | 581,504 | ||||||
Teradyne, Inc. | 49,300 | 955,927 | ||||||
Texas Instruments, Inc. | 53,950 | 2,572,875 | ||||||
Xilinx, Inc. | 11,210 | 474,744 | ||||||
|
| |||||||
13,251,160 | ||||||||
|
| |||||||
Software — 7.8% | ||||||||
Activision Blizzard, Inc. | 38,200 | 794,178 |
Number of Shares | Value | |||||||
Adobe Systems, Inc. (a) | 9,850 | $ | 681,521 | |||||
ANSYS, Inc. (a) | 2,400 | 181,608 | ||||||
Athenahealth, Inc. (a) | 1,010 | 133,007 | ||||||
Autodesk, Inc. (a) | 7,850 | 432,535 | ||||||
Broadridge Financial Solutions, Inc. | 14,160 | 589,481 | ||||||
Cerner Corp. (a) | 3,200 | 190,624 | ||||||
Citrix Systems, Inc. (a) | 8,100 | 577,854 | ||||||
The Dun & Bradstreet Corp. | 2,540 | 298,374 | ||||||
Electronic Arts, Inc. (a) | 31,100 | 1,107,471 | ||||||
Fidelity National Information Services, Inc. | 1,300 | 73,190 | ||||||
Fiserv, Inc. (a) | 9,900 | 639,886 | ||||||
Intuit, Inc. | 12,260 | 1,074,589 | ||||||
Microsoft Corp. | 293,160 | 13,590,898 | ||||||
MSCI, Inc. (a) | 1,000 | 47,020 | ||||||
Oracle Corp. | 203,000 | 7,770,840 | ||||||
PTC, Inc. (a) | 24,200 | 892,980 | ||||||
Red Hat, Inc. (a) | 4,700 | 263,905 | ||||||
Salesforce.com, Inc. (a) | 16,440 | 945,793 | ||||||
SEI Investments Co. | 11,200 | 404,992 | ||||||
Servicenow, Inc. (a) | 2,600 | 152,828 | ||||||
Solarwinds, Inc. (a) | 21,600 | 908,280 | ||||||
Solera Holdings, Inc. | 10,000 | 563,600 | ||||||
Splunk, Inc. (a) | 800 | 44,288 | ||||||
Veeva Systems, Inc. Class A (a) | 11,000 | 309,870 | ||||||
VeriFone Systems, Inc. (a) | 25,900 | 890,442 | ||||||
VMware, Inc. Class A (a) | 3,980 | 373,483 | ||||||
Workday, Inc. Class A (a) | 3,700 | 305,250 | ||||||
|
| |||||||
34,238,787 | ||||||||
|
| |||||||
90,984,461 | ||||||||
|
| |||||||
Utilities — 0.1% | ||||||||
Electric — 0.1% | ||||||||
Calpine Corp. (a) | 11,600 | 251,720 | ||||||
ITC Holdings Corp. | 2,500 | 89,075 | ||||||
|
| |||||||
340,795 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $405,109,800) | 437,967,161 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $405,109,800) | 437,967,161 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $405,109,800) | 437,967,161 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
178
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||
Repurchase Agreement — 0.3% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/14, 0.010%, due 10/01/14 (b) | $ | 1,202,105 | $ | 1,202,105 | ||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 2,662 | 2,662 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,204,767) | 1,204,767 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (Cost $406,314,567) (c) | 439,171,928 | |||||||
Other Assets/(Liabilities) — 0.1% | 501,047 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 439,672,975 | ||||||
|
|
Notes to Portfolio of Investments
(a) | Non-income producing security. |
(b) | Maturity value of $1,202,105. Collateralized by U.S. Government Agency obligations with a rate of 3.246%, maturity dates of 5/01/41, and an aggregate market value, including accrued interest, of $1,226,953. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
179
Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 99.7% | ||||||||
COMMON STOCK — 99.7% | ||||||||
Basic Materials — 7.5% | ||||||||
Chemicals — 3.6% | ||||||||
A. Schulman, Inc. | 38,361 | $ | 1,387,133 | |||||
Cytec Industries, Inc. | 28,984 | 1,370,653 | ||||||
Intrepid Potash, Inc. (a) (b) | 96,710 | 1,494,170 | ||||||
Tronox Ltd. Class A | 72,050 | 1,876,902 | ||||||
|
| |||||||
6,128,858 | ||||||||
|
| |||||||
Forest Products & Paper — 1.6% | ||||||||
P.H. Glatfelter Co. | 125,689 | 2,758,874 | ||||||
|
| |||||||
Mining — 2.3% | ||||||||
Century Aluminum Co. (a) | 56,290 | 1,461,851 | ||||||
Kaiser Aluminum Corp. | 33,860 | 2,580,810 | ||||||
|
| |||||||
4,042,661 | ||||||||
|
| |||||||
12,930,393 | ||||||||
|
| |||||||
Communications — 2.7% | ||||||||
Internet — 1.1% | ||||||||
Web.com Group, Inc. (a) | 96,140 | 1,918,955 | ||||||
|
| |||||||
Telecommunications — 1.6% | ||||||||
Finisar Corp. (a) (b) | 75,827 | 1,261,003 | ||||||
Mastec, Inc. (a) | 47,160 | 1,444,039 | ||||||
|
| |||||||
2,705,042 | ||||||||
|
| |||||||
4,623,997 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.5% | ||||||||
Airlines — 1.0% | ||||||||
Spirit Airlines, Inc. (a) | 25,880 | 1,789,343 | ||||||
|
| |||||||
Auto Manufacturers — 0.5% | ||||||||
Wabash National Corp. (a) | 69,590 | 926,939 | ||||||
|
| |||||||
Automotive & Parts — 2.4% | ||||||||
Dana Holding Corp. | 177,545 | 3,403,538 | ||||||
Titan International, Inc. (b) | 54,330 | 642,180 | ||||||
|
| |||||||
4,045,718 | ||||||||
|
| |||||||
Entertainment — 0.5% | ||||||||
International Speedway Corp. Class A | 28,950 | 915,978 | ||||||
|
| |||||||
Home Builders — 0.9% | ||||||||
KB Home | 102,090 | 1,525,225 | ||||||
|
| |||||||
Retail — 6.2% | ||||||||
Brinker International, Inc. | 46,480 | 2,360,719 | ||||||
Dunkin’ Brands Group, Inc. | 18,074 | 810,077 | ||||||
Mattress Firm Holding Corp. (a) (b) | 38,300 | 2,300,298 | ||||||
Popeyes Louisiana Kitchen, Inc. (a) | 41,770 | 1,691,685 | ||||||
Signet Jewelers Ltd. | 9,260 | 1,054,807 | ||||||
Texas Roadhouse, Inc. | 90,230 | 2,512,003 | ||||||
|
| |||||||
10,729,589 | ||||||||
|
| |||||||
19,932,792 | ||||||||
|
|
Number of Shares | Value | |||||||
Consumer, Non-cyclical — 26.0% | ||||||||
Biotechnology — 2.2% | ||||||||
Celldex Therapeutics, Inc. (a) (b) | 38,850 | $ | 503,496 | |||||
Integra LifeSciences Holdings (a) | 33,830 | 1,679,321 | ||||||
MorphoSys AG (a) | 9,361 | 918,097 | ||||||
Ultragenyx Pharmaceutical, Inc. (a) | 11,840 | 670,144 | ||||||
|
| |||||||
3,771,058 | ||||||||
|
| |||||||
Commercial Services — 12.0% | ||||||||
ABM Industries, Inc. | 56,790 | 1,458,935 | ||||||
Booz Allen Hamilton Holding Corp. | 71,600 | 1,675,440 | ||||||
HMS Holdings Corp. (a) (b) | 83,892 | 1,581,364 | ||||||
KAR Auction Services, Inc. | 119,090 | 3,409,547 | ||||||
Korn/Ferry International (a) | 141,533 | 3,524,172 | ||||||
LifeLock, Inc. (a) (b) | 169,760 | 2,425,871 | ||||||
Monro Muffler Brake, Inc. (b) | 26,002 | 1,261,877 | ||||||
On Assignment, Inc. (a) | 33,460 | 898,401 | ||||||
Paylocity Holding Corp. (a) (b) | 41,600 | 817,440 | ||||||
Robert Half International, Inc. | 30,271 | 1,483,279 | ||||||
Team Health Holdings, Inc. (a) | 38,560 | 2,236,094 | ||||||
|
| |||||||
20,772,420 | ||||||||
|
| |||||||
Foods — 1.2% | ||||||||
Flowers Foods, Inc. | 36,050 | 661,878 | ||||||
Pinnacle Foods, Inc. | 44,190 | 1,442,804 | ||||||
|
| |||||||
2,104,682 | ||||||||
|
| |||||||
Health Care – Products — 2.3% | ||||||||
Dexcom, Inc. (a) | 31,890 | 1,275,281 | ||||||
Endologix, Inc. (a) | 69,240 | 733,944 | ||||||
Spectranetics Corp. (a) | 75,270 | 1,999,924 | ||||||
|
| |||||||
4,009,149 | ||||||||
|
| |||||||
Health Care – Services — 3.9% | ||||||||
Acadia Healthcare Co., Inc. (a) | 34,210 | 1,659,185 | ||||||
HealthSouth Corp. | 70,083 | 2,586,063 | ||||||
WellCare Health Plans, Inc. (a) | 43,066 | 2,598,602 | ||||||
|
| |||||||
6,843,850 | ||||||||
|
| |||||||
Household Products — 3.1% | ||||||||
Acco Brands Corp. (a) | 324,190 | 2,236,911 | ||||||
Prestige Brands Holdings, Inc. (a) | 95,866 | 3,103,182 | ||||||
|
| |||||||
5,340,093 | ||||||||
|
| |||||||
Pharmaceuticals — 1.3% | ||||||||
AcelRx Pharmaceuticals, Inc. (a) (b) | 66,310 | 364,042 | ||||||
Aratana Therapeutics, Inc. (a) | 51,390 | 515,955 | ||||||
Keryx Biopharmaceuticals, Inc. (a) (b) | 95,320 | 1,310,650 | ||||||
|
| |||||||
2,190,647 | ||||||||
|
| |||||||
45,031,899 | ||||||||
|
| |||||||
Energy — 5.3% | ||||||||
Energy – Alternate Sources — 1.0% | ||||||||
Renewable Energy Group, Inc. (a) | 162,999 | 1,654,440 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
180
Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Oil & Gas — 2.8% | ||||||||
Valero Energy Partners LP | 29,030 | $ | 1,295,609 | |||||
Western Refining, Inc. | 84,330 | 3,541,016 | ||||||
|
| |||||||
4,836,625 | ||||||||
|
| |||||||
Pipelines — 1.5% | ||||||||
Cone Midstream Partners LP (a) | 94,520 | 2,656,012 | ||||||
|
| |||||||
9,147,077 | ||||||||
|
| |||||||
Financial — 22.6% | ||||||||
Banks — 6.0% | ||||||||
BancorpSouth, Inc. | 117,930 | 2,375,110 | ||||||
FirstMerit Corp. | 123,339 | 2,170,767 | ||||||
MB Financial, Inc. | 86,550 | 2,395,704 | ||||||
Talmer Bancorp, Inc. | 71,740 | 992,164 | ||||||
Webster Financial Corp. | 82,450 | 2,402,593 | ||||||
|
| |||||||
10,336,338 | ||||||||
|
| |||||||
Diversified Financial — 0.5% | ||||||||
Investment Technology Group, Inc. (a) | 53,960 | 850,410 | ||||||
|
| |||||||
Insurance — 1.0% | ||||||||
AmTrust Financial Services, Inc. (b) | 22,868 | 910,604 | ||||||
Endurance Specialty Holdings Ltd. | 16,220 | 895,019 | ||||||
|
| |||||||
1,805,623 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 10.3% | ||||||||
Apollo Commercial Real Estate Finance, Inc. | 143,532 | 2,254,888 | ||||||
Chatham Lodging Trust | 114,285 | 2,637,698 | ||||||
DuPont Fabros Technology, Inc. | 65,030 | 1,758,411 | ||||||
LaSalle Hotel Properties | 128,306 | 4,393,197 | ||||||
Mid-America Apartment Communities, Inc. | 17,771 | 1,166,666 | ||||||
Redwood Trust, Inc. | 103,900 | 1,722,662 | ||||||
STAG Industrial, Inc. | 145,870 | 3,020,968 | ||||||
Starwood Property Trust, Inc. | 43,136 | 947,267 | ||||||
|
| |||||||
17,901,757 | ||||||||
|
| |||||||
Savings & Loans — 4.8% | ||||||||
BankUnited, Inc. | 86,148 | 2,626,652 | ||||||
First Niagara Financial Group, Inc. | 327,490 | 2,727,992 | ||||||
Flagstar Bancorp, Inc. (a) | 92,149 | 1,550,868 | ||||||
Oritani Financial Corp. | 96,638 | 1,361,629 | ||||||
|
| |||||||
8,267,141 | ||||||||
|
| |||||||
39,161,269 | ||||||||
|
| |||||||
Industrial — 10.6% | ||||||||
Aerospace & Defense — 1.6% | ||||||||
AAR Corp. | 38,099 | 920,091 | ||||||
Orbital Sciences Corp. (a) | 65,440 | 1,819,232 | ||||||
|
| |||||||
2,739,323 | ||||||||
|
| |||||||
Building Materials — 1.3% | ||||||||
Boise Cascade Co. (a) | 74,990 | 2,260,198 | ||||||
|
| |||||||
Electrical Components & Equipment — 1.4% | ||||||||
Generac Holdings, Inc. (a) (b) | 20,220 | 819,719 |
Number of Shares | Value | |||||||
Greatbatch, Inc. (a) | 36,912 | $ | 1,572,820 | |||||
|
| |||||||
2,392,539 | ||||||||
|
| |||||||
Electronics — 0.2% | ||||||||
Fluidigm Corp. (a) | 16,700 | 409,150 | ||||||
|
| |||||||
Engineering & Construction — 1.0% | ||||||||
AECOM Technology Corp. (a) | 50,246 | 1,695,802 | ||||||
|
| |||||||
Environmental Controls — 1.0% | ||||||||
Waste Connections, Inc. | 33,984 | 1,648,904 | ||||||
|
| |||||||
Manufacturing — 0.7% | ||||||||
Matthews International Corp. Class A | 27,430 | 1,203,903 | ||||||
|
| |||||||
Packaging & Containers — 0.4% | ||||||||
Packaging Corporation of America | 12,029 | 767,691 | ||||||
|
| |||||||
Transportation — 3.0% | ||||||||
Saia, Inc. (a) | 42,463 | 2,104,466 | ||||||
Swift Transportation Co. (a) | 73,889 | 1,550,191 | ||||||
XPO Logistics, Inc. (a) (b) | 41,920 | 1,579,127 | ||||||
|
| |||||||
5,233,784 | ||||||||
|
| |||||||
18,351,294 | ||||||||
|
| |||||||
Technology — 13.1% | ||||||||
Computers — 4.8% | ||||||||
CACI International, Inc. Class A (a) | 15,790 | 1,125,353 | ||||||
FleetMatics Group PLC (a) (b) | 44,240 | 1,349,320 | ||||||
Fortinet, Inc. (a) | 103,987 | 2,627,231 | ||||||
j2 Global, Inc. (b) | 35,936 | 1,773,801 | ||||||
Spansion, Inc. Class A (a) | 66,820 | 1,522,828 | ||||||
|
| |||||||
8,398,533 | ||||||||
|
| |||||||
Semiconductors — 3.0% | ||||||||
Cavium, Inc. (a) | 52,390 | 2,605,355 | ||||||
Semtech Corp. (a) | 94,149 | 2,556,145 | ||||||
|
| |||||||
5,161,500 | ||||||||
|
| |||||||
Software — 5.3% | ||||||||
Cornerstone OnDemand, Inc. (a) | 25,230 | 868,164 | ||||||
Guidewire Software, Inc. (a) | 67,850 | 3,008,469 | ||||||
Imperva, Inc. (a) | 62,120 | 1,784,708 | ||||||
Proofpoint, Inc. (a) | 63,670 | 2,364,704 | ||||||
SYNNEX Corp. (a) | 16,570 | 1,070,919 | ||||||
|
| |||||||
9,096,964 | ||||||||
|
| |||||||
22,656,997 | ||||||||
|
| |||||||
Utilities — 0.4% | ||||||||
Water — 0.4% | ||||||||
Aqua America, Inc. | 24,943 | 586,908 | ||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $158,139,127) | 172,422,626 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $158,139,127) | 172,422,626 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
181
Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 9.5% | ||||||||
Diversified Financial — 9.5% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 16,483,734 | $ | 16,483,734 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $16,483,734) | 16,483,734 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $174,622,861) | 188,906,360 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 109.2% (Cost $174,622,861) (d) | 188,906,360 | |||||||
Other Assets/(Liabilities) — (9.2)% | (15,885,975 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 173,020,385 | ||||||
|
|
Notes to Portfolio of Investments
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2014, was $16,036,343 or 9.27% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Represents investment of security lending 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.
182
Table of Contents
MassMutual Premier Global Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 98.7% | ||||||||
COMMON STOCK — 96.9% | ||||||||
Basic Materials — 1.6% | ||||||||
Chemicals — 1.0% | ||||||||
Linde AG | 21,403 | $ | 4,112,814 | |||||
|
| |||||||
Iron & Steel — 0.4% | ||||||||
Vale SA (a) | 137,170 | 1,510,242 | ||||||
|
| |||||||
Mining — 0.2% | ||||||||
Alrosa AO | 1,155,115 | 1,037,809 | ||||||
|
| |||||||
6,660,865 | ||||||||
|
| |||||||
Communications — 16.5% | ||||||||
Internet — 7.1% | ||||||||
Alibaba Group Holding Ltd. (b) | 7,700 | 684,145 | ||||||
eBay, Inc. (b) | 157,560 | 8,922,623 | ||||||
Facebook, Inc. Class A (b) | 78,860 | 6,233,094 | ||||||
Google, Inc. Class A (b) | 10,150 | 5,972,362 | ||||||
Google, Inc. Class C (b) | 10,150 | 5,860,204 | ||||||
JD.com, Inc. (a) (b) | 47,176 | 1,218,084 | ||||||
|
| |||||||
28,890,512 | ||||||||
|
| |||||||
Media — 5.2% | ||||||||
The McGraw Hill Financial, Inc. | 109,120 | 9,215,184 | ||||||
The Walt Disney Co. | 101,980 | 9,079,279 | ||||||
Zee Entertainment Enterprises Ltd. | 546,717 | 2,770,578 | ||||||
|
| |||||||
21,065,041 | ||||||||
|
| |||||||
Telecommunications — 4.2% | ||||||||
KDDI Corp. | 105,846 | 6,369,155 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 827,510 | 10,445,052 | ||||||
|
| |||||||
16,814,207 | ||||||||
|
| |||||||
66,769,760 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.7% | ||||||||
Apparel — 0.5% | ||||||||
Tod’s SpA (a) | 23,763 | 2,350,799 | ||||||
|
| |||||||
Entertainment — 0.5% | ||||||||
Gtech SpA (a) | 86,171 | 2,042,405 | ||||||
|
| |||||||
Retail — 5.6% | ||||||||
Inditex SA | 229,960 | 6,335,084 | ||||||
Kering | 32,450 | 6,530,594 | ||||||
McDonald’s Corp. | 38,700 | 3,669,147 | ||||||
Tiffany & Co. | 62,840 | 6,052,121 | ||||||
|
| |||||||
22,586,946 | ||||||||
|
| |||||||
Textiles — 0.1% | ||||||||
Brunello Cucinelli SpA (a) | 11,259 | 233,301 | ||||||
|
| |||||||
27,213,451 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 22.3% | ||||||||
Beverages — 1.4% | ||||||||
AMBEV SA | 383,500 | 2,511,925 |
Number of Shares | Value | |||||||
Fomento Economico Mexicano SAB de CV, Series B Sponsored ADR (Mexico) | 35,853 | $ | 3,300,269 | |||||
|
| |||||||
5,812,194 | ||||||||
|
| |||||||
Biotechnology — 3.2% | ||||||||
Biogen Idec, Inc. (b) | 10,400 | 3,440,424 | ||||||
Celldex Therapeutics, Inc. (a) (b) | 162,120 | 2,101,075 | ||||||
Circassia Pharmaceuticals PLC (b) | 349,200 | 1,720,782 | ||||||
Theravance Biopharma, Inc. (b) | 22,214 | 512,033 | ||||||
Vertex Pharmaceuticals, Inc. (b) | 45,020 | 5,056,196 | ||||||
|
| |||||||
12,830,510 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.9% | ||||||||
Colgate-Palmolive Co. | 114,460 | 7,465,081 | ||||||
|
| |||||||
Foods — 2.7% | ||||||||
Nestle SA | 54,200 | 3,975,554 | ||||||
Unilever PLC | 164,132 | 6,851,032 | ||||||
|
| |||||||
10,826,586 | ||||||||
|
| |||||||
Health Care – Products — 1.6% | ||||||||
St. Jude Medical, Inc. | 38,600 | 2,321,018 | ||||||
Zimmer Holdings, Inc. | 41,270 | 4,149,698 | ||||||
|
| |||||||
6,470,716 | ||||||||
|
| |||||||
Health Care – Services — 3.3% | ||||||||
Aetna, Inc. | 81,960 | 6,638,760 | ||||||
WellPoint, Inc. | 56,280 | 6,732,214 | ||||||
|
| |||||||
13,370,974 | ||||||||
|
| |||||||
Pharmaceuticals — 8.2% | ||||||||
Allergan, Inc. | 25,720 | 4,583,047 | ||||||
Bayer AG | 45,927 | 6,432,232 | ||||||
BioMarin Pharmaceutical, Inc. (b) | 30,680 | 2,213,869 | ||||||
Clovis Oncology, Inc. (a) (b) | 37,600 | 1,705,536 | ||||||
Gilead Sciences, Inc. (b) | 52,700 | 5,609,915 | ||||||
Medivation, Inc. (b) | 19,080 | 1,886,439 | ||||||
Roche Holding AG | 17,010 | 5,036,696 | ||||||
Shire Ltd. | 50,110 | 4,330,996 | ||||||
Theravance, Inc. (a) | 90,240 | 1,542,202 | ||||||
|
| |||||||
33,340,932 | ||||||||
|
| |||||||
90,116,993 | ||||||||
|
| |||||||
Diversified — 1.7% | ||||||||
Holding Company – Diversified — 1.7% | ||||||||
LVMH Moet Hennessy Louis Vuitton SA | 41,350 | 6,702,872 | ||||||
|
| |||||||
Energy — 2.5% | ||||||||
Oil & Gas — 1.1% | ||||||||
Gazprom OAO Sponsored ADR (Russia) (a) | 19,960 | 139,321 | ||||||
Gazprom OAO Sponsored ADR (Russia) | 147,040 | 1,030,064 | ||||||
Repsol YPF SA | 130,867 | 3,097,073 | ||||||
|
| |||||||
4,266,458 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
183
Table of Contents
MassMutual Premier Global Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Oil & Gas Services — 1.4% | ||||||||
Technip SA | 69,610 | $ | 5,840,748 | |||||
|
| |||||||
10,107,206 | ||||||||
|
| |||||||
Financial — 20.2% | ||||||||
Banks — 6.3% | ||||||||
Banco Bilbao Vizcaya Argentaria SA (b) | 455,062 | 5,450,633 | ||||||
Deutsche Bank AG | 99,388 | 3,486,105 | ||||||
ICICI Bank Ltd. Sponsored ADR (India) | 119,620 | 5,873,342 | ||||||
Itau Unibanco Holding SA Sponsored ADR (Brazil) | 260,085 | 3,609,980 | ||||||
Societe Generale SA | 62,770 | 3,190,517 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 94,200 | 3,844,080 | ||||||
|
| |||||||
25,454,657 | ||||||||
|
| |||||||
Diversified Financial — 8.4% | ||||||||
BM&F BOVESPA SA | 584,300 | 2,671,154 | ||||||
Citigroup, Inc. | 153,280 | 7,942,970 | ||||||
Credit Suisse Group | 188,910 | 5,207,777 | ||||||
Earthport PLC (b) | 875,026 | 612,768 | ||||||
FNF Group | 86,320 | 2,394,517 | ||||||
FNFV Group (b) | 11,290 | 155,350 | ||||||
The Goldman Sachs Group, Inc. | 32,350 | 5,938,489 | ||||||
Moscow Exchange OAO | 1,327,093 | 1,939,934 | ||||||
UBS AG | 404,806 | 7,023,431 | ||||||
|
| |||||||
33,886,390 | ||||||||
|
| |||||||
Insurance — 4.5% | ||||||||
Allianz SE | 39,998 | 6,479,884 | ||||||
The Dai-ichi Life Insurance Co. Ltd. | 304,800 | 4,528,570 | ||||||
Prudential PLC | 320,052 | 7,108,609 | ||||||
|
| |||||||
18,117,063 | ||||||||
|
| |||||||
Real Estate — 1.0% | ||||||||
DLF Ltd. | 1,325,776 | 3,207,475 | ||||||
Seibu Holdings, Inc. (a) | 49,900 | 994,321 | ||||||
|
| |||||||
4,201,796 | ||||||||
|
| |||||||
81,659,906 | ||||||||
|
| |||||||
Industrial — 16.0% | ||||||||
Aerospace & Defense — 2.9% | ||||||||
Embraer SA Sponsored ADR (Brazil) | 101,840 | 3,994,165 | ||||||
European Aeronautic Defence and Space Co. | 122,790 | 7,707,528 | ||||||
|
| |||||||
11,701,693 | ||||||||
|
| |||||||
Electrical Components & Equipment — 1.2% | ||||||||
Emerson Electric Co. | 54,640 | 3,419,371 | ||||||
Prysmian SpA | 73,813 | 1,362,334 | ||||||
|
| |||||||
4,781,705 | ||||||||
|
|
Number of Shares | Value | |||||||
Electronics — 6.5% | ||||||||
Fanuc Corp. | 15,500 | $ | 2,799,065 | |||||
Keyence Corp. | 13,520 | 5,881,580 | ||||||
Kyocera Corp. (a) | 89,800 | 4,189,193 | ||||||
Murata Manufacturing Co. Ltd. | 69,510 | 7,910,599 | ||||||
Nidec Corp. (a) | 80,900 | 5,477,535 | ||||||
|
| |||||||
26,257,972 | ||||||||
|
| |||||||
Machinery – Diversified — 0.4% | ||||||||
FLSmidth & Co. A/S (a) | 32,983 | 1,570,925 | ||||||
|
| |||||||
Manufacturing — 2.4% | ||||||||
3M Co. | 36,550 | 5,178,404 | ||||||
Siemens AG | 38,550 | 4,594,637 | ||||||
|
| |||||||
9,773,041 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 1.5% | ||||||||
Assa Abloy AB Series B | 119,733 | 6,140,026 | ||||||
|
| |||||||
Transportation — 1.1% | ||||||||
United Parcel Service, Inc. Class B | 45,320 | 4,454,503 | ||||||
|
| |||||||
64,679,865 | ||||||||
|
| |||||||
Technology — 9.4% | ||||||||
Semiconductors — 3.3% | ||||||||
Altera Corp. | 197,570 | 7,069,055 | ||||||
Maxim Integrated Products, Inc. | 206,920 | 6,257,261 | ||||||
|
| |||||||
13,326,316 | ||||||||
|
| |||||||
Software — 6.1% | ||||||||
Adobe Systems, Inc. (b) | 97,900 | 6,773,701 | ||||||
Intuit, Inc. | 79,140 | 6,936,621 | ||||||
Microsoft Corp. | 78,500 | 3,639,260 | ||||||
SAP SE | 99,834 | 7,199,081 | ||||||
|
| |||||||
24,548,663 | ||||||||
|
| |||||||
37,874,979 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $250,646,895) | 391,785,897 | |||||||
|
| |||||||
PREFERRED STOCK — 1.8% | ||||||||
Communications — 0.0% | ||||||||
Media — 0.0% | ||||||||
Zee Entertainment Enterprises Ltd. | 11,204,529 | 152,393 | ||||||
|
| |||||||
Consumer, Cyclical — 1.8% | ||||||||
Auto Manufacturers — 1.8% | ||||||||
Bayerische Motoren Werke AG | 88,307 | 7,179,149 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,201,734) | 7,331,542 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $253,848,629) | 399,117,439 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
184
Table of Contents
MassMutual Premier Global Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 6.9% | ||||||||
Diversified Financial — 6.9% | ||||||||
Oppenheimer Institutional Money Market Fund Class E (c) | 4,937,438 | $ | 4,937,438 | |||||
State Street Navigator Securities Lending Prime Portfolio (d) | 23,001,623 | 23,001,623 | ||||||
|
| |||||||
27,939,061 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $27,939,061) | 27,939,061 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Financial — 0.0% | ||||||||
Banks — 0.0% | ||||||||
Banco Bilbao Vizcaya Argentaria SA (b) | 455,062 | 45,407 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $46,251) | 45,407 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $281,833,941) | 427,101,907 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 105.6% (Cost $281,833,941) (e) | 427,101,907 | |||||||
Other Assets/(Liabilities) — (5.6)% | (22,591,439 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 404,510,468 | ||||||
|
|
Notes to Portfolio of Investments
ADR | American Depositary Receipt |
(a) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2014, was $22,103,249 or 5.46% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(b) | Non-income producing security. |
(c) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(d) | Represents investment of security lending 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.
185
Table of Contents
MassMutual Premier International Equity Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 97.1% | ||||||||
COMMON STOCK — 97.1% | ||||||||
Basic Materials — 3.5% | ||||||||
Chemicals — 3.5% | ||||||||
Brenntag AG | 93,448 | $ | 4,588,139 | |||||
Essentra PLC | 539,568 | 6,937,914 | ||||||
Syngenta AG | 20,496 | 6,505,552 | ||||||
|
| |||||||
18,031,605 | ||||||||
|
| |||||||
Communications — 13.0% | ||||||||
Internet — 3.9% | ||||||||
Ctrip.com International Ltd. ADR (Cayman Islands) (a) | 43,950 | 2,494,602 | ||||||
Iliad SA | 14,360 | 3,014,492 | ||||||
United Internet AG | 144,531 | 6,146,093 | ||||||
Yahoo! Japan Corp. (b) | 1,248,500 | 4,751,841 | ||||||
Yoox SpA (a) | 146,976 | 3,371,992 | ||||||
|
| |||||||
19,779,020 | ||||||||
|
| |||||||
Media — 2.6% | ||||||||
British Sky Broadcasting Group PLC | 417,761 | 5,941,458 | ||||||
Grupo Televisa SAB Sponsored ADR (Mexico) | 157,880 | 5,348,975 | ||||||
ProSiebenSat.1 Media AG | 25,784 | 1,026,287 | ||||||
Zee Entertainment Enterprises Ltd. | 237,146 | 1,201,776 | ||||||
|
| |||||||
13,518,496 | ||||||||
|
| |||||||
Telecommunications — 6.5% | ||||||||
BT Group PLC | 1,220,967 | 7,478,993 | ||||||
Inmarsat PLC | 505,260 | 5,722,471 | ||||||
Nippon Telegraph & Telephone Corp. | 96,200 | 5,987,128 | ||||||
SES SA | 153,610 | 5,310,147 | ||||||
Telecity Group PLC (b) | 231,230 | 2,794,874 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 473,834 | 5,980,859 | ||||||
|
| |||||||
33,274,472 | ||||||||
|
| |||||||
66,571,988 | ||||||||
|
| |||||||
Consumer, Cyclical — 17.3% | ||||||||
Apparel — 2.3% | ||||||||
Burberry Group PLC | 289,520 | 7,062,309 | ||||||
Prada SpA | 813,000 | 4,907,543 | ||||||
|
| |||||||
11,969,852 | ||||||||
|
| |||||||
Auto Manufacturers — 1.2% | ||||||||
Bayerische Motoren Werke AG | 55,751 | 5,985,802 | ||||||
|
| |||||||
Automotive & Parts — 1.8% | ||||||||
Continental AG | 29,677 | 5,642,746 | ||||||
Valeo SA | 33,709 | 3,738,860 | ||||||
|
| |||||||
9,381,606 | ||||||||
|
|
Number of Shares | Value | |||||||
Distribution & Wholesale — 1.3% | ||||||||
Wolseley PLC | 124,925 | $ | 6,563,202 | |||||
|
| |||||||
Entertainment — 1.4% | ||||||||
William Hill PLC | 1,171,264 | 6,992,405 | ||||||
|
| |||||||
Home Furnishing — 0.7% | ||||||||
SEB SA (b) | 50,497 | 3,808,081 | ||||||
|
| |||||||
Leisure Time — 1.3% | ||||||||
Carnival Corp. | 161,860 | 6,501,916 | ||||||
|
| |||||||
Retail — 7.3% | ||||||||
Cie Financiere Richemont SA | 65,165 | 5,340,121 | ||||||
CP ALL PCL | 4,683,800 | 6,464,150 | ||||||
Dollarama, Inc. | 81,522 | 6,915,121 | ||||||
Domino’s Pizza UK & IRL PLC | 468,620 | 4,297,250 | ||||||
Hudson’s Bay Co. (b) | 27,900 | 443,431 | ||||||
Inditex SA | 176,929 | 4,874,152 | ||||||
Kering | 18,250 | 3,672,830 | ||||||
Swatch Group AG | 10,660 | 5,050,727 | ||||||
|
| |||||||
37,057,782 | ||||||||
|
| |||||||
88,260,646 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 28.3% | ||||||||
Agriculture — 0.6% | ||||||||
Swedish Match AB | 100,668 | 3,250,477 | ||||||
|
| |||||||
Beverages — 2.7% | ||||||||
Diageo PLC | 117,091 | 3,385,566 | ||||||
Heineken NV | 92,866 | 6,935,536 | ||||||
Pernod-Ricard SA | 32,055 | 3,623,053 | ||||||
|
| |||||||
13,944,155 | ||||||||
|
| |||||||
Biotechnology — 1.2% | ||||||||
CSL Ltd. | 90,100 | 5,839,475 | ||||||
|
| |||||||
Commercial Services — 8.1% | ||||||||
Aggreko PLC | 201,802 | 5,044,643 | ||||||
Benesse Holdings, Inc. (b) | 21,500 | 705,997 | ||||||
Bunzl PLC | 244,263 | 6,346,306 | ||||||
Dignity PLC | 141,059 | 3,349,088 | ||||||
Edenred | 179,645 | 4,426,623 | ||||||
Experian PLC | 311,453 | 4,947,238 | ||||||
Intertek Group PLC | 140,420 | 5,946,465 | ||||||
Prosegur Cia de Seguridad SA (b) | 954,189 | 5,920,000 | ||||||
SGS SA | 2,179 | 4,500,105 | ||||||
|
| |||||||
41,186,465 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.2% | ||||||||
L’Oreal | 5,760 | 912,234 | ||||||
|
| |||||||
Foods — 5.2% | ||||||||
Aryzta AG | 78,494 | 6,770,693 | ||||||
Barry Callebaut AG | 4,070 | 4,510,577 | ||||||
Danone SA | 65,865 | 4,397,156 | ||||||
Saputo, Inc. | 161,610 | 4,520,953 | ||||||
Unilever PLC | 157,101 | 6,557,551 | ||||||
|
| |||||||
26,756,930 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
186
Table of Contents
MassMutual Premier International Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Health Care – Products — 3.8% | ||||||||
Cie Generale d’Optique Essilor International SA | 36,880 | $ | 4,031,805 | |||||
DiaSorin SpA (b) | 93,321 | 3,500,408 | ||||||
Luxottica Group SpA | 42,158 | 2,190,550 | ||||||
Sonova Holding AG | 39,698 | 6,335,226 | ||||||
William Demant Holding (a) | 44,018 | 3,376,580 | ||||||
|
| |||||||
19,434,569 | ||||||||
|
| |||||||
Health Care – Services — 0.6% | ||||||||
Sonic Healthcare Ltd. | 201,567 | 3,089,641 | ||||||
|
| |||||||
Household Products — 1.2% | ||||||||
Reckitt Benckiser Group PLC | 70,518 | 6,103,676 | ||||||
|
| |||||||
Pharmaceuticals — 4.7% | ||||||||
Galenica AG (b) | 4,477 | 3,943,812 | ||||||
Grifols SA | 119,932 | 4,878,675 | ||||||
Novo Nordisk A/S | 161,350 | 7,688,067 | ||||||
Roche Holding AG | 25,406 | 7,522,769 | ||||||
|
| |||||||
24,033,323 | ||||||||
|
| |||||||
144,550,945 | ||||||||
|
| |||||||
Diversified — 0.8% | ||||||||
Holding Company – Diversified — 0.8% | ||||||||
LVMH Moet Hennessy Louis Vuitton SA | 24,030 | 3,895,285 | ||||||
|
| |||||||
Energy — 2.1% | ||||||||
Oil & Gas Services — 2.1% | ||||||||
Hunting PLC | 25,570 | 367,588 | ||||||
Saipem SpA (a) | 215,152 | 4,554,592 | ||||||
Schoeller-Bleckmann Oilfield Equipment AG (b) | 24,050 | 2,346,522 | ||||||
Technip SA | 43,400 | 3,641,553 | ||||||
|
| |||||||
10,910,255 | ||||||||
|
| |||||||
Financial — 4.1% | ||||||||
Banks — 0.8% | ||||||||
ICICI Bank Ltd. Sponsored ADR (India) | 85,595 | 4,202,715 | ||||||
|
| |||||||
Diversified Financial — 2.3% | ||||||||
ICAP PLC | 955,438 | 5,973,829 | ||||||
Tullett Prebon PLC | 310,979 | 1,350,460 | ||||||
UBS AG | 252,394 | 4,379,065 | ||||||
|
| |||||||
11,703,354 | ||||||||
|
| |||||||
Insurance — 1.0% | ||||||||
Prudential PLC | 235,005 | 5,219,647 | ||||||
|
| |||||||
21,125,716 | ||||||||
|
| |||||||
Industrial — 19.1% | ||||||||
Aerospace & Defense — 2.9% | ||||||||
Empresa Brasileira de Aeronautica SA | 396,319 | 3,910,164 | ||||||
European Aeronautic Defence and Space Co. | 82,020 | 5,148,395 |
Number of Shares | Value | |||||||
Rolls-Royce Holdings PLC | 370,331 | $ | 5,740,278 | |||||
|
| |||||||
14,798,837 | ||||||||
|
| |||||||
Building Materials — 1.8% | ||||||||
James Hardie Industries NV | 392,300 | 4,114,433 | ||||||
Sika AG | 1,511 | 5,218,526 | ||||||
|
| |||||||
9,332,959 | ||||||||
|
| |||||||
Electrical Components & Equipment — 2.0% | ||||||||
Legrand SA | 95,010 | 4,927,849 | ||||||
Schneider Electric SE | 71,200 | 5,444,495 | ||||||
|
| |||||||
10,372,344 | ||||||||
|
| |||||||
Electronics — 3.4% | ||||||||
Hoya Corp. | 160,400 | 5,390,996 | ||||||
Keyence Corp. | 10,009 | 4,354,197 | ||||||
Nidec Corp. (b) | 48,300 | 3,270,271 | ||||||
Omron Corp. | 37,721 | 1,715,092 | ||||||
Spectris PLC | 84,380 | 2,462,544 | ||||||
|
| |||||||
17,193,100 | ||||||||
|
| |||||||
Engineering & Construction — 3.5% | ||||||||
ABB Ltd. | 222,670 | 4,982,035 | ||||||
Boskalis Westminster | 139,648 | 7,813,113 | ||||||
Leighton Holdings Ltd. (b) | 189,942 | 3,200,470 | ||||||
Trevi Finanziaria SpA (b) | 256,529 | 1,815,183 | ||||||
|
| |||||||
17,810,801 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 1.3% | ||||||||
Atlas Copco AB Class A Shares | 229,731 | 6,566,871 | ||||||
|
| |||||||
Machinery – Diversified — 1.2% | ||||||||
The Weir Group PLC | 150,737 | 6,091,216 | ||||||
|
| |||||||
Manufacturing — 1.2% | ||||||||
Aalberts Industries NV | 236,185 | 6,109,385 | ||||||
|
| |||||||
Transportation — 1.8% | ||||||||
Koninklijke Vopak NV (b) | 128,784 | 6,934,083 | ||||||
Royal Mail PLC | 399,729 | 2,541,214 | ||||||
|
| |||||||
9,475,297 | ||||||||
|
| |||||||
97,750,810 | ||||||||
|
| |||||||
Technology — 8.6% | ||||||||
Computers — 1.3% | ||||||||
Gemalto NV (b) | 43,268 | 3,971,938 | ||||||
Gemalto NV | 8,366 | 766,591 | ||||||
Lenovo Group Ltd. | 1,130,000 | 1,683,773 | ||||||
|
| |||||||
6,422,302 | ||||||||
|
| |||||||
Semiconductors — 1.4% | ||||||||
ARM Holdings PLC | 298,900 | 4,355,206 | ||||||
Infineon Technologies AG | 288,953 | 2,990,470 | ||||||
|
| |||||||
7,345,676 | ||||||||
|
| |||||||
Software — 5.9% | ||||||||
Amadeus IT Holding SA Class A | 173,427 | 6,459,898 | ||||||
Aveva Group PLC | 86,027 | 2,146,101 | ||||||
Compugroup Holding AG | 37,154 | 889,717 |
The accompanying notes are an integral part of the financial statements.
187
Table of Contents
MassMutual Premier International Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Dassault Systemes SA | 80,648 | $ | 5,161,749 | |||||
Infosys Technologies Ltd. | 10,434 | 634,778 | ||||||
The Sage Group PLC | 487,293 | 2,880,697 | ||||||
SAP SE | 110,549 | 7,971,746 | ||||||
Temenos Group AG | 100,252 | 3,809,688 | ||||||
|
| |||||||
29,954,374 | ||||||||
|
| |||||||
43,722,352 | ||||||||
|
| |||||||
Utilities — 0.3% | ||||||||
Electric — 0.3% | ||||||||
APR Energy PLC (b) | 148,532 | 1,296,561 | ||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $443,043,732) | 496,116,163 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
Communications — 0.0% | ||||||||
Media — 0.0% | ||||||||
Zee Entertainment Enterprises Ltd. 6.000% | 6,533,478 | 88,862 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $19,495) | 88,862 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $443,063,227) | 496,205,025 | |||||||
|
| |||||||
MUTUAL FUNDS — 8.5% | ||||||||
Diversified Financial — 8.5% | ||||||||
Oppenheimer Institutional Money Market Fund Class E (c) | 14,748,135 | 14,748,135 | ||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 28,737,801 | 28,737,801 | ||||||
|
| |||||||
43,485,936 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $43,485,936) | 43,485,936 | |||||||
|
| |||||||
WARRANTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Biotechnology — 0.0% | ||||||||
Mei Pharma, Inc., Expires 5/10/17, Strike 7.14 (a) (e) | 301,298 | - | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $0) | - | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $486,549,163) | 539,690,961 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 105.6% (Cost $486,549,163) (f) | 539,690,961 | |||||||
Other Assets/(Liabilities) — (5.6)% | (28,511,771 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 511,179,190 | ||||||
|
|
Notes to Portfolio of Investments
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2014, was $27,344,288 or 5.35% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2014, these securities amounted to a value of $0 or 0.00% of net assets. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
188
Table of Contents
MassMutual Premier Focused International Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 103.2% | ||||||||
COMMON STOCK — 103.2% | ||||||||
Basic Materials — 6.3% | ||||||||
Chemicals — 1.7% | ||||||||
Syngenta AG | 1,933 | $ | 613,546 | |||||
|
| |||||||
Iron & Steel — 2.1% | ||||||||
Hitachi Metals Ltd. (a) | 41,000 | 737,310 | ||||||
|
| |||||||
Mining — 2.5% | ||||||||
Fresnillo PLC (a) | 27,054 | 332,109 | ||||||
Randgold Resources Ltd. | 4,572 | 310,338 | ||||||
Yamana Gold, Inc. (a) | 45,661 | 273,966 | ||||||
|
| |||||||
916,413 | ||||||||
|
| |||||||
2,267,269 | ||||||||
|
| |||||||
Communications — 10.4% | ||||||||
Advertising — 3.1% | ||||||||
WPP PLC | 56,153 | 1,123,179 | ||||||
|
| |||||||
Telecommunications — 7.3% | ||||||||
BT Group PLC | 142,697 | 874,086 | ||||||
KDDI Corp. | 11,900 | 716,068 | ||||||
SES SA | 10,733 | 371,029 | ||||||
Vodafone Group PLC | 205,564 | 677,606 | ||||||
|
| |||||||
2,638,789 | ||||||||
|
| |||||||
3,761,968 | ||||||||
|
| |||||||
Consumer, Cyclical — 8.5% | ||||||||
Apparel — 1.1% | ||||||||
Adidas AG | 5,127 | 383,492 | ||||||
|
| |||||||
Auto Manufacturers — 4.3% | ||||||||
Bayerische Motoren Werke AG | 5,080 | 545,423 | ||||||
Toyota Motor Corp. | 17,300 | 1,016,668 | ||||||
|
| |||||||
1,562,091 | ||||||||
|
| |||||||
Automotive & Parts — 1.6% | ||||||||
Denso Corp. | 12,900 | 595,226 | ||||||
|
| |||||||
Entertainment — 1.5% | ||||||||
William Hill PLC | 89,335 | 533,327 | ||||||
|
| |||||||
3,074,136 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 25.8% | ||||||||
Agriculture — 1.5% | ||||||||
Japan Tobacco, Inc. | 17,100 | 556,609 | ||||||
|
| |||||||
Commercial Services — 2.0% | ||||||||
Wirecard AG | 19,519 | 721,067 | ||||||
|
| |||||||
Foods — 1.9% | ||||||||
Koninklijke Ahold NV | 41,807 | 676,065 | ||||||
|
| |||||||
Health Care – Products — 1.9% | ||||||||
Fresenius SE & Co. KGaA | 13,951 | 690,321 | ||||||
|
| |||||||
Household Products — 2.3% | ||||||||
Reckitt Benckiser Group PLC | 9,615 | 832,225 | ||||||
|
|
Number of Shares | Value | |||||||
Pharmaceuticals — 16.2% | ||||||||
Actelion Ltd. | 8,367 | $ | 980,966 | |||||
AstraZeneca PLC | 15,155 | 1,085,767 | ||||||
Bayer AG | 5,595 | 783,599 | ||||||
Roche Holding AG | 3,532 | 1,045,832 | ||||||
Sanofi | 4,612 | 520,304 | ||||||
Shire Ltd. | 7,207 | 622,899 | ||||||
Takeda Pharmaceutical Co. Ltd. | 18,300 | 795,996 | ||||||
|
| |||||||
5,835,363 | ||||||||
|
| |||||||
9,311,650 | ||||||||
|
| |||||||
Diversified — 3.6% | ||||||||
Holding Company – Diversified — 3.6% | ||||||||
Hutchison Whampoa Ltd. | 50,000 | 604,311 | ||||||
Keppel Corp. Ltd. | 82,400 | 677,384 | ||||||
|
| |||||||
1,281,695 | ||||||||
|
| |||||||
Energy — 5.9% | ||||||||
Oil & Gas — 5.9% | ||||||||
BG Group PLC | 41,823 | 769,323 | ||||||
SK Holdings Co., Ltd. | 1,434 | 255,274 | ||||||
Total SA | 16,972 | 1,096,866 | ||||||
|
| |||||||
2,121,463 | ||||||||
|
| |||||||
Financial — 23.1% | ||||||||
Banks — 9.0% | ||||||||
Barclays PLC | 184,163 | 678,440 | ||||||
BNP Paribas | 10,008 | 661,813 | ||||||
Julius Baer Group Ltd. | 10,620 | 473,824 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 134,200 | 759,644 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 164,000 | 683,336 | ||||||
|
| |||||||
3,257,057 | ||||||||
|
| |||||||
Diversified Financial — 3.9% | ||||||||
Deutsche Boerse AG | 10,788 | 728,337 | ||||||
UBS AG | 38,048 | 660,137 | ||||||
|
| |||||||
1,388,474 | ||||||||
|
| |||||||
Insurance — 8.8% | ||||||||
Admiral Group PLC | 22,039 | 456,891 | ||||||
AXA SA | 38,180 | 940,260 | ||||||
Prudential PLC | 30,723 | 682,382 | ||||||
Tokio Marine Holdings, Inc. | 12,300 | 381,963 | ||||||
Zurich Insurance Group AG | 2,403 | 714,556 | ||||||
|
| |||||||
3,176,052 | ||||||||
|
| |||||||
Real Estate — 1.4% | ||||||||
Mitsui Fudosan Co. Ltd. | 16,000 | 490,649 | ||||||
|
| |||||||
8,312,232 | ||||||||
|
| |||||||
Industrial — 15.6% | ||||||||
Aerospace & Defense — 1.9% | ||||||||
European Aeronautic Defence and Space Co. | 11,096 | 696,496 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
189
Table of Contents
MassMutual Premier Focused International Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Building Materials — 1.7% | ||||||||
Daikin Industries Ltd. | 9,800 | $ | 608,172 | |||||
|
| |||||||
Electrical Components & Equipment — 4.5% | ||||||||
Hitachi Ltd. | 104,000 | 791,519 | ||||||
Mitsubishi Electric Corp. | 61,000 | 813,274 | ||||||
|
| |||||||
1,604,793 | ||||||||
|
| |||||||
Electronics — 2.1% | ||||||||
Koninklijke Philips Electronics NV | 24,167 | 769,385 | ||||||
|
| |||||||
Engineering & Construction — 1.7% | ||||||||
JGC Corp. | 23,000 | 628,284 | ||||||
|
| |||||||
Machinery – Construction & Mining — 1.8% | ||||||||
BHP Billiton PLC | 23,862 | 662,500 | ||||||
|
| |||||||
Packaging & Containers — 1.9% | ||||||||
Amcor Ltd. | 67,134 | 666,430 | ||||||
|
| |||||||
5,636,060 | ||||||||
|
| |||||||
Technology — 4.0% | ||||||||
Semiconductors — 2.5% | ||||||||
ARM Holdings PLC | 31,604 | 460,495 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan) | 21,300 | 429,834 | ||||||
|
| |||||||
890,329 | ||||||||
|
| |||||||
Software — 1.5% | ||||||||
SAP SE | 7,751 | 558,929 | ||||||
|
| |||||||
1,449,258 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $37,035,667) | 37,215,731 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $37,035,667) | 37,215,731 | |||||||
|
| |||||||
MUTUAL FUNDS — 3.5% | ||||||||
Diversified Financial — 3.5% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (b) | 1,259,583 | 1,259,583 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,259,583) | 1,259,583 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $38,295,250) | 38,475,314 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 106.7% (Cost $38,295,250) (c) | 38,475,314 | |||||||
Other Assets/(Liabilities) — (6.7)% | (2,431,462 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 36,043,852 | ||||||
|
|
Notes to Portfolio of Investments
ADR | American Depositary Receipt |
(a) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2014, was $1,200,068 or 3.33% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(b) | Represents investment of security lending collateral. (Note 2). |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments
September 30, 2014
Number of Shares | Value | |||||||
EQUITIES — 94.6% | ||||||||
COMMON STOCK — 92.6% | ||||||||
Basic Materials — 2.8% | ||||||||
Chemicals — 0.3% | ||||||||
Asian Paints Ltd. | 41,371 | $ | 422,352 | |||||
|
| |||||||
Mining — 2.5% | ||||||||
Alrosa AO | 664,479 | 596,999 | ||||||
Glencore PLC | 526,605 | 2,913,733 | ||||||
Grupo Mexico SAB de CV | 89,016 | 299,117 | ||||||
|
| |||||||
3,809,849 | ||||||||
|
| |||||||
4,232,201 | ||||||||
|
| |||||||
Communications — 18.4% | ||||||||
Internet — 12.0% | ||||||||
58.com, Inc. (a) (b) | 6,900 | 257,025 | ||||||
Alibaba Group Holding Ltd. (a) | 6,000 | 533,100 | ||||||
B2W Cia Digital (a) | 46,424 | 622,084 | ||||||
Baidu, Inc. Sponsored ADR (Cayman Islands) (a) | 35,570 | 7,762,441 | ||||||
Ctrip.com International Ltd. ADR (Cayman Islands) (a) | 9,170 | 520,489 | ||||||
JD.com, Inc. (a) (b) | 7,620 | 196,748 | ||||||
MercadoLibre, Inc. (b) | 16,780 | 1,823,147 | ||||||
NAVER Corp. | 1,385 | 1,050,305 | ||||||
Tencent Holdings Ltd. | 163,393 | 2,428,071 | ||||||
Yandex NV (a) | 107,300 | 2,982,404 | ||||||
|
| |||||||
18,175,814 | ||||||||
|
| |||||||
Media — 2.9% | ||||||||
Grupo Televisa SAB Sponsored ADR (Mexico) | 55,610 | 1,884,067 | ||||||
Naspers Ltd. | 9,034 | 993,595 | ||||||
Zee Entertainment Enterprises Ltd. | 291,929 | 1,479,398 | ||||||
|
| |||||||
4,357,060 | ||||||||
|
| |||||||
Telecommunications — 3.5% | ||||||||
America Movil SAB de CV Series L ADR (Mexico) (b) | 100,310 | 2,527,812 | ||||||
MTN Group Ltd. | 57,764 | 1,217,351 | ||||||
Telefonica Brasil SA Sponsored ADR (Brazil) | 78,050 | 1,536,024 | ||||||
|
| |||||||
5,281,187 | ||||||||
|
| |||||||
27,814,061 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.1% | ||||||||
Apparel — 1.6% | ||||||||
Prada SpA | 406,300 | 2,452,564 | ||||||
|
| |||||||
Leisure Time — 0.1% | ||||||||
Qunar Cayman Islands Ltd. (a) | 5,900 | 163,135 | ||||||
|
| |||||||
Lodging — 1.6% | ||||||||
Genting Bhd | 580,600 | 1,679,393 |
Number of Shares | Value | |||||||
Home Inns & Hotels Management, Inc. ADR (China) (a) | 22,750 | $ | 659,523 | |||||
|
| |||||||
2,338,916 | ||||||||
|
| |||||||
Retail — 5.8% | ||||||||
Almacenes Exito SA | 42,944 | 628,574 | ||||||
Almacenes Exito SA (c) | 38,400 | 568,777 | ||||||
Astra International Tbk PT | 3,681,000 | 2,130,670 | ||||||
Cie Financiere Richemont SA | 21,522 | 1,763,678 | ||||||
CP ALL PCL | 961,700 | 1,327,250 | ||||||
Jollibee Foods Corp. | 184,700 | 806,707 | ||||||
Shinsegae Co. Ltd. | 683 | 141,909 | ||||||
SM Investments Corp. | 75,120 | 1,343,476 | ||||||
|
| |||||||
8,711,041 | ||||||||
|
| |||||||
13,665,656 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 22.5% | ||||||||
Beverages — 6.6% | ||||||||
AMBEV SA | 85,020 | 556,881 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS (a) | 72,427 | 836,069 | ||||||
Carlsberg A/S Class B | 20,285 | 1,799,540 | ||||||
Fomento Economico Mexicano SAB de CV | 158,791 | 1,460,279 | ||||||
Nigerian Breweries PLC | 653,667 | 702,138 | ||||||
Pernod-Ricard SA | 19,737 | 2,230,797 | ||||||
SABMiller PLC | 32,046 | 1,780,742 | ||||||
Tsingtao Brewery Co. Ltd. | 82,000 | 582,206 | ||||||
|
| |||||||
9,948,652 | ||||||||
|
| |||||||
Commercial Services — 3.7% | ||||||||
DP World Ltd. | 17,955 | 372,566 | ||||||
DP World Ltd. | 56,594 | 1,135,954 | ||||||
Estacio Participacoes SA | 118,900 | 1,235,754 | ||||||
International Container Terminal Services, Inc. | 2,650 | 6,516 | ||||||
Kroton Educacional SA | 217,412 | 1,366,069 | ||||||
New Oriental Education & Technology Group, Inc. Sponsored ADR (Cayman Islands) (a) | 62,500 | 1,450,000 | ||||||
|
| |||||||
5,566,859 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.2% | ||||||||
Colgate-Palmolive India Ltd. | 19,714 | 557,226 | ||||||
Natura Cosmeticos SA | 79,800 | 1,205,599 | ||||||
|
| |||||||
1,762,825 | ||||||||
|
| |||||||
Foods — 5.9% | ||||||||
BIM Birlesik Magazalar AS | 31,089 | 651,158 | ||||||
Cencosud SA | 447,664 | 1,322,393 | ||||||
Magnit OJSC (a) | 14,651 | 3,638,485 | ||||||
Tingyi Cayman Islands Holding Corp. | 748,000 | 1,966,386 | ||||||
Ulker Biskuvi Sanayi AS | 42,903 | 284,719 |
The accompanying notes are an integral part of the financial statements.
191
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MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Want Want China Holdings Ltd. | 845,000 | $ | 1,053,986 | |||||
|
| |||||||
8,917,127 | ||||||||
|
| |||||||
Health Care – Products — 0.8% | ||||||||
Mindray Medical International Ltd. ADR (Cayman Islands) (b) | 19,360 | 583,898 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd. Class H | 628,000 | 623,749 | ||||||
|
| |||||||
1,207,647 | ||||||||
|
| |||||||
Health Care – Services — 0.8% | ||||||||
Apollo Hospitals Enterprise Ltd. | 40,836 | 747,946 | ||||||
Diagnosticos da America SA | 94,400 | 464,335 | ||||||
|
| |||||||
1,212,281 | ||||||||
|
| |||||||
Household Products — 0.7% | ||||||||
Hindustan Unilever Ltd. | 27,248 | 329,483 | ||||||
Marico Ltd. | 95,114 | 480,332 | ||||||
Unilever Indonesia Tbk PT | 116,000 | 301,821 | ||||||
|
| |||||||
1,111,636 | ||||||||
|
| |||||||
Pharmaceuticals — 2.8% | ||||||||
Cipla Ltd/India | 101,467 | 1,029,055 | ||||||
Divi’s Laboratories Ltd. | 4,198 | 122,161 | ||||||
Dr Reddy’s Laboratories Ltd. | 19,133 | 1,000,965 | ||||||
Glenmark Pharmaceuticals Ltd. | 19,104 | 221,840 | ||||||
Lupin Ltd. | 8,769 | 197,506 | ||||||
Sinopharm Group Co. | 331,600 | 1,208,909 | ||||||
Sun Pharmaceutical Industries Ltd. | 33,178 | 458,633 | ||||||
|
| |||||||
4,239,069 | ||||||||
|
| |||||||
33,966,096 | ||||||||
|
| |||||||
Diversified — 2.8% | ||||||||
Holding Company – Diversified — 2.8% | ||||||||
Haci Omer Sabanci Holding AS | 309,455 | 1,300,973 | ||||||
Jardine Strategic Holdings Ltd. | 38,657 | 1,343,437 | ||||||
LVMH Moet Hennessy Louis Vuitton SA | 9,458 | 1,533,150 | ||||||
|
| |||||||
4,177,560 | ||||||||
|
| |||||||
Energy — 7.8% | ||||||||
Oil & Gas — 7.0% | ||||||||
CNOOC Ltd. | 804,000 | 1,381,769 | ||||||
NovaTek OAO (d) | 30,132 | 3,138,517 | ||||||
Petroleo Brasileiro SA Sponsored ADR (Brazil) | 235,200 | 3,502,128 | ||||||
Tullow Oil PLC | 168,372 | 1,752,902 | ||||||
Vallares PLC (a) | 51,858 | 701,334 | ||||||
|
| |||||||
10,476,650 | ||||||||
|
| |||||||
Oil & Gas Services — 0.8% | ||||||||
China Oilfield Services Ltd. | 290,000 | 766,152 | ||||||
Eurasia Drilling Co. Ltd. (d) | 3,500 | 99,321 | ||||||
Eurasia Drilling Co. Ltd. (d) | 13,151 | 373,488 | ||||||
|
| |||||||
1,238,961 | ||||||||
|
| |||||||
11,715,611 | ||||||||
|
|
Number of Shares | Value | |||||||
Financial — 19.6% | ||||||||
Banks — 6.3% | ||||||||
Banco Bradesco SA Sponsored ADR (Brazil) | 55,700 | $ | 793,725 | |||||
Bancolombia SA Sponsored ADR (Colombia) | 14,270 | 809,394 | ||||||
Commercial International Bank | 140,313 | 985,245 | ||||||
Grupo Financiero Inbursa SAB de CV | 348,111 | 995,306 | ||||||
Guaranty Trust Bank PLC | 1,772,499 | 320,532 | ||||||
HSBC Holdings PLC | 126,800 | 1,297,284 | ||||||
ICICI Bank Ltd. Sponsored ADR (India) | 57,210 | 2,809,011 | ||||||
Turkiye Garanti Bankasi AS | 296,828 | 1,041,422 | ||||||
Zenith Bank PLC | 3,072,583 | 454,934 | ||||||
|
| |||||||
9,506,853 | ||||||||
|
| |||||||
Diversified Financial — 7.0% | ||||||||
BM&F BOVESPA SA | 518,700 | 2,371,261 | ||||||
Grupo Financiero Banorte SAB de CV Class O | 279,089 | 1,787,308 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 59,846 | 1,291,133 | ||||||
Housing Development Finance Corp. | 220,569 | 3,754,941 | ||||||
Old Mutual PLC | 415,600 | 1,214,367 | ||||||
Shriram Transport Finance Co. Ltd. | 9,221 | 139,841 | ||||||
|
| |||||||
10,558,851 | ||||||||
|
| |||||||
Insurance — 1.8% | ||||||||
AIA Group Ltd. | 276,600 | 1,427,524 | ||||||
China Life Insurance Co. Ltd. | 133,000 | 369,199 | ||||||
China Pacific Insurance Group Co. Ltd. Class H | 80,800 | 283,408 | ||||||
Sul America SA | 98,700 | 613,712 | ||||||
|
| |||||||
2,693,843 | ||||||||
|
| |||||||
Investment Companies — 1.1% | ||||||||
Grupo Aval Acciones y Valores (a) (b) | 54,930 | 744,301 | ||||||
Grupo de Inversiones Suramericana SA | 45,812 | 919,410 | ||||||
|
| |||||||
1,663,711 | ||||||||
|
| |||||||
Real Estate — 3.4% | ||||||||
Cyrela Brazil Realty SA | 123,500 | 623,113 | ||||||
Hang Lung Properties Ltd. | 725,000 | 2,055,157 | ||||||
Hang Lung Properties Ltd. | 141,000 | 695,070 | ||||||
SM Prime Holdings, Inc. | 2,598,600 | 1,011,886 | ||||||
SOHO China Ltd. | 1,002,000 | 723,760 | ||||||
|
| |||||||
5,108,986 | ||||||||
|
| |||||||
29,532,244 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
192
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MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Industrial — 4.5% | ||||||||
Aerospace & Defense — 0.9% | ||||||||
Embraer SA Sponsored ADR (Brazil) | 34,040 | $ | 1,335,049 | |||||
|
| |||||||
Building Materials — 1.7% | ||||||||
Ambuja Cements Ltd. | 154,790 | 533,029 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 362,000 | 640,407 | ||||||
Semen Indonesia Persero Tbk PT | 574,000 | 725,556 | ||||||
Ultratech Cement Ltd. | 15,491 | 657,207 | ||||||
|
| |||||||
2,556,199 | ||||||||
|
| |||||||
Engineering & Construction — 0.5% | ||||||||
Airports of Thailand PCL | 26,500 | 195,327 | ||||||
Grupo Aeroportuario del Sureste SAB de CV | 25,239 | 325,652 | ||||||
Larsen & Toubro Ltd. | 12,396 | 291,344 | ||||||
|
| |||||||
812,323 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 1.4% | ||||||||
Tenaris SA Sponsored ADR (Luxembourg) (b) | 47,380 | 2,158,159 | ||||||
|
| |||||||
6,861,730 | ||||||||
|
| |||||||
Technology — 5.1% | ||||||||
Computers — 1.0% | ||||||||
Tata Consultancy Services Ltd. | 35,181 | 1,560,097 | ||||||
|
| |||||||
Semiconductors — 1.8% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 684,000 | 2,722,797 | ||||||
|
| |||||||
Software — 2.3% | ||||||||
Infosys Technologies Ltd. | 56,510 | 3,437,924 | ||||||
|
| |||||||
7,720,818 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $135,981,521) | 139,685,977 | |||||||
|
| |||||||
PREFERRED STOCK — 2.0% | ||||||||
Communications — 0.1% | ||||||||
Media — 0.1% | ||||||||
Zee Entertainment Enterprises Ltd. 6.000% | 6,129,060 | 83,362 | ||||||
|
| |||||||
Telecommunications — 0.0% | ||||||||
Telefonica Brasil SA 10.170% | 100 | 1,977 | ||||||
|
| |||||||
85,339 | ||||||||
|
| |||||||
Consumer, Cyclical — 1.3% | ||||||||
Retail — 1.3% | ||||||||
Lojas Americanas SA 0.720% | 334,200 | 1,896,451 | ||||||
|
| |||||||
Financial — 0.5% | ||||||||
Banks — 0.5% | ||||||||
Banco Davivienda SA 3.570% | 46,400 | 668,161 | ||||||
Bancolombia SA 2.790% | 7,463 | 105,625 | ||||||
|
| |||||||
773,786 | ||||||||
|
|
Number of Shares | Value | |||||||
Industrial — 0.1% | ||||||||
Building Materials — 0.1% | ||||||||
Cementos Argos SA 2.330% | 36,442 | $ | 186,440 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $2,891,065) | 2,942,016 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $138,872,586) | 142,627,993 | |||||||
|
| |||||||
MUTUAL FUNDS — 3.9% | ||||||||
Diversified Financial — 3.9% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 5,933,389 | 5,933,389 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $5,933,389) | 5,933,389 | |||||||
|
| |||||||
WARRANTS — 0.1% | ||||||||
Consumer, Cyclical — 0.1% | ||||||||
Lodging — 0.1% | ||||||||
Genting BHD, Expires 12/18/18, | 121,100 | 107,054 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $57,060) | 107,054 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $144,863,035) | 148,668,436 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 5.5% | ||||||||
Repurchase Agreement — 5.5% | ||||||||
State Street Bank & Trust Co. | $ | 8,243,729 | 8,243,729 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,243,729) | 8,243,729 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 104.1% (Cost $153,106,764) (g) | 156,912,165 | |||||||
Other Assets/(Liabilities) — (4.1)% | (6,117,485 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 150,794,680 | ||||||
|
|
Notes to Portfolio of Investments
ADR | American Depositary Receipt |
(a) | Non-income producing security. |
The accompanying notes are an integral part of the financial statements.
193
Table of Contents
MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2014, was $5,796,632 or 3.84% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, these securities amounted to a value of $568,777 or 0.38% of net assets. |
(d) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At September 30, 2014, these securities amounted to a value of $3,611,326 or 2.39% of net assets. |
(e) | Represents investment of security lending collateral. (Note 2). |
(f) | Maturity value of $8,243,731. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity dates of 9/15/40, and an aggregate market value, including accrued interest, of $8,412,123. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
194
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Table of Contents
MassMutual Premier Funds – Financial Statements
Statements of Assets and Liabilities
September 30, 2014
MassMutual Premier Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | - | $ | 423,753,003 | ||||
Short-term investments, at value (Note 2) (b) | 484,718,036 | 147,333,826 | ||||||
|
|
|
| |||||
Total investments | 484,718,036 | 571,086,829 | ||||||
|
|
|
| |||||
Cash | - | - | ||||||
Receivables from: | ||||||||
Investments sold | - | 802,792 | ||||||
Investments sold on a when-issued basis (Note 2) | - | - | ||||||
Collateral held for reverse repurchase agreements (Note 2) | - | - | ||||||
Investment adviser (Note 3) | 142,393 | - | ||||||
Fund shares sold | 109,796 | 750,084 | ||||||
Variation margin on open derivative instruments (Note 2) | - | - | ||||||
Interest and dividends | 112,896 | 3,347,890 | ||||||
Prepaid expenses | 4,561 | 6,760 | ||||||
|
|
|
| |||||
Total assets | 485,087,682 | 575,994,355 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | - | - | ||||||
Reverse repurchase agreements (Note 2) | - | - | ||||||
Interest for reverse repurchase agreements (Note 2) | - | - | ||||||
Foreign currency overdraft (c) | - | - | ||||||
Fund shares repurchased | 10,227,243 | 4,003,020 | ||||||
Investments purchased on a when-issued basis (Note 2) | - | 2,799,511 | ||||||
Trustees’ fees and expenses (Note 3) | 92,247 | 75,969 | ||||||
Variation margin on open derivative instruments (Note 2) | - | 62,000 | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 160,641 | 172,649 | ||||||
Administration fees | 51,961 | 49,382 | ||||||
Service fees | - | 49,570 | ||||||
Shareholder service fees | - | 19,408 | ||||||
Distribution fees | - | 383 | ||||||
Due to custodian | - | 10,649 | ||||||
Accrued expense and other liabilities | 35,384 | 39,375 | ||||||
|
|
|
| |||||
Total liabilities | 10,567,476 | 7,281,916 | ||||||
|
|
|
| |||||
Net assets | $ | 474,520,206 | $ | 568,712,439 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 475,407,930 | $ | 565,547,856 | ||||
Undistributed (accumulated) net investment income (loss) | - | 9,435,678 | ||||||
Distributions in excess of net investment income | (66,658 | ) | - | |||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (821,066 | ) | (7,607,223 | ) | ||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | - | 1,336,128 | ||||||
|
|
|
| |||||
Net assets | $ | 474,520,206 | $ | 568,712,439 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | - | $ | 421,878,943 | ||||
(b) Cost of short-term investments: | $ | 484,718,036 | $ | 147,333,826 | ||||
(c) Cost of foreign currency: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
196
Table of Contents
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||
$ | 489,115,578 | $ | 1,532,284,005 | $ | 144,740,111 | $ | 254,312,279 | |||||||
130,593,674 | 331,196,916 | 34,032,545 | 10,977,222 | |||||||||||
|
|
|
|
|
|
|
| |||||||
619,709,252 | 1,863,480,921 | 178,772,656 | 265,289,501 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2 | - | - | - | |||||||||||
4,769,452 | 8,990,061 | 237,000 | 560,570 | |||||||||||
- | 29,563,195 | 5,967,089 | - | |||||||||||
5,207,785 | - | - | - | |||||||||||
1 | 1 | 3,910 | 5,321 | |||||||||||
537,351 | 1,880,436 | 532,962 | 99,012 | |||||||||||
43,135 | - | 3,856 | - | |||||||||||
1,000,504 | 9,689,192 | 1,039,269 | 5,035,439 | |||||||||||
12,353 | 18,924 | 12,362 | 15,807 | |||||||||||
|
|
|
|
|
|
|
| |||||||
631,279,835 | 1,913,622,730 | 186,569,104 | 271,005,650 | |||||||||||
|
|
|
|
|
|
|
| |||||||
807,633 | 9,539,169 | 959,888 | - | |||||||||||
296,251,761 | - | - | - | |||||||||||
75,662 | - | - | - | |||||||||||
- | - | 15,102 | - | |||||||||||
144,226 | 1,776,454 | 37,821 | 2,074,302 | |||||||||||
- | 356,720,115 | 38,820,902 | 5,020,000 | |||||||||||
40,525 | 233,945 | 26,393 | 27,869 | |||||||||||
- | 30,658 | - | - | |||||||||||
111,972 | 513,396 | 50,888 | 112,931 | |||||||||||
25,776 | 113,484 | 22,393 | 24,219 | |||||||||||
17,747 | 113,124 | 21,700 | 23,126 | |||||||||||
8,302 | 40,028 | 8,130 | 10,458 | |||||||||||
1,005 | 780 | 65 | 480 | |||||||||||
- | 24,593 | - | 103,460 | |||||||||||
37,492 | 46,648 | 32,531 | 36,021 | |||||||||||
|
|
|
|
|
|
|
| |||||||
297,522,101 | 369,152,394 | 39,995,813 | 7,432,866 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 333,757,734 | $ | 1,544,470,336 | $ | 146,573,291 | $ | 263,572,784 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 331,495,752 | $ | 1,486,686,351 | $ | 142,312,718 | $ | 243,790,418 | |||||||
7,986,718 | 25,974,370 | 1,863,526 | 12,478,246 | |||||||||||
- | - | - | - | |||||||||||
(7,033,284 | ) | (3,798,606 | ) | (702,590 | ) | 6,090,456 | ||||||||
1,308,548 | 35,608,221 | 3,099,637 | 1,213,664 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 333,757,734 | $ | 1,544,470,336 | $ | 146,573,291 | $ | 263,572,784 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 487,837,298 | $ | 1,495,822,236 | $ | 141,551,200 | $ | 253,098,615 | |||||||
$ | 130,593,674 | $ | 331,196,916 | $ | 34,032,545 | $ | 10,977,222 | |||||||
$ | - | $ | - | $ | (8,884 | ) | $ | - |
197
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2014
MassMutual Premier Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | - | $ | 193,155,112 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 18,402,677 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.50 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 474,520,206 | $ | 179,220,899 | ||||
|
|
|
| |||||
Shares outstanding (a) | 474,759,001 | 17,041,765 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 1.00 | $ | 10.52 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | - | $ | 75,423,416 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 7,218,616 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.45 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | - | $ | 42,998,675 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 4,130,960 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.41 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | - | $ | 77,196,060 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 7,466,230 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | - | $ | 10.34 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | - | $ | 10.72 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | - | $ | 100,434 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 9,569 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.50 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | - | $ | 617,843 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 59,088 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.46 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
198
Table of Contents
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||
$ | 160,396,139 | $ | 620,247,826 | $ | 5,658,627 | $ | 105,459,606 | |||||||
|
|
|
|
|
|
|
| |||||||
15,194,316 | 54,269,676 | 520,307 | 10,382,473 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.56 | $ | 11.43 | $ | 10.88 | $ | 10.16 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 57,910,286 | $ | 511,201,904 | $ | 68,204,214 | $ | 39,737,205 | |||||||
|
|
|
|
|
|
|
| |||||||
5,486,097 | 44,649,588 | 6,726,340 | 3,899,745 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.56 | $ | 11.45 | $ | 10.14 | $ | 10.19 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 77,119,533 | $ | 166,094,196 | $ | 15,643,596 | $ | 61,149,754 | |||||||
|
|
|
|
|
|
|
| |||||||
7,331,102 | 14,596,479 | 1,527,138 | 6,004,577 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.52 | $ | 11.38 | $ | 10.24 | $ | 10.18 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 10,583,556 | $ | 70,975,008 | $ | 22,159,370 | $ | 22,801,700 | |||||||
|
|
|
|
|
|
|
| |||||||
996,400 | 6,271,851 | 2,167,401 | 2,264,579 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.62 | $ | 11.32 | $ | 10.22 | $ | 10.07 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 26,053,603 | $ | 174,617,641 | $ | 34,702,633 | $ | 33,597,359 | |||||||
|
|
|
|
|
|
|
| |||||||
2,513,756 | 15,588,135 | 3,411,336 | 3,352,336 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.36 | $ | 11.20 | $ | 10.17 | $ | 10.02 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.88 | $ | 11.76 | $ | 10.68 | $ | 10.63 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 101,438 | $ | 102,328 | $ | 102,490 | $ | 101,362 | |||||||
|
|
|
|
|
|
|
| |||||||
9,785 | 9,133 | 10,071 | 10,111 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.37 | $ | 11.20 | $ | 10.18 | $ | 10.02 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,593,179 | $ | 1,231,433 | $ | 102,361 | $ | 725,798 | |||||||
|
|
|
|
|
|
|
| |||||||
153,600 | 107,985 | 10,070 | 71,368 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.37 | $ | 11.40 | $ | 10.16 | $ | 10.17 | |||||||
|
|
|
|
|
|
|
|
199
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2014
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 159,291,944 | $ | 88,192,008 | ||||
Short-term investments, at value (Note 2) (b) | 16,972,690 | 901,136 | ||||||
|
|
|
| |||||
Total investments (c) | 176,264,634 | 89,093,144 | ||||||
|
|
|
| |||||
Receivables from: | ||||||||
Investments sold | 4,139,911 | 1,218,447 | ||||||
Investments sold on a when-issued basis (Note 2) | 2,211,947 | - | ||||||
Investment adviser (Note 3) | 1,824 | 3,007 | ||||||
Fund shares sold | 6,531 | 579 | ||||||
Interest and dividends | 442,181 | 97,403 | ||||||
Foreign taxes withheld | - | 3,217 | ||||||
Prepaid expenses | 5,643 | 8,717 | ||||||
|
|
|
| |||||
Total assets | 183,072,671 | 90,424,514 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 4,096,322 | 1,271,248 | ||||||
Fund shares repurchased | 50,946 | 1,753,866 | ||||||
Investments purchased on a when-issued basis (Note 2) | 14,688,969 | - | ||||||
Securities on loan (Note 2) | - | 324,847 | ||||||
Trustees’ fees and expenses (Note 3) | 27,426 | 52,768 | ||||||
Variation margin on open derivative instruments (Note 2) | 1,135 | - | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 69,632 | 39,707 | ||||||
Administration fees | 21,454 | 12,838 | ||||||
Service fees | 22,622 | 4,964 | ||||||
Shareholder service fees | 6,014 | 3,130 | ||||||
Distribution fees | 66 | 64 | ||||||
Due to custodian | 11,047 | - | ||||||
Accrued expense and other liabilities | 33,565 | 34,880 | ||||||
|
|
|
| |||||
Total liabilities | 19,029,198 | 3,498,312 | ||||||
|
|
|
| |||||
Net assets | $ | 164,043,473 | $ | 86,926,202 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 140,140,951 | $ | 116,046,913 | ||||
Undistributed (accumulated) net investment income (loss) | 1,855,484 | 1,196,982 | ||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 12,026,507 | (43,066,902 | ) | |||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 10,020,531 | 12,749,209 | ||||||
|
|
|
| |||||
Net assets | $ | 164,043,473 | $ | 86,926,202 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 149,240,348 | $ | 75,442,799 | ||||
(b) Cost of short-term investments: | $ | 16,972,690 | $ | 901,136 | ||||
(c) Securities on loan with market value of: | $ | - | $ | 317,110 |
The accompanying notes are an integral part of the financial statements.
200
Table of Contents
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 339,717,716 | $ | 205,667,265 | $ | 437,967,161 | $ | 188,906,360 | |||||||
1,334,362 | 2,338,601 | 1,204,767 | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
341,052,078 | 208,005,866 | 439,171,928 | 188,906,360 | |||||||||||
|
|
|
|
|
|
|
| |||||||
14,982,347 | 103,366 | 36,086,110 | 4,776,541 | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
296,670 | 26,794 | 341,814 | 27,020 | |||||||||||
484,760 | 319,474 | 323,521 | 274,343 | |||||||||||
- | 298 | 3,535 | - | |||||||||||
6,427 | 3,438 | 11,826 | 12,265 | |||||||||||
|
|
|
|
|
|
|
| |||||||
356,822,282 | 208,459,236 | 475,938,734 | 193,996,529 | |||||||||||
|
|
|
|
|
|
|
| |||||||
14,869,897 | 916,857 | 35,731,083 | 1,897,757 | |||||||||||
899,986 | 952,324 | 216,780 | 225,080 | |||||||||||
- | - | - | - | |||||||||||
- | 5,655,474 | - | 16,483,734 | |||||||||||
41,154 | 24,380 | 36,141 | 37,316 | |||||||||||
- | - | - | - | |||||||||||
136,937 | 98,835 | 174,423 | 93,828 | |||||||||||
22,203 | 20,472 | 34,256 | 24,175 | |||||||||||
7,434 | 9,257 | 22,498 | 49,318 | |||||||||||
5,459 | 6,974 | 11,770 | 12,770 | |||||||||||
111 | 75 | 67 | 62 | |||||||||||
- | - | - | 2,116,732 | |||||||||||
38,759 | 34,434 | 38,741 | 35,372 | |||||||||||
|
|
|
|
|
|
|
| |||||||
16,021,940 | 7,719,082 | 36,265,759 | 20,976,144 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 340,800,342 | $ | 200,740,154 | $ | 439,672,975 | $ | 173,020,385 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 327,780,952 | $ | 158,624,191 | $ | 356,804,603 | $ | 132,507,685 | |||||||
4,239,903 | 1,169,731 | 2,936,926 | 812,118 | |||||||||||
(22,500,472 | ) | 1,237,454 | 47,074,085 | 25,417,083 | ||||||||||
31,279,959 | 39,708,778 | 32,857,361 | 14,283,499 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 340,800,342 | $ | 200,740,154 | $ | 439,672,975 | $ | 173,020,385 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 308,437,757 | $ | 165,956,224 | $ | 405,109,800 | $ | 174,622,861 | |||||||
$ | 1,334,362 | $ | 2,338,601 | $ | 1,204,767 | $ | - | |||||||
$ | - | $ | 5,536,279 | $ | - | $ | 16,036,343 |
201
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2014
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 36,305,543 | $ | 104,541 | ||||
|
|
|
| |||||
Shares outstanding (a) | 2,791,549 | 4,990 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 13.01 | $ | 20.95 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 74,266,963 | $ | 64,895,658 | ||||
|
|
|
| |||||
Shares outstanding (a) | 5,711,839 | 3,099,966 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 13.00 | $ | 20.93 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 11,913,834 | $ | 132,064 | ||||
|
|
|
| |||||
Shares outstanding (a) | 883,817 | 6,287 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 13.48 | $ | 21.01 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 7,089,402 | $ | 14,076,556 | ||||
|
|
|
| |||||
Shares outstanding (a) | 543,647 | 671,099 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 13.04 | $ | 20.98 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 34,260,408 | $ | 7,512,509 | ||||
|
|
|
| |||||
Shares outstanding (a) | 2,690,529 | 358,709 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 12.73 | $ | 20.94 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 13.51 | $ | 22.22 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 103,727 | $ | 104,204 | ||||
|
|
|
| |||||
Shares outstanding (a) | 8,143 | 4,973 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.74 | $ | 20.95 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 103,596 | $ | 100,670 | ||||
|
|
|
| |||||
Shares outstanding (a) | 8,143 | 4,835 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.72 | $ | 20.82 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
202
Table of Contents
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 182,826,131 | $ | 47,536,921 | $ | 182,511,685 | $ | 4,800,667 | |||||||
|
|
|
|
|
|
|
| |||||||
11,605,944 | 3,341,227 | 14,175,853 | 304,247 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 15.75 | $ | 14.23 | $ | 12.87 | $ | 15.78 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 71,928,951 | $ | 97,357,931 | $ | 110,761,529 | $ | 73,287,894 | |||||||
|
|
|
|
|
|
|
| |||||||
4,565,074 | 6,847,616 | 8,600,068 | 4,648,179 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 15.76 | $ | 14.22 | $ | 12.88 | $ | 15.77 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 68,003,117 | $ | 6,741,570 | $ | 86,743,163 | $ | 6,864,921 | |||||||
|
|
|
|
|
|
|
| |||||||
4,343,572 | 468,184 | 6,725,673 | 435,506 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 15.66 | $ | 14.40 | $ | 12.90 | $ | 15.76 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 7,046,540 | $ | 35,298,616 | $ | 24,251,843 | $ | 17,594,832 | |||||||
|
|
|
|
|
|
|
| |||||||
443,277 | 2,487,347 | 1,868,625 | 1,122,341 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 15.90 | $ | 14.19 | $ | 12.98 | $ | 15.68 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 10,718,168 | $ | 13,579,835 | $ | 35,193,025 | $ | 70,280,814 | |||||||
|
|
|
|
|
|
|
| |||||||
690,888 | 965,409 | 2,762,697 | 4,553,833 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 15.51 | $ | 14.07 | $ | 12.74 | $ | 15.43 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 16.46 | $ | 14.93 | $ | 13.52 | $ | 16.37 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 103,744 | $ | 105,860 | $ | 105,932 | $ | 95,688 | |||||||
|
|
|
|
|
|
|
| |||||||
6,685 | 7,524 | 8,313 | 6,196 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 15.52 | $ | 14.07 | $ | 12.74 | $ | 15.44 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 173,691 | $ | 119,421 | $ | 105,798 | $ | 95,569 | |||||||
|
|
|
|
|
|
|
| |||||||
11,128 | 8,442 | 8,313 | 6,196 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 15.61 | $ | 14.15 | $ | 12.73 | $ | 15.42 | |||||||
|
|
|
|
|
|
|
|
203
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2014
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | |||||||
Assets: | ||||||||
Investments, at value — unaffiliated issuers (Note 2) (a) | $ | 422,164,469 | $ | 524,942,826 | ||||
Investments, at value — affiliated issuers (Note 7) (b) | 4,937,438 | 14,748,135 | ||||||
Short-term investments, at value (Note 2) (c) | - | - | ||||||
|
|
|
| |||||
Total investments (d) | 427,101,907 | 539,690,961 | ||||||
|
|
|
| |||||
Foreign currency, at value (e) | 36 | 24,066 | ||||||
Receivables from: | ||||||||
Investments sold | 1,422,531 | 1,869,983 | ||||||
Investment adviser (Note 3) | - | - | ||||||
Fund shares sold | 133,598 | 1,290,201 | ||||||
Interest and dividends | 280,734 | 661,060 | ||||||
Foreign tax receivable | - | - | ||||||
Foreign taxes withheld | 216,550 | 476,763 | ||||||
Prepaid expenses | 3,438 | 5,731 | ||||||
|
|
|
| |||||
Total assets | 429,158,794 | 544,018,765 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 925,923 | 3,050,055 | ||||||
Fund shares repurchased | 217,283 | 267,343 | ||||||
Securities on loan (Note 2) | 23,001,623 | 28,737,801 | ||||||
Trustees’ fees and expenses (Note 3) | 53,524 | 100,906 | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 271,099 | 394,386 | ||||||
Administration fees | 50,253 | 51,176 | ||||||
Service fees | 31,793 | 37,264 | ||||||
Shareholder service fees | 25,164 | 11,059 | ||||||
Distribution fees | 991 | 61 | ||||||
Due to custodian | - | - | ||||||
Accrued expense and other liabilities | 70,673 | 189,524 | ||||||
|
|
|
| |||||
Total liabilities | 24,648,326 | 32,839,575 | ||||||
|
|
|
| |||||
Net assets | $ | 404,510,468 | $ | 511,179,190 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 243,415,367 | $ | 380,240,862 | ||||
Undistributed (accumulated) net investment income (loss) | 2,071,915 | �� | 5,167,953 | |||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 13,784,340 | 72,790,813 | ||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 145,238,846 | 52,979,562 | ||||||
|
|
|
| |||||
Net assets | $ | 404,510,468 | $ | 511,179,190 | ||||
|
|
|
| |||||
(a) Cost of investments — unaffiliated issuers: | $ | 276,896,503 | $ | 471,801,028 | ||||
(b) Cost of investments — affiliated issuers: | $ | 4,937,438 | $ | 14,748,135 | ||||
(c) Cost of short-term investments: | $ | - | $ | - | ||||
(d) Securities on loan with market value of: | $ | 22,103,249 | $ | 27,344,288 | ||||
(e) Cost of foreign currency: | $ | 36 | $ | 24,077 |
The accompanying notes are an integral part of the financial statements.
204
Table of Contents
MassMutual Premier Focused International Fund | MassMutual Premier Strategic Emerging Markets Fund | |||||
$ | 38,475,314 | $ | 148,668,436 | |||
- | - | |||||
- | 8,243,729 | |||||
|
|
|
| |||
38,475,314 | 156,912,165 | |||||
|
|
|
| |||
13,813 | 200,750 | |||||
1,231,709 | 540,005 | |||||
9,692 | 68,665 | |||||
310 | 202,753 | |||||
94,864 | 117,412 | |||||
- | 56,564 | |||||
71,843 | 8,874 | |||||
13,578 | 21,915 | |||||
|
|
|
| |||
39,911,123 | 158,129,103 | |||||
|
|
|
| |||
473,482 | 588,736 | |||||
1,445,001 | 80,298 | |||||
1,259,583 | 5,933,389 | |||||
14,535 | 15,878 | |||||
29,483 | 137,402 | |||||
6,677 | 5,448 | |||||
7,431 | 426 | |||||
1,600 | 131 | |||||
627 | 68 | |||||
584,653 | 4,902 | |||||
44,199 | 567,745 | |||||
|
|
|
| |||
3,867,271 | 7,334,423 | |||||
|
|
|
| |||
$ | 36,043,852 | $ | 150,794,680 | |||
|
|
|
| |||
$ | 39,148,916 | $ | 151,753,476 | |||
3,051,529 | 603,246 | |||||
(6,331,895 | ) | (4,833,080 | ) | |||
175,302 | 3,271,038 | |||||
|
|
|
| |||
$ | 36,043,852 | $ | 150,794,680 | |||
|
|
|
| |||
$ | 38,295,250 | $ | 144,863,035 | |||
$ | - | $ | - | |||
$ | - | $ | 8,243,729 | |||
$ | 1,200,068 | $ | 5,796,632 | |||
$ | 13,763 | $ | 201,210 |
205
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2014
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 101,773 | $ | 64,208,154 | ||||
|
|
|
| |||||
Shares outstanding (a) | 6,734 | 4,462,821 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 15.11 | $ | 14.39 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 206,073,649 | $ | 351,818,286 | ||||
|
|
|
| |||||
Shares outstanding (a) | 13,642,006 | 24,473,569 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 15.11 | $ | 14.38 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 14,038,459 | $ | 23,472,684 | ||||
|
|
|
| |||||
Shares outstanding (a) | 935,535 | 1,636,560 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 15.01 | $ | 14.34 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 136,272,408 | $ | 18,339,458 | ||||
|
|
|
| |||||
Shares outstanding (a) | 9,037,398 | 1,284,808 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 15.08 | $ | 14.27 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 46,399,357 | $ | 53,155,182 | ||||
|
|
|
| |||||
Shares outstanding (a) | 3,109,300 | 3,814,111 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 14.92 | $ | 13.94 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 15.83 | $ | 14.79 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 101,543 | $ | 92,771 | ||||
|
|
|
| |||||
Shares outstanding (a) | 6,803 | 6,653 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 14.93 | $ | 13.94 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 1,523,279 | $ | 92,655 | ||||
|
|
|
| |||||
Shares outstanding (a) | 101,773 | 6,653 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 14.97 | $ | 13.93 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
206
Table of Contents
MassMutual Premier Focused International Fund | MassMutual Premier Strategic Emerging Markets Fund | |||||
$ | 21,793,542 | $ | 140,584,284 | |||
|
|
|
| |||
1,762,946 | 11,613,364 | |||||
|
|
|
| |||
$ | 12.36 | $ | 12.11 | |||
|
|
|
| |||
$ | 2,740,565 | $ | 8,868,826 | |||
|
|
|
| |||
221,306 | 724,302 | |||||
|
|
|
| |||
$ | 12.38 | $ | 12.24 | |||
|
|
|
| |||
$ | 84,502 | $ | 255,963 | |||
|
|
|
| |||
6,845 | 21,180 | |||||
|
|
|
| |||
$ | 12.35 | $ | 12.09 | |||
|
|
|
| |||
$ | 1,611,583 | $ | 408,989 | |||
|
|
|
| |||
129,757 | 33,658 | |||||
|
|
|
| |||
$ | 12.42 | $ | 12.15 | |||
|
|
|
| |||
$ | 8,761,259 | $ | 469,762 | |||
|
|
|
| |||
711,854 | 39,009 | |||||
|
|
|
| |||
$ | 12.31 | $ | 12.04 | |||
|
|
|
| |||
$ | 13.06 | $ | 12.77 | |||
|
|
|
| |||
$ | 98,058 | $ | 103,493 | |||
|
|
|
| |||
7,962 | 8,591 | |||||
|
|
|
| |||
$ | 12.32 | $ | 12.05 | |||
|
|
|
| |||
$ | 954,343 | $ | 103,363 | |||
|
|
|
| |||
78,761 | 8,591 | |||||
|
|
|
| |||
$ | 12.12 | $ | 12.03 | |||
|
|
|
|
207
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
For the Year Ended September 30, 2014
MassMutual Premier Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends | $ | - | $ | - | ||||
Interest | 586,884 | 11,820,198 | ||||||
|
|
|
| |||||
Total investment income | 586,884 | 11,820,198 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 1,647,529 | 2,186,406 | ||||||
Custody fees | 46,007 | 66,379 | ||||||
Interest expense | - | - | ||||||
Audit fees | 30,218 | 35,724 | ||||||
Legal fees | 4,348 | 8,452 | ||||||
Proxy fees | 1,028 | 1,028 | ||||||
Shareholder reporting fees | 19,345 | 24,583 | ||||||
Trustees’ fees | 32,460 | 42,790 | ||||||
Registration and filing fees | 1,162 | 1,677 | ||||||
Transfer agent fees | 1,500 | 1,500 | ||||||
|
|
|
| |||||
1,783,597 | 2,368,539 | |||||||
Administration fees: | ||||||||
Class I | - | 89,271 | ||||||
Class R5 | 358,503 | 355,286 | ||||||
Service Class | - | 188,430 | ||||||
Class Y | 106,317 | * | - | |||||
Administrative Class | - | 126,709 | ||||||
Class A | 214,364 | * | 214,316 | |||||
Class R4** | - | 109 | ||||||
Class R3 | - | 2,048 | ||||||
Distribution fees: | ||||||||
Class R3 | - | 1,551 | ||||||
Service fees: | ||||||||
Class A | 164,087 | * | 194,345 | |||||
Class R4** | - | 126 | ||||||
Class R3 | - | 1,550 | ||||||
Shareholder service fees: | ||||||||
Service Class | - | 19,372 | ||||||
Administrative Class | - | 33,153 | ||||||
Class A | - | 59,036 | ||||||
|
|
|
| |||||
Total expenses | 2,626,868 | 3,653,841 | ||||||
Expenses waived (Note 3): | ||||||||
Class I fees reimbursed by adviser | - | - | ||||||
Class R5 fees reimbursed by adviser | (1,244,242 | ) | - | |||||
Service Class fees reimbursed by adviser | - | - | ||||||
Class Y fees reimbursed by adviser | (265,151 | )* | - | |||||
Administrative Class fees reimbursed by adviser | - | - | ||||||
Class A fees reimbursed by adviser | (405,556 | )* | - | |||||
Class R4 fees reimbursed by adviser** | - | - | ||||||
Class R3 fees reimbursed by adviser | - | - | ||||||
Class A administrative fees waived | (144,397 | )* | - | |||||
Class I advisory fees waived | - | (148,967 | ) | |||||
Class R5 advisory fees waived | - | (134,338 | ) | |||||
Service Class advisory fees waived | - | (56,427 | ) | |||||
Administrative Class advisory fees waived | - | (32,353 | ) | |||||
Class A advisory fees waived | - | (53,780 | ) | |||||
Class R3 advisory fees waived | - | (444 | ) | |||||
|
|
|
| |||||
Net expenses | 567,522 | 3,227,532 | ||||||
|
|
|
| |||||
Net investment income (loss) | 19,362 | 8,592,666 | ||||||
|
|
|
|
* | Class A shares and Class Y shares merged into Class S shares on March 7, 2014. Class S shares were renamed Class R5 shares on April 1, 2014. |
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
208
Table of Contents
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||
$ | - | $ | 165,750 | $ | 12,750 | $ | - | |||||||
9,016,606 | 43,941,167 | 3,521,962 | 18,802,755 | |||||||||||
|
|
|
|
|
|
|
| |||||||
9,016,606 | 44,106,917 | 3,534,712 | 18,802,755 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,295,445 | 6,325,695 | 492,578 | 1,275,701 | |||||||||||
77,739 | 141,216 | 30,558 | 66,045 | |||||||||||
389,653 | - | - | - | |||||||||||
35,716 | 37,770 | 36,310 | 34,548 | |||||||||||
3,829 | 18,339 | 957 | 3,484 | |||||||||||
1,028 | 1,028 | 1,028 | 1,028 | |||||||||||
14,335 | 52,099 | 10,147 | 13,699 | |||||||||||
21,814 | 108,426 | 7,744 | 18,987 | |||||||||||
5,210 | 6,163 | 4,861 | 5,241 | |||||||||||
1,500 | 1,500 | 1,500 | 1,500 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,846,269 | 6,692,236 | 585,683 | 1,420,233 | |||||||||||
45,012 | 191,034 | 2,813 | 32,764 | |||||||||||
74,855 | 943,058 | 67,971 | 62,781 | |||||||||||
165,357 | 373,343 | 30,213 | 142,856 | |||||||||||
- | - | - | - | |||||||||||
24,147 | 206,278 | 47,501 | 52,463 | |||||||||||
63,311 | 484,726 | 101,797 | 105,885 | |||||||||||
113 | 108 | 138 | 112 | |||||||||||
4,433 | 4,232 | 138 | ** | 2,888 | ||||||||||
3,858 | 3,165 | 128 | ** | 2,078 | ||||||||||
65,688 | 444,902 | 84,062 | 87,196 | |||||||||||
129 | 128 | 128 | 128 | |||||||||||
3,858 | 3,165 | 128 | ** | 2,078 | ||||||||||
19,391 | 41,607 | 3,604 | 16,165 | |||||||||||
8,000 | 52,979 | 14,276 | 15,833 | |||||||||||
19,502 | 134,242 | 25,446 | 26,845 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,343,923 | 9,575,203 | 964,026 | 1,970,305 | |||||||||||
- | - | (869 | ) | (3,187 | ) | |||||||||
- | - | (8,136 | ) | (1,140 | ) | |||||||||
- | - | (2,470 | ) | (1,873 | ) | |||||||||
- | - | - | - | |||||||||||
- | - | (3,250 | ) | (636 | ) | |||||||||
- | - | (5,838 | ) | (1,033 | ) | |||||||||
- | - | (17 | ) | (3 | ) | |||||||||
- | - | (18 | )** | (24 | ) | |||||||||
- | - | - | - | |||||||||||
(79,524 | ) | (475,711 | ) | (2,461 | ) | (54,337 | ) | |||||||
(33,077 | ) | (447,995 | ) | (31,821 | ) | (16,145 | ) | |||||||
(49,579 | ) | (137,100 | ) | (9,888 | ) | (29,845 | ) | |||||||
(6,321 | ) | (69,556 | ) | (13,022 | ) | (7,781 | ) | |||||||
(17,236 | ) | (159,118 | ) | (28,316 | ) | (16,980 | ) | |||||||
(962 | ) | (1,148 | ) | - | (388 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
2,157,224 | 8,284,575 | 857,920 | 1,836,933 | |||||||||||
|
|
|
|
|
|
|
| |||||||
6,859,382 | 35,822,342 | 2,676,792 | 16,965,822 | |||||||||||
|
|
|
|
|
|
|
|
209
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2014
MassMutual Premier Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 8,896 | $ | 1,492,446 | ||||
Futures contracts | - | (178,289 | ) | |||||
Swap agreements | - | (213,620 | ) | |||||
Foreign currency transactions | - | - | ||||||
|
|
|
| |||||
Net realized gain (loss) | 8,896 | 1,100,537 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | - | (1,735,362 | ) | |||||
Futures contracts | - | 198,623 | ||||||
Swap agreements | - | (276,685 | ) | |||||
Translation of assets and liabilities in foreign currencies | - | - | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | - | (1,813,424 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 8,896 | (712,887 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 28,258 | $ | 7,879,779 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
210
Table of Contents
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||
$ | 1,247,346 | $ | 17,662,504 | $ | 669,561 | $ | 6,669,781 | |||||||
(642,236 | ) | 1,603,227 | 12,262 | - | ||||||||||
(236,302 | ) | (559,698 | ) | (273,438 | ) | - | ||||||||
- | - | 4,400 | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
368,808 | 18,706,033 | 412,785 | 6,669,781 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(3,066,476 | ) | 16,044,362 | 2,549,760 | (466,637 | ) | |||||||||
104,111 | (1,773,109 | ) | (49,737 | ) | - | |||||||||
(31,390 | ) | (698,794 | ) | (53,377 | ) | - | ||||||||
- | - | (12,194 | ) | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
(2,993,755 | ) | 13,572,459 | 2,434,452 | (466,637 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
(2,624,947 | ) | 32,278,492 | 2,847,237 | 6,203,144 | ||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 4,234,435 | $ | 68,100,834 | $ | 5,524,029 | $ | 23,168,966 | |||||||
|
|
|
|
|
|
|
|
211
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations
For the Year Ended September 30, 2014
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | 2,323,309 | $ | 2,513,025 | ||||
Interest | 1,510,995 | 90 | ||||||
Securities lending net income | - | 20,927 | ||||||
|
|
|
| |||||
Total investment income | 3,834,304 | 2,534,042 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 779,400 | 553,713 | ||||||
Custody fees | 48,145 | 18,908 | ||||||
Audit fees | 36,341 | 34,117 | ||||||
Legal fees | 2,328 | 1,146 | ||||||
Proxy fees | 1,028 | 1,028 | ||||||
Shareholder reporting fees | 11,272 | 9,480 | ||||||
Trustees’ fees | 11,650 | 7,759 | ||||||
Registration and filing fees | 1,532 | 1,683 | ||||||
Transfer agent fees | 1,500 | 1,500 | ||||||
|
|
|
| |||||
893,196 | 629,334 | |||||||
Administration fees: | ||||||||
Class I** | 2,362 | 28 | ||||||
Class R5 | 127,012 | 87,927 | ||||||
Service Class | 23,943 | 231 | ||||||
Administrative Class | 15,223 | 36,093 | ||||||
Class A | 114,050 | 19,832 | ||||||
Class R4** | 133 | 132 | ||||||
Class R3 | 133 | ** | 299 | |||||
Distribution fees: | ||||||||
Class R3 | 129 | ** | 241 | |||||
Service fees: | ||||||||
Class A | 93,369 | 19,158 | ||||||
Class R4** | 129 | 130 | ||||||
Class R3 | 129 | ** | 241 | |||||
Shareholder service fees: | ||||||||
Service Class | 2,817 | 33 | ||||||
Administrative Class | 4,995 | 11,725 | ||||||
Class A | 27,061 | 5,705 | ||||||
|
|
|
| |||||
Total expenses | 1,304,681 | 811,109 | ||||||
Expenses waived (Note 3): | ||||||||
Class I fees reimbursed by adviser** | (573 | ) | (14 | ) | ||||
Class R5 fees reimbursed by adviser | (3,266 | ) | (9,918 | ) | ||||
Service Class fees reimbursed by adviser | (407 | ) | (18 | ) | ||||
Administrative Class fees reimbursed by adviser | (244 | ) | (2,135 | ) | ||||
Class A fees reimbursed by adviser | (1,201 | ) | (1,039 | ) | ||||
Class R4 fees reimbursed by adviser** | (4 | ) | (14 | ) | ||||
Class R3 fees reimbursed by adviser | (3 | )** | (14 | ) | ||||
|
|
|
| |||||
Net expenses | 1,298,983 | 797,957 | ||||||
|
|
|
| |||||
Net investment income (loss) | 2,535,321 | 1,736,085 | ||||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
212
Table of Contents
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 7,945,148 | $ | 3,141,788 | $ | 6,425,926 | $ | 3,113,500 | |||||||
178 | 313 | 282 | 333 | |||||||||||
- | 13,290 | - | 118,089 | |||||||||||
|
|
|
|
|
|
|
| |||||||
7,945,326 | 3,155,391 | 6,426,208 | 3,231,922 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,618,682 | 1,177,733 | 1,782,359 | 1,046,274 | |||||||||||
37,200 | 24,966 | 39,544 | 22,559 | |||||||||||
35,205 | 32,676 | 35,242 | 33,549 | |||||||||||
4,563 | 2,428 | 4,925 | 2,912 | |||||||||||
1,028 | 1,028 | 1,028 | 1,028 | |||||||||||
16,628 | 12,035 | 17,384 | 15,483 | |||||||||||
24,476 | 14,066 | 27,620 | 12,743 | |||||||||||
981 | 784 | 2,857 | 3,323 | |||||||||||
1,500 | 1,500 | 1,500 | 1,500 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,740,263 | 1,267,216 | 1,912,459 | 1,139,371 | |||||||||||
13,251 | 1,366 | 12,023 | 32 | |||||||||||
82,785 | 158,888 | 88,833 | 92,702 | |||||||||||
97,080 | 10,366 | 104,968 | 7,574 | |||||||||||
12,944 | 83,667 | 47,939 | 26,941 | |||||||||||
25,296 | 34,136 | 57,699 | 189,760 | |||||||||||
111 | 117 | 112 | 111 | |||||||||||
433 | 267 | 111 | ** | 110 | ** | |||||||||
417 | 240 | 130 | ** | 123 | ** | |||||||||
29,809 | 35,351 | 71,347 | 200,973 | |||||||||||
129 | 130 | 130 | 123 | |||||||||||
417 | 240 | 130 | ** | 124 | ** | |||||||||
16,857 | 1,657 | 20,326 | 1,164 | |||||||||||
4,909 | 26,353 | 17,476 | 10,095 | |||||||||||
8,868 | 10,719 | 24,716 | 59,749 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,033,569 | 1,630,713 | 2,358,399 | 1,728,952 | |||||||||||
- | - | - | - | |||||||||||
- | (64,441 | ) | - | - | ||||||||||
- | (2,688 | ) | - | - | ||||||||||
- | (15,852 | ) | - | - | ||||||||||
- | (6,481 | ) | - | - | ||||||||||
- | - | - | - | |||||||||||
- | (35 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
2,033,569 | 1,541,216 | 2,358,399 | 1,728,952 | |||||||||||
|
|
|
|
|
|
|
| |||||||
5,911,757 | 1,614,175 | 4,067,809 | 1,502,970 | |||||||||||
|
|
|
|
|
|
|
|
213
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2014
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 14,350,921 | $ | 13,375,922 | ||||
Futures contracts | 179,596 | - | ||||||
Swap agreements | (18,974 | ) | - | |||||
Foreign currency transactions | - | (1,935 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 14,511,543 | 13,373,987 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 1,744,148 | 1,771,921 | ||||||
Futures contracts | (56,956 | ) | - | |||||
Swap agreements | (24,543 | ) | - | |||||
Translation of assets and liabilities in foreign currencies | - | - | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | 1,662,649 | 1,771,921 | ||||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 16,174,192 | 15,145,908 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 18,709,513 | $ | 16,881,993 | ||||
|
|
|
| |||||
(a) Net of withholding tax of: | $ | - | $ | 60,730 |
The accompanying notes are an integral part of the financial statements.
214
Table of Contents
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 47,805,288 | $ | 34,294,210 | $ | 54,777,718 | $ | 29,603,882 | |||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | (25,993 | ) | - | (705 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
47,805,288 | 34,268,217 | 54,777,718 | 29,603,177 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,926,614 | (3,108,281 | ) | 5,465,948 | (20,077,240 | ) | |||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | (2,371 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
2,926,614 | (3,110,652 | ) | 5,465,948 | (20,077,240 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
50,731,902 | 31,157,565 | 60,243,666 | 9,525,937 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 56,643,659 | $ | 32,771,740 | $ | 64,311,475 | $ | 11,028,907 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 962 | $ | 18,643 | $ | (777 | ) | $ | - |
215
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations
For the Year Ended September 30, 2014
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends — unaffiliated issuers (a) | $ | 7,435,637 | $ | 11,428,389 | ||||
Dividends — affiliated issuers (Note 7) | 5,153 | 12,997 | ||||||
Interest | - | 8,127 | ||||||
Securities lending net income | 283,063 | 390,553 | ||||||
|
|
|
| |||||
Total investment income | 7,723,853 | 11,840,066 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 3,134,453 | 4,805,570 | ||||||
Custody fees | 156,158 | 370,452 | ||||||
Audit fees | 43,295 | 41,391 | ||||||
Legal fees | 4,971 | 9,392 | ||||||
Proxy fees | 1,028 | 1,028 | ||||||
Shareholder reporting fees | 39,229 | 52,620 | ||||||
Trustees’ fees | 29,258 | 41,133 | ||||||
Registration and filing fees | 784 | 1,443 | ||||||
Transfer agent fees | 1,500 | 1,500 | ||||||
|
|
|
| |||||
3,410,676 | 5,324,529 | |||||||
Administration fees: | ||||||||
Class I | 8 | ** | 3,900 | ** | ||||
Class R5 | 304,934 | 550,769 | ||||||
Service Class | 22,929 | 43,353 | ||||||
Administrative Class | 349,926 | 47,135 | ||||||
Class A | 131,175 | 139,590 | ||||||
Class R4** | 110 | 105 | ||||||
Class R3 | 4,359 | 105 | ** | |||||
Distribution fees: | ||||||||
Class R3 | 3,603 | 124 | ** | |||||
Service fees: | ||||||||
Class A | 124,310 | 146,105 | ||||||
Class R4** | 128 | 124 | ||||||
Class R3 | 3,603 | 124 | ** | |||||
Shareholder service fees: | ||||||||
Service Class | 3,512 | 6,170 | ||||||
Administrative Class | 102,364 | 15,497 | ||||||
Class A | 36,795 | 44,994 | ||||||
|
|
|
| |||||
Total expenses | 4,498,432 | 6,322,624 | ||||||
Expenses waived (Note 3): | ||||||||
Class I fees reimbursed by adviser | - | - | ||||||
Class R5 fees reimbursed by adviser | (156,391 | ) | - | |||||
Service Class fees reimbursed by adviser | (2,303 | ) | - | |||||
Administrative Class fees reimbursed by adviser | (54,492 | ) | - | |||||
Class A fees reimbursed by adviser | (10,747 | ) | - | |||||
Class R4 fees reimbursed by adviser** | - | - | ||||||
Class R3 fees reimbursed by adviser | (1,635 | ) | - | |||||
Class I advisory fees waived | - | - | ||||||
Class R5 advisory fees waived | - | - | ||||||
Service Class advisory fees waived | - | - | ||||||
Administrative Class advisory fees waived | - | - | ||||||
Class A advisory fees waived | - | - | ||||||
Class R3 advisory fees waived | - | - | ||||||
|
|
|
| |||||
Net expenses | 4,272,864 | 6,322,624 | ||||||
|
|
|
| |||||
Net investment income (loss) | 3,450,989 | 5,517,442 | ||||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
216
Table of Contents
MassMutual Premier Focused International Fund | MassMutual Premier Strategic Emerging Markets Fund | |||||
$ | 4,137,664 | $ | 2,271,038 | |||
- | - | |||||
957 | 558 | |||||
64,299 | 41,415 | |||||
|
|
|
| |||
4,202,920 | 2,313,011 | |||||
|
|
|
| |||
922,402 | 1,392,297 | |||||
65,942 | 283,186 | |||||
37,759 | 61,193 | |||||
1,622 | 2,351 | |||||
1,028 | 1,028 | |||||
14,578 | 17,241 | |||||
8,097 | 9,901 | |||||
2,819 | 3,211 | |||||
1,500 | 1,500 | |||||
|
|
|
| |||
1,055,747 | 1,771,908 | |||||
49,174 | 48,586 | |||||
6,961 | 13,127 | |||||
4,358 | 542 | |||||
8,721 | 839 | |||||
37,655 | 937 | |||||
131 | 125 | |||||
3,933 | 125 | ** | ||||
2,449 | 133 | ** | ||||
30,306 | 814 | |||||
126 | 133 | |||||
2,449 | 133 | ** | ||||
165 | 62 | |||||
1,894 | 307 | |||||
8,490 | 301 | |||||
|
|
|
| |||
1,212,559 | 1,838,072 | |||||
(38,841 | ) | (316,309 | ) | |||
(2,260 | ) | (19,713 | ) | |||
(349 | ) | (569 | ) | |||
(1,351 | ) | (822 | ) | |||
(6,069 | ) | (852 | ) | |||
(54 | ) | (170 | ) | |||
(537 | ) | (170 | )** | |||
(46,274 | ) | (87,496 | ) | |||
(2,416 | ) | (5,466 | ) | |||
(1,468 | ) | (156 | ) | |||
(1,518 | ) | (153 | ) | |||
(6,449 | ) | (186 | ) | |||
(480 | ) | - | ||||
|
|
|
| |||
1,104,493 | 1,406,010 | |||||
|
|
|
| |||
3,098,427 | 907,001 | |||||
|
|
|
|
217
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2014
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 24,357,529 | $ | 86,241,431 | ||||
Foreign currency transactions | 11,040 | (387,898 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 24,368,569 | 85,853,533 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 10,353,252 | (91,780,547 | ) | |||||
Translation of assets and liabilities in foreign currencies | (60,514 | ) | (219,426 | ) | ||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | 10,292,738 | (91,999,973 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 34,661,307 | (6,146,440 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 38,112,296 | $ | (628,998 | ) | |||
|
|
|
| |||||
(a) Net of withholding tax of: | $ | 611,296 | $ | 986,016 |
The accompanying notes are an integral part of the financial statements.
218
Table of Contents
MassMutual Premier Focused International Fund | MassMutual Premier Strategic Emerging Markets Fund | |||||
$ | 10,533,414 | $ | 8,977,076 | |||
(33,756 | ) | (160,771 | ) | |||
|
|
|
| |||
10,499,658 | 8,816,305 | |||||
|
|
|
| |||
(10,151,362 | ) | (3,070,513 | ) | |||
(19,952 | ) | (520,372 | ) | |||
|
|
|
| |||
(10,171,314 | ) | (3,590,885 | ) | |||
|
|
|
| |||
328,344 | 5,225,420 | |||||
|
|
|
| |||
$ | 3,426,771 | $ | 6,132,421 | |||
|
|
|
| |||
$ | 242,845 | $ | 201,033 |
219
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Money Market Fund | ||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 19,362 | $ | 26,649 | ||||
Net realized gain (loss) on investment transactions | 8,896 | 4,430 | ||||||
Net change in unrealized appreciation (depreciation) on investments | - | - | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 28,258 | 31,079 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | - | - | ||||||
Class R5 | (6,862 | ) | (25,200 | ) | ||||
Service Class | - | - | ||||||
Class Y | (5,681 | )* | (14,760 | ) | ||||
Administrative Class | - | - | ||||||
Class A | (6,836 | )* | (22,805 | ) | ||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Total distributions from net investment income | (19,379 | ) | (62,765 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | - | - | ||||||
Class R5 | - | - | ||||||
Service Class | - | - | ||||||
Administrative Class | - | - | ||||||
Class A | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Total distributions from net realized gains | - | - | ||||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | - | - | ||||||
Class R5 | 322,439,759 | (10,817,961 | ) | |||||
Service Class | - | - | ||||||
Class Y | (102,826,076 | )* | (5,781,332 | ) | ||||
Administrative Class | - | - | ||||||
Class A | (156,111,619 | )* | 12,304,753 | |||||
Class R4** | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 63,502,064 | (4,294,540 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 63,510,943 | (4,326,226 | ) | |||||
Net assets | ||||||||
Beginning of year | 411,009,263 | 415,335,489 | ||||||
|
|
|
| |||||
End of year | $ | 474,520,206 | $ | 411,009,263 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | - | $ | - | ||||
|
|
|
| |||||
Distributions in excess of net investment income included in net assets at end of year | $ | (66,658 | ) | $ | (64,975 | ) | ||
|
|
|
|
* | Class A shares and Class Y shares merged into Class S shares on March 7, 2014. Class S shares were renamed Class R5 shares on April 1, 2014. |
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
220
Table of Contents
MassMutual Premier Short-Duration Bond Fund | MassMutual Premier Inflation-Protected and Income Fund | |||||||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||
$ | 8,592,666 | $ | 7,636,327 | $ | 6,859,382 | $ | 7,615,061 | |||||||
1,100,537 | (399,777 | ) | 368,808 | 8,426,616 | ||||||||||
(1,813,424 | ) | (589,822 | ) | (2,993,755 | ) | (36,857,341 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
7,879,779 | 6,646,728 | 4,234,435 | (20,815,664 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
(4,754,279 | ) | (2,972,939 | ) | (2,766,412 | ) | (4,436,438 | ) | |||||||
(3,840,528 | ) | (3,039,953 | ) | (1,075,069 | ) | (2,425,789 | ) | |||||||
(1,671,755 | ) | (1,354,062 | ) | (1,591,866 | ) | (2,851,252 | ) | |||||||
- | - | - | - | |||||||||||
(938,310 | ) | (703,233 | ) | (184,617 | ) | (301,336 | ) | |||||||
(1,253,164 | ) | (1,231,459 | ) | (470,479 | ) | (968,498 | ) | |||||||
(2,817 | ) | - | (23,611 | ) | (32,628 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(12,460,853 | ) | (9,301,646 | ) | (6,112,054 | ) | (11,015,941 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | (1,629,804 | ) | (3,901,385 | ) | (1,189,400 | ) | ||||||||
- | (1,820,845 | ) | (1,627,748 | ) | (672,137 | ) | ||||||||
- | (852,974 | ) | (2,504,490 | ) | (817,900 | ) | ||||||||
- | (458,633 | ) | (304,554 | ) | (89,066 | ) | ||||||||
- | (896,491 | ) | (899,454 | ) | (314,661 | ) | ||||||||
- | (11,757 | ) | (48,644 | ) | (10,875 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
- | (5,670,504 | ) | (9,286,275 | ) | (3,094,039 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
6,750,362 | 55,641,215 | 49,946,215 | 3,873,943 | |||||||||||
(16,270,565 | ) | 41,101,424 | 3,457,191 | (11,703,148 | ) | |||||||||
128,291 | (2,802,482 | ) | (2,114,354 | ) | (3,918,056 | ) | ||||||||
- | - | - | - | |||||||||||
(5,561,742 | ) | 12,326,336 | 738,357 | 1,795,096 | ||||||||||
3,018,683 | 5,086,870 | (1,622,017 | ) | (6,575,388 | ) | |||||||||
100,000 | - | 100,001 | - | |||||||||||
(635,670 | ) | 313,225 | 242,887 | 389,218 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(12,470,641 | ) | 111,666,588 | 50,748,280 | (16,138,335 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
(17,051,715 | ) | 103,341,166 | 39,584,386 | (51,063,979 | ) | |||||||||
585,764,154 | 482,422,988 | 294,173,348 | 345,237,327 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$568,712,439 | $ | 585,764,154 | $ | 333,757,734 | $ | 294,173,348 | ||||||||
|
|
|
|
|
|
|
| |||||||
$ | 9,435,678 | | $ | 8,979,318 | $ | 7,986,718 | $ | 5,370,777 | ||||||
|
|
|
|
|
|
|
| |||||||
$ | - | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
|
221
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Core Bond Fund | ||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 35,822,342 | $ | 36,320,735 | ||||
Net realized gain (loss) on investment transactions | 18,706,033 | (12,155,793 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 13,572,459 | (37,860,453 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 68,100,834 | (13,695,511 | ) | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (17,274,485 | ) | (11,760,419 | ) | ||||
Class R5 | (15,286,443 | ) | (16,715,444 | ) | ||||
Service Class | (4,531,247 | ) | (3,683,072 | ) | ||||
Administrative Class | (2,473,551 | ) | (1,973,054 | ) | ||||
Class A | (4,836,181 | ) | (3,742,227 | ) | ||||
Class R3 | (27,271 | ) | (34,038 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (44,429,178 | ) | (37,908,254 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | - | (9,935,218 | ) | |||||
Class R5 | - | (15,393,523 | ) | |||||
Service Class | - | (3,454,333 | ) | |||||
Administrative Class | - | (1,923,454 | ) | |||||
Class A | - | (4,106,871 | ) | |||||
Class R3 | - | (39,187 | ) | |||||
|
|
|
| |||||
Total distributions from net realized gains | - | (34,852,586 | ) | |||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 125,721,272 | (7,474,661 | ) | |||||
Class R5 | (12,919,078 | ) | (175,185,370 | ) | ||||
Service Class | 19,777,990 | (10,881,494 | ) | |||||
Administrative Class | (10,540,203 | ) | (5,891,616 | ) | ||||
Class A | (8,761,342 | ) | (1,528,224 | ) | ||||
Class R4** | 100,001 | - | ||||||
Class R3 | (534,646 | ) | 293,834 | |||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 112,843,994 | (200,667,531 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 136,515,650 | (287,123,882 | ) | |||||
Net assets | ||||||||
Beginning of year | 1,407,954,686 | 1,695,078,568 | ||||||
|
|
|
| |||||
End of year | $ | 1,544,470,336 | $ | 1,407,954,686 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 25,974,370 | $ | 30,901,371 | ||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
222
Table of Contents
MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||
$ | 2,676,792 | $ | 2,691,339 | $ | 16,965,822 | $ | 15,982,313 | |||||||
412,785 | (909,085 | ) | 6,669,781 | 11,661,754 | ||||||||||
2,434,452 | (1,372,761 | ) | (466,637 | ) | (4,455,035 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
5,524,029 | 409,493 | 23,168,966 | 23,189,032 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(126,093 | ) | (5 | ) | (7,156,840 | ) | (7,686,693 | ) | |||||||
(1,036,543 | ) | (1,451,138 | ) | (1,954,150 | ) | (1,599,632 | ) | |||||||
(319,607 | ) | (333,301 | ) | (3,650,081 | ) | (4,014,533 | ) | |||||||
(421,314 | ) | (398,553 | ) | (914,194 | ) | (664,781 | ) | |||||||
(827,390 | ) | (1,262,840 | ) | (2,062,136 | ) | (2,491,300 | ) | |||||||
- | ** | (51 | ) | (43,575 | ) | (33,142 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(2,730,947 | ) | (3,445,888 | ) | (15,780,976 | ) | (16,490,081 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(4,063 | ) | (3 | ) | (1,853,978 | ) | - | ||||||||
(36,188 | ) | (1,042,719 | ) | (521,804 | ) | - | ||||||||
(11,383 | ) | (312,639 | ) | (984,929 | ) | - | ||||||||
(15,095 | ) | (289,570 | ) | (249,512 | ) | - | ||||||||
(33,584 | ) | (993,942 | ) | (589,419 | ) | - | ||||||||
- | ** | (44 | ) | (12,951 | ) | - | ||||||||
|
|
|
|
|
|
|
| |||||||
(100,313 | ) | (2,638,917 | ) | (4,212,593 | ) | - | ||||||||
|
|
|
|
|
|
|
| |||||||
5,552,672 | 8 | 4,892,610 | (5,133,707 | ) | ||||||||||
29,686,167 | 884,703 | 7,864,666 | 7,909,272 | |||||||||||
5,073,454 | (24,106,947 | ) | 1,670,243 | (308,924 | ) | |||||||||
8,469,211 | 3,752,807 | 8,237,717 | 5,069,235 | |||||||||||
1,895,962 | (3,569,715 | ) | 1,776,899 | (10,863,366 | ) | |||||||||
100,001 | - | 100,001 | - | |||||||||||
100,000 | ** | (1,577 | ) | (16,764 | ) | 182,077 | ||||||||
|
|
|
|
|
|
|
| |||||||
50,877,467 | (23,040,721 | ) | 24,525,372 | (3,145,413 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
53,570,236 | (28,716,033 | ) | 27,700,769 | 3,553,538 | ||||||||||
93,003,055 | 121,719,088 | 235,872,015 | 232,318,477 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$146,573,291 | $ | 93,003,055 | $ | 263,572,784 | $ | 235,872,015 | ||||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,863,526 | | $ | 1,693,426 | $ | 12,478,246 | $ | 11,402,452 | ||||||
|
|
|
|
|
|
|
|
223
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Balanced Fund | ||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 2,535,321 | $ | 2,370,647 | ||||
Net realized gain (loss) on investment transactions | 14,511,543 | 11,043,146 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,662,649 | 1,615,489 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 18,709,513 | 15,029,282 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class R5 | (1,768,689 | ) | (1,795,172 | ) | ||||
Service Class | (148,050 | ) | (117,156 | ) | ||||
Administrative Class | (54,927 | ) | (50,821 | ) | ||||
Class A | (488,139 | ) | (327,247 | ) | ||||
Class R3 | - | ** | - | |||||
|
|
|
| |||||
Total distributions from net investment income | (2,459,805 | ) | (2,290,396 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class R5 | (5,307,904 | ) | - | |||||
Service Class | (486,732 | ) | - | |||||
Administrative Class | (194,465 | ) | - | |||||
Class A | (2,006,154 | ) | - | |||||
|
|
|
| |||||
Total distributions from net realized gains | (7,995,255 | ) | - | |||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I** | 36,266,259 | - | ||||||
Class R5 | (37,948,771 | ) | (2,989,975 | ) | ||||
Service Class | 1,997,101 | 2,341,724 | ||||||
Administrative Class | 3,175,485 | 100,901 | ||||||
Class A | (5,551,704 | ) | 17,651,046 | |||||
Class R4** | 100,001 | - | ||||||
Class R3 | 100,000 | ** | - | |||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (1,861,629 | ) | 17,103,696 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 6,392,824 | 29,842,582 | ||||||
Net assets | ||||||||
Beginning of year | 157,650,649 | 127,808,067 | ||||||
|
|
|
| |||||
End of year | $ | 164,043,473 | $ | 157,650,649 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 1,855,484 | $ | 1,748,661 | ||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
224
Table of Contents
MassMutual Premier Value Fund | MassMutual Premier Disciplined Value Fund | |||||||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||
$ | 1,736,085 | $ | 2,243,223 | $ | 5,911,757 | $ | 6,539,852 | |||||||
13,373,987 | 30,370,844 | 47,805,288 | 53,490,981 | |||||||||||
1,771,921 | (4,184,156 | ) | 2,926,614 | 5,762,260 | ||||||||||
|
|
|
|
|
|
|
| |||||||
16,881,993 | 28,429,911 | 56,643,659 | 65,793,093 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(1,692,845 | ) | (2,084,066 | ) | (4,461,989 | ) | (4,771,965 | ) | |||||||
(1,879 | ) | (1,968 | ) | (1,196,680 | ) | (1,438,085 | ) | |||||||
(200,704 | ) | (251,497 | ) | (98,306 | ) | (58,924 | ) | |||||||
(77,472 | ) | (100,464 | ) | (161,790 | ) | (173,369 | ) | |||||||
(868 | ) | (684 | ) | (1,713 | ) | (2,011 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(1,973,768 | ) | (2,438,679 | ) | (5,920,478 | ) | (6,444,354 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
100,100 | - | 177,515,480 | - | |||||||||||
(46,583,589 | ) | (49,984,671 | ) | (197,311,865 | ) | (19,419,372 | ) | |||||||
6,076 | (39,466 | ) | (11,479,632 | ) | (10,302,557 | ) | ||||||||
(3,559,102 | ) | (6,209,417 | ) | 1,729,778 | 1,078,517 | |||||||||
(1,801,308 | ) | (2,899,523 | ) | (2,920,940 | ) | 438,974 | ||||||||
100,000 | - | 100,001 | - | |||||||||||
341 | (1,166 | ) | (3,658 | ) | 1,343 | |||||||||
|
|
|
|
|
|
|
| |||||||
(51,737,482 | ) | (59,134,243 | ) | (32,370,836 | ) | (28,203,095 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(36,829,257 | ) | (33,143,011 | ) | 18,352,345 | 31,145,644 | |||||||||
123,755,459 | 156,898,470 | 322,447,997 | 291,302,353 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 86,926,202 | $ | 123,755,459 | $ | 340,800,342 | $ | 322,447,997 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,196,982 |
| $ | 1,484,297 | $ | 4,239,903 | $ | 4,348,237 | ||||||
|
|
|
|
|
|
|
|
225
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Main Street Fund | ||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,614,175 | $ | 1,887,625 | ||||
Net realized gain (loss) on investment transactions | 34,268,217 | 19,746,272 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (3,110,652 | ) | 7,883,071 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 32,771,740 | 29,516,968 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class R5 | (1,211,651 | ) | (1,502,544 | ) | ||||
Service Class | (44,986 | ) | (58,713 | ) | ||||
Administrative Class | (229,178 | ) | (323,331 | ) | ||||
Class A | (66,762 | ) | (107,123 | ) | ||||
Class R3 | (99 | ) | (280 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (1,552,676 | ) | (1,991,991 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class R5 | - | - | ||||||
Service Class | - | - | ||||||
Administrative Class | - | - | ||||||
Class A | - | - | ||||||
|
|
|
| |||||
Total distributions from net realized gains | - | - | ||||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I** | 46,958,748 | - | ||||||
Class R5 | (55,638,530 | ) | (9,868,078 | ) | ||||
Service Class | 508,518 | (397,238 | ) | |||||
Administrative Class | (3,396,378 | ) | (4,311,819 | ) | ||||
Class A | (2,155,650 | ) | (454,382 | ) | ||||
Class R4** | 100,000 | - | ||||||
Class R3 | 35,316 | (37,273 | ) | |||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (13,587,976 | ) | (15,068,790 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | 17,631,088 | 12,456,187 | ||||||
Net assets | ||||||||
Beginning of year | 183,109,066 | 170,652,879 | ||||||
|
|
|
| |||||
End of year | $ | 200,740,154 | $ | 183,109,066 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 1,169,731 | $ | 1,135,157 | ||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
226
Table of Contents
MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||
$ | 4,067,809 | $ | 4,317,667 | $ | 1,502,970 | $ | 1,518,238 | |||||||
54,777,718 | 55,992,581 | 29,603,177 | 23,593,975 | |||||||||||
5,465,948 | (2,977,653 | ) | (20,077,240 | ) | 21,735,614 | |||||||||
|
|
|
|
|
|
|
| |||||||
64,311,475 | 57,332,595 | 11,028,907 | 46,847,827 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(2,486,089 | ) | (3,049,735 | ) | (807,480 | ) | (771,082 | ) | |||||||
(694,370 | ) | (814,371 | ) | (32,239 | ) | (35,673 | ) | |||||||
(217,867 | ) | (127,057 | ) | (84,225 | ) | (66,410 | ) | |||||||
(192,172 | ) | (190,668 | ) | (497,259 | ) | (432,796 | ) | |||||||
- | ** | - | - | ** | - | |||||||||
|
|
|
|
|
|
|
| |||||||
(3,590,498 | ) | (4,181,831 | ) | (1,421,203 | ) | (1,305,961 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(39,505,188 | ) | (582,878 | ) | - | - | |||||||||
(11,931,756 | ) | (165,016 | ) | - | - | |||||||||
(4,020,687 | ) | (27,034 | ) | - | - | |||||||||
(4,507,911 | ) | (47,338 | ) | - | - | |||||||||
|
|
|
|
|
|
|
| |||||||
(59,965,542 | ) | (822,266 | ) | - | - | |||||||||
|
|
|
|
|
|
|
| |||||||
174,367,398 | - | 4,915,406 | - | |||||||||||
(91,875,911 | ) | (37,811,753 | ) | (14,600,221 | ) | (7,213,806 | ) | |||||||
22,017,945 | (3,848,490 | ) | 4,157,308 | (1,568,133 | ) | |||||||||
4,587,539 | 8,992,605 | 7,561,389 | 1,468,750 | |||||||||||
15,819,437 | 1,793,971 | (11,523,751 | ) | (1,394,859 | ) | |||||||||
100,001 | - | 100,000 | - | |||||||||||
100,000 | ** | - | 100,000 | ** | - | |||||||||
|
|
|
|
|
|
|
| |||||||
125,116,409 | (30,873,667 | ) | (9,289,869 | ) | (8,708,048 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
125,871,844 | 21,454,831 | 317,835 | 36,833,818 | |||||||||||
313,801,131 | 292,346,300 | 172,702,550 | 135,868,732 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$439,672,975 | $ | 313,801,131 | $ | 173,020,385 | $ | 172,702,550 | ||||||||
|
|
|
|
|
|
|
| |||||||
$ | 2,936,926 | | $ | 2,531,345 | $ | 812,118 | $ | 660,029 | ||||||
|
|
|
|
|
|
|
|
227
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Global Fund | ||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 3,450,989 | $ | 4,320,922 | ||||
Net realized gain (loss) on investment transactions | 24,368,569 | 18,610,305 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 10,292,738 | 66,079,423 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 38,112,296 | 89,010,650 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | - | ** | - | |||||
Class R5 | (2,183,110 | ) | (2,614,685 | ) | ||||
Service Class | (87,996 | ) | (85,643 | ) | ||||
Administrative Class | (1,131,543 | ) | (1,211,149 | ) | ||||
Class A | (307,282 | ) | (330,289 | ) | ||||
Class R3 | (6,586 | ) | (7,743 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (3,716,517 | ) | (4,249,509 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class R5 | (1,676,684 | ) | - | |||||
Service Class | (75,838 | ) | - | |||||
Administrative Class | (1,103,296 | ) | - | |||||
Class A | (425,476 | ) | - | |||||
Class R3 | (10,599 | ) | - | |||||
|
|
|
| |||||
Total distributions from net realized gains | (3,291,893 | ) | - | |||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 100,000 | ** | - | |||||
Class R5 | (23,627,589 | ) | (28,424,289 | ) | ||||
Service Class | 4,705,347 | (568,700 | ) | |||||
Administrative Class | (2,745,322 | ) | (7,363,036 | ) | ||||
Class A | (5,928,238 | ) | (2,584,287 | ) | ||||
Class R4** | 100,000 | - | ||||||
Class R3 | 177,982 | 64,996 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (27,217,820 | ) | (38,875,316 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | 3,886,066 | 45,885,825 | ||||||
Net assets | ||||||||
Beginning of year | 400,624,402 | 354,738,577 | ||||||
|
|
|
| |||||
End of year | $ | 404,510,468 | $ | 400,624,402 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 2,071,915 | $ | 2,261,714 | ||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
228
Table of Contents
MassMutual Premier International Equity Fund | MassMutual Premier Focused International Fund | |||||||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||
$ | 5,517,442 | $ | 7,157,963 | $ | 3,098,427 | $ | 1,933,339 | |||||||
85,853,533 | 42,000,213 | 10,499,658 | 3,122,104 | |||||||||||
(91,999,973 | ) | 68,731,235 | (10,171,314 | ) | 5,496,276 | |||||||||
|
|
|
|
|
|
|
| |||||||
(628,998 | ) | 117,889,411 | 3,426,771 | 10,551,719 | ||||||||||
|
|
|
|
|
|
|
| |||||||
- | ** | - | (1,536,642 | ) | (1,063,618 | ) | ||||||||
(5,193,011 | ) | (5,786,543 | ) | (68,822 | ) | (513,418 | ) | |||||||
(343,831 | ) | (321,754 | ) | (35,833 | ) | (100,077 | ) | |||||||
(191,461 | ) | (212,882 | ) | (30,635 | ) | (89,498 | ) | |||||||
(433,471 | ) | (503,389 | ) | (117,458 | ) | (191,242 | ) | |||||||
- | ** | - | (6,627 | ) | (7,648 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(6,161,774 | ) | (6,824,568 | ) | (1,796,017 | ) | (1,965,501 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(37,123,944 | ) | (12,314,694 | ) | - | - | |||||||||
(2,463,445 | ) | (696,090 | ) | - | - | |||||||||
(1,591,080 | ) | (499,651 | ) | - | - | |||||||||
(4,701,446 | ) | (1,496,537 | ) | - | - | |||||||||
- | ** | - | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
(45,879,915 | ) | (15,006,972 | ) | - | - | |||||||||
|
|
|
|
|
|
|
| |||||||
69,210,436 | ** | - | (69,839,654 | ) | 12,360,280 | |||||||||
(55,985,347 | ) | (30,655,748 | ) | (2,511,521 | ) | (29,751,796 | ) | |||||||
206,985 | (37,831 | ) | (2,911,106 | ) | (5,785,553 | ) | ||||||||
2,156,817 | (278,031 | ) | (2,108,589 | ) | (3,617,348 | ) | ||||||||
2,659,990 | 256,543 | (5,620,198 | ) | (8,819,128 | ) | |||||||||
100,000 | - | 100,000 | - | |||||||||||
100,000 | ** | - | 10,233 | (83,149 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
18,448,881 | (30,715,067 | ) | (82,880,835 | ) | (35,696,694 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(34,221,806 | ) | 65,342,804 | (81,250,081 | ) | (27,110,476 | ) | ||||||||
545,400,996 | 480,058,192 | 117,293,933 | 144,404,409 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$511,179,190 | $ | 545,400,996 | $ | 36,043,852 | $ | 117,293,933 | ||||||||
|
|
|
|
|
|
|
| |||||||
$ | 5,167,953 | | $ | 5,385,929 | $ | 3,051,529 | $ | 1,781,734 | ||||||
|
|
|
|
|
|
|
|
229
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Strategic Emerging Markets Fund | ||||||||
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 907,001 | $ | 1,707,402 | ||||
Net realized gain (loss) on investment transactions | 8,816,305 | (11,143,478 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (3,590,885 | ) | 6,337,483 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 6,132,421 | (3,098,593 | ) | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (1,494,775 | ) | (1,094,858 | ) | ||||
Class R5 | (81,186 | ) | (47,848 | ) | ||||
Service Class | (2,132 | ) | (1,277 | ) | ||||
Administrative Class | (926 | ) | (441 | ) | ||||
Class A | (2,112 | ) | - | |||||
|
|
|
| |||||
Total distributions from net investment income | (1,581,131 | ) | (1,144,424 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 20,861,000 | (15,339,014 | ) | |||||
Class R5 | 1,598,065 | 1,132,650 | ||||||
Service Class | 42,230 | 8,794 | ||||||
Administrative Class | 278,013 | 38,107 | ||||||
Class A | 153,216 | (35,247 | ) | |||||
Class R4** | 100,000 | - | ||||||
Class R3** | 100,000 | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 23,132,524 | (14,194,710 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 27,683,814 | (18,437,727 | ) | |||||
Net assets | ||||||||
Beginning of year | 123,110,866 | 141,548,593 | ||||||
|
|
|
| |||||
End of year | $ | 150,794,680 | $ | 123,110,866 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 603,246 | $ | 1,386,727 | ||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
230
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
For the Year Ended September 30, 2014
MassMutual Premier Inflation-Protected and Income Fund | ||||
Cash flows from operating activities: | ||||
Net increase (decrease) in net assets resulting from operations | $ | 4,234,435 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (364,845,801 | ) | ||
Investments sold | 278,473,833 | |||
(Increase) decrease to the principal amount of inflation-indexed bonds | (5,601,933 | ) | ||
(Purchase) Sale of short-term investments, net | (592,700 | ) | ||
Amortization (accretion) of discount and premium, net | 2,072,633 | |||
(Increase) Decrease in receivable from interest and dividends | 68,585 | |||
(Increase) Decrease in receivable from investment adviser | 32,060 | |||
(Increase) Decrease in prepaid expenses | (12,353 | ) | ||
Increase (Decrease) in payable for Trustees' fees and expenses | 8,745 | |||
Increase (Decrease) in payable for investment management fees | (6,403 | ) | ||
Increase (Decrease) in payable for administration fees | (15,349 | ) | ||
Increase (Decrease) in payable for service fees | (2,654 | ) | ||
Increase (Decrease) in payable for distribution fees | 133 | |||
Increase (Decrease) in payable for shareholder service fees | 8,302 | |||
Increase (Decrease) in variation margin receivable on open derivative instruments | (56,789 | ) | ||
Increase (Decrease) in payable for accrued expenses and other liabilities | (16,655 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 3,066,476 | |||
Net realized (gain) loss from investments | (1,247,346 | ) | ||
|
| |||
Net cash from (used in) operating activities | (84,432,781 | ) | ||
|
| |||
Cash flows from (used in) financing activities: | ||||
Proceeds from shares sold | 120,849,283 | |||
Payment on shares redeemed | (85,991,592 | ) | ||
Cash distributions paid | (340 | ) | ||
Proceeds from reverse repurchase agreements | (88,138,352 | ) | ||
Repayment of reverse repurchase agreements | 143,740,112 | |||
Increase (Decrease) in collateral held for reverse repurchase agreements | (5,505,408 | ) | ||
Increase (Decrease) in payable for interest for reverse repurchase agreements | 35,575 | |||
|
| |||
Net cash from (used in) financing activities | 84,989,278 | |||
|
| |||
Net increase (decrease) in cash | 556,497 | |||
(Due to custodian) at beginning of year | (556,495 | ) | ||
|
| |||
Cash at end of year | $ | 2 | ||
|
| |||
Non cash financing activities not included herein consist of: | ||||
Reinvestment of all distributions | $ | 15,397,989 | ||
Cash paid out for interest on reverse repurchase agreements | $ | 354,078 |
The accompanying notes are an integral part of the financial statements.
231
Table of Contents
MassMutual Premier Money Market Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 1.00 | $ | 0.00 | d | $ | 0.00 | d | $ | 0.00 | d | $ | (0.00 | )d | $ | (0.00 | )d | $ | 1.00 | 0.00% | e | $ | 474,520 | 0.48% | 0.12% | 0.00% | e | |||||||||||||||||||||
09/30/13 | 1.00 | 0.00 | d | (0.00 | )d | 0.00 | d | (0.00 | )d | (0.00 | )d | 1.00 | 0.01% | 152,076 | 0.45% | 0.15% | 0.01% | |||||||||||||||||||||||||||||||
09/30/12i | 1.00 | 0.00 | d | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | 1.00 | 0.00% | b,e | 162,906 | 0.46% | a | 0.16% | a | 0.00% | a,e | |||||||||||||||||||||||||||
10/31/11 | 1.00 | 0.00 | d | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | 1.00 | 0.00% | e | 189,764 | 0.46% | 0.20% | 0.00% | e | |||||||||||||||||||||||||||||
10/31/10 | 1.00 | 0.00 | d | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | 1.00 | 0.00% | e | 221,083 | 0.46% | 0.25% | 0.00% | e | |||||||||||||||||||||||||||||
10/31/09 | 1.00 | 0.00 | d | (0.00 | )d | 0.00 | d | (0.00 | )d | (0.00 | )d | 1.00 | 0.40% | 299,832 | 0.49% | 0.45% | 0.41% |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
e | Amount is less than 0.005%. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
The accompanying notes are an integral part of the financial statements.
232
Table of Contents
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Table of Contents
MassMutual Premier Short-Duration Bond Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.57 | $ | 0.17 | $ | (0.01 | ) | $ | 0.16 | $ | (0.23 | ) | $ | - | $ | (0.23 | ) | $ | 10.50 | 1.46% | $ | 193,155 | 0.44% | 0.37% | 1.62% | |||||||||||||||||||||||||||
09/30/13 | 10.77 | 0.18 | (0.02 | ) | 0.16 | (0.23 | ) | (0.13 | ) | (0.36 | ) | 10.57 | 1.62% | 188,114 | 0.50% | 0.36% | 1.68% | |||||||||||||||||||||||||||||||||||
09/30/12i | 10.87 | 0.18 | 0.16 | 0.34 | (0.22 | ) | (0.22 | ) | (0.44 | ) | 10.77 | 3.20% | b | 134,803 | 0.51% | a | 0.37% | a | 1.83% | a | ||||||||||||||||||||||||||||||||
10/31/11g | 10.86 | 0.20 | 0.13 | 0.33 | (0.25 | ) | (0.07 | ) | (0.32 | ) | 10.87 | 3.05% | b | 137,464 | 0.52% | a | 0.37% | a | 2.07% | a | ||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.59 | $ | 0.15 | $ | (0.01 | ) | $ | 0.14 | $ | (0.21 | ) | $ | - | $ | (0.21 | ) | $ | 10.52 | 1.36% | $ | 179,221 | 0.59% | 0.52% | 1.47% | |||||||||||||||||||||||||||
09/30/13 | 10.79 | 0.16 | (0.02 | ) | 0.14 | (0.21 | ) | (0.13 | ) | (0.34 | ) | 10.59 | 1.43% | 196,790 | 0.69% | 0.55% | 1.48% | |||||||||||||||||||||||||||||||||||
09/30/12i | 10.88 | 0.16 | 0.16 | 0.32 | (0.19 | ) | (0.22 | ) | (0.41 | ) | 10.79 | 2.91% | b | 158,361 | 0.70% | a | 0.56% | a | 1.64% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 10.93 | 0.20 | 0.05 | 0.25 | (0.23 | ) | (0.07 | ) | (0.30 | ) | 10.88 | 2.38% | 155,719 | 0.67% | 0.55% | 1.86% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 10.64 | 0.29 | 0.34 | 0.63 | (0.34 | ) | - | (0.34 | ) | 10.93 | 6.10% | 190,062 | 0.56% | N/A | 2.72% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.79 | 0.41 | 0.94 | 1.35 | (0.50 | ) | - | (0.50 | ) | 10.64 | 14.34% | 143,114 | 0.56% | N/A | 4.13% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.53 | $ | 0.15 | $ | (0.02 | ) | $ | 0.13 | $ | (0.21 | ) | $ | - | $ | (0.21 | ) | $ | 10.45 | 1.25% | $ | 75,423 | 0.66% | 0.59% | 1.40% | |||||||||||||||||||||||||||
09/30/13 | 10.72 | 0.15 | (0.01 | ) | 0.14 | (0.20 | ) | (0.13 | ) | (0.33 | ) | 10.53 | 1.33% | 75,944 | 0.74% | 0.60% | 1.43% | |||||||||||||||||||||||||||||||||||
09/30/12i | 10.82 | 0.15 | 0.16 | 0.31 | (0.19 | ) | (0.22 | ) | (0.41 | ) | 10.72 | 2.93% | b | 79,985 | 0.75% | a | 0.61% | a | 1.59% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 10.87 | 0.19 | 0.05 | 0.24 | (0.22 | ) | (0.07 | ) | (0.29 | ) | 10.82 | 2.30% | 75,045 | 0.73% | 0.60% | 1.80% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 10.58 | 0.28 | 0.35 | 0.63 | (0.34 | ) | - | (0.34 | ) | 10.87 | 6.11% | 59,027 | 0.61% | N/A | 2.69% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.74 | 0.39 | 0.95 | 1.34 | (0.50 | ) | - | (0.50 | ) | 10.58 | 14.36% | 56,552 | 0.61% | N/A | 3.90% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 90 | % | 146 | % | 349 | % | 384 | % | 332 | % | 232 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
g | For the period December 3, 2010 (commencement of operations) through October 31, 2011. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
234
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.49 | $ | 0.14 | $ | (0.02 | ) | $ | 0.12 | $ | (0.20 | ) | $ | - | $ | (0.20 | ) | $ | 10.41 | 1.19% | $ | 42,999 | 0.75% | 0.68% | 1.31% | |||||||||||||||||||||||||||
09/30/13 | 10.69 | 0.14 | (0.01 | ) | 0.13 | (0.20 | ) | (0.13 | ) | (0.33 | ) | 10.49 | 1.27% | 48,954 | 0.82% | 0.68% | 1.36% | |||||||||||||||||||||||||||||||||||
09/30/12i | 10.74 | 0.15 | 0.16 | 0.31 | (0.14 | ) | (0.22 | ) | (0.36 | ) | 10.69 | 2.87% | b | 37,298 | 0.83% | a | 0.69% | a | 1.51% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 10.80 | 0.18 | 0.05 | 0.23 | (0.22 | ) | (0.07 | ) | (0.29 | ) | 10.74 | 2.18% | 44,760 | 0.80% | 0.68% | 1.72% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 10.52 | 0.27 | 0.34 | 0.61 | (0.33 | ) | - | (0.33 | ) | 10.80 | 5.95% | 125,719 | 0.76% | 0.69% | 2.60% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.68 | 0.39 | 0.93 | 1.32 | (0.48 | ) | - | (0.48 | ) | 10.52 | 14.19% | 114,790 | 0.76% | 0.69% | 4.01% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.41 | $ | 0.11 | $ | (0.01 | ) | $ | 0.10 | $ | (0.17 | ) | $ | - | $ | (0.17 | ) | $ | 10.34 | 0.88% | $ | 77,196 | 1.00% | 0.93% | 1.06% | |||||||||||||||||||||||||||
09/30/13 | 10.62 | 0.12 | (0.02 | ) | 0.10 | (0.18 | ) | (0.13 | ) | (0.31 | ) | 10.41 | 0.99% | 74,711 | 1.07% | 0.93% | 1.11% | |||||||||||||||||||||||||||||||||||
09/30/12i | 10.71 | 0.12 | 0.16 | 0.28 | (0.15 | ) | (0.22 | ) | (0.37 | ) | 10.62 | 2.66% | b | 71,031 | 1.08% | a | 0.94% | a | 1.26% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 10.76 | 0.16 | 0.05 | 0.21 | (0.19 | ) | (0.07 | ) | (0.26 | ) | 10.71 | 2.02% | 69,635 | 1.06% | 0.93% | 1.48% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 10.48 | 0.24 | 0.34 | 0.58 | (0.30 | ) | - | (0.30 | ) | 10.76 | 5.70% | 98,198 | 1.01% | 0.94% | 2.32% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.65 | 0.36 | 0.93 | 1.29 | (0.46 | ) | - | (0.46 | ) | 10.48 | 13.99% | 68,067 | 1.01% | 0.94% | 3.67% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 10.45 | $ | 0.06 | $ | (0.01 | ) | $ | 0.05 | $ | - | $ | - | $ | - | $ | 10.50 | 0.48% | b | $ | 100 | 0.84% | a | N/A | 1.22% | a | ||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.44 | $ | 0.09 | $ | (0.02 | ) | $ | 0.07 | $ | (0.05 | ) | $ | - | $ | (0.05 | ) | $ | 10.46 | 0.72% | $ | 618 | 1.23% | 1.16% | 0.82% | |||||||||||||||||||||||||||
09/30/13 | 10.49 | 0.08 | - | 0.08 | - | (0.13 | ) | (0.13 | ) | 10.44 | 0.74% | 1,251 | 1.37% | 1.23% | 0.81% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 10.60 | 0.09 | 0.15 | 0.24 | (0.13 | ) | (0.22 | ) | (0.35 | ) | 10.49 | 2.29% | b | 944 | 1.38% | a | 1.24% | a | 0.93% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 10.66 | 0.12 | 0.06 | 0.18 | (0.17 | ) | (0.07 | ) | (0.24 | ) | 10.60 | 1.67% | 8,835 | 1.36% | 1.23% | 1.18% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 10.42 | 0.21 | 0.33 | 0.54 | (0.30 | ) | - | (0.30 | ) | 10.66 | 5.33% | 7,997 | 1.31% | 1.24% | 2.03% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.58 | 0.33 | 0.93 | 1.26 | (0.42 | ) | - | (0.42 | ) | 10.42 | 13.72% | 4,408 | 1.31% | 1.24% | 3.38% |
235
Table of Contents
MassMutual Premier Inflation-Protected and Income Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m |
Net | Ratio of expenses to average daily net assets before expense waiversn | Ratio of expenses to average daily net assets after expense waiversj,n | Interest expense to average daily net assets p | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.00 | $ | 0.26 | $ | (0.08 | ) | $ | 0.18 | $ | (0.26 | ) | $ | (0.36 | ) | $ | (0.62 | ) | $ | 10.56 | 1.79% | $ | 160,396 | 0.64% | 0.58% | 0.13% | 2.42% | |||||||||||||||||||||||||||||||
09/30/13 | 12.22 | 0.28 | (0.99 | ) | (0.71 | ) | (0.40 | ) | (0.11 | ) | (0.51 | ) | 11.00 | (6.12% | ) | 115,192 | 0.77% | 0.64% | 0.20% | 2.43% | ||||||||||||||||||||||||||||||||||||||
09/30/12i | 11.91 | 0.23 | 0.59 | 0.82 | (0.51 | ) | - | (0.51 | ) | 12.22 | 7.12% | b | 124,528 | 0.79% | a | 0.66% | a | 0.21% | a | 2.10% | a | |||||||||||||||||||||||||||||||||||||
10/31/11h | 10.67 | 0.30 | 0.94 | 1.24 | - | - | - | 11.91 | 11.62% | b | 101,708 | 0.74% | a | 0.60% | a | 0.15% | a | 3.88% | a | |||||||||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.99 | $ | 0.24 | $ | (0.07 | ) | $ | 0.17 | $ | (0.24 | ) | $ | (0.36 | ) | $ | (0.60 | ) | $ | 10.56 | 1.62% | $ | 57,910 | 0.75% | 0.69% | 0.13% | 2.30% | |||||||||||||||||||||||||||||||
09/30/13 | 12.22 | 0.27 | (1.00 | ) | (0.73 | ) | (0.39 | ) | (0.11 | ) | (0.50 | ) | 10.99 | (6.22% | ) | 56,344 | 0.88% | 0.75% | 0.20% | 2.29% | ||||||||||||||||||||||||||||||||||||||
09/30/12i | 11.90 | 0.21 | 0.60 | 0.81 | (0.49 | ) | - | (0.49 | ) | 12.22 | 7.02% | b | 75,714 | 0.90% | a | 0.77% | a | 0.21% | a | 1.96% | a | |||||||||||||||||||||||||||||||||||||
10/31/11 | 11.30 | 0.53 | 0.43 | 0.96 | (0.36 | ) | - | (0.36 | ) | 11.90 | 8.99% | 89,413 | 0.83% | 0.73% | 0.17% | 4.79% | ||||||||||||||||||||||||||||||||||||||||||
10/31/10 | 10.29 | 0.36 | 0.70 | 1.06 | (0.05 | ) | - | (0.05 | ) | 11.30 | 10.28% | 92,808 | 0.73% | N/A | 0.17% | 3.36% | ||||||||||||||||||||||||||||||||||||||||||
10/31/09 | 9.51 | (0.03 | ) | 1.58 | 1.55 | (0.77 | ) | - | (0.77 | ) | 10.29 | 16.82% | 92,457 | 0.63% | N/A | 0.07% | (0.29% | ) | ||||||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.96 | $ | 0.23 | $ | (0.08 | ) | $ | 0.15 | $ | (0.23 | ) | $ | (0.36 | ) | $ | (0.59 | ) | $ | 10.52 | 1.54% | $ | 77,120 | 0.85% | 0.79% | 0.13% | 2.16% | |||||||||||||||||||||||||||||||
09/30/13 | 12.18 | 0.26 | (1.00 | ) | (0.74 | ) | (0.37 | ) | (0.11 | ) | (0.48 | ) | 10.96 | (6.35% | ) | 82,273 | 0.98% | 0.85% | 0.20% | 2.20% | ||||||||||||||||||||||||||||||||||||||
09/30/12i | 11.87 | 0.21 | 0.58 | 0.79 | (0.48 | ) | - | (0.48 | ) | 12.18 | 6.90% | b | 95,417 | 1.00% | a | 0.87% | a | 0.21% | a | 1.94% | a | |||||||||||||||||||||||||||||||||||||
10/31/11 | 11.27 | 0.48 | 0.47 | 0.95 | (0.35 | ) | - | (0.35 | ) | 11.87 | 8.80% | 80,118 | 0.92% | 0.84% | 0.18% | 4.36% | ||||||||||||||||||||||||||||||||||||||||||
10/31/10 | 10.27 | 0.34 | 0.71 | 1.05 | (0.05 | ) | - | (0.05 | ) | 11.27 | 10.22% | 95,864 | 0.83% | N/A | 0.17% | 3.24% | ||||||||||||||||||||||||||||||||||||||||||
10/31/09 | 9.50 | (0.02 | ) | 1.55 | 1.53 | (0.76 | ) | - | (0.76 | ) | 10.27 | 16.74% | 96,117 | 0.72% | N/A | 0.07% | (0.24% | ) |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 65 | % | 56 | % | 29 | % | 46 | % | 41 | % | 35 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
h | For the period March 1, 2011 (commencement of operations) through October 31, 2011. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
n | Includes interest expense. |
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. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
236
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m |
Net | Ratio of expenses to average daily net assets before expense waiversn | Ratio of expenses to average daily net assets after expense waiversj,n | Interest expense to average daily net assets p | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.06 | $ | 0.23 | $ | (0.09 | ) | $ | 0.14 | $ | (0.22 | ) | $ | (0.36 | ) | $ | (0.58 | ) | $ | 10.62 | 1.42% | $ | 10,584 | 0.92% | 0.86% | 0.13% | 2.15% | |||||||||||||||||||||||||||||||
09/30/13 | 12.28 | 0.24 | (0.99 | ) | (0.75 | ) | (0.36 | ) | (0.11 | ) | (0.47 | ) | 11.06 | (6.46% | ) | 10,183 | 1.10% | 0.97% | 0.20% | 2.08% | ||||||||||||||||||||||||||||||||||||||
09/30/12i | 11.84 | 0.19 | 0.59 | 0.78 | (0.34 | ) | - | (0.34 | ) | 12.28 | 6.78% | b | 9,466 | 1.15% | a | 1.02% | a | 0.21% | a | 1.78% | a | |||||||||||||||||||||||||||||||||||||
10/31/11 | 11.24 | 0.56 | 0.37 | 0.93 | (0.33 | ) | - | (0.33 | ) | 11.84 | 8.64% | 6,301 | 1.07% | 0.99% | 0.18% | 5.15% | ||||||||||||||||||||||||||||||||||||||||||
10/31/10 | 10.25 | 0.33 | 0.69 | 1.02 | (0.03 | ) | - | (0.03 | ) | 11.24 | 9.97% | 40,205 | 0.98% | N/A | 0.17% | 3.12% | ||||||||||||||||||||||||||||||||||||||||||
10/31/09 | 9.47 | (0.05 | ) | 1.56 | 1.51 | (0.73 | ) | - | (0.73 | ) | 10.25 | 16.63% | 36,760 | 0.87% | N/A | 0.07% | (0.53% | ) | ||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.80 | $ | 0.19 | $ | (0.08 | ) | $ | 0.11 | $ | (0.19 | ) | $ | (0.36 | ) | $ | (0.55 | ) | $ | 10.36 | 1.16% | $ | 26,054 | 1.18% | 1.11% | 0.13% | 1.79% | |||||||||||||||||||||||||||||||
09/30/13 | 12.00 | 0.22 | (0.98 | ) | (0.76 | ) | (0.33 | ) | (0.11 | ) | (0.44 | ) | 10.80 | (6.62% | ) | 28,778 | 1.28% | 1.15% | 0.20% | 1.93% | ||||||||||||||||||||||||||||||||||||||
09/30/12i | 11.70 | 0.17 | 0.58 | 0.75 | (0.45 | ) | - | (0.45 | ) | 12.00 | 6.65% | b | 38,957 | 1.30% | a | 1.17% | a | 0.21% | a | 1.62% | a | |||||||||||||||||||||||||||||||||||||
10/31/11 | 11.11 | 0.45 | 0.45 | 0.90 | (0.31 | ) | - | (0.31 | ) | 11.70 | 8.50% | 37,528 | 1.26% | 1.14% | 0.18% | 4.10% | ||||||||||||||||||||||||||||||||||||||||||
10/31/10 | 10.13 | 0.31 | 0.69 | 1.00 | (0.02 | ) | - | (0.02 | ) | 11.11 | 9.84% | 36,493 | 1.23% | 1.13% | 0.17% | 2.94% | ||||||||||||||||||||||||||||||||||||||||||
10/31/09 | 9.38 | (0.04 | ) | 1.52 | 1.48 | (0.73 | ) | - | (0.73 | ) | 10.13 | 16.40% | 38,645 | 1.12% | 1.02% | 0.07% | (0.42% | ) | ||||||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 10.22 | $ | 0.16 | $ | (0.01 | ) | $ | 0.15 | $ | - | $ | - | $ | - | $ | 10.37 | 1.47% | b | $ | 101 | 1.03% | a | N/A | 0.13% | a | 3.03% | a | ||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.82 | $ | 0.17 | $ | (0.09 | ) | $ | 0.08 | $ | (0.17 | ) | $ | (0.36 | ) | $ | (0.53 | ) | $ | 10.37 | 0.93% | $ | 1,593 | 1.40% | 1.33% | 0.13% | 1.66% | |||||||||||||||||||||||||||||||
09/30/13 | 12.04 | 0.18 | (0.97 | ) | (0.79 | ) | (0.32 | ) | (0.11 | ) | (0.43 | ) | 10.82 | (6.84% | ) | 1,404 | 1.59% | 1.46% | 0.20% | 1.59% | ||||||||||||||||||||||||||||||||||||||
09/30/12i | 11.76 | 0.14 | 0.58 | 0.72 | (0.44 | ) | - | (0.44 | ) | 12.04 | 6.27% | b | 1,155 | 1.60% | a | 1.47% | a | 0.21% | a | 1.27% | a | |||||||||||||||||||||||||||||||||||||
10/31/11 | 11.18 | 0.43 | 0.45 | 0.88 | (0.30 | ) | - | (0.30 | ) | 11.76 | 8.16% | 664 | 1.56% | 1.43% | 0.17% | 3.85% | ||||||||||||||||||||||||||||||||||||||||||
10/31/10 | 10.20 | 0.28 | 0.70 | 0.98 | - | - | - | 11.18 | 9.61% | 384 | 1.52% | 1.42% | 0.17% | 2.63% | ||||||||||||||||||||||||||||||||||||||||||||
10/31/09 | 9.43 | (0.03 | ) | 1.49 | 1.46 | (0.69 | ) | - | (0.69 | ) | 10.20 | 16.05% | 260 | 1.42% | 1.32% | 0.07% | (0.24% | ) |
237
Table of Contents
MassMutual Premier Core Bond Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.27 | $ | 0.29 | $ | 0.25 | $ | 0.54 | $ | (0.38 | ) | $ | - | $ | (0.38 | ) | $ | 11.43 | 4.92% | $ | 620,248 | 0.49% | 0.40% | 2.59% | ||||||||||||||||||||||||||||
09/30/13 | 11.88 | 0.28 | (0.36 | ) | (0.08 | ) | (0.29 | ) | (0.24 | ) | (0.53 | ) | 11.27 | (0.70% | ) | 485,302 | 0.56% | 0.38% | 2.48% | |||||||||||||||||||||||||||||||||
09/30/12i | 11.66 | 0.25 | 0.49 | 0.74 | (0.27 | ) | (0.25 | ) | (0.52 | ) | 11.88 | 6.63% | b | 518,536 | 0.56% | a | 0.38% | a | 2.39% | a | ||||||||||||||||||||||||||||||||
10/31/11g | 11.67 | 0.28 | 0.41 | 0.69 | (0.34 | ) | (0.36 | ) | (0.70 | ) | 11.66 | 6.32% | b | 316,018 | 0.58% | a | 0.40% | a | 2.65% | a | ||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.27 | $ | 0.27 | $ | 0.26 | $ | 0.53 | $ | (0.35 | ) | $ | - | $ | (0.35 | ) | $ | 11.45 | 4.72% | $ | 511,202 | 0.64% | 0.55% | 2.43% | ||||||||||||||||||||||||||||
09/30/13 | 11.89 | 0.26 | (0.37 | ) | (0.11 | ) | (0.27 | ) | (0.24 | ) | (0.51 | ) | 11.27 | (0.81% | ) | 516,103 | 0.77% | 0.59% | 2.25% | |||||||||||||||||||||||||||||||||
09/30/12i | 11.66 | 0.23 | 0.49 | 0.72 | (0.24 | ) | (0.25 | ) | (0.49 | ) | 11.89 | 6.35% | b | 728,293 | 0.77% | a | 0.59% | a | 2.19% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 11.83 | 0.28 | 0.24 | 0.52 | (0.33 | ) | (0.36 | ) | (0.69 | ) | 11.66 | 4.79% | 799,669 | 0.74% | 0.59% | 2.47% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 11.26 | 0.34 | 0.63 | 0.97 | (0.40 | ) | - | (0.40 | ) | 11.83 | 8.89% | 789,543 | 0.60% | N/A | 3.00% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 10.16 | 0.45 | 1.33 | 1.78 | (0.59 | ) | (0.09 | ) | (0.68 | ) | 11.26 | 18.53% | 650,768 | 0.60% | N/A | 4.26% | ||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.22 | $ | 0.27 | $ | 0.24 | $ | 0.51 | $ | (0.35 | ) | $ | - | $ | (0.35 | ) | $ | 11.38 | 4.65% | $ | 166,094 | 0.71% | 0.63% | 2.36% | ||||||||||||||||||||||||||||
09/30/13 | 11.83 | 0.25 | (0.36 | ) | (0.11 | ) | (0.26 | ) | (0.24 | ) | (0.50 | ) | 11.22 | (0.94% | ) | 143,460 | 0.82% | 0.64% | 2.21% | |||||||||||||||||||||||||||||||||
09/30/12i | 11.61 | 0.23 | 0.48 | 0.71 | (0.24 | ) | (0.25 | ) | (0.49 | ) | 11.83 | 6.34% | b | 162,692 | 0.82% | a | 0.64% | a | 2.14% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 11.78 | 0.27 | 0.25 | 0.52 | (0.33 | ) | (0.36 | ) | (0.69 | ) | 11.61 | 4.75% | 153,857 | 0.79% | 0.64% | 2.42% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 11.21 | 0.34 | 0.62 | 0.96 | (0.39 | ) | - | (0.39 | ) | 11.78 | 8.88% | 160,114 | 0.65% | N/A | 2.96% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 10.12 | 0.44 | 1.32 | 1.76 | (0.58 | ) | (0.09 | ) | (0.67 | ) | 11.21 | 18.40% | 144,757 | 0.65% | N/A | 4.24% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 361 | % | 452 | % | 447 | % | 539 | % | 463 | % | 333 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
g | For the period December 3, 2010 (commencement of operations) through October 31, 2011. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
238
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.16 | $ | 0.25 | $ | 0.25 | $ | 0.50 | $ | (0.34 | ) | $ | - | $ | (0.34 | ) | $ | 11.32 | 4.60% | $ | 70,975 | 0.81% | 0.71% | 2.27% | ||||||||||||||||||||||||||||
09/30/13 | 11.77 | 0.24 | (0.36 | ) | (0.12 | ) | (0.25 | ) | (0.24 | ) | (0.49 | ) | 11.16 | (1.03% | ) | 80,694 | 0.89% | 0.71% | 2.15% | |||||||||||||||||||||||||||||||||
09/30/12i | 11.53 | 0.22 | 0.48 | 0.70 | (0.21 | ) | (0.25 | ) | (0.46 | ) | 11.77 | 6.28% | b | 91,405 | 0.89% | a | 0.71% | a | 2.07% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 11.70 | 0.26 | 0.25 | 0.51 | (0.32 | ) | (0.36 | ) | (0.68 | ) | 11.53 | 4.70% | 91,457 | 0.86% | 0.71% | 2.35% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 11.15 | 0.33 | 0.61 | 0.94 | (0.39 | ) | - | (0.39 | ) | 11.70 | 8.67% | 217,513 | 0.79% | 0.71% | 2.89% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 10.06 | 0.43 | 1.33 | 1.76 | (0.58 | ) | (0.09 | ) | (0.67 | ) | 11.15 | 18.41% | 211,250 | 0.80% | 0.72% | 4.19% | ||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.04 | $ | 0.22 | $ | 0.25 | $ | 0.47 | $ | (0.31 | ) | $ | - | $ | (0.31 | ) | $ | 11.20 | 4.25% | $ | 174,618 | 1.05% | 0.96% | 2.02% | ||||||||||||||||||||||||||||
09/30/13 | 11.65 | 0.21 | (0.36 | ) | (0.15 | ) | (0.22 | ) | (0.24 | ) | (0.46 | ) | 11.04 | (1.20% | ) | 180,654 | 1.14% | 0.96% | 1.90% | |||||||||||||||||||||||||||||||||
09/30/12i | 11.44 | 0.19 | 0.48 | 0.67 | (0.21 | ) | (0.25 | ) | (0.46 | ) | 11.65 | 6.01% | b | 192,598 | 1.14% | a | 0.96% | a | 1.82% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 11.62 | 0.23 | 0.24 | 0.47 | (0.29 | ) | (0.36 | ) | (0.65 | ) | 11.44 | 4.39% | 201,638 | 1.12% | 0.96% | 2.10% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 11.07 | 0.29 | 0.62 | 0.91 | (0.36 | ) | - | (0.36 | ) | 11.62 | 8.47% | 206,416 | 1.05% | 0.97% | 2.64% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.99 | 0.40 | 1.32 | 1.72 | (0.55 | ) | (0.09 | ) | (0.64 | ) | 11.07 | 18.13% | 179,142 | 1.05% | 0.97% | 3.88% | ||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 10.95 | $ | 0.12 | $ | 0.13 | $ | 0.25 | $ | - | $ | - | $ | - | $ | 11.20 | 2.28% | b | $ | 102 | 0.86% | a | N/A | 2.08% | a | |||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.20 | $ | 0.20 | $ | 0.24 | $ | 0.44 | $ | (0.24 | ) | $ | - | $ | (0.24 | ) | $ | 11.40 | 4.02% | $ | 1,231 | 1.29% | 1.20% | 1.78% | ||||||||||||||||||||||||||||
09/30/13 | 11.83 | 0.18 | (0.36 | ) | (0.18 | ) | (0.21 | ) | (0.24 | ) | (0.45 | ) | 11.20 | (1.53% | ) | 1,742 | 1.46% | 1.28% | 1.59% | |||||||||||||||||||||||||||||||||
09/30/12i | 11.61 | 0.16 | 0.48 | 0.64 | (0.17 | ) | (0.25 | ) | (0.42 | ) | 11.83 | 5.72% | b | 1,555 | 1.46% | a | 1.28% | a | 1.49% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 11.78 | 0.20 | 0.25 | 0.45 | (0.26 | ) | (0.36 | ) | (0.62 | ) | 11.61 | 4.12% | 1,014 | 1.44% | 1.28% | 1.78% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 11.23 | 0.26 | 0.63 | 0.89 | (0.34 | ) | - | (0.34 | ) | 11.78 | 8.10% | 1,000 | 1.37% | 1.29% | 2.31% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.95 | 0.36 | 1.34 | 1.70 | (0.33 | ) | (0.09 | ) | (0.42 | ) | 11.23 | 17.65% | 714 | 1.37% | 1.29% | 3.46% |
239
Table of Contents
MassMutual Premier Diversified Bond Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.61 | $ | 0.29 | $ | 0.30 | $ | 0.59 | $ | (0.31 | ) | $ | (0.01 | ) | $ | (0.32 | ) | $ | 10.88 | 5.75% | $ | 5,659 | 0.59% | 0.51% | 2.68% | |||||||||||||||||||||||||||
09/30/13 | 11.24 | 0.37 | (0.22 | ) | 0.15 | (0.48 | ) | (0.30 | ) | (0.78 | ) | 10.61 | 1.36% | 0 | f | 0.66% | 0.48% | 3.44% | ||||||||||||||||||||||||||||||||||
09/30/12i | 11.08 | 0.29 | 0.63 | 0.92 | - | (0.76 | ) | (0.76 | ) | 11.24 | 8.84% | b | 0 | f | 0.67% | a | 0.50% | a | 2.90% | a | ||||||||||||||||||||||||||||||||
10/31/11g | 10.96 | 0.32 | 0.36 | 0.68 | (0.47 | ) | (0.09 | ) | (0.56 | ) | 11.08 | 6.56% | b | 0 | f | 0.64% | a | 0.47% | a | 3.22% | a | |||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 9.90 | $ | 0.26 | $ | 0.28 | $ | 0.54 | $ | (0.29 | ) | $ | (0.01 | ) | $ | (0.30 | ) | $ | 10.14 | 5.49% | $ | 68,204 | 0.69% | 0.59% | 2.59% | |||||||||||||||||||||||||||
09/30/13 | 10.57 | 0.29 | (0.25 | ) | 0.04 | (0.41 | ) | (0.30 | ) | (0.71 | ) | 9.90 | 0.40% | 37,501 | 0.86% | 0.69% | 2.83% | |||||||||||||||||||||||||||||||||||
09/30/12i | 11.07 | 0.28 | 0.48 | 0.76 | (0.50 | ) | (0.76 | ) | (1.26 | ) | 10.57 | 7.61% | b | 38,986 | 0.93% | a | 0.76% | a | 3.00% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 11.10 | 0.35 | 0.15 | 0.50 | (0.44 | ) | (0.09 | ) | (0.53 | ) | 11.07 | 4.85% | 31,390 | 0.85% | 0.72% | 3.25% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 10.73 | 0.37 | 0.58 | 0.95 | (0.58 | ) | - | (0.58 | ) | 11.10 | 9.31% | 53,298 | 0.71% | N/A | 3.51% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.69 | 0.44 | 1.24 | 1.68 | (0.62 | ) | (0.02 | ) | (0.64 | ) | 10.73 | 18.21% | 82,961 | 0.71% | N/A | 4.42% | ||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.00 | $ | 0.25 | $ | 0.28 | $ | 0.53 | $ | (0.28 | ) | $ | (0.01 | ) | $ | (0.29 | ) | $ | 10.24 | 5.37% | $ | 15,644 | 0.79% | 0.69% | 2.51% | |||||||||||||||||||||||||||
09/30/13 | 10.58 | 0.28 | (0.25 | ) | 0.03 | (0.31 | ) | (0.30 | ) | (0.61 | ) | 10.00 | 0.34% | 10,226 | 0.94% | 0.77% | 2.71% | |||||||||||||||||||||||||||||||||||
09/30/12i | 11.08 | 0.28 | 0.48 | 0.76 | (0.50 | ) | (0.76 | ) | (1.26 | ) | 10.58 | 7.62% | b | 34,732 | 0.98% | a | 0.81% | a | 2.96% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 11.12 | 0.35 | 0.14 | 0.49 | (0.44 | ) | (0.09 | ) | (0.53 | ) | 11.08 | 4.77% | 35,701 | 0.92% | 0.77% | 3.21% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 10.75 | 0.37 | 0.58 | 0.95 | (0.58 | ) | - | (0.58 | ) | 11.12 | 9.27% | 34,202 | 0.76% | N/A | 3.47% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.72 | 0.43 | 1.24 | 1.67 | (0.62 | ) | (0.02 | ) | (0.64 | ) | 10.75 | 18.18% | 35,473 | 0.76% | N/A | 4.28% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 382 | % | 438 | % | 463 | % | 566 | % | 465 | % | 322 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
f | Amount is less than $500. |
g | For the period December 3, 2010 (commencement of operations) through October 31, 2011. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
240
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 9.99 | $ | 0.24 | $ | 0.28 | $ | 0.52 | $ | (0.28 | ) | $ | (0.01 | ) | $ | (0.29 | ) | $ | 10.22 | 5.26% | $ | 22,159 | 0.89% | 0.79% | 2.41% | |||||||||||||||||||||||||||
09/30/13 | 10.67 | 0.28 | (0.25 | ) | 0.03 | (0.41 | ) | (0.30 | ) | (0.71 | ) | 9.99 | 0.26% | 13,271 | 0.97% | 0.80% | 2.73% | |||||||||||||||||||||||||||||||||||
09/30/12i | 11.03 | 0.28 | 0.48 | 0.76 | (0.36 | ) | (0.76 | ) | (1.12 | ) | 10.67 | 7.61% | b | 10,174 | 0.99% | a | 0.82% | a | 2.95% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 11.07 | 0.34 | 0.15 | 0.49 | (0.44 | ) | (0.09 | ) | (0.53 | ) | 11.03 | 4.74% | 11,093 | 0.92% | 0.78% | 3.19% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 10.70 | 0.37 | 0.58 | 0.95 | (0.58 | ) | - | (0.58 | ) | 11.07 | 9.29% | 103,653 | 0.92% | 0.77% | 3.45% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.67 | 0.42 | 1.25 | 1.67 | (0.62 | ) | (0.02 | ) | (0.64 | ) | 10.70 | 18.21% | 132,257 | 0.92% | 0.77% | 4.29% | ||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 9.94 | $ | 0.22 | $ | 0.27 | $ | 0.49 | $ | (0.25 | ) | $ | (0.01 | ) | $ | (0.26 | ) | $ | 10.17 | 5.04% | $ | 34,703 | 1.16% | 1.06% | 2.15% | |||||||||||||||||||||||||||
09/30/13 | 10.61 | 0.25 | (0.25 | ) | - | (0.37 | ) | (0.30 | ) | (0.67 | ) | 9.94 | (0.05% | ) | 32,005 | 1.22% | 1.05% | 2.47% | ||||||||||||||||||||||||||||||||||
09/30/12i | 11.09 | 0.26 | 0.48 | 0.74 | (0.46 | ) | (0.76 | ) | (1.22 | ) | 10.61 | 7.39% | b | 37,826 | 1.23% | a | 1.06% | a | 2.71% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 11.13 | 0.32 | 0.15 | 0.47 | (0.42 | ) | (0.09 | ) | (0.51 | ) | 11.09 | 4.49% | 37,674 | 1.18% | 1.02% | 2.96% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 10.76 | 0.34 | 0.58 | 0.92 | (0.55 | ) | - | (0.55 | ) | 11.13 | 9.00% | 48,810 | 1.16% | 1.01% | 3.21% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 9.72 | 0.37 | 1.28 | 1.65 | (0.59 | ) | (0.02 | ) | (0.61 | ) | 10.76 | 17.93% | 44,121 | 1.16% | 1.01% | 3.75% | ||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 9.93 | $ | 0.11 | $ | 0.14 | $ | 0.25 | $ | - | $ | - | $ | - | $ | 10.18 | 2.52% | b | $ | 102 | 1.00% | a | 0.97% | a | 2.12% | a | ||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 9.93 | $ | 0.09 | $ | 0.14 | $ | 0.23 | $ | - | $ | - | $ | - | $ | 10.16 | 2.32% | b | $ | 102 | 1.25% | a | 1.22% | a | 1.87% | a |
241
Table of Contents
MassMutual Premier High Yield Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.07 | $ | 0.68 | $ | 0.25 | $ | 0.93 | $ | (0.67 | ) | $ | (0.17 | ) | $ | (0.84 | ) | $ | 10.16 | 9.79% | $ | 105,460 | 0.57% | 0.52% | 6.68% | |||||||||||||||||||||||||||
09/30/13 | 9.78 | 0.70 | 0.30 | 1.00 | (0.71 | ) | - | (0.71 | ) | 10.07 | 10.75% | 99,457 | 0.60% | 0.50% | 7.09% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 9.19 | 0.64 | 0.53 | 1.17 | (0.58 | ) | - | (0.58 | ) | 9.78 | 13.58% | b | 101,547 | 0.59% | a | 0.49% | a | 7.59% | a | |||||||||||||||||||||||||||||||||
10/31/11h | 9.06 | 0.45 | (0.32 | ) | 0.13 | - | - | - | 9.19 | 1.43% | b | 77,527 | 0.61% | a | 0.50% | a | 7.42% | a | ||||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.09 | $ | 0.66 | $ | 0.26 | $ | 0.92 | $ | (0.65 | ) | $ | (0.17 | ) | $ | (0.82 | ) | $ | 10.19 | 9.63% | $ | 39,737 | 0.72% | 0.67% | 6.52% | |||||||||||||||||||||||||||
09/30/13 | 9.80 | 0.68 | 0.30 | 0.98 | (0.69 | ) | - | (0.69 | ) | 10.09 | 10.51% | 31,341 | 0.80% | 0.70% | 6.86% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 9.17 | 0.62 | 0.52 | 1.14 | (0.51 | ) | - | (0.51 | ) | 9.80 | 13.22% | b | 22,723 | 0.80% | a | 0.70% | a | 7.37% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 9.52 | 0.67 | (0.15 | ) | 0.52 | (0.87 | ) | - | (0.87 | ) | 9.17 | 6.10% | 37,865 | 0.77% | 0.71% | 7.34% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 8.75 | 0.73 | 0.74 | 1.47 | (0.70 | ) | - | (0.70 | ) | 9.52 | 17.75% | 57,929 | 0.70% | N/A | 8.33% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.97 | 0.67 | 1.07 | 1.74 | (0.96 | ) | - | (0.96 | ) | 8.75 | 25.68% | 74,817 | 0.70% | N/A | 8.66% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.09 | $ | 0.65 | $ | 0.26 | $ | 0.91 | $ | (0.65 | ) | $ | (0.17 | ) | $ | (0.82 | ) | $ | 10.18 | 9.46% | $ | 61,150 | 0.80% | 0.75% | 6.45% | |||||||||||||||||||||||||||
09/30/13 | 9.80 | 0.67 | 0.31 | 0.98 | (0.69 | ) | - | (0.69 | ) | 10.09 | 10.56% | 58,569 | 0.85% | 0.75% | 6.82% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 9.20 | 0.62 | 0.53 | 1.15 | (0.55 | ) | - | (0.55 | ) | 9.80 | 13.23% | b | 57,111 | 0.85% | a | 0.75% | a | 7.33% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 9.55 | 0.66 | (0.14 | ) | 0.52 | (0.87 | ) | - | (0.87 | ) | 9.20 | 5.95% | 55,184 | 0.82% | 0.76% | 7.29% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 8.77 | 0.73 | 0.74 | 1.47 | (0.69 | ) | - | (0.69 | ) | 9.55 | 17.84% | 55,480 | 0.75% | N/A | 8.26% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.97 | 0.67 | 1.07 | 1.74 | (0.94 | ) | - | (0.94 | ) | 8.77 | 25.59% | 65,222 | 0.75% | N/A | 8.59% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 80 | % | 106 | % | 86 | % | 72 | % | 120 | % | 101 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
h | For the period March 1, 2011 (commencement of operations) through October 31, 2011. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
242
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 9.99 | $ | 0.64 | $ | 0.25 | $ | 0.89 | $ | (0.64 | ) | $ | (0.17 | ) | $ | (0.81 | ) | $ | 10.07 | 9.37% | $ | 22,802 | 0.92% | 0.87% | 6.33% | |||||||||||||||||||||||||||
09/30/13 | 9.72 | 0.65 | 0.31 | 0.96 | (0.69 | ) | - | (0.69 | ) | 9.99 | 10.40% | 14,288 | 1.00% | 0.90% | 6.66% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 9.13 | 0.60 | 0.53 | 1.13 | (0.54 | ) | - | (0.54 | ) | 9.72 | 12.98% | b | 8,886 | 1.00% | a | 0.90% | a | 7.17% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 9.48 | 0.64 | (0.14 | ) | 0.50 | (0.85 | ) | - | (0.85 | ) | 9.13 | 5.84% | 4,980 | 0.98% | 0.91% | 7.04% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 8.72 | 0.71 | 0.73 | 1.44 | (0.68 | ) | - | (0.68 | ) | 9.48 | 17.62% | 5,323 | 0.90% | N/A | 8.13% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.93 | 0.65 | 1.07 | 1.72 | (0.93 | ) | - | (0.93 | ) | 8.72 | 25.46% | 4,391 | 0.90% | N/A | 8.47% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 9.94 | $ | 0.61 | $ | 0.25 | $ | 0.86 | $ | (0.61 | ) | $ | (0.17 | ) | $ | (0.78 | ) | $ | 10.02 | 9.10% | $ | 33,597 | 1.17% | 1.12% | 6.08% | |||||||||||||||||||||||||||
09/30/13 | 9.66 | 0.63 | 0.29 | 0.92 | (0.64 | ) | - | (0.64 | ) | 9.94 | 10.09% | 31,490 | 1.25% | 1.15% | 6.43% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 9.07 | 0.58 | 0.52 | 1.10 | (0.51 | ) | - | (0.51 | ) | 9.66 | 12.78% | b | 41,525 | 1.25% | a | 1.15% | a | 6.95% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 9.42 | 0.62 | (0.14 | ) | 0.48 | (0.83 | ) | - | (0.83 | ) | 9.07 | 5.60% | 31,330 | 1.22% | 1.16% | 6.91% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 8.67 | 0.69 | 0.72 | 1.41 | (0.66 | ) | - | (0.66 | ) | 9.42 | 17.33% | 39,750 | 1.15% | N/A | 7.87% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.89 | 0.63 | 1.07 | 1.70 | (0.92 | ) | - | (0.92 | ) | 8.67 | 25.11% | 35,953 | 1.15% | N/A | 8.22% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 9.89 | $ | 0.31 | $ | (0.18 | ) | $ | 0.13 | $ | - | $ | - | $ | - | $ | 10.02 | 1.31% | b | $ | 101 | 1.01% | a | 1.00% | a | 6.05% | a | |||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 10.07 | $ | 0.59 | $ | 0.27 | $ | 0.86 | $ | (0.59 | ) | $ | (0.17 | ) | $ | (0.76 | ) | $ | 10.17 | 8.92% | $ | 726 | 1.39% | 1.34% | 5.84% | |||||||||||||||||||||||||||
09/30/13 | 9.78 | 0.60 | 0.31 | 0.91 | (0.62 | ) | - | (0.62 | ) | 10.07 | 9.69% | 727 | 1.55% | 1.45% | 6.10% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 9.17 | 0.56 | 0.53 | 1.09 | (0.48 | ) | - | (0.48 | ) | 9.78 | 12.55% | b | 526 | 1.55% | a | 1.45% | a | 6.64% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 9.51 | 0.61 | (0.16 | ) | 0.45 | (0.79 | ) | - | (0.79 | ) | 9.17 | 5.19% | 336 | 1.51% | 1.46% | 6.68% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 8.75 | 0.67 | 0.73 | 1.40 | (0.64 | ) | - | (0.64 | ) | 9.51 | 16.95% | 640 | 1.45% | N/A | 7.58% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.88 | 0.61 | 1.09 | 1.70 | (0.83 | ) | - | (0.83 | ) | 8.75 | 24.87% | 723 | 1.45% | N/A | 7.93% |
243
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MassMutual Premier Balanced Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 12.51 | $ | 0.12 | $ | 0.38 | $ | 0.50 | $ | - | $ | - | $ | - | $ | 13.01 | 4.00% | b | $ | 36,306 | 0.61% | a | 0.60% | a | 1.82% | a | ||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.38 | $ | 0.21 | $ | 1.25 | $ | 1.46 | $ | (0.21 | ) | $ | (0.63 | ) | $ | (0.84 | ) | $ | 13.00 | 12.33% | $ | 74,267 | 0.67% | 0.67%k | 1.69% | |||||||||||||||||||||||||||
09/30/13 | 11.34 | 0.21 | 1.04 | 1.25 | (0.21 | ) | - | (0.21 | ) | 12.38 | 11.17% | 106,661 | 0.64% | 0.63% | 1.78% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 10.34 | 0.20 | 1.02 | 1.22 | (0.22 | ) | - | (0.22 | ) | 11.34 | 12.12% | b | 100,521 | 0.65% | a | 0.63% | a | 1.99% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 9.95 | 0.19 | 0.39 | 0.58 | (0.19 | ) | - | (0.19 | ) | 10.34 | 5.88% | 97,350 | 0.67% | 0.65% | 1.85% | |||||||||||||||||||||||||||||||||||||
10/31/10 | 8.95 | 0.19 | 1.03 | 1.22 | (0.22 | ) | - | (0.22 | ) | 9.95 | 13.91% | 109,890 | 0.64% | 0.62% | 1.99% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 8.12 | 0.23 | 0.89 | 1.12 | (0.29 | ) | - | (0.29 | ) | 8.95 | 14.41% | 108,844 | 0.64% | 0.62% | 2.83% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.80 | $ | 0.21 | $ | 1.29 | $ | 1.50 | $ | (0.19 | ) | $ | (0.63 | ) | $ | (0.82 | ) | $ | 13.48 | 12.23% | $ | 11,914 | 0.80% | 0.80%k | 1.57% | |||||||||||||||||||||||||||
09/30/13 | 11.73 | 0.20 | 1.06 | 1.26 | (0.19 | ) | - | (0.19 | ) | 12.80 | 10.92% | 9,370 | 0.80% | 0.79% | 1.63% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 10.68 | 0.19 | 1.06 | 1.25 | (0.20 | ) | - | (0.20 | ) | 11.73 | 12.02% | b | 6,294 | 0.81% | a | 0.79% | a | 1.82% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 10.28 | 0.18 | 0.40 | 0.58 | (0.18 | ) | - | (0.18 | ) | 10.68 | 5.65% | 4,638 | 0.83% | 0.81% | 1.69% | |||||||||||||||||||||||||||||||||||||
10/31/10 | 9.24 | 0.18 | 1.07 | 1.25 | (0.21 | ) | - | (0.21 | ) | 10.28 | 13.74% | 4,268 | 0.80% | 0.78% | 1.80% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 8.37 | 0.21 | 0.93 | 1.14 | (0.27 | ) | - | (0.27 | ) | 9.24 | 14.20% | 2,061 | 0.80% | 0.78% | 2.58% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 192 | % | 242 | % | 228 | % | 272 | % | 243 | % | 215 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
k | Amount waived had no impact on the ratio of expenses to average daily net assets. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
244
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Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.41 | $ | 0.19 | $ | 1.25 | $ | 1.44 | $ | (0.18 | ) | $ | (0.63 | ) | $ | (0.81 | ) | $ | 13.04 | 12.09% | $ | 7,089 | 0.92% | 0.92%k | 1.46% | |||||||||||||||||||||||||||
09/30/13 | 11.38 | 0.17 | 1.04 | 1.21 | (0.18 | ) | - | (0.18 | ) | 12.41 | 10.69% | 3,603 | 0.95% | 0.94% | 1.47% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 10.29 | 0.16 | 1.03 | 1.19 | (0.10 | ) | - | (0.10 | ) | 11.38 | 11.80% | b | 3,234 | 0.96% | a | 0.94% | a | 1.65% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 9.91 | 0.16 | 0.39 | 0.55 | (0.17 | ) | - | (0.17 | ) | 10.29 | 5.61% | 818 | 0.96% | 0.94% | 1.56% | |||||||||||||||||||||||||||||||||||||
10/31/10 | 8.92 | 0.15 | 1.04 | 1.19 | (0.20 | ) | - | (0.20 | ) | 9.91 | 13.53% | 3,492 | 0.95% | 0.93% | 1.60% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 8.09 | 0.19 | 0.90 | 1.09 | (0.26 | ) | - | (0.26 | ) | 8.92 | 14.05% | 2,078 | 0.95% | 0.93% | 2.44% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.14 | $ | 0.15 | $ | 1.22 | $ | 1.37 | $ | (0.15 | ) | $ | (0.63 | ) | $ | (0.78 | ) | $ | 12.73 | 11.80% | $ | 34,260 | 1.18% | 1.17% | 1.18% | |||||||||||||||||||||||||||
09/30/13 | 11.15 | 0.14 | 1.01 | 1.15 | (0.16 | ) | - | (0.16 | ) | 12.14 | 10.50% | 38,017 | 1.20% | 1.19% | 1.23% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 10.17 | 0.14 | 1.01 | 1.15 | (0.17 | ) | - | (0.17 | ) | 11.15 | 11.50% | b | 17,759 | 1.21% | a | 1.19% | a | 1.42% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 9.79 | 0.13 | 0.39 | 0.52 | (0.14 | ) | - | (0.14 | ) | 10.17 | 5.38% | 12,622 | 1.23% | 1.21% | 1.29% | |||||||||||||||||||||||||||||||||||||
10/31/10 | 8.81 | 0.13 | 1.02 | 1.15 | (0.17 | ) | - | (0.17 | ) | 9.79 | 13.27% | 12,157 | 1.20% | 1.18% | 1.39% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.98 | 0.18 | 0.88 | 1.06 | (0.23 | ) | - | (0.23 | ) | 8.81 | 13.82% | 7,265 | 1.20% | 1.18% | 2.29% | �� | ||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 12.28 | $ | 0.09 | $ | 0.37 | $ | 0.46 | $ | - | $ | - | $ | - | $ | 12.74 | 3.75% | b | $ | 104 | 1.06% | a | 1.05% | a | 1.38% | a | ||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 12.28 | $ | 0.07 | $ | 0.37 | $ | 0.44 | $ | - | $ | - | $ | - | $ | 12.72 | 3.58% | b | $ | 104 | 1.31% | a | 1.30% | a | 1.13% | a |
245
Table of Contents
MassMutual Premier Value Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 20.06 | $ | 0.16 | $ | 0.73 | $ | 0.89 | $ | - | $ | - | $ | 20.95 | 4.44% | b | $ | 105 | 0.63% | a | 0.60% | a | 1.50% | a | ||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 18.37 | $ | 0.32 | $ | 2.56 | $ | 2.88 | $ | (0.32 | ) | $ | (0.32 | ) | $ | 20.93 | 15.85% | $ | 64,896 | 0.67% | 0.66% | 1.64% | ||||||||||||||||||||||||||
09/30/13 | 15.23 | 0.28 | 3.12 | 3.40 | (0.26 | ) | (0.26 | ) | 18.37 | 22.56% | 99,626 | 0.62% | N/A | 1.69% | ||||||||||||||||||||||||||||||||||
09/30/12i | 13.96 | 0.26 | 1.24 | 1.50 | (0.23 | ) | (0.23 | ) | 15.23 | 11.14% | b | 128,342 | 0.62% | a | N/A | 1.96% | a | |||||||||||||||||||||||||||||||
10/31/11 | 13.67 | 0.19 | 0.30 | 0.49 | (0.20 | ) | (0.20 | ) | 13.96 | 3.55% | 140,828 | 0.61% | N/A | 1.28% | ||||||||||||||||||||||||||||||||||
10/31/10 | 12.43 | 0.14 | 1.38 | 1.52 | (0.28 | ) | (0.28 | ) | 13.67 | 12.37% | 158,921 | 0.61% | N/A | 1.09% | ||||||||||||||||||||||||||||||||||
10/31/09 | 10.83 | 0.25 | 1.60 | 1.85 | (0.25 | ) | (0.25 | ) | 12.43 | 17.81% | 179,373 | 0.62% | N/A | 2.41% | ||||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 18.43 | $ | 0.31 | $ | 2.57 | $ | 2.88 | $ | (0.30 | ) | $ | (0.30 | ) | $ | 21.01 | 15.81% | $ | 132 | 0.78% | 0.76% | 1.52% | ||||||||||||||||||||||||||
09/30/13 | 15.29 | 0.26 | 3.12 | 3.38 | (0.24 | ) | (0.24 | ) | 18.43 | 22.42% | 110 | 0.72% | N/A | 1.59% | ||||||||||||||||||||||||||||||||||
09/30/12i | 14.00 | 0.24 | 1.27 | 1.51 | (0.22 | ) | (0.22 | ) | 15.29 | 11.04% | b | 127 | 0.72% | a | N/A | 1.86% | a | |||||||||||||||||||||||||||||||
10/31/11 | 13.66 | 0.17 | 0.30 | 0.47 | (0.13 | ) | (0.13 | ) | 14.00 | 3.44% | 143 | 0.71% | N/A | 1.19% | ||||||||||||||||||||||||||||||||||
10/31/10 | 12.43 | 0.13 | 1.36 | 1.49 | (0.26 | ) | (0.26 | ) | 13.66 | 12.18% | 196 | 0.71% | N/A | 0.99% | ||||||||||||||||||||||||||||||||||
10/31/09 | 10.82 | 0.24 | 1.60 | 1.84 | (0.23 | ) | (0.23 | ) | 12.43 | 17.69% | 1,021 | 0.72% | N/A | 2.28% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 43 | % | 150 | % | 72 | % | 93 | % | 100 | % | 138 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
246
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Administrative Class | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 18.40 | $ | 0.28 | $ | 2.58 | $ | 2.86 | $ | (0.28 | ) | $ | (0.28 | ) | $ | 20.98 | 15.65% | $ | 14,077 | 0.88% | 0.87% | 1.40% | ||||||||||||||||||||||||||
09/30/13 | 15.25 | 0.25 | 3.12 | 3.37 | (0.22 | ) | (0.22 | ) | 18.40 | 22.32% | 15,628 | 0.83% | N/A | 1.48% | ||||||||||||||||||||||||||||||||||
09/30/12i | 13.97 | 0.23 | 1.25 | 1.48 | (0.20 | ) | (0.20 | ) | 15.25 | 10.91% | b | 18,705 | 0.83% | a | N/A | 1.74% | a | |||||||||||||||||||||||||||||||
10/31/11 | 13.68 | 0.16 | 0.30 | 0.46 | (0.17 | ) | (0.17 | ) | 13.97 | 3.32% | 19,579 | 0.82% | N/A | 1.08% | ||||||||||||||||||||||||||||||||||
10/31/10 | 12.44 | 0.11 | 1.38 | 1.49 | (0.25 | ) | (0.25 | ) | 13.68 | 12.14% | 23,889 | 0.82% | N/A | 0.88% | ||||||||||||||||||||||||||||||||||
10/31/09 | 10.82 | 0.23 | 1.60 | 1.83 | (0.21 | ) | (0.21 | ) | 12.44 | 17.57% | 26,776 | 0.83% | N/A | 2.16% | ||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 18.35 | $ | 0.23 | $ | 2.57 | $ | 2.80 | $ | (0.21 | ) | $ | (0.21 | ) | $ | 20.94 | 15.35% | $ | 7,513 | 1.15% | 1.14% | 1.13% | ||||||||||||||||||||||||||
09/30/13 | 15.22 | 0.20 | 3.11 | 3.31 | (0.18 | ) | (0.18 | ) | 18.35 | 21.94% | 8,304 | 1.12% | N/A | 1.19% | ||||||||||||||||||||||||||||||||||
09/30/12i | 13.91 | 0.19 | 1.26 | 1.45 | (0.14 | ) | (0.14 | ) | 15.22 | 10.59% | b | 9,649 | 1.12% | a | N/A | 1.45% | a | |||||||||||||||||||||||||||||||
10/31/11 | 13.62 | 0.11 | 0.31 | 0.42 | (0.13 | ) | (0.13 | ) | 13.91 | 3.04% | 9,800 | 1.11% | N/A | 0.78% | ||||||||||||||||||||||||||||||||||
10/31/10 | 12.39 | 0.08 | 1.37 | 1.45 | (0.22 | ) | (0.22 | ) | 13.62 | 11.82% | 13,441 | 1.11% | N/A | 0.59% | ||||||||||||||||||||||||||||||||||
10/31/09 | 10.76 | 0.20 | 1.60 | 1.80 | (0.17 | ) | (0.17 | ) | 12.39 | 17.27% | 15,490 | 1.12% | N/A | 1.88% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 20.11 | $ | 0.11 | $ | 0.73 | $ | 0.84 | $ | - | $ | - | $ | 20.95 | 4.23% | b | $ | 104 | 1.08% | a | 1.05% | a | 1.05% | a | ||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 18.26 | $ | 0.18 | $ | 2.56 | $ | 2.74 | $ | (0.18 | ) | $ | (0.18 | ) | $ | 20.82 | 15.09% | $ | 101 | 1.38% | 1.37% | 0.91% | ||||||||||||||||||||||||||
09/30/13 | 15.15 | 0.15 | 3.10 | 3.25 | (0.14 | ) | (0.14 | ) | 18.26 | 21.54% | 88 | 1.43% | N/A | 0.87% | ||||||||||||||||||||||||||||||||||
09/30/12i | 13.87 | 0.17 | 1.23 | 1.40 | (0.12 | ) | (0.12 | ) | 15.15 | 10.28% | b | 74 | 1.43% | a | N/A | 1.28% | a | |||||||||||||||||||||||||||||||
10/31/11 | 13.59 | 0.07 | 0.31 | 0.38 | (0.10 | ) | (0.10 | ) | 13.87 | 2.74% | 117 | 1.42% | N/A | 0.46% | ||||||||||||||||||||||||||||||||||
10/31/10 | 12.38 | 0.04 | 1.36 | 1.40 | (0.19 | ) | (0.19 | ) | 13.59 | 11.40% | 117 | 1.42% | N/A | 0.27% | ||||||||||||||||||||||||||||||||||
10/31/09 | 10.74 | 0.17 | 1.61 | 1.78 | (0.14 | ) | (0.14 | ) | 12.38 | 16.95% | 131 | 1.43% | N/A | 1.57% |
247
Table of Contents
MassMutual Premier Disciplined Value Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 15.15 | $ | 0.14 | $ | 0.46 | $ | 0.60 | $ | - | $ | - | $ | 15.75 | 3.96% | b | $ | 182,826 | 0.50% | a | N/A | 1.73% | a | |||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.55 | $ | 0.27 | $ | 2.20 | $ | 2.47 | $ | (0.26 | ) | $ | (0.26 | ) | $ | 15.76 | 18.30% | $ | 71,929 | 0.57% | N/A | 1.81% | ||||||||||||||||||||||||||
09/30/13 | 11.29 | 0.26 | 2.26 | 2.52 | (0.26 | ) | (0.26 | ) | 13.55 | 22.88% | 236,830 | 0.56% | 0.53% | 2.08% | ||||||||||||||||||||||||||||||||||
09/30/12i | 9.94 | 0.22 | 1.32 | 1.54 | (0.19 | ) | (0.19 | ) | 11.29 | 15.93% | b | 212,647 | 0.57% | a | 0.52% | a | 2.28% | a | ||||||||||||||||||||||||||||||
10/31/11 | 9.50 | 0.18 | 0.44 | 0.62 | (0.18 | ) | (0.18 | ) | 9.94 | 6.55% | 201,137 | 0.59% | 0.57% | 1.82% | ||||||||||||||||||||||||||||||||||
10/31/10 | 8.44 | 0.17 | 1.07 | 1.24 | (0.18 | ) | (0.18 | ) | 9.50 | 14.89% | 139,983 | 0.61% | N/A | 1.83% | ||||||||||||||||||||||||||||||||||
10/31/09 | 8.53 | 0.19 | 0.01 | 0.20 | (0.29 | ) | (0.29 | ) | 8.44 | 2.71% | 142,884 | 0.61% | N/A | 2.57% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.48 | $ | 0.25 | $ | 2.17 | $ | 2.42 | $ | (0.24 | ) | $ | (0.24 | ) | $ | 15.66 | 18.15% | $ | 68,003 | 0.68% | N/A | 1.66% | ||||||||||||||||||||||||||
09/30/13 | 11.22 | 0.25 | 2.26 | 2.51 | (0.25 | ) | (0.25 | ) | 13.48 | 22.82% | 69,162 | 0.65% | 0.62% | 2.01% | ||||||||||||||||||||||||||||||||||
09/30/12i | 9.88 | 0.21 | 1.31 | 1.52 | (0.18 | ) | (0.18 | ) | 11.22 | 15.78% | b | 66,311 | 0.66% | a | 0.61% | a | 2.18% | a | ||||||||||||||||||||||||||||||
10/31/11 | 9.45 | 0.17 | 0.43 | 0.60 | (0.17 | ) | (0.17 | ) | 9.88 | 6.38% | 53,589 | 0.69% | 0.68% | 1.71% | ||||||||||||||||||||||||||||||||||
10/31/10 | 8.39 | 0.16 | 1.07 | 1.23 | (0.17 | ) | (0.17 | ) | 9.45 | 14.87% | 56,917 | 0.71% | N/A | 1.73% | ||||||||||||||||||||||||||||||||||
10/31/09 | 8.48 | 0.18 | 0.01 | 0.19 | (0.28 | ) | (0.28 | ) | 8.39 | 2.57% | 64,686 | 0.71% | N/A | 2.45% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 92 | % | 145 | % | 127 | % | 124 | % | 107 | % | 115 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
k | Amount waived had no impact on the ratio of expenses to average daily net assets. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
248
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.68 | $ | 0.23 | $ | 2.23 | $ | 2.46 | $ | (0.24 | ) | $ | (0.24 | ) | $ | 15.90 | 18.02% | $ | 7,047 | 0.80% | N/A | 1.54% | ||||||||||||||||||||||||||
09/30/13 | 11.40 | 0.23 | 2.29 | 2.52 | (0.24 | ) | (0.24 | ) | 13.68 | 22.60% | 4,459 | 0.79% | 0.76% | 1.82% | ||||||||||||||||||||||||||||||||||
09/30/12i | 9.85 | 0.20 | 1.35 | 1.55 | - | - | 11.40 | 15.74% | b | 2,717 | 0.80% | a | 0.75% | a | 2.04% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 9.41 | 0.16 | 0.44 | 0.60 | (0.16 | ) | (0.16 | ) | 9.85 | 6.36% | 1,948 | 0.84% | 0.84% | k | 1.53% | |||||||||||||||||||||||||||||||||
10/31/10 | 8.36 | 0.14 | 1.07 | 1.21 | (0.16 | ) | (0.16 | ) | 9.41 | 14.65% | 67,006 | 0.86% | N/A | 1.58% | ||||||||||||||||||||||||||||||||||
10/31/09 | 8.45 | 0.17 | 0.00 | d | 0.17 | (0.26 | ) | (0.26 | ) | 8.36 | 2.35% | 64,811 | 0.86% | N/A | 2.28% | |||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.36 | $ | 0.19 | $ | 2.15 | $ | 2.34 | $ | (0.19 | ) | $ | (0.19 | ) | $ | 15.51 | 17.67% | $ | 10,718 | 1.05% | N/A | 1.29% | ||||||||||||||||||||||||||
09/30/13 | 11.13 | 0.20 | 2.24 | 2.44 | (0.21 | ) | (0.21 | ) | 13.36 | 22.26% | 11,844 | 1.04% | 1.01% | 1.60% | ||||||||||||||||||||||||||||||||||
09/30/12i | 9.79 | 0.17 | 1.31 | 1.48 | (0.14 | ) | (0.14 | ) | 11.13 | 15.41% | b | 9,501 | 1.05% | a | 1.00% | a | 1.80% | a | ||||||||||||||||||||||||||||||
10/31/11 | 9.36 | 0.13 | 0.43 | 0.56 | (0.13 | ) | (0.13 | ) | 9.79 | 5.99% | 9,129 | 1.09% | 1.07% | 1.31% | ||||||||||||||||||||||||||||||||||
10/31/10 | 8.31 | 0.12 | 1.07 | 1.19 | (0.14 | ) | (0.14 | ) | 9.36 | 14.45% | 9,521 | 1.11% | N/A | 1.33% | ||||||||||||||||||||||||||||||||||
10/31/09 | 8.40 | 0.15 | (0.01 | ) | 0.14 | (0.23 | ) | (0.23 | ) | 8.31 | 2.15% | 11,099 | 1.11% | N/A | 2.06% | |||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 14.96 | $ | 0.10 | $ | 0.46 | $ | 0.56 | $ | - | $ | - | $ | 15.52 | 3.74% | b | $ | 104 | 0.95% | a | N/A | 1.32% | a | |||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.43 | $ | 0.16 | $ | 2.17 | $ | 2.33 | $ | (0.15 | ) | $ | (0.15 | ) | $ | 15.61 | 17.48% | $ | 174 | 1.27% | N/A | 1.06% | ||||||||||||||||||||||||||
09/30/13 | 11.19 | 0.16 | 2.26 | 2.42 | (0.18 | ) | (0.18 | ) | 13.43 | 21.92% | 153 | 1.34% | 1.31% | 1.30% | ||||||||||||||||||||||||||||||||||
09/30/12i | 9.83 | 0.14 | 1.32 | 1.46 | (0.10 | ) | (0.10 | ) | 11.19 | 15.08% | b | 126 | 1.35% | a | 1.30% | a | 1.50% | a | ||||||||||||||||||||||||||||||
10/31/11 | 9.40 | 0.10 | 0.43 | 0.53 | (0.10 | ) | (0.10 | ) | 9.83 | 5.64% | 129 | 1.40% | 1.38% | 1.01% | ||||||||||||||||||||||||||||||||||
10/31/10 | 8.36 | 0.09 | 1.07 | 1.16 | (0.12 | ) | (0.12 | ) | 9.40 | 13.99% | 188 | 1.42% | N/A | 1.02% | ||||||||||||||||||||||||||||||||||
10/31/09 | 8.42 | 0.13 | 0.00 | d | 0.13 | (0.19 | ) | (0.19 | ) | 8.36 | 1.85% | 228 | 1.42% | N/A | 1.72% |
249
Table of Contents
MassMutual Premier Main Street Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 13.41 | $ | 0.08 | $ | 0.74 | $ | 0.82 | $ | - | $ | - | $ | 14.23 | 6.11% | b | $ | 47,537 | 0.62% | a | N/A | 1.07% | a | |||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.10 | $ | 0.12 | $ | 2.11 | $ | 2.23 | $ | (0.11 | ) | $ | (0.11 | ) | $ | 14.22 | 18.54% | $ | 97,358 | 0.76% | 0.72% | 0.89% | ||||||||||||||||||||||||||
09/30/13 | 10.32 | 0.13 | 1.78 | 1.91 | (0.13 | ) | (0.13 | ) | 12.10 | 18.65% | 131,115 | 0.80% | 0.71% | 1.16% | ||||||||||||||||||||||||||||||||||
09/30/12i | 8.77 | 0.08 | 1.54 | 1.62 | (0.07 | ) | (0.07 | ) | 10.32 | 18.79% | b | 121,085 | 0.81% | a | 0.71% | a | 0.97% | a | ||||||||||||||||||||||||||||||
10/31/11 | 8.50 | 0.08 | 0.27 | 0.35 | (0.08 | ) | (0.08 | ) | 8.77 | 4.08% | 111,826 | 0.81% | 0.71% | 0.91% | ||||||||||||||||||||||||||||||||||
10/31/10 | 7.25 | 0.08 | 1.27 | 1.35 | (0.10 | ) | (0.10 | ) | 8.50 | 18.73% | 125,255 | 0.81% | 0.71% | 1.01% | ||||||||||||||||||||||||||||||||||
10/31/09 | 6.53 | 0.10 | 0.74 | 0.84 | (0.12 | ) | (0.12 | ) | 7.25 | 13.28% | 125,429 | 0.84% | 0.71% | 1.54% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.26 | $ | 0.11 | $ | 2.14 | $ | 2.25 | $ | (0.11 | ) | $ | (0.11 | ) | $ | 14.40 | 18.40% | $ | 6,742 | 0.84% | 0.79% | 0.82% | ||||||||||||||||||||||||||
09/30/13 | 10.46 | 0.12 | 1.81 | 1.93 | (0.13 | ) | (0.13 | ) | 12.26 | 18.71% | 5,267 | 0.85% | 0.76% | 1.11% | ||||||||||||||||||||||||||||||||||
09/30/12i | 8.81 | 0.08 | 1.57 | 1.65 | - | - | 10.46 | 18.73% | b | 4,905 | 0.86% | a | 0.76% | a | 0.86% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 8.55 | 0.08 | 0.26 | 0.34 | (0.08 | ) | (0.08 | ) | 8.81 | 4.00% | 0 | f | 0.86% | 0.76% | 0.90% | |||||||||||||||||||||||||||||||||
10/31/10 | 7.30 | 0.04 | 1.30 | 1.34 | (0.09 | ) | (0.09 | ) | 8.55 | 18.55% | 2,045 | 0.86% | 0.76% | 0.53% | ||||||||||||||||||||||||||||||||||
10/31/09 | 6.57 | 0.09 | 0.76 | 0.85 | (0.12 | ) | (0.12 | ) | 7.30 | 13.30% | 73 | 0.89% | 0.76% | 1.49% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 53 | % | 43 | % | 37 | % | 37 | % | 51 | % | 121 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
f | Amount is less than $500. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
250
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.08 | $ | 0.09 | $ | 2.11 | $ | 2.20 | $ | (0.09 | ) | $ | (0.09 | ) | $ | 14.19 | 18.26% | $ | 35,299 | 0.96% | 0.92% | 0.69% | ||||||||||||||||||||||||||
09/30/13 | 10.30 | 0.11 | 1.78 | 1.89 | (0.11 | ) | (0.11 | ) | 12.08 | 18.52% | 33,164 | 1.00% | 0.91% | 0.97% | ||||||||||||||||||||||||||||||||||
09/30/12i | 8.75 | 0.07 | 1.53 | 1.60 | (0.05 | ) | (0.05 | ) | 10.30 | 18.44% | b | 32,593 | 1.01% | a | 0.91% | a | 0.77% | a | ||||||||||||||||||||||||||||||
10/31/11 | 8.48 | 0.06 | 0.27 | 0.33 | (0.06 | ) | (0.06 | ) | 8.75 | 3.89% | 39,959 | 1.01% | 0.91% | 0.71% | ||||||||||||||||||||||||||||||||||
10/31/10 | 7.24 | 0.06 | 1.26 | 1.32 | (0.08 | ) | (0.08 | ) | 8.48 | 18.39% | 46,075 | 1.01% | 0.91% | 0.81% | ||||||||||||||||||||||||||||||||||
10/31/09 | 6.51 | 0.09 | 0.74 | 0.83 | (0.10 | ) | (0.10 | ) | 7.24 | 13.13% | 44,614 | 1.04% | 0.91% | 1.36% | ||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.98 | $ | 0.06 | $ | 2.09 | $ | 2.15 | $ | (0.06 | ) | $ | (0.06 | ) | $ | 14.07 | 17.99% | $ | 13,580 | 1.21% | 1.17% | 0.44% | ||||||||||||||||||||||||||
09/30/13 | 10.23 | 0.08 | 1.76 | 1.84 | (0.09 | ) | (0.09 | ) | 11.98 | 18.18% | 13,493 | 1.25% | 1.16% | 0.71% | ||||||||||||||||||||||||||||||||||
09/30/12i | 8.68 | 0.04 | 1.54 | 1.58 | (0.03 | ) | (0.03 | ) | 10.23 | 18.23% | b | 11,976 | 1.26% | a | 1.16% | a | 0.51% | a | ||||||||||||||||||||||||||||||
10/31/11 | 8.41 | 0.04 | 0.27 | 0.31 | (0.04 | ) | (0.04 | ) | 8.68 | 3.66% | 8,120 | 1.26% | 1.16% | 0.46% | ||||||||||||||||||||||||||||||||||
10/31/10 | 7.18 | 0.04 | 1.25 | 1.29 | (0.06 | ) | (0.06 | ) | 8.41 | 18.11% | 9,236 | 1.26% | 1.16% | 0.56% | ||||||||||||||||||||||||||||||||||
10/31/09 | 6.45 | 0.07 | 0.74 | 0.81 | (0.08 | ) | (0.08 | ) | 7.18 | 12.86% | 10,082 | 1.29% | 1.16% | 1.11% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 13.29 | $ | 0.04 | $ | 0.74 | $ | 0.78 | $ | - | $ | - | $ | 14.07 | 5.87% | b | $ | 106 | 1.07% | a | N/A | 0.60% | a | |||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.03 | $ | 0.03 | $ | 2.11 | $ | 2.14 | $ | (0.02 | ) | $ | (0.02 | ) | $ | 14.15 | 17.78% | $ | 119 | 1.41% | 1.38% | 0.24% | ||||||||||||||||||||||||||
09/30/13 | 10.24 | 0.05 | 1.77 | 1.82 | (0.03 | ) | (0.03 | ) | 12.03 | 17.82% | 70 | 1.55% | 1.46% | 0.45% | ||||||||||||||||||||||||||||||||||
09/30/12i | 8.70 | 0.02 | 1.54 | 1.56 | (0.02 | ) | (0.02 | ) | 10.24 | 17.92% | b | 94 | 1.56% | a | 1.46% | a | 0.25% | a | ||||||||||||||||||||||||||||||
10/31/11 | 8.44 | 0.01 | 0.26 | 0.27 | (0.01 | ) | (0.01 | ) | 8.70 | 3.25% | 329 | 1.56% | 1.46% | 0.17% | ||||||||||||||||||||||||||||||||||
10/31/10 | 7.20 | 0.02 | 1.26 | 1.28 | (0.04 | ) | (0.04 | ) | 8.44 | 17.76% | 270 | 1.56% | 1.46% | 0.23% | ||||||||||||||||||||||||||||||||||
10/31/09 | 6.47 | 0.06 | 0.74 | 0.80 | (0.07 | ) | (0.07 | ) | 7.20 | 12.52% | 109 | 1.59% | 1.46% | 1.01% |
251
Table of Contents
MassMutual Premier Disciplined Growth Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 12.13 | $ | 0.07 | $ | 0.67 | $ | 0.74 | $ | - | $ | - | $ | - | $ | 12.87 | 6.18% | b | $ | 182,512 | 0.50% | a | N/A | 1.14% | a | |||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.26 | $ | 0.15 | $ | 2.17 | $ | 2.32 | $ | (0.16 | ) | $ | (2.54 | ) | $ | (2.70 | ) | $ | 12.88 | 19.60% | $ | 110,762 | 0.57% | N/A | 1.16% | |||||||||||||||||||||||||||
09/30/13 | 11.17 | 0.18 | 2.11 | 2.29 | (0.17 | ) | (0.03 | ) | (0.20 | ) | 13.26 | 20.83% | 209,795 | 0.56% | 0.53% | 1.50% | ||||||||||||||||||||||||||||||||||||
09/30/12i | 9.67 | 0.14 | 1.46 | 1.60 | (0.10 | ) | - | (0.10 | ) | 11.17 | 16.92% | b | 211,276 | 0.57% | a | 0.52% | a | 1.50% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 8.90 | 0.10 | 0.77 | 0.87 | (0.10 | ) | - | (0.10 | ) | 9.67 | 9.81% | 176,486 | 0.57% | 0.55% | 1.03% | |||||||||||||||||||||||||||||||||||||
10/31/10 | 7.53 | 0.09 | 1.37 | 1.46 | (0.09 | ) | - | (0.09 | ) | 8.90 | 19.53% | 75,732 | 0.57% | N/A | 1.10% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 6.57 | 0.09 | 0.95 | 1.04 | (0.08 | ) | - | (0.08 | ) | 7.53 | 16.12% | 61,493 | 0.58% | N/A | 1.34% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.28 | $ | 0.13 | $ | 2.18 | $ | 2.31 | $ | (0.15 | ) | $ | (2.54 | ) | $ | (2.69 | ) | $ | 12.90 | 19.45% | $ | 86,743 | 0.67% | N/A | 1.02% | |||||||||||||||||||||||||||
09/30/13 | 11.19 | 0.17 | 2.11 | 2.28 | (0.16 | ) | (0.03 | ) | (0.19 | ) | 13.28 | 20.79% | 64,469 | 0.65% | 0.62% | 1.42% | ||||||||||||||||||||||||||||||||||||
09/30/12i | 9.68 | 0.13 | 1.48 | 1.61 | (0.10 | ) | - | (0.10 | ) | 11.19 | 16.81% | b | 57,792 | 0.66% | a | 0.61% | a | 1.40% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 8.91 | 0.10 | 0.77 | 0.87 | (0.10 | ) | - | (0.10 | ) | 9.68 | 9.62% | 49,364 | 0.63% | 0.61% | 1.01% | |||||||||||||||||||||||||||||||||||||
10/31/10 | 7.54 | 0.09 | 1.37 | 1.46 | (0.09 | ) | - | (0.09 | ) | 8.91 | 19.59% | 44,495 | 0.62% | N/A | 1.06% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 6.58 | 0.08 | 0.95 | 1.03 | (0.07 | ) | - | (0.07 | ) | 7.54 | 16.01% | 47,680 | 0.63% | N/A | 1.27% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 142 | % | 153 | % | 142 | % | 134 | % | 100 | % | 125 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
k | Amount waived had no impact on the ratio of expenses to average daily net assets. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
252
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Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.35 | $ | 0.12 | $ | 2.19 | $ | 2.31 | $ | (0.14 | ) | $ | (2.54 | ) | $ | (2.68 | ) | $ | 12.98 | 19.33% | $ | 24,252 | 0.79% | N/A | 0.92% | |||||||||||||||||||||||||||
09/30/13 | 11.26 | 0.15 | 2.12 | 2.27 | (0.15 | ) | (0.03 | ) | (0.18 | ) | 13.35 | 20.58% | 20,092 | 0.78% | 0.75% | 1.23% | ||||||||||||||||||||||||||||||||||||
09/30/12i | 9.65 | 0.12 | 1.49 | 1.61 | - | - | - | 11.26 | 16.68% | b | 8,593 | 0.80% | a | 0.75% | a | 1.22% | a | |||||||||||||||||||||||||||||||||||
10/31/11 | 8.88 | 0.09 | 0.76 | 0.85 | (0.08 | ) | - | (0.08 | ) | 9.65 | 9.50% | 512 | 0.76% | 0.76% | k | 0.97% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 7.51 | 0.07 | 1.38 | 1.45 | (0.08 | ) | - | (0.08 | ) | 8.88 | 19.34% | 67,882 | 0.77% | N/A | 0.91% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 6.55 | 0.07 | 0.95 | 1.02 | (0.06 | ) | - | (0.06 | ) | 7.51 | 15.80% | 62,383 | 0.78% | N/A | 1.12% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.15 | $ | 0.08 | $ | 2.16 | $ | 2.24 | $ | (0.11 | ) | $ | (2.54 | ) | $ | (2.65 | ) | $ | 12.74 | 19.02% | $ | 35,193 | 1.04% | N/A | 0.66% | |||||||||||||||||||||||||||
09/30/13 | 11.10 | 0.12 | 2.09 | 2.21 | (0.13 | ) | (0.03 | ) | (0.16 | ) | 13.15 | 20.27% | 19,445 | 1.04% | 1.01% | 1.03% | ||||||||||||||||||||||||||||||||||||
09/30/12i | 9.60 | 0.10 | 1.46 | 1.56 | (0.06 | ) | - | (0.06 | ) | 11.10 | 16.37% | b | 14,686 | 1.05% | a | 1.00% | a | 1.00% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 8.84 | 0.06 | 0.76 | 0.82 | (0.06 | ) | - | (0.06 | ) | 9.60 | 9.33% | 6,587 | 1.03% | 1.01% | 0.61% | |||||||||||||||||||||||||||||||||||||
10/31/10 | 7.48 | 0.05 | 1.37 | 1.42 | (0.06 | ) | - | (0.06 | ) | 8.84 | 19.05% | 4,712 | 1.02% | N/A | 0.65% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 6.52 | 0.06 | 0.94 | 1.00 | (0.04 | ) | - | (0.04 | ) | 7.48 | 15.53% | 4,102 | 1.03% | N/A | 0.86% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 12.03 | $ | 0.04 | $ | 0.67 | $ | 0.71 | $ | - | $ | - | $ | - | $ | 12.74 | 5.90% | b | $ | 106 | 0.95% | a | N/A | 0.68% | a | |||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 12.03 | $ | 0.03 | $ | 0.67 | $ | 0.70 | $ | - | $ | - | $ | - | $ | 12.73 | 5.82% | b | $ | 106 | 1.20% | a | N/A | 0.43% | a |
253
Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 16.45 | $ | 0.39 | $ | (1.06 | ) | $ | (0.67 | ) | $ | - | $ | - | $ | 15.78 | (4.07% | )b | $ | 4,801 | 0.66% | a | N/A | 4.79% | a | |||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 14.92 | $ | 0.17 | $ | 0.83 | $ | 1.00 | $ | (0.15 | ) | $ | (0.15 | ) | $ | 15.77 | 6.75% | $ | 73,288 | 0.74% | N/A | 1.04% | ||||||||||||||||||||||||||
09/30/13 | 11.03 | 0.16 | 3.86 | 4.02 | (0.13 | ) | (0.13 | ) | 14.92 | 36.88% | 83,213 | 0.73% | 0.70% | 1.23% | ||||||||||||||||||||||||||||||||||
09/30/12i | 9.77 | 0.09 | 1.24 | 1.33 | (0.07 | ) | (0.07 | ) | 11.03 | 13.78% | b | 68,091 | 0.78% | a | 0.69% | a | 1.00% | a | ||||||||||||||||||||||||||||||
10/31/11 | 9.15 | 0.07 | 0.62 | 0.69 | (0.07 | ) | (0.07 | ) | 9.77 | 7.53% | 118,553 | 0.76% | 0.69% | 0.74% | ||||||||||||||||||||||||||||||||||
10/31/10 | 7.37 | 0.06 | 1.77 | 1.83 | (0.05 | ) | (0.05 | ) | 9.15 | 24.90% | 129,831 | 0.76% | 0.69% | 0.69% | ||||||||||||||||||||||||||||||||||
10/31/09 | 6.42 | 0.05 | 0.93 | 0.98 | (0.03 | ) | (0.03 | ) | 7.37 | 15.48% | 113,312 | 0.84% | 0.69% | 0.79% | ||||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 14.92 | $ | 0.16 | $ | 0.82 | $ | 0.98 | $ | (0.14 | ) | $ | (0.14 | ) | $ | 15.76 | 6.60% | $ | 6,865 | 0.84% | N/A | 0.98% | ||||||||||||||||||||||||||
09/30/13 | 11.03 | 0.14 | 3.88 | 4.02 | (0.13 | ) | (0.13 | ) | 14.92 | 36.79% | 2,627 | 0.83% | 0.80% | 1.15% | ||||||||||||||||||||||||||||||||||
09/30/12i | 9.76 | 0.09 | 1.23 | 1.32 | (0.05 | ) | (0.05 | ) | 11.03 | 13.65% | b | 3,299 | 0.88% | a | 0.79% | a | 0.94% | a | ||||||||||||||||||||||||||||||
10/31/11 | 9.14 | 0.06 | 0.62 | 0.68 | (0.06 | ) | (0.06 | ) | 9.76 | 7.45% | 1,972 | 0.86% | 0.79% | 0.63% | ||||||||||||||||||||||||||||||||||
10/31/10 | 7.36 | 0.05 | 1.77 | 1.82 | (0.04 | ) | (0.04 | ) | 9.14 | 24.83% | 1,718 | 0.86% | 0.79% | 0.58% | ||||||||||||||||||||||||||||||||||
10/31/09 | 6.39 | 0.04 | 0.94 | 0.98 | (0.01 | ) | (0.01 | ) | 7.36 | 15.29% | 941 | 0.94% | 0.79% | 0.65% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 66 | % | 91 | % | 79 | %q | 96 | % | 62 | % | 137 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
q | Portfolio turnover rate excludes securities sold from redemptions in-kind. Securities sold from redemptions in-kind had no impact on portfolio turnover rate. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
254
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Administrative Class | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 14.84 | $ | 0.14 | $ | 0.83 | $ | 0.97 | $ | (0.13 | ) | $ | (0.13 | ) | $ | 15.68 | 6.55% | $ | 17,595 | 0.95% | N/A | 0.86% | ||||||||||||||||||||||||||
09/30/13 | 10.98 | 0.13 | 3.85 | 3.98 | (0.12 | ) | (0.12 | ) | 14.84 | 36.60% | 9,661 | 0.93% | 0.90% | 1.02% | ||||||||||||||||||||||||||||||||||
09/30/12i | 9.72 | 0.08 | 1.23 | 1.31 | (0.05 | ) | (0.05 | ) | 10.98 | 13.60% | b | 5,928 | 0.98% | a | 0.89% | a | 0.83% | a | ||||||||||||||||||||||||||||||
10/31/11 | 9.08 | 0.05 | 0.62 | 0.67 | (0.03 | ) | (0.03 | ) | 9.72 | 7.37% | 2,534 | 0.96% | 0.89% | 0.54% | ||||||||||||||||||||||||||||||||||
10/31/10 | 7.31 | 0.04 | 1.77 | 1.81 | (0.04 | ) | (0.04 | ) | 9.08 | 24.77% | 5,341 | 0.96% | 0.89% | 0.48% | ||||||||||||||||||||||||||||||||||
10/31/09 | 6.37 | 0.04 | 0.92 | 0.96 | (0.02 | ) | (0.02 | ) | 7.31 | 15.17% | 4,675 | 1.04% | 0.89% | 0.61% | ||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 14.62 | $ | 0.09 | $ | 0.81 | $ | 0.90 | $ | (0.09 | ) | $ | (0.09 | ) | $ | 15.43 | 6.19% | $ | 70,281 | 1.19% | N/A | 0.60% | ||||||||||||||||||||||||||
09/30/13 | 10.80 | 0.10 | 3.80 | 3.90 | (0.08 | ) | (0.08 | ) | 14.62 | 36.40% | 77,201 | 1.18% | 1.15% | 0.77% | ||||||||||||||||||||||||||||||||||
09/30/12i | 9.56 | 0.05 | 1.21 | 1.26 | (0.02 | ) | (0.02 | ) | 10.80 | 13.25% | b | 58,551 | 1.23% | a | 1.14% | a | 0.50% | a | ||||||||||||||||||||||||||||||
10/31/11 | 8.95 | 0.03 | 0.61 | 0.64 | (0.03 | ) | (0.03 | ) | 9.56 | 7.13% | 58,004 | 1.21% | 1.14% | 0.30% | ||||||||||||||||||||||||||||||||||
10/31/10 | 7.21 | 0.02 | 1.74 | 1.76 | (0.02 | ) | (0.02 | ) | 8.95 | 24.39% | 68,521 | 1.21% | 1.14% | 0.24% | ||||||||||||||||||||||||||||||||||
10/31/09 | 6.28 | 0.02 | 0.91 | 0.93 | - | - | 7.21 | 14.81% | 63,549 | 1.29% | 1.14% | 0.36% | ||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 16.14 | $ | 0.04 | $ | (0.74 | ) | $ | (0.70 | ) | $ | - | $ | - | $ | 15.44 | (4.34% | )b | $ | 96 | 1.11% | a | N/A | 0.46% | a | |||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 16.14 | $ | 0.02 | $ | (0.74 | ) | $ | (0.72 | ) | $ | - | $ | - | $ | 15.42 | (4.46% | )b | $ | 96 | 1.36% | a | N/A | 0.21% | a |
255
Table of Contents
MassMutual Premier Global Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 14.85 | $ | 0.13 | $ | 0.13 | $ | 0.26 | $ | - | $ | - | $ | - | $ | 15.11 | 1.75% | b | $ | 102 | 0.84% | a | N/A | 1.75% | a | |||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.99 | $ | 0.15 | $ | 1.25 | $ | 1.40 | $ | (0.16 | ) | $ | (0.12 | ) | $ | (0.28 | ) | $ | 15.11 | 10.18% | $ | 206,074 | 0.99% | 0.91% | 0.99% | |||||||||||||||||||||||||||
09/30/13 | 11.19 | 0.16 | 2.79 | 2.95 | (0.15 | ) | - | (0.15 | ) | 13.99 | 26.55% | 213,577 | 1.05% | 0.89% | 1.28% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 10.55 | 0.14 | 0.65 | 0.79 | (0.15 | ) | - | (0.15 | ) | 11.19 | 7.74% | b | 195,534 | 1.05% | a | 0.89% | a | 1.44% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 10.67 | 0.14 | (0.10 | ) | 0.04 | (0.16 | ) | - | (0.16 | ) | 10.55 | 0.37% | 202,981 | 1.04% | 0.89% | 1.27% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 9.16 | 0.11 | 1.51 | 1.62 | (0.11 | ) | - | (0.11 | ) | 10.67 | 17.88% | 219,639 | 1.07% | 0.89% | 1.15% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.58 | 0.10 | 1.89 | 1.99 | (0.11 | ) | (0.30 | ) | (0.41 | ) | 9.16 | 28.52% | 204,098 | 1.06% | 0.89% | 1.34% | ||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.90 | $ | 0.15 | $ | 1.22 | $ | 1.37 | $ | (0.14 | ) | $ | (0.12 | ) | $ | (0.26 | ) | $ | 15.01 | 9.96% | $ | 14,038 | 1.05% | 1.03% | 0.99% | |||||||||||||||||||||||||||
09/30/13 | 11.12 | 0.14 | 2.78 | 2.92 | (0.14 | ) | - | (0.14 | ) | 13.90 | 26.47% | 8,558 | 1.08% | 1.03% | 1.13% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 10.48 | 0.12 | 0.65 | 0.77 | (0.13 | ) | - | (0.13 | ) | 11.12 | 7.58% | b | 7,389 | 1.08% | a | 1.03% | a | 1.29% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 10.61 | 0.13 | (0.10 | ) | 0.03 | (0.16 | ) | - | (0.16 | ) | 10.48 | 0.21% | 7,000 | 1.07% | 1.03% | 1.13% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 9.11 | 0.10 | 1.50 | 1.60 | (0.10 | ) | - | (0.10 | ) | 10.61 | 17.75% | 6,727 | 1.10% | 1.03% | 1.02% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.54 | 0.08 | 1.88 | 1.96 | (0.09 | ) | (0.30 | ) | (0.39 | ) | 9.11 | 28.26% | 3,219 | 1.09% | 1.03% | 1.04% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 27 | % | 28 | % | 27 | % | 26 | % | 29 | % | 34 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
256
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.96 | $ | 0.11 | $ | 1.25 | $ | 1.36 | $ | (0.12 | ) | $ | (0.12 | ) | $ | (0.24 | ) | $ | 15.08 | 9.87% | $ | 136,272 | 1.18% | 1.14% | 0.77% | |||||||||||||||||||||||||||
09/30/13 | 11.17 | 0.13 | 2.79 | 2.92 | (0.13 | ) | - | (0.13 | ) | 13.96 | 26.30% | 128,755 | 1.23% | 1.14% | 1.01% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 10.53 | 0.11 | 0.65 | 0.76 | (0.12 | ) | - | (0.12 | ) | 11.17 | 7.42% | b | 109,534 | 1.23% | a | 1.14% | a | 1.19% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 10.64 | 0.11 | (0.08 | ) | 0.03 | (0.14 | ) | - | (0.14 | ) | 10.53 | 0.11% | 118,025 | 1.22% | 1.14% | 1.03% | ||||||||||||||||||||||||||||||||||||
10/31/10 | 9.14 | 0.09 | 1.50 | 1.59 | (0.09 | ) | - | (0.09 | ) | 10.64 | 17.65% | 131,965 | 1.25% | 1.14% | 0.92% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.55 | 0.08 | 1.89 | 1.97 | (0.08 | ) | (0.30 | ) | (0.38 | ) | 9.14 | 28.27% | 147,550 | 1.24% | 1.14% | 1.09% | ||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.82 | $ | 0.07 | $ | 1.24 | $ | 1.31 | $ | (0.09 | ) | $ | (0.12 | ) | $ | (0.21 | ) | $ | 14.92 | 9.54% | $ | 46,399 | 1.43% | 1.41% | 0.48% | |||||||||||||||||||||||||||
09/30/13 | 11.06 | 0.09 | 2.76 | 2.85 | (0.09 | ) | - | (0.09 | ) | 13.82 | 25.94% | 48,500 | 1.48% | 1.43% | 0.72% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 10.42 | 0.09 | 0.64 | 0.73 | (0.09 | ) | - | (0.09 | ) | 11.06 | 7.11% | b | 41,351 | 1.48% | a | 1.43% | a | 0.92% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 10.54 | 0.08 | (0.09 | ) | (0.01 | ) | (0.11 | ) | - | (0.11 | ) | 10.42 | (0.11% | ) | 37,485 | 1.47% | 1.43% | 0.73% | ||||||||||||||||||||||||||||||||||
10/31/10 | 9.06 | 0.06 | 1.49 | 1.55 | (0.07 | ) | - | (0.07 | ) | 10.54 | 17.23% | 41,888 | 1.50% | 1.43% | 0.61% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.48 | 0.06 | 1.87 | 1.93 | (0.05 | ) | (0.30 | ) | (0.35 | ) | 9.06 | 27.89% | 34,124 | 1.49% | 1.43% | 0.78% | ||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 14.70 | $ | 0.10 | $ | 0.13 | $ | 0.23 | $ | - | $ | - | $ | - | $ | 14.93 | 1.56% | b | $ | 102 | 1.29% | a | N/A | 1.30% | a | |||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 13.86 | $ | 0.07 | $ | 1.24 | $ | 1.31 | $ | (0.08 | ) | $ | (0.12 | ) | $ | (0.20 | ) | $ | 14.97 | 9.49% | $ | 1,523 | 1.64% | 1.53% | 0.48% | |||||||||||||||||||||||||||
09/30/13 | 11.10 | 0.08 | 2.77 | 2.85 | (0.09 | ) | - | (0.09 | ) | 13.86 | 25.81% | 1,235 | 1.78% | 1.52% | 0.63% | |||||||||||||||||||||||||||||||||||||
09/30/12i | 10.46 | 0.08 | 0.64 | 0.72 | (0.08 | ) | - | (0.08 | ) | 11.10 | 7.07% | b | 930 | 1.78% | a | 1.52% | a | 0.83% | a | |||||||||||||||||||||||||||||||||
10/31/11 | 10.58 | 0.07 | (0.09 | ) | (0.02 | ) | (0.10 | ) | - | (0.10 | ) | 10.46 | (0.33% | ) | 828 | 1.77% | 1.52% | 0.64% | ||||||||||||||||||||||||||||||||||
10/31/10 | 9.09 | 0.06 | 1.49 | 1.55 | (0.06 | ) | - | (0.06 | ) | 10.58 | 17.26% | 766 | 1.80% | 1.52% | 0.58% | |||||||||||||||||||||||||||||||||||||
10/31/09 | 7.51 | 0.05 | 1.88 | 1.93 | (0.05 | ) | (0.30 | ) | (0.35 | ) | 9.09 | 27.77% | 816 | 1.79% | 1.52% | 0.69% |
257
Table of Contents
MassMutual Premier International Equity Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios /Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 15.47 | $ | 0.14 | $ | (1.22 | ) | $ | (1.08 | ) | $ | - | $ | - | $ | - | $ | 14.39 | (6.98% | )b | $ | 64,208 | 0.96% | a | 1.83% | a | ||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 15.92 | $ | 0.15 | $ | (0.16 | ) | $ | (0.01 | ) | $ | (0.19 | ) | $ | (1.34 | ) | $ | (1.53 | ) | $ | 14.38 | (0.32% | ) | $ | 351,818 | 1.06% | 0.97% | |||||||||||||||||||||
09/30/13 | 13.20 | 0.21 | 3.14 | 3.35 | (0.20 | ) | (0.43 | ) | (0.63 | ) | 15.92 | 26.22% | 445,260 | 1.07% | 1.46% | |||||||||||||||||||||||||||||||||
09/30/12i | 13.95 | 0.18 | 0.71 | 0.89 | (0.23 | ) | (1.41 | ) | (1.64 | ) | 13.20 | 8.60% | b | 396,711 | 1.07% | a | 1.52% | a | ||||||||||||||||||||||||||||||
10/31/11 | 13.94 | 0.16 | (0.01 | ) | 0.15 | (0.14 | ) | - | (0.14 | ) | 13.95 | 1.08% | 554,169 | 1.07% | 1.10% | |||||||||||||||||||||||||||||||||
10/31/10 | 12.27 | 0.13 | 1.67 | 1.80 | (0.13 | ) | - | (0.13 | ) | 13.94 | 14.81% | 584,158 | 1.10% | 1.00% | ||||||||||||||||||||||||||||||||||
10/31/09 | 10.12 | 0.12 | 2.84 | 2.96 | (0.03 | ) | (0.78 | ) | (0.81 | ) | 12.27 | 33.13% | 562,176 | 1.09% | 1.24% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 15.90 | $ | 0.14 | $ | (0.17 | ) | $ | (0.03 | ) | $ | (0.19 | ) | $ | (1.34 | ) | $ | (1.53 | ) | $ | 14.34 | (0.46% | ) | $ | 23,473 | 1.12% | 0.88% | |||||||||||||||||||||
09/30/13 | 13.18 | 0.20 | 3.15 | 3.35 | (0.20 | ) | (0.43 | ) | (0.63 | ) | 15.90 | 26.23% | 25,987 | 1.10% | 1.42% | |||||||||||||||||||||||||||||||||
09/30/12i | 13.94 | 0.19 | 0.69 | 0.88 | (0.23 | ) | (1.41 | ) | (1.64 | ) | 13.18 | 8.58% | b | 21,882 | 1.10% | a | 1.62% | a | ||||||||||||||||||||||||||||||
10/31/11 | 13.92 | 0.16 | (0.02 | ) | 0.14 | (0.12 | ) | - | (0.12 | ) | 13.94 | 1.00% | 19,430 | 1.10% | 1.10% | |||||||||||||||||||||||||||||||||
10/31/10 | 12.26 | 0.12 | 1.67 | 1.79 | (0.13 | ) | - | (0.13 | ) | 13.92 | 14.80% | 15,773 | 1.12% | 0.98% | ||||||||||||||||||||||||||||||||||
10/31/09 | 10.10 | 0.12 | 2.85 | 2.97 | (0.03 | ) | (0.78 | ) | (0.81 | ) | 12.26 | 33.08% | 30,347 | 1.12% | 1.21% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | �� | 2011 | 2010 | 2009 | |||||||||||||||||||
Portfolio turnover rate | 76 | % | 56 | % | 36 | % | 47 | % | 32 | % | 42 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
i | For the period November 1, 2011 through September 30, 2012. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
258
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios /Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 15.82 | $ | 0.13 | $ | (0.18 | ) | $ | (0.05 | ) | $ | (0.16 | ) | $ | (1.34 | ) | $ | (1.50 | ) | $ | 14.27 | (0.57% | ) | $ | 18,339 | 1.25% | 0.86% | |||||||||||||||||||||
09/30/13 | 13.13 | 0.19 | 3.11 | 3.30 | (0.18 | ) | (0.43 | ) | (0.61 | ) | 15.82 | 25.96% | 18,017 | 1.25% | 1.31% | |||||||||||||||||||||||||||||||||
09/30/12i | 13.82 | 0.17 | 0.70 | 0.87 | (0.15 | ) | (1.41 | ) | (1.56 | ) | 13.13 | 8.46% | b | 15,173 | 1.25% | a | 1.47% | a | ||||||||||||||||||||||||||||||
10/31/11 | 13.81 | 0.14 | (0.01 | ) | 0.13 | (0.12 | ) | - | (0.12 | ) | 13.82 | 0.91% | 12,331 | 1.25% | 0.94% | |||||||||||||||||||||||||||||||||
10/31/10 | 12.16 | 0.10 | 1.66 | 1.76 | (0.11 | ) | - | (0.11 | ) | 13.81 | 14.64% | 50,937 | 1.27% | 0.77% | ||||||||||||||||||||||||||||||||||
10/31/09 | 10.02 | 0.11 | 2.82 | 2.93 | (0.01 | ) | (0.78 | ) | (0.79 | ) | 12.16 | 32.77% | 56,494 | 1.27% | 1.10% | |||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 15.48 | $ | 0.09 | $ | (0.17 | ) | $ | (0.08 | ) | $ | (0.12 | ) | $ | (1.34 | ) | $ | (1.46 | ) | $ | 13.94 | (0.77% | ) | $ | 53,155 | 1.50% | 0.58% | |||||||||||||||||||||
09/30/13 | 12.85 | 0.14 | 3.06 | 3.20 | (0.14 | ) | (0.43 | ) | (0.57 | ) | 15.48 | 25.70% | 56,137 | 1.50% | 1.04% | |||||||||||||||||||||||||||||||||
09/30/12i | 13.62 | 0.13 | 0.68 | 0.81 | (0.17 | ) | (1.41 | ) | (1.58 | ) | 12.85 | 8.16% | b | 46,292 | 1.50% | a | 1.20% | a | ||||||||||||||||||||||||||||||
10/31/11 | 13.62 | 0.09 | (0.00 | )d | 0.09 | (0.09 | ) | - | (0.09 | ) | 13.62 | 0.63% | 47,318 | 1.50% | 0.65% | |||||||||||||||||||||||||||||||||
10/31/10 | 12.00 | 0.07 | 1.64 | 1.71 | (0.09 | ) | - | (0.09 | ) | 13.62 | 14.39% | 50,227 | 1.53% | 0.56% | ||||||||||||||||||||||||||||||||||
10/31/09 | 9.92 | 0.08 | 2.78 | 2.86 | - | (0.78 | ) | (0.78 | ) | 12.00 | 32.49% | 47,642 | 1.52% | 0.81% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 15.03 | $ | 0.11 | $ | (1.20 | ) | $ | (1.09 | ) | $ | - | $ | - | $ | - | $ | 13.94 | (7.25% | )b | $ | 93 | 1.41% | a | 1.47% | a | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 15.03 | $ | 0.09 | $ | (1.19 | ) | $ | (1.10 | ) | $ | - | $ | - | $ | - | $ | 13.93 | (7.32% | )b | $ | 93 | 1.66% | a | 1.22% | a |
259
Table of Contents
MassMutual Premier Focused International Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.49 | $ | 0.39 | $ | (0.31 | ) | $ | 0.08 | $ | (0.21 | ) | $ | (0.21 | ) | $ | 12.36 | 0.65% | $ | 21,794 | 1.06% | 0.96% | 3.09% | |||||||||||||||||||||||||
09/30/13 | 11.64 | 0.22 | 0.82 | 1.04 | (0.19 | ) | (0.19 | ) | 12.49 | 8.94% | 90,060 | 1.06% | 0.96% | 1.88% | ||||||||||||||||||||||||||||||||||
09/30/12i | 11.23 | 0.27 | 0.24 | 0.51 | (0.10 | ) | (0.10 | ) | 11.64 | 4.75% | b | 72,011 | 1.06% | a | 0.96% | a | 2.68% | a | ||||||||||||||||||||||||||||||
10/31/11g | 11.58 | 0.07 | (0.20 | ) | (0.13 | ) | (0.22 | ) | (0.22 | ) | 11.23 | (1.19% | )b | 23,873 | 1.08% | a | 0.98% | a | 0.65% | a | ||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.48 | $ | 0.34 | $ | (0.27 | ) | $ | 0.07 | $ | (0.17 | ) | $ | (0.17 | ) | $ | 12.38 | 0.64% | $ | 2,741 | 1.16% | 1.05% | 2.64% | |||||||||||||||||||||||||
09/30/13 | 11.65 | 0.07 | 0.94 | 1.01 | (0.18 | ) | (0.18 | ) | 12.48 | 8.75% | 5,270 | 1.15% | 1.05% | 0.64% | ||||||||||||||||||||||||||||||||||
09/30/12i | 11.22 | 0.21 | 0.30 | 0.51 | (0.08 | ) | (0.08 | ) | 11.65 | 4.66% | b | 33,949 | 1.15% | a | 1.05% | a | 2.02% | a | ||||||||||||||||||||||||||||||
10/31/11 | 11.71 | 0.21 | (0.49 | ) | (0.28 | ) | (0.21 | ) | (0.21 | ) | 11.22 | (2.44% | ) | 28,631 | 1.17% | 1.07% | 1.77% | |||||||||||||||||||||||||||||||
10/31/10 | 10.90 | 0.11 | 1.11 | 1.22 | (0.41 | ) | (0.41 | ) | 11.71 | 11.61% | 22,470 | 1.10% | N/A | 1.04% | ||||||||||||||||||||||||||||||||||
10/31/09 | 8.49 | 0.20 | 2.32 | 2.52 | (0.11 | ) | (0.11 | ) | 10.90 | 29.90% | 45,363 | 1.08% | N/A | 2.23% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.45 | $ | 0.41 | $ | (0.36 | ) | $ | 0.05 | $ | (0.15 | ) | $ | (0.15 | ) | $ | 12.35 | 0.42% | $ | 85 | 1.26% | 1.16% | 3.21% | |||||||||||||||||||||||||
09/30/13 | 11.62 | 0.16 | 0.83 | 0.99 | (0.16 | ) | (0.16 | ) | 12.45 | 8.63% | 2,949 | 1.25% | 1.15% | 1.36% | ||||||||||||||||||||||||||||||||||
09/30/12i | 11.19 | 0.19 | 0.31 | 0.50 | (0.07 | ) | (0.07 | ) | 11.62 | 4.59% | b | 8,374 | 1.25% | a | 1.15% | a | 1.92% | a | ||||||||||||||||||||||||||||||
10/31/11 | 11.68 | 0.16 | (0.45 | ) | (0.29 | ) | (0.20 | ) | (0.20 | ) | 11.19 | (2.52% | ) | 7,938 | 1.27% | 1.17% | 1.36% | |||||||||||||||||||||||||||||||
10/31/10 | 10.87 | 0.11 | 1.10 | 1.21 | (0.40 | ) | (0.40 | ) | 11.68 | 11.45% | 8,082 | 1.20% | N/A | 1.05% | ||||||||||||||||||||||||||||||||||
10/31/09 | 8.48 | 0.20 | 2.30 | 2.50 | (0.11 | ) | (0.11 | ) | 10.87 | 29.85% | 7,494 | 1.18% | 1.16% | 2.18% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 58 | % | 59 | % | 23 | % | 59 | % | 65 | % | 74 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
g | For the period December 3, 2010 (commencement of operations) through October 31, 2011. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
260
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.51 | $ | 0.29 | $ | (0.24 | ) | $ | 0.05 | $ | (0.14 | ) | $ | (0.14 | ) | $ | 12.42 | 0.35% | $ | 1,612 | 1.38% | 1.28% | 2.29% | |||||||||||||||||||||||||
09/30/13 | 11.67 | 0.11 | 0.88 | 0.99 | (0.15 | ) | (0.15 | ) | 12.51 | 8.58% | 3,705 | 1.40% | 1.30% | 0.91% | ||||||||||||||||||||||||||||||||||
09/30/12i | 11.19 | 0.18 | 0.31 | 0.49 | (0.01 | ) | (0.01 | ) | 11.67 | 4.35% | b | 7,025 | 1.40% | a | 1.30% | a | 1.72% | a | ||||||||||||||||||||||||||||||
10/31/11 | 11.68 | 0.17 | (0.47 | ) | (0.30 | ) | (0.19 | ) | (0.19 | ) | 11.19 | (2.66% | ) | 5,789 | 1.42% | 1.33% | 1.47% | |||||||||||||||||||||||||||||||
10/31/10 | 10.87 | 0.09 | 1.11 | 1.20 | (0.39 | ) | (0.39 | ) | 11.68 | 11.42% | 19,819 | 1.35% | N/A | 0.87% | ||||||||||||||||||||||||||||||||||
10/31/09 | 8.45 | 0.19 | 2.30 | 2.49 | (0.07 | ) | (0.07 | ) | 10.87 | 29.61% | 19,065 | 1.33% | 1.31% | 2.07% | ||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.41 | $ | 0.29 | $ | (0.27 | ) | $ | 0.02 | $ | (0.12 | ) | $ | (0.12 | ) | $ | 12.31 | 0.13% | $ | 8,761 | 1.63% | 1.53% | 2.26% | |||||||||||||||||||||||||
09/30/13 | 11.57 | 0.11 | 0.84 | 0.95 | (0.11 | ) | (0.11 | ) | 12.41 | 8.28% | 14,358 | 1.65% | 1.55% | 0.92% | ||||||||||||||||||||||||||||||||||
09/30/12i | 11.12 | 0.15 | 0.31 | 0.46 | (0.01 | ) | (0.01 | ) | 11.57 | 4.19% | b | 22,076 | 1.65% | a | 1.55% | a | 1.48% | a | ||||||||||||||||||||||||||||||
10/31/11 | 11.61 | 0.11 | (0.45 | ) | (0.34 | ) | (0.15 | ) | (0.15 | ) | 11.12 | (2.97% | ) | 24,345 | 1.67% | 1.58% | 0.90% | |||||||||||||||||||||||||||||||
10/31/10 | 10.81 | 0.07 | 1.09 | 1.16 | (0.36 | ) | (0.36 | ) | 11.61 | 11.14% | 35,144 | 1.60% | N/A | 0.65% | ||||||||||||||||||||||||||||||||||
10/31/09 | 8.41 | 0.16 | 2.30 | 2.46 | (0.06 | ) | (0.06 | ) | 10.81 | 29.25% | 35,136 | 1.58% | 1.56% | 1.80% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 12.56 | $ | 0.16 | $ | (0.40 | ) | $ | (0.24 | ) | $ | - | $ | - | $ | 12.32 | (1.91% | )b | $ | 98 | 1.51% | a | 1.40% | a | 2.46% | a | ||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 12.22 | $ | 0.26 | $ | (0.27 | ) | $ | (0.01 | ) | $ | (0.09 | ) | $ | (0.09 | ) | $ | 12.12 | (0.12% | ) | $ | 954 | 1.91% | 1.80% | 2.08% | |||||||||||||||||||||||
09/30/13 | 11.42 | 0.07 | 0.82 | 0.89 | (0.09 | ) | (0.09 | ) | 12.22 | 7.81% | 952 | 2.05% | 1.95% | 0.63% | ||||||||||||||||||||||||||||||||||
09/30/12i | 11.00 | 0.11 | 0.31 | 0.42 | - | - | 11.42 | 3.82% | b | 968 | 2.05% | a | 1.95% | a | 1.05% | a | ||||||||||||||||||||||||||||||||
10/31/11 | 11.50 | 0.06 | (0.44 | ) | (0.38 | ) | (0.12 | ) | (0.12 | ) | 11.00 | (3.35% | ) | 923 | 2.07% | 1.97% | 0.53% | |||||||||||||||||||||||||||||||
10/31/10 | 10.71 | 0.03 | 1.08 | 1.11 | (0.32 | ) | (0.32 | ) | 11.50 | 10.61% | 983 | 2.00% | N/A | 0.25% | ||||||||||||||||||||||||||||||||||
10/31/09 | 8.34 | 0.13 | 2.27 | 2.40 | (0.03 | ) | (0.03 | ) | 10.71 | 28.90% | 951 | 1.98% | 1.94% | 1.40% |
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MassMutual Premier Strategic Emerging Markets Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.68 | $ | 0.08 | $ | 0.50 | $ | 0.58 | $ | (0.15 | ) | $ | - | $ | (0.15 | ) | $ | 12.11 | 5.01% | $ | 140,584 | 1.34% | 1.02% | 0.68% | ||||||||||||||||||||||||||||
09/30/13 | 12.03 | 0.16 | (0.41 | ) | (0.25 | ) | (0.10 | ) | - | (0.10 | ) | 11.68 | (2.10% | ) | 115,463 | 1.23% | 0.99% | 1.30% | ||||||||||||||||||||||||||||||||||
09/30/12i | 14.09 | 0.12 | (0.28 | ) | (0.16 | ) | (0.16 | ) | (1.74 | ) | (1.90 | ) | 12.03 | 0.51% | b | 134,793 | 1.24% | a | 0.99% | a | 1.11% | a | ||||||||||||||||||||||||||||||
10/31/11h | 15.70 | 0.20 | (1.81 | ) | (1.61 | ) | - | - | - | 14.09 | (10.25% | )b | 92,878 | 1.26% | a | 0.99% | a | 1.98% | a | |||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.81 | $ | 0.07 | $ | 0.49 | $ | 0.56 | $ | (0.13 | ) | $ | - | $ | (0.13 | ) | $ | 12.24 | 4.88% | $ | 8,869 | 1.47% | 1.15% | 0.55% | ||||||||||||||||||||||||||||
09/30/13 | 12.17 | 0.15 | (0.42 | ) | (0.27 | ) | (0.09 | ) | - | (0.09 | ) | 11.81 | (2.29% | ) | 7,008 | 1.39% | 1.15% | 1.22% | ||||||||||||||||||||||||||||||||||
09/30/12i | 14.07 | 0.05 | (0.21 | ) | (0.16 | ) | - | (1.74 | ) | (1.74 | ) | 12.17 | 0.36% | b | 6,110 | 1.40% | a | 1.15% | a | 0.43% | a | |||||||||||||||||||||||||||||||
10/31/11 | 17.79 | 0.16 | (2.30 | ) | (2.14 | ) | (0.05 | ) | (1.53 | ) | (1.58 | ) | 14.07 | (13.17% | ) | 51,005 | 1.34% | 1.15% | 1.01% | |||||||||||||||||||||||||||||||||
10/31/10 | 16.49 | 0.10 | 3.62 | 3.72 | (0.14 | ) | (2.28 | ) | (2.42 | ) | 17.79 | 25.30% | 107,589 | 1.27% | 1.15% | 0.60% | ||||||||||||||||||||||||||||||||||||
10/31/09g | 10.00 | 0.15 | 6.34 | 6.49 | (0.00 | )d | - | (0.00 | )d | 16.49 | 64.73% | b | 61,313 | 1.33% | a | 1.15% | a | 1.23% | a | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.66 | $ | 0.06 | $ | 0.49 | $ | 0.55 | $ | (0.12 | ) | $ | - | $ | (0.12 | ) | $ | 12.09 | 4.75% | $ | 256 | 1.57% | 1.25% | 0.46% | ||||||||||||||||||||||||||||
09/30/13 | 12.01 | 0.13 | (0.40 | ) | (0.27 | ) | (0.08 | ) | - | (0.08 | ) | 11.66 | (2.34% | ) | 206 | 1.49% | 1.25% | 1.06% | ||||||||||||||||||||||||||||||||||
09/30/12i | 14.06 | 0.09 | (0.28 | ) | (0.19 | ) | (0.12 | ) | (1.74 | ) | (1.86 | ) | 12.01 | 0.23% | b | 203 | 1.50% | a | 1.25% | a | 0.86% | a | ||||||||||||||||||||||||||||||
10/31/11 | 17.77 | 0.18 | (2.32 | ) | (2.14 | ) | (0.04 | ) | (1.53 | ) | (1.57 | ) | 14.06 | (13.22% | ) | 188 | 1.46% | 1.25% | 1.13% | |||||||||||||||||||||||||||||||||
10/31/10 | 16.48 | 0.08 | 3.62 | 3.70 | (0.13 | ) | (2.28 | ) | (2.41 | ) | 17.77 | 25.14% | 206 | 1.37% | 1.25% | 0.47% | ||||||||||||||||||||||||||||||||||||
10/31/09g | 10.00 | 0.13 | 6.35 | 6.48 | (0.00 | )d | - | (0.00 | )d | 16.48 | 64.60% | b | 165 | 1.43% | a | 1.25% | a | 1.08% | a |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2014 | 2013 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Portfolio turnover rate | 108 | % | 75 | % | 76 | % | 84 | % | 45 | % | 75 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
f | Amount is less than $500. |
g | For the period November 3, 2008 (commencement of operations) through October 31, 2009. |
h | For the period March 1, 2011 (commencement of operations) through October 31, 2011. |
i | For the period November 1, 2011 through September 30, 2012. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
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Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total Returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.72 | $ | 0.07 | $ | 0.47 | $ | 0.54 | $ | (0.11 | ) | $ | - | $ | (0.11 | ) | $ | 12.15 | 4.61% | $ | 409 | 1.68% | 1.37% | 0.59% | ||||||||||||||||||||||||||||
09/30/13 | 12.09 | 0.13 | (0.43 | ) | (0.30 | ) | (0.07 | ) | - | (0.07 | ) | 11.72 | (2.50% | ) | 98 | 1.64% | 1.40% | 1.09% | ||||||||||||||||||||||||||||||||||
09/30/12i | 14.02 | 0.15 | (0.34 | ) | (0.19 | ) | - | (1.74 | ) | (1.74 | ) | 12.09 | 0.12% | b | 63 | 1.65% | a | 1.40% | a | 1.37% | a | |||||||||||||||||||||||||||||||
10/31/11 | 17.73 | 0.12 | (2.28 | ) | (2.16 | ) | (0.02 | ) | (1.53 | ) | (1.55 | ) | �� | 14.02 | (13.34% | ) | 0 | f | 1.57% | 1.39% | 0.71% | |||||||||||||||||||||||||||||||
10/31/10 | 16.45 | 0.06 | 3.62 | 3.68 | (0.12 | ) | (2.28 | ) | (2.40 | ) | 17.73 | 25.02% | 56,938 | 1.52% | 1.40% | 0.37% | ||||||||||||||||||||||||||||||||||||
10/31/09g | 10.00 | 0.13 | 6.32 | 6.45 | - | - | - | 16.45 | 64.30% | b | 27,256 | 1.58% | a | 1.40% | a | 0.98% | a | |||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.61 | $ | (0.01 | ) | $ | 0.51 | $ | 0.50 | $ | (0.07 | ) | $ | - | $ | (0.07 | ) | $ | 12.04 | 4.36% | $ | 470 | 1.94% | 1.62% | (0.05% | ) | ||||||||||||||||||||||||||
09/30/13 | 11.94 | 0.08 | (0.41 | ) | (0.33 | ) | - | - | - | 11.61 | (2.76% | ) | 336 | 1.89% | 1.65% | 0.63% | ||||||||||||||||||||||||||||||||||||
09/30/12i | 13.95 | 0.05 | (0.28 | ) | (0.23 | ) | (0.04 | ) | (1.74 | ) | (1.78 | ) | 11.94 | (0.19% | )b | 379 | 1.90% | a | 1.65% | a | 0.50% | a | ||||||||||||||||||||||||||||||
10/31/11 | 17.68 | 0.10 | (2.30 | ) | (2.20 | ) | - | (1.53 | ) | (1.53 | ) | 13.95 | (13.60% | ) | 396 | 1.85% | 1.65% | 0.64% | ||||||||||||||||||||||||||||||||||
10/31/10 | 16.42 | 0.01 | 3.62 | 3.63 | (0.09 | ) | (2.28 | ) | (2.37 | ) | 17.68 | 24.70% | 655 | 1.77% | 1.65% | 0.09% | ||||||||||||||||||||||||||||||||||||
10/31/09g | 10.00 | 0.09 | 6.33 | 6.42 | - | - | - | 16.42 | 64.00% | b | 238 | 1.83% | a | 1.65% | a | 0.73% | a | |||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 11.64 | $ | 0.05 | $ | 0.36 | $ | 0.41 | $ | - | $ | - | $ | - | $ | 12.05 | 3.52% | b | $ | 103 | 1.82% | a | 1.50% | a | 0.76% | a | ||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14gg | $ | 11.64 | $ | 0.03 | $ | 0.36 | $ | 0.39 | $ | - | $ | - | $ | - | $ | 12.03 | 3.35% | b | $ | 103 | 2.07% | a | 1.75% | a | 0.51% | a |
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1. | The Funds |
MassMutual Premier Funds (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 August 1, 1994, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 16 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MassMutual Premier Money Market Fund (“Money Market Fund”)
MassMutual Premier Short-Duration Bond Fund (“Short-Duration Bond Fund”)
MassMutual Premier Inflation-Protected and Income Fund (“Inflation-Protected and Income Fund”)
MassMutual Premier Core Bond Fund (“Core Bond Fund”)
MassMutual Premier Diversified Bond Fund (“Diversified Bond Fund”)
MassMutual Premier High Yield Fund (“High Yield Fund”)
MassMutual Premier Balanced Fund (“Balanced Fund”)
MassMutual Premier Value Fund (“Value Fund”)
MassMutual Premier Disciplined Value Fund (“Disciplined Value Fund”)
MassMutual Premier Main Street Fund (“Main Street Fund”)
MassMutual Premier Disciplined Growth Fund (“Disciplined Growth Fund”)
MassMutual Premier Small Cap Opportunities Fund (“Small Cap Opportunities Fund”)
MassMutual Premier Global Fund (“Global Fund”)
MassMutual Premier International Equity Fund (“International Equity Fund”)
MassMutual Premier Focused International Fund (“Focused International Fund”)
MassMutual Premier Strategic Emerging Markets Fund (“Strategic Emerging Markets Fund”)
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.
Effective March 7, 2014, Class A and Class Y shares of the Money Market Fund merged into Class S shares. Effective April 1, 2014, Class Z shares were renamed Class I shares, Class S shares were renamed Class R5 shares, Class Y shares were renamed Service Class shares, Class L shares were renamed Administrative Class shares, and Class N shares were renamed Class R3 shares, for each Fund.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Investment Valuation
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.
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 for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market 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
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Notes to Financial Statements (Continued)
of the exchange representing the principal market for such securities. Debt securities (other than short-term obligations) 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. For all Funds other than the Money Market Fund, short-term debt securities with remaining maturities of 60 days or less are valued at either amortized cost or at original cost plus accrued interest, whichever the Funds’ investment adviser determines more closely approximates current market value. The Money Market Fund’s portfolio securities are valued at amortized cost, which approximates current market value, in accordance with Rule 2a-7 under the 1940 Act pursuant to which the Money Market Fund must adhere to certain conditions. It is the intention of the Money Market Fund to maintain a stable net asset value per share of $1.00, although this cannot be assured. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee1 in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at their 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.
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
1 | The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general. |
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Notes to Financial Statements (Continued)
purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned key inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The Money Market Fund characterized all investments at Level 2, as of September 30, 2014. The Disciplined Value Fund and Disciplined Growth Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of September 30, 2014. 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.
266
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Notes to Financial Statements (Continued)
The following is the aggregate value by input level, as of September 30, 2014, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 223,973,548 | $ | - | $ | 223,973,548 | ||||||||
Municipal Obligations | - | 2,421,089 | - | 2,421,089 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 145,204,685 | 1,474,406 | 146,679,091 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 33,577,658 | - | 33,577,658 | ||||||||||||
U.S. Treasury Obligations | - | 16,570,879 | - | 16,570,879 | ||||||||||||
Purchased Options | - | 530,738 | - | 530,738 | ||||||||||||
Short-Term Investments | - | 147,333,826 | - | 147,333,826 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 569,612,423 | $ | 1,474,406 | $ | 571,086,829 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 1,720 | $ | - | $ | - | $ | 1,720 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (347,275 | ) | $ | - | $ | - | $ | (347,275 | ) | ||||||
Swap Agreements | - | (192,377 | ) | - | (192,377 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (347,275 | ) | $ | (192,377 | ) | $ | - | $ | (539,652 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 10,323,243 | $ | - | $ | 10,323,243 | ||||||||
Municipal Obligations | - | 388,897 | - | 388,897 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 124,188,267 | 1,037,185 | 125,225,452 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 273,253 | - | 273,253 | ||||||||||||
U.S. Treasury Obligations | - | 352,769,909 | - | 352,769,909 | ||||||||||||
Purchased Options | - | 134,824 | - | 134,824 | ||||||||||||
Short-Term Investments | - | 130,593,674 | - | 130,593,674 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 618,672,067 | $ | 1,037,185 | $ | 619,709,252 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 87,207 | $ | - | $ | - | $ | 87,207 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (8,035 | ) | $ | - | $ | - | $ | (8,035 | ) | ||||||
Swap Agreements | - | (48,904 | ) | - | (48,904 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (8,035 | ) | $ | (48,904 | ) | $ | - | $ | (56,939 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock | $ | 3,183,700 | $ | - | $ | - | $ | 3,183,700 | ||||||||
Corporate Debt | - | 689,806,294 | - | 689,806,294 | ||||||||||||
Municipal Obligations | - | 16,916,315 | - | 16,916,315 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 285,681,958 | 1,186,159 | 286,868,117 | ||||||||||||
Sovereign Debt Obligations | - | 13,037,573 | - | 13,037,573 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 436,565,268 | - | 436,565,268 | ||||||||||||
U.S. Treasury Obligations | - | 84,570,953 | - | 84,570,953 | ||||||||||||
Purchased Options | - | 1,335,785 | - | 1,335,785 | ||||||||||||
Short-Term Investments | - | 331,196,916 | - | 331,196,916 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,183,700 | $ | 1,859,111,062 | $ | 1,186,159 | $ | 1,863,480,921 | ||||||||
|
|
|
|
|
|
|
|
267
Table of Contents
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Core Bond Fund (Continued) | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 1,153 | $ | - | $ | - | $ | 1,153 | ||||||||
Swap Agreements | - | 7,307 | - | 7,307 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,153 | $ | 7,307 | $ | - | $ | 8,460 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (377,460 | ) | $ | - | $ | - | $ | (377,460 | ) | ||||||
Swap Agreements | - | (484,280 | ) | - | (484,280 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (377,460 | ) | $ | (484,280 | ) | $ | - | $ | (861,740 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | - | $ | - | $ | 180,956 | $ | 180,956 | ||||||||
Preferred Stock | 244,900 | - | - | 244,900 | ||||||||||||
Corporate Debt | - | 61,585,082 | - | 61,585,082 | ||||||||||||
Municipal Obligations | - | 646,399 | - | 646,399 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 26,271,622 | 602,803 | 26,874,425 | ||||||||||||
Sovereign Debt Obligations | - | 1,619,562 | - | 1,619,562 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 41,422,381 | - | 41,422,381 | ||||||||||||
U.S. Treasury Obligations | - | 11,971,959 | - | 11,971,959 | ||||||||||||
Purchased Options | - | 194,447 | - | 194,447 | ||||||||||||
Short-Term Investments | - | 34,032,545 | - | 34,032,545 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 244,900 | $ | 177,743,997 | $ | 783,759 | $ | 178,772,656 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 1,236 | $ | - | $ | - | $ | 1,236 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (7,200 | ) | $ | - | $ | - | $ | (7,200 | ) | ||||||
Swap Agreements | - | (70,514 | ) | - | (70,514 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (7,200 | ) | $ | (70,514 | ) | $ | - | $ | (77,714 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | - | $ | - | $ | 2,219,371 | $ | 2,219,371 | ||||||||
Bank Loans | - | 15,835,084 | - | 15,835,084 | ||||||||||||
Corporate Debt | - | 236,257,824 | - | † | 236,257,824 | |||||||||||
Short-Term Investments | - | 10,977,222 | - | 10,977,222 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 263,070,130 | $ | 2,219,371 | $ | 265,289,501 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 93,014,207 | $ | - | $ | - | $ | 93,014,207 | ||||||||
Preferred Stock | 122,450 | - | - | 122,450 | ||||||||||||
Corporate Debt | - | 23,552,269 | - | 23,552,269 | ||||||||||||
Municipal Obligations | - | 677,879 | - | 677,879 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 9,645,294 | 48,375 | 9,693,669 | ||||||||||||
Sovereign Debt Obligations | - | 508,043 | - | 508,043 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 15,992,287 | - | 15,992,287 | ||||||||||||
U.S. Treasury Obligations | - | 4,209,867 | - | 4,209,867 | ||||||||||||
Mutual Funds | 11,474,211 | - | - | 11,474,211 |
268
Table of Contents
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Balanced Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Purchased Options | $ | - | $ | 47,062 | $ | - | $ | 47,062 | ||||||||
Short-Term Investments | - | 16,972,690 | - | 16,972,690 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 104,610,868 | $ | 71,605,391 | $ | 48,375 | $ | 176,264,634 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (14,015 | ) | $ | - | $ | - | $ | (14,015 | ) | ||||||
Swap Agreements | - | (17,050 | ) | - | (17,050 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (14,015 | ) | $ | (17,050 | ) | $ | - | $ | (31,065 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 83,866,030 | $ | 4,001,131 | $ | - | $ | 87,867,161 | ||||||||
Mutual Funds | 324,847 | - | - | 324,847 | ||||||||||||
Short-Term Investments | - | 901,136 | - | 901,136 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 84,190,877 | $ | 4,902,267 | $ | - | $ | 89,093,144 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 191,594,531 | $ | 8,157,331 | * | $ | - | $ | 199,751,862 | |||||||
Preferred Stock | - | 259,929 | - | 259,929 | ||||||||||||
Mutual Funds | 5,655,474 | - | - | 5,655,474 | ||||||||||||
Short-Term Investments | - | 2,338,601 | - | 2,338,601 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 197,250,005 | $ | 10,755,861 | $ | - | $ | 208,005,866 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 171,504,529 | $ | 918,097 | * | $ | - | $ | 172,422,626 | |||||||
Mutual Funds | 16,483,734 | - | - | 16,483,734 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 187,988,263 | $ | 918,097 | $ | - | $ | 188,906,360 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 193,823,175 | $ | 197,962,722 | * | $ | - | $ | 391,785,897 | |||||||
Preferred Stock | - | 7,331,542 | - | 7,331,542 | ||||||||||||
Mutual Funds | 27,939,061 | - | - | 27,939,061 | ||||||||||||
Rights | - | 45,407 | - | 45,407 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 221,762,236 | $ | 205,339,671 | $ | - | $ | 427,101,907 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 30,427,713 | $ | 465,688,450 | * | $ | - | $ | 496,116,163 | |||||||
Preferred Stock | - | 88,862 | - | 88,862 | ||||||||||||
Mutual Funds | 43,485,936 | - | - | 43,485,936 | ||||||||||||
Warrants | - | - | - | † | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 73,913,649 | $ | 465,777,312 | $ | - | $ | 539,690,961 | ||||||||
|
|
|
|
|
|
|
|
269
Table of Contents
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Focused International Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 703,800 | $ | 36,511,931 | * | $ | - | $ | 37,215,731 | |||||||
Mutual Funds | 1,259,583 | - | - | 1,259,583 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,963,383 | $ | 36,511,931 | $ | - | $ | 38,475,314 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 41,770,954 | $ | 97,915,023 | * | $ | - | $ | 139,685,977 | |||||||
Preferred Stock | - | 2,942,016 | - | 2,942,016 | ||||||||||||
Mutual Funds | 5,933,389 | - | - | 5,933,389 | ||||||||||||
Warrants | - | 107,054 | - | 107,054 | ||||||||||||
Short-Term Investments | - | 8,243,729 | - | 8,243,729 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 47,704,343 | $ | 109,207,822 | $ | - | $ | 156,912,165 | ||||||||
|
|
|
|
|
|
|
|
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets. |
† | Represents security at $0 value as of September 30, 2014. |
The following tables show Funds with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of September 30, 2014.
Statements of Assets and Liabilities Location: | Short-Duration Bond Fund | Inflation-Protected and Income Fund | Core Bond Fund | Diversified Bond | High Yield | Balanced Fund | ||||||
Receivables from: | ||||||||||||
Investments sold on a when-issued basis | X | X | X | |||||||||
Collateral held for reverse repurchase agreements | X | |||||||||||
Payables from: | ||||||||||||
Reverse repurchase agreements | X | |||||||||||
Investments purchased on a when-issued basis | X | X | X | X | X | |||||||
Due to Custodian | X | X | X | X | ||||||||
Foreign Currency | X |
Statements of Assets and Liabilities Location: | Value Fund | Main Street | Small Cap Opportunities Fund | Global Fund | International Equity Fund | Focused International Fund | Strategic | |||||||
Payables from: | ||||||||||||||
Securities on loan | X | X | X | X | X | X | X | |||||||
Due to Custodian | X | X | X |
270
Table of Contents
Notes to Financial Statements (Continued)
The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:
Transfers In* | Transfers Out* | |||||||||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | |||||||||||||
Value Fund | $ | - | $ | 874,903 | $ | (874,903 | ) | $ | - |
* | The Fund(s) recognize transfers between the Levels as of the beginning of the year. Transfers occurred between Level 1 and Level 2 as inputs were less observable. |
Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:
Asset Valuation Inputs
Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
Balance as of 9/30/13 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | (Sales) | Transfers into Level 3* | Transfers (out) of Level 3* | Balance as of 9/30/14 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 9/30/14 | |||||||||||||||||||||||||||||||
Short-Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||
Non-U.S. Government | ||||||||||||||||||||||||||||||||||||||||
Agency Obligations† | $ | 4,201,340 | $ | - | $ | 1,856 | $ | 16,824 | $ | 600,000 | $ | (4,345,556 | ) | $ | - | $ | - | $ | 474,464 | $ | 20 | |||||||||||||||||||
Non-U.S. Government | ||||||||||||||||||||||||||||||||||||||||
Agency Obligations | - | - | - | - | 999,942 | - | - | - | 999,942 | - | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 4,201,340 | $ | - | $ | 1,856 | $ | 16,824 | $ | 1,599,942 | $ | (4,345,556 | ) | $ | - | $ | - | $ | 1,474,406 | $ | 20 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Inflation-Protected and Income Fund |
| |||||||||||||||||||||||||||||||||||||||
Non-U.S. Government | ||||||||||||||||||||||||||||||||||||||||
Agency Obligations† | $ | 1,320,111 | $ | - | $ | - | $ | (101 | ) | $ | 300,000 | $ | (1,382,778 | ) | $ | - | $ | - | $ | 237,232 | $ | 10 | ||||||||||||||||||
Non-U.S. Government | ||||||||||||||||||||||||||||||||||||||||
Agency Obligations | - | - | - | - | 799,953 | - | - | - | 799,953 | - | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 1,320,111 | $ | - | $ | - | $ | (101 | ) | $ | 1,099,953 | $ | (1,382,778 | ) | $ | - | $ | - | $ | 1,037,185 | $ | 10 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Core Bond Fund | ||||||||||||||||||||||||||||||||||||||||
Non-U.S. Government | ||||||||||||||||||||||||||||||||||||||||
Agency Obligations† | $ | 4,941,000 | $ | - | $ | 5,800 | $ | 53,249 | $ | 1,500,000 | $ | (5,313,890 | ) | $ | - | $ | - | $ | 1,186,159 | $ | 49 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Diversified Bond Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stock | $ | 64,153 | $ | - | $ | - | $ | 116,803 | $ | - | $ | - | $ | - | $ | - | $ | 180,956 | $ | 116,803 | ||||||||||||||||||||
Non-U.S. Government | ||||||||||||||||||||||||||||||||||||||||
Agency Obligations† | 1,161,135 | - | 1,363 | 12,510 | 250,000 | (1,227,315 | ) | - | - | 197,693 | 8 | |||||||||||||||||||||||||||||
Non-U.S. Government | ||||||||||||||||||||||||||||||||||||||||
Agency Obligations | - | - | - | - | 405,110 | - | - | - | 405,110 | - | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 1,225,288 | $ | - | $ | 1,363 | $ | 129,313 | $ | 655,110 | $ | (1,227,315 | ) | $ | - | $ | - | $ | 783,759 | $ | 116,811 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stock | $ | 786,811 | $ | - | $ | - | $ | 1,432,560 | $ | - | $ | - | $ | - | $ | - | $ | 2,219,371 | $ | 1,432,560 | ||||||||||||||||||||
Corporate Debt | - | (1,046 | ) | - | 1,028 | - | - | 18 | ** | - | - | *** | 1,028 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 786,811 | $ | (1,046 | ) | $ | - | $ | 1,433,588 | $ | - | $ | - | $ | 18 | $ | - | $ | 2,219,371 | $ | 1,433,588 | ||||||||||||||||||||
|
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271
Table of Contents
Notes to Financial Statements (Continued)
Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
Balance as of 9/30/13 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | (Sales) | Transfers into Level 3* | Transfers (out) of Level 3* | Balance as of 9/30/14 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 9/30/14 | |||||||||||||||||||||||||||||||
Balanced Fund | ||||||||||||||||||||||||||||||||||||||||
Preferred Stock | $ | - | $ | - | $ | (12 | ) | $ | 12 | $ | - | $ | - | †† | $ | - | ** | $ | - | $ | - | $ | - | |||||||||||||||||
Non-U.S. Government | ||||||||||||||||||||||||||||||||||||||||
Agency Obligations† | 247,050 | - | 290 | 2,660 | - | (250,000 | ) | - | - | - | - | |||||||||||||||||||||||||||||
Non-U.S. Government Agency Obligations | - | - | - | - | 48,375 | - | - | - | 48,375 | - | ||||||||||||||||||||||||||||||
|
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|
| |||||||||||||||||||||
$ | 247,050 | $ | - | $ | 278 | $ | 2,672 | $ | 48,375 | $ | (250,000 | ) | $ | - | $ | - | $ | 48,375 | $ | - | ||||||||||||||||||||
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| |||||||||||||||||||||
International Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Preferred Stock | $ | - | $ | - | $ | - | $ | - | $ | 125,786 | $ | (125,786 | ) | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||||
Warrants | 316,363 | - | - | (316,363 | ) | - | - | - | - | - | *** | (316,363 | ) | |||||||||||||||||||||||||||
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| |||||||||||||||||||||
$ | 316,363 | $ | - | $ | - | $ | (316,363 | ) | $ | 125,786 | $ | (125,786 | ) | $ | - | $ | - | $ | - | $ | (316,363 | ) | ||||||||||||||||||
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| |||||||||||||||||||||
Strategic Emerging Markets Fund |
| |||||||||||||||||||||||||||||||||||||||
Common Stock | $ | - | $ | - | $ | 1,720 | $ | - | $ | 257,023 | $ | (258,743 | ) | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||||
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|
* | The Fund(s) recognize transfers between the Levels as of the beginning of the year. |
** | Transfers occurred between Level 3 and Level 2 as inputs were less observable. |
*** | Represents security at $0 value as of September 30, 2014. |
† | Represents (i) an illiquid 144A security valued by a broker quote or vendor price or (ii) a restricted security issued by a non-public entity valued by a broker quote or vendor price. |
†† | Represents security at $0 value at the time of sale. |
None of the unobservable inputs, individually or collectively, had a material impact on the Fund(s).
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. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the year ended September 30, 2014, the following tables show how the Fund used these types of derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).
Type of Derivative and Objective for Use | Short-Duration | Inflation- | Core Fund | Diversified | Balanced | |||||
Futures Contracts* | ||||||||||
Hedging/Risk Management | A | A | A | A | A | |||||
Duration/Credit Quality Management | A | A | A | A | A | |||||
Substitution for Direct Investment | A | A | A | A | A | |||||
Intention to Create Investment Leverage in Portfolio | M | M | M | M | M | |||||
Interest Rate Swaps** | ||||||||||
Hedging/Risk Management | A | A | A | A | A | |||||
Duration Management | M | M | M | M | M |
272
Table of Contents
Notes to Financial Statements (Continued)
Type of Derivative and Objective for Use | Short-Duration | Inflation- | Core Fund | Diversified | Balanced | |||||
Interest Rate Swaps (Continued)** | ||||||||||
Asset/Liability Management | M | M | M | M | M | |||||
Substitution for Direct Investment | M | M | M | M | M | |||||
Intention to Create Investment Leverage in Portfolio | M | M | M | M | M | |||||
Credit Default Swaps (Protection Buyer) | ||||||||||
Hedging/Risk Management | A | A | A | A | ||||||
Duration/Credit Quality Management | A | A | A | A | ||||||
Income | A | A | A | A | ||||||
Substitution for Direct Investment | A | A | A | A | ||||||
Intention to Create Investment Leverage in Portfolio | M | M | M | M | ||||||
Purchased Options | ||||||||||
Hedging/Risk Management | A | A | A | A | A | |||||
Duration/Credit Quality Management | A | A | A | A | A | |||||
Substitution for Direct Investment | A | A | A | A | A | |||||
Directional Investment | A | A | A | A | A | |||||
Intention to Create Investment Leverage in Portfolio | M | M | M | M | M |
Type of Derivative and Objective for Use | Global | International | Focused | Strategic | ||||
Rights and Warrants | ||||||||
Result of a Corporate Action | A | A | A | A |
* | Includes any options purchased or written on futures contracts, if applicable. |
** | Includes any caps, floors, and collars, and related purchased or written options, if applicable. |
At September 30, 2014, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Credit Risk | Equity Risk | Interest Rate Risk | Total | |||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 530,738 | $ | 530,738 | ||||||||
Futures Contracts^^ | - | - | 1,720 | 1,720 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | 532,458 | $ | 532,458 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | (347,275 | ) | $ | (347,275 | ) | ||||||
Swap Agreements^^ | - | - | (192,377 | ) | (192,377 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | (539,652 | ) | $ | (539,652 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 777,506 | $ | 777,506 | ||||||||
Futures Contracts | - | - | (178,289 | ) | (178,289 | ) | ||||||||||
Swap Agreements | (146,542 | ) | - | (67,078 | ) | (213,620 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (146,542 | ) | $ | - | $ | 532,139 | $ | 385,597 | |||||||
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|
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|
|
273
Table of Contents
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Interest Rate Risk | Total | |||||||||||||
Short-Duration Bond Fund (Continued) | ||||||||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (318,150 | ) | $ | (318,150 | ) | ||||||
Futures Contracts | - | - | 198,623 | 198,623 | ||||||||||||
Swap Agreements | (393 | ) | - | (276,292 | ) | (276,685 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (393 | ) | $ | - | $ | (395,819 | ) | $ | (396,212 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 48,380,000 | $ | 48,380,000 | ||||||||
Futures Contracts | - | - | 417 | 417 | ||||||||||||
Swap Agreements | $ | 13,320,000 | $ | - | $ | 59,455,000 | $ | 72,775,000 | ||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 134,824 | $ | 134,824 | ||||||||
Futures Contracts^^ | - | - | 87,207 | 87,207 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | 222,031 | $ | 222,031 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | (8,035 | ) | $ | (8,035 | ) | ||||||
Swap Agreements^^ | - | - | (48,904 | ) | (48,904 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | (56,939 | ) | $ | (56,939 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 197,510 | $ | 197,510 | ||||||||
Futures Contracts | - | - | (642,236 | ) | (642,236 | ) | ||||||||||
Swap Agreements | (28 | ) | - | (236,274 | ) | (236,302 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (28 | ) | $ | - | $ | (681,000 | ) | $ | (681,028 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (80,819 | ) | $ | (80,819 | ) | ||||||
Futures Contracts | - | - | 104,111 | 104,111 | ||||||||||||
Swap Agreements | - | - | (31,390 | ) | (31,390 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | - | $ | - | $ | (8,098 | ) | $ | (8,098 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 12,290,000 | $ | 12,290,000 | ||||||||
Futures Contracts | - | - | 353 | 353 | ||||||||||||
Swap Agreements | $ | - | $ | - | $ | 27,541,667 | $ | 27,541,667 | ||||||||
Core Bond Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 1,335,785 | $ | 1,335,785 | ||||||||
Futures Contracts^^ | - | - | 1,153 | 1,153 | ||||||||||||
Swap Agreements^^ | - | - | 7,307 | 7,307 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | 1,344,245 | $ | 1,344,245 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | (377,460 | ) | $ | (377,460 | ) | ||||||
Swap Agreements^^ | - | - | (484,280 | ) | (484,280 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | (861,740 | ) | $ | (861,740 | ) | ||||||
|
|
|
|
|
|
|
|
274
Table of Contents
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Interest Rate Risk | Total | |||||||||||||
Core Bond Fund (Continued) |
| |||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 1,956,862 | $ | 1,956,862 | ||||||||
Futures Contracts | - | - | 1,603,227 | 1,603,227 | ||||||||||||
Swap Agreements | (378,608 | ) | - | (181,090 | ) | (559,698 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (378,608 | ) | $ | - | $ | 3,378,999 | $ | 3,000,391 | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (800,735 | ) | $ | (800,735 | ) | ||||||
Futures Contracts | - | - | (1,773,109 | ) | (1,773,109 | ) | ||||||||||
Swap Agreements | (1,018 | ) | - | (697,776 | ) | (698,794 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (1,018 | ) | $ | - | $ | (3,271,620 | ) | $ | (3,272,638 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 121,765,000 | $ | 121,765,000 | ||||||||
Futures Contracts | - | - | 1,751 | 1,751 | ||||||||||||
Swap Agreements | $ | 32,000,000 | $ | - | $ | 140,315,833 | $ | 172,315,833 | ||||||||
Diversified Bond Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 194,447 | $ | 194,447 | ||||||||
Futures Contracts^^ | - | - | 1,236 | 1,236 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | 195,683 | $ | 195,683 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | (7,200 | ) | $ | (7,200 | ) | ||||||
Swap Agreements^^ | - | - | (70,514 | ) | (70,514 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | (77,714 | ) | $ | (77,714 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 284,855 | $ | 284,855 | ||||||||
Futures Contracts | - | - | 12,262 | 12,262 | ||||||||||||
Swap Agreements | (231,165 | ) | - | (42,273 | ) | (273,438 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (231,165 | ) | $ | - | $ | 254,844 | $ | 23,679 | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (116,560 | ) | $ | (116,560 | ) | ||||||
Futures Contracts | - | - | (49,737 | ) | (49,737 | ) | ||||||||||
Swap Agreements | 31,055 | - | (84,432 | ) | (53,377 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | 31,055 | $ | - | $ | (250,729 | ) | $ | (219,674 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 17,725,000 | $ | 17,725,000 | ||||||||
Futures Contracts | - | - | 172 | 172 | ||||||||||||
Swap Agreements | $ | 2,275,000 | $ | - | $ | 11,378,182 | $ | 13,653,182 | ||||||||
Balanced Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 47,062 | $ | 47,062 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | (14,015 | ) | $ | (14,015 | ) | ||||||
Swap Agreements^^ | - | - | (17,050 | ) | (17,050 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | - | $ | - | $ | (31,065 | ) | $ | (31,065 | ) | ||||||
|
|
|
|
|
|
|
|
275
Table of Contents
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Interest Rate Risk | Total | |||||||||||||
Balanced Fund (Continued) | ||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 68,944 | $ | 68,944 | ||||||||
Futures Contracts | - | 101,683 | 77,913 | 179,596 | ||||||||||||
Swap Agreements | (13,110 | ) | - | (5,864 | ) | (18,974 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (13,110 | ) | $ | 101,683 | $ | 140,993 | $ | 229,566 | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | (28,210 | ) | $ | (28,210 | ) | ||||||
Futures Contracts | - | - | (56,956 | ) | (56,956 | ) | ||||||||||
Swap Agreements | (35 | ) | - | (24,508 | ) | (24,543 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (35 | ) | $ | - | $ | (109,674 | ) | $ | (109,709 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 4,290,000 | $ | 4,290,000 | ||||||||
Futures Contracts | - | 20 | 60 | 80 | ||||||||||||
Swap Agreements | $ | 1,150,000 | $ | - | $ | 5,285,455 | $ | 6,435,455 | ||||||||
Global Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Rights* | $ | - | $ | 45,407 | $ | - | $ | 45,407 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Rights | $ | - | $ | 18 | $ | - | $ | 18 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Rights | $ | - | $ | (1,945 | ) | $ | - | $ | (1,945 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||
Rights | - | 976,059 | - | 976,059 | ||||||||||||
International Equity Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Warrants* | $ | - | $ | - | †† | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Warrants | $ | - | $ | - | ††† | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Warrants | $ | - | $ | (320,708 | ) | $ | - | $ | (320,708 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||
Warrants | - | 1,077,518 | - | 1,077,518 | ||||||||||||
Focused International Fund | ||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||
Rights | $ | - | $ | 13 | $ | - | $ | 13 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Rights | $ | - | $ | (134,184 | ) | $ | - | $ | (134,184 | ) | ||||||
|
|
|
|
|
|
|
|
276
Table of Contents
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Interest Rate Risk | Total | |||||||||||||
Focused International Fund (Continued) | ||||||||||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||
Rights | - | 102,645 | - | 102,645 | ||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Warrants* | $ | - | $ | 107,054 | $ | - | $ | 107,054 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized Gain (Loss)# | ||||||||||||||||
Rights | $ | - | $ | - | ††† | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||
Warrants | $ | - | $ | 49,994 | $ | - | $ | 49,994 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||
Rights | - | 20,237 | - | 20,237 | ||||||||||||
Warrants | - | 121,100 | - | 121,100 |
* | Statements of Assets and Liabilities location: Investments, at value. |
^^ | Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” below. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
†† | Represents security at $0 value as of September 30, 2014. |
††† | Represents $0 gain (loss) at time of sale. |
# | 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. |
† | Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for purchased options and swap agreements, or shares/units outstanding for rights and warrants, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended September 30, 2014. |
The following table presents the Funds’ 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 September 30, 2014.
Counterparty | Derivative Assets Subject to a MNA by Counterparty† | Financial | Collateral Received** | Net Amount* | ||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Credit Suisse International | $ | 530,738 | $ - | $ | (502,300 | ) | $ | 28,438 | ||||||||
|
|
|
|
|
| |||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Credit Suisse International | $ | 134,824 | $ - | $ | (134,824 | ) | $ | - | ||||||||
|
|
|
|
|
| |||||||||||
Core Bond Fund | ||||||||||||||||
Credit Suisse International | $ | 1,335,785 | $ - | $ | (1,335,785 | ) | $ | - | ||||||||
|
|
|
|
|
| |||||||||||
Diversified Bond Fund | ||||||||||||||||
Credit Suisse International | $ | 194,447 | $ - | $ | (194,447 | ) | $ | - | ||||||||
|
|
|
|
|
| |||||||||||
Balanced Fund | ||||||||||||||||
Credit Suisse International | $ | 47,062 | $ - | $ | - | $ | 47,062 | |||||||||
|
|
|
|
|
|
* | Represents the net amount receivable from the counterparty in the event of default. |
** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
† | The amount presented here may be less than the total amount shown in the Statement of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements. |
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Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.
Further details regarding the derivatives and other investments held by the Fund(s) during the year ended September 30, 2014, 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 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. 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 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 the 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.
The Fund(s) listed in the following table had open futures contracts at September 30, 2014:
Expiration Date | Number of Contracts | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Short-Duration Bond Fund | ||||||||||||||
Futures Contracts — Long | ||||||||||||||
U.S. Treasury Note 10 Year | 12/19/14 | 495 | $ | 61,697,109 | $ | (339,259 | ) | |||||||
U.S. Treasury Note 2 Year | 12/31/14 | 568 | 124,303,250 | 1,720 | ||||||||||
U.S. Treasury Note 5 Year | 12/31/14 | 29 | 3,429,477 | (8,016 | ) | |||||||||
|
| |||||||||||||
$ | (345,555 | ) | ||||||||||||
|
| |||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||
Futures Contracts — Short | ||||||||||||||
U.S. Treasury Long Bond | 12/19/14 | 13 | $ | (1,792,781 | ) | $ | 15,479 | |||||||
U.S. Treasury Note 10 Year | 12/19/14 | 46 | (5,733,469 | ) | (8,035 | ) | ||||||||
U.S. Treasury Ultra Long Bond | 12/19/14 | 20 | (3,050,000 | ) | 37,162 | |||||||||
U.S. Treasury Note 2 Year | 12/31/14 | 179 | (39,173,031 | ) | 20,007 | |||||||||
U.S. Treasury Note 5 Year | 12/31/14 | 43 | (5,085,086 | ) | 14,559 | |||||||||
|
| |||||||||||||
$ | 79,172 | |||||||||||||
|
|
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Expiration Date | Number of Contracts | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Core Bond Fund | ||||||||||||||
Futures Contracts — Long | ||||||||||||||
U.S. Treasury Long Bond | 12/19/14 | 1 | $ | 137,906 | $ | 1,153 | ||||||||
U.S. Treasury Note 10 Year | 12/19/14 | 240 | 29,913,750 | (127,355 | ) | |||||||||
U.S. Treasury Note 2 Year | 12/31/14 | 675 | 147,719,531 | (85,540 | ) | |||||||||
U.S. Treasury Note 5 Year | 12/31/14 | 664 | 78,523,188 | (164,565 | ) | |||||||||
|
| |||||||||||||
$ | (376,307 | ) | ||||||||||||
|
| |||||||||||||
Diversified Bond Fund | ||||||||||||||
Futures Contracts — Long | ||||||||||||||
U.S. Treasury Note 10 Year | 12/19/14 | 4 | $ | 498,563 | $ | (13 | ) | |||||||
U.S. Treasury Note 2 Year | 12/31/14 | 104 | 22,759,750 | (7,187 | ) | |||||||||
U.S. Treasury Note 5 Year | 12/31/14 | 9 | 1,064,320 | 1,236 | ||||||||||
|
| |||||||||||||
$ | (5,964 | ) | ||||||||||||
|
| |||||||||||||
Balanced Fund | ||||||||||||||
Futures Contracts — Long | ||||||||||||||
U.S. Treasury Note 10 Year | 12/19/14 | 13 | $ | 1,620,328 | $ | (9,171 | ) | |||||||
U.S. Treasury Note 2 Year | 12/31/14 | 28 | 6,127,625 | (3,186 | ) | |||||||||
U.S. Treasury Note 5 Year | 12/31/14 | 9 | 1,064,320 | (1,658 | ) | |||||||||
|
| |||||||||||||
$ | (14,015 | ) | ||||||||||||
|
|
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, 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 interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference
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entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally 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 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 transactions are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
The Fund(s) listed in the following table had open swap transactions at September 30, 2014. A Fund’s current exposure to a counterparty is the fair value of the transaction.
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Currency | Notional Amount | Expiration | Payments Made by Fund | Payments Received by Fund |
Unrealized | Premium Received (Paid) | Value | |||||||||||||||||
Short-Duration Bond Fund* | ||||||||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||
Centrally Cleared Swaps | ||||||||||||||||||||||||
USD | 14,555,000 | 4/29/24 | Fixed 2.765% | 3-Month USD-LIBOR-BBA | $ | (192,377 | ) | $ | - | $ | (192,377 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Inflation-Protected and Income Fund** | ||||||||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||
Centrally Cleared Swaps | ||||||||||||||||||||||||
USD | 3,700,000 | 4/29/24 | Fixed 2.765% | 3-Month USD-LIBOR-BBA | $ | (48,904 | ) | $ | - | $ | (48,904 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Core Bond Fund*** | ||||||||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||
Centrally Cleared Swaps | ||||||||||||||||||||||||
USD | 4,000,000 | 5/17/16 | Fixed 0.530% | 3-Month USD-LIBOR-BBA | $ | 7,039 | $ | 268 | $ | 7,307 | ||||||||||||||
USD | 36,640,000 | 4/29/24 | Fixed 2.765% | 3-Month USD-LIBOR-BBA | (484,280 | ) | - | (484,280 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
(477,241 | ) | 268 | (476,973 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Diversified Bond Fund**** | ||||||||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||
Centrally Cleared Swaps | ||||||||||||||||||||||||
USD | 5,335,000 | 4/29/24 | Fixed 2.765% | 3-Month USD-LIBOR-BBA | $ | (70,514 | ) | $ | - | $ | (70,514 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Balanced Fund***** | ||||||||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||
Centrally Cleared Swaps | ||||||||||||||||||||||||
USD | 1,290,000 | 4/29/24 | Fixed 2.765% | 3-Month USD-LIBOR-BBA | $ | (17,050 | ) | $ | - | $ | (17,050 | ) | ||||||||||||
|
|
|
|
|
|
USD | U.S. Dollar |
* | Collateral for swap agreements held by Goldman Sachs & Co. amounted to $408,223 in securities at September 30, 2014. |
** | Collateral for swap agreements held by Goldman Sachs & Co. amounted to $108,211 in securities at September 30, 2014. |
*** | Collateral for swap agreements held by Goldman Sachs & Co. amounted to $1,040,994 in securities at September 30, 2014. |
**** | Collateral for swap agreements held by Goldman Sachs & Co. amounted to $153,084 in securities at September 30, 2014. |
***** | Collateral for swap agreements held by Goldman Sachs & Co. amounted to $39,432 in securities at September 30, 2014. |
Options, Rights, and Warrants
A Fund may purchase 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 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.
Purchasing call options. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) 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,
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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-Indexed Bonds
The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.
The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
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Bank Loans
Certain of the Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.
Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.
At September 30, 2014, the Funds had no unfunded loan commitments.
Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.
Reverse Repurchase Agreements
Each Fund may enter into reverse repurchase agreements with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date at a fixed price (typically equal to the original sale price plus interest). During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the purchase price received by it from the counterparty.
Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements generally create investment leverage and involve the risk that the market value of the security that a Fund is obligated to repurchase under the agreement may decline below the repurchase price. For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for a security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.
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Reverse repurchase transactions are entered into by a Fund under a Master Repurchase Agreement (“MRA”), which permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and creates one single net payment due to or from the Fund. With reverse repurchase transactions, typically a Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
In the event the buyer of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.
The following table is a summary of the Fund(s) open reverse repurchase transactions which are subject to an MRA on a net basis at September 30, 2014:
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral* | Cash Collateral Pledged | Net Amount | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Banque Paribas | $ | (32,646,000 | ) | $ | 32,055,000 | $ | 591,000 | $ | - | |||||||
Barclays Bank PLC | (31,999,432 | ) | 31,363,432 | 636,000 | - | |||||||||||
Daiwa Securities | (11,647,300 | ) | 11,647,300 | - | - | |||||||||||
Deutsche Bank AG | (33,419,996 | ) | 32,884,996 | 535,000 | - | |||||||||||
Goldman Sachs & Co. | (70,318,602 | ) | 68,718,817 | 1,599,785 | - | |||||||||||
HSBC Finance Corp. | (84,201,130 | ) | 83,029,130 | 1,172,000 | - | |||||||||||
Morgan Stanley | (32,019,301 | ) | 31,345,301 | 674,000 | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (296,251,761 | ) | $ | 291,043,976 | $ | 5,207,785 | $ | - | ||||||||
|
|
|
|
|
|
|
|
* | Collateral with a value of $300,736,587 has been pledged in connection with open reverse repurchase transactions. Excess collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
The Fund(s) listed in the following table had reverse repurchase transactions during the year ended September 30, 2014:
Description | Value | |||
Inflation-Protected and Income Fund | ||||
Agreement with Banque Paribas, dated 7/10/14, 0.150%, to be repurchased on demand until 10/08/14 at value plus accrued interest. | $ | 28,530,000 | ||
Agreement with Banque Paribas, dated 9/04/14, 0.170%, to be repurchased on demand until 11/04/14 at value plus accrued interest. | 4,116,000 | |||
Agreement with Barclays Bank PLC, dated 7/09/14, 0.180%, to be repurchased on demand until 10/07/14 at value plus accrued interest. | 736,470 | |||
Agreement with Barclays Bank PLC, dated 7/16/14, 0.180%, to be repurchased on demand until 10/07/14 at value plus accrued interest. | 16,474,904 | |||
Agreement with Barclays Bank PLC, dated 8/27/14, 0.170%, to be repurchased on demand until 11/25/14 at value plus accrued interest. | 8,730,932 | |||
Agreement with Barclays Bank PLC, dated 9/03/14, 0.180%, to be repurchased on demand until 10/02/14 at value plus accrued interest. | 6,057,126 | |||
Agreement with Daiwa Securities, dated 8/05/14, 0.180%, to be repurchased on demand until 10/02/14 at value plus accrued interest. | 1,386,250 |
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Description | Value | |||
Inflation-Protected and Income Fund (continued) | ||||
Agreement with Daiwa Securities, dated 9/10/14, 0.170%, to be repurchased on demand until 10/02/14 at value plus accrued interest. | $ | 10,261,050 | ||
Agreement with Deutsche Bank AG, dated 7/09/14, 0.160%, to be repurchased on demand until 10/03/14 at value plus accrued interest. | 31,322,228 | |||
Agreement with Deutsche Bank AG, dated 8/26/14, 0.170%, to be repurchased on demand until 11/19/14 at value plus accrued interest. | 2,097,768 | |||
Agreement with Goldman Sachs & Co., dated 7/16/14, 0.180%, to be repurchased on demand until 10/15/14 at value plus accrued interest. | 9,005,770 | |||
Agreement with Goldman Sachs & Co., dated 8/21/14, 0.190%, to be repurchased on demand until 11/20/14 at value plus accrued interest. | 6,042,497 | |||
Agreement with Goldman Sachs & Co., dated 9/04/14, 0.190%, to be repurchased on demand until 11/20/14 at value plus accrued interest. | 55,270,335 | |||
Agreement with HSBC Finance Corp., dated 7/09/14, 0.160%, to be repurchased on demand until 10/07/14 at value plus accrued interest. | 24,906,005 | |||
Agreement with HSBC Finance Corp., dated 7/29/14, 0.150%, to be repurchased on demand until 10/07/14 at value plus accrued interest. | 10,631,625 | |||
Agreement with HSBC Finance Corp., dated 8/12/14, 0.150%, to be repurchased on demand until 11/05/14 at value plus accrued interest. | 24,186,250 | |||
Agreement with HSBC Finance Corp., dated 9/04/14, 0.160%, to be repurchased on demand until 11/05/14 at value plus accrued interest. | 7,817,250 | |||
Agreement with HSBC Finance Corp., dated 9/30/14, (0.400%), to be repurchased on demand until 10/01/14 at value plus accrued interest. | 16,660,000 | |||
Agreement with Morgan Stanley, dated 07/08/14, 0.190%, to be repurchased on demand until 10/02/14 at value plus accrued interest. | 18,198,905 | |||
Agreement with Morgan Stanley, dated 8/05/14, 0.180%, to be repurchased on demand until | 13,820,396 | |||
|
| |||
$ | 296,251,761 | |||
|
| |||
Average balance outstanding | $ | 260,131,521 | ||
Maximum balance outstanding | $ | 296,251,761 | ||
Weighted average maturity | 54 days | |||
Average interest rate | 0.15% |
Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase transactions.
When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. 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.
Prior to settlement of these transactions, the value of the subject securities will fluctuate. In addition, because the Fund is not required to make payment under these transactions until the delivery date, they may result in a form of leverage.
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These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Securities Lending
Each Fund may lend its securities to qualified brokers, under the terms of a master netting agreement. Securities lending cannot exceed 33% of the total assets of the Fund taken at current value.
Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash or securities adjusted daily to have market 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. As with other extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Funds receive compensation for lending their securities 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 loan of securities. At September 30, 2014, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.
The Funds employ an 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 securities lending agent or borrower, respectively. For the year ended September 30, 2014, the Fund(s) earned securities lending net income as follows:
Securities Lending Gross Income | Securities Lending Fees and Expenses | Securities Lending Net Income | ||||||||||
Value Fund | $ | 26,158 | $ | 5,231 | $ | 20,927 | ||||||
Main Street Fund | 16,582 | 3,292 | 13,290 | |||||||||
Small Cap Opportunities Fund | 147,612 | 29,523 | 118,089 | |||||||||
Global Fund | 353,815 | 70,752 | 283,063 | |||||||||
International Equity Fund | 487,121 | 96,568 | 390,553 | |||||||||
Focused International Fund | 81,235 | 16,936 | 64,299 | |||||||||
Strategic Emerging Markets Fund | 51,769 | 10,354 | 41,415 |
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 is recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.
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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 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 the Fund not directly attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.
Foreign Securities
The Global Fund invests a significant amount of its assets and each of the International Equity Fund, Focused International Fund, and Strategic Emerging Markets Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of the 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 of each Fund, other than the Money Market Fund, are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements. Dividends from net investment income are declared daily and paid monthly for the Money Market Fund. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. 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.
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3. | Advisory Fees and Other Transactions |
Investment Advisory Fees
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“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, at the following annual rates:
Money Market Fund | 0.35% | |
Short-Duration Bond Fund* | 0.35% on the first $500 million; and | |
0.30% on any excess over $500 million | ||
Inflation-Protected and Income Fund* | 0.38% on the first $350 million; and | |
0.33% on any excess over $350 million | ||
Core Bond Fund* | 0.38% on the first $1.5 billion; | |
0.33% on the next $500 million; and | ||
0.28% on any excess over $2 billion | ||
Diversified Bond Fund* | 0.40% on the first $150 million; and | |
0.35% on any excess over $150 million | ||
High Yield Fund* | 0.48% on the first $250 million; and | |
0.455% on any excess over $250 million | ||
Balanced Fund | 0.48% on the first $350 million; and | |
0.43% on any excess over $350 million | ||
Value Fund | 0.50% on the first $250 million; and | |
0.47% on any excess over $250 million | ||
Disciplined Value Fund* | 0.45% on the first $400 million; and | |
0.40% on any excess over $400 million | ||
Main Street Fund* | 0.55% on the first $300 million; and | |
0.50% on any excess over $300 million | ||
Disciplined Growth Fund* | 0.45% on the first $400 million; and | |
0.40% on any excess over $400 million | ||
Small Cap Opportunities Fund | 0.58% on the first $400 million; and | |
0.53% on any excess over $400 million | ||
Global Fund* | 0.75% on the first $400 million; and | |
0.70% on any excess over $400 million | ||
International Equity Fund | 0.85% on the first $500 million; | |
0.80% on the next $500 million; and | ||
0.75% on any excess over $1 billion | ||
Focused International Fund* | 0.85% on the first $350 million; and | |
0.80% on any excess over $350 million | ||
Strategic Emerging Markets Fund* | 1.00% on the first $350 million; and | |
0.95% on any excess over $350 million |
* | Prior to April 1, 2014, the investment advisory fees were as follows: |
Short-Duration Bond Fund | 0.40% on the first $500 million; and | |
0.35% on any excess over $500 million | ||
Inflation-Protected and Income Fund | 0.48% on the first $350 million; and | |
0.43% on any excess over $350 million | ||
Core Bond Fund | 0.48% on the first $1.5 billion; | |
0.43% on the next $500 million; and | ||
0.38% on any excess over $2 billion |
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Diversified Bond Fund | 0.50% on the first $150 million; and | |
0.45% on any excess over $150 million | ||
High Yield Fund | 0.50% on the first $250 million; and | |
0.475% on any excess over $250 million | ||
Disciplined Value Fund | 0.50% on the first $400 million; and | |
0.45% on any excess over $400 million | ||
Main Street Fund | 0.65% on the first $300 million; and | |
0.60% on any excess over $300 million | ||
Disciplined Growth Fund | 0.50% on the first $400 million; and | |
0.45% on any excess over $400 million | ||
Global Fund | 0.80% on the first $400 million; and | |
0.75% on any excess over $400 million | ||
Focused International Fund | 0.90% on the first $350 million; and | |
0.85% on any excess over $350 million | ||
Strategic Emerging Markets Fund | 1.05% on the first $350 million; and | |
1.00% on any excess over $350 million |
MassMutual served as the Funds’ investment adviser pursuant to the investment advisory agreements through March 31, 2014.
MML Advisers has entered into investment subadvisory agreements with Babson Capital Management LLC (“Babson Capital”), 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 Babson Capital manage the investment and reinvestment of assets of these Funds. Babson Capital receives a subadvisory fee from MML Advisers, based upon each Fund’s average daily net assets, at the following annual rates:
Money Market Fund | 0.05% | |
Short-Duration Bond Fund | 0.08% | |
Inflation-Protected and Income Fund | 0.08% | |
Core Bond Fund | 0.10% | |
Diversified Bond Fund | 0.10% | |
High Yield Fund | 0.20% | |
Balanced Fund: fixed income portion | 0.09% | |
Balanced Fund: equity portion* | 0.22% of the first $50 million; | |
0.21% of the next $50 million; and | ||
0.20% of any excess over $100 million | ||
Disciplined Value Fund* | 0.25% of the first $50 million; | |
0.21% of the next $50 million; | ||
0.17% of the next $650 million; and | ||
0.14% of any excess over $750 million | ||
Disciplined Growth Fund* | 0.25% of the first $50 million; | |
0.21% of the next $50 million; | ||
0.17% of the next $650 million; and | ||
0.14% of any excess over $750 million |
* | Subadvisory fee based on Aggregate Assets. For purposes of these subadvisory agreements, “Aggregate Assets” means the aggregate of (i) the average daily net assets of the Fund determined at the close of the NYSE on each day that the NYSE is open for trading, and (ii) the average daily net assets of certain other funds or accounts of MML Advisers or its affiliates, including other funds registered under the 1940 Act, for which Babson Capital provides investment advisory services, as agreed upon from time to time by MML Advisers and Babson Capital, determined at the close of the NYSE on each day that the NYSE is open for trading. |
In addition, Cornerstone Real Estate Advisers LLC (“Cornerstone”) serves as sub-subadviser for the Short-Duration Bond Fund, Inflation-Protected and Income Fund, Core Bond Fund, Diversified Bond Fund, High Yield Fund, and Balanced Fund and is primarily responsible for managing each Fund’s commercial mortgage-backed securities. Cornerstone is a wholly-owned
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subsidiary of Babson Capital. The appointment of Cornerstone as a sub-subadviser to each Fund does not relieve Babson Capital of any obligation or liability to any of the Funds that it would otherwise have pursuant to investment subadvisory agreements between MML Advisers and Babson Capital with respect to each Fund, and any and all acts and omissions of Cornerstone in respect of any Fund shall be considered the acts and omissions of Babson Capital.
MML Advisers has entered into an investment subadvisory agreement with Baring International Investment Ltd. (“Baring”), an indirect wholly-owned subsidiary of MassMutual Holdings (Bermuda) Ltd., itself an indirect wholly-owned subsidiary of MassMutual Holding LLC, on behalf of the Focused International Fund. This agreement provides that Baring manage the investment and reinvestment of the assets of the Focused International Fund. Baring receives a subadvisory fee from MML Advisers, based upon the Focused International Fund’s average daily net assets, at the following annual rate:
Focused International Fund | 0.55% |
MML Advisers has entered into investment subadvisory agreements with OppenheimerFunds, Inc. (“OFI”), a wholly-owned subsidiary of Oppenheimer Acquisition Corp., itself an indirect majority-owned subsidiary of MassMutual Holding LLC, on behalf of the Global Fund. This agreement provides that OFI manage the investment and reinvestment of the assets of the Global Fund. OFI receives a subadvisory fee from MML Advisers, based upon the Global Fund’s average daily net assets, at the following annual rate:
Global Fund | 0.50% of the first $50 million; | |
0.40% of the next $200 million; | ||
0.35% of the next $250 million; | ||
0.30% of the next $250 million; | ||
0.28% of the next $50 million; and | ||
0.25% of any excess over $800 million |
MML Advisers has entered into investment subadvisory agreements with OFI Global Institutional, Inc. (“OFI Global Institutional”), a wholly-owned subsidiary of OFI, on behalf of certain Funds. These agreements provide that OFI Global Institutional manage the investment and reinvestment of the assets of these Funds. OFI Global Institutional receives a subadvisory fee from MML Advisers, based upon each Fund’s average daily net assets, at the following annual rates:
Value Fund | 0.23% | |
Main Street Fund | 0.33% of the first $1 billion; and | |
0.30% of any excess over $1 billion | ||
Small Cap Opportunities Fund | 0.40% of the first $1 billion; and | |
0.30% of any excess over $1 billion | ||
International Equity Fund | 0.50% of the first $50 million; | |
0.45% of the next $150 million; | ||
0.40% of the next $250 million; and | ||
0.35% of any excess over $450 million | ||
Strategic Emerging Markets Fund | 0.70% |
The Funds’ subadvisory fees are paid by MML Advisers out of the advisory fees previously disclosed above.
Administration Fees
Under an administrative and shareholder services agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide certain administrative and shareholder services. In return for these services, MML Advisers
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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 I | Class R5 | Service Class | Administrative Class | Class A | Class R4 | Class R3 | ||||||||||||||||||||
Money Market Fund* | N/A | 0.10% | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||
Short-Duration Bond Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Inflation-Protected and Income Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Core Bond Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Diversified Bond Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
High Yield Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Balanced Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Value Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Disciplined Value Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Main Street Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Disciplined Growth Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Small Cap Opportunities Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Global Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
International Equity Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Focused International Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% | |||||||||||||||||||
Strategic Emerging Markets Fund* | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% |
* | Prior to April 1, 2014, the administrative service fees per share class were as follows: |
Class I | Class R5 | Service Class | Administrative Class | Class A | Class R3 | |||||||||||||||||
Money Market Fund** | N/A | 0.0766% | 0.1766% | N/A | 0.3266% | N/A | ||||||||||||||||
Short-Duration Bond Fund | 0.0700% | 0.2589% | 0.3089% | 0.3889% | 0.3889% | 0.4389% | ||||||||||||||||
Inflation-Protected and Income Fund | 0.0500% | 0.1608% | 0.2608% | 0.3108% | 0.3108% | 0.3608% | ||||||||||||||||
Core Bond Fund | 0.0600% | 0.2651% | 0.3151% | 0.3851% | 0.3851% | 0.4551% | ||||||||||||||||
Diversified Bond Fund | 0.0700% | 0.1460% | 0.2460% | 0.3460% | 0.3860% | N/A | ||||||||||||||||
High Yield Fund | 0.0400% | 0.2443% | 0.2943% | 0.4443% | 0.4443% | 0.4943% | ||||||||||||||||
Balanced Fund | N/A | 0.0868% | 0.2468% | 0.3968% | 0.3968% | N/A | ||||||||||||||||
Value Fund | N/A | 0.0658% | 0.1658% | 0.2758% | 0.3158% | 0.3758% | ||||||||||||||||
Disciplined Value Fund | N/A | 0.0285% | 0.1185% | 0.2585% | 0.2585% | 0.3085% | ||||||||||||||||
Main Street Fund | N/A | 0.1100% | 0.1600% | 0.3100% | 0.3100% | 0.3600% | ||||||||||||||||
Disciplined Growth Fund | N/A | 0.0244% | 0.1144% | 0.2544% | 0.2544% | N/A | ||||||||||||||||
Small Cap Opportunities Fund | N/A | 0.0971% | 0.1971% | 0.2971% | 0.2971% | N/A | ||||||||||||||||
Global Fund | N/A | 0.1800% | 0.2100% | 0.3600% | 0.3600% | 0.4100% | ||||||||||||||||
International Equity Fund | N/A | 0.1392% | 0.1692% | 0.3192% | 0.3192% | N/A | ||||||||||||||||
Focused International Fund | 0.0600% | 0.1500% | 0.2500% | 0.4000% | 0.4000% | 0.5500% | ||||||||||||||||
Strategic Emerging Markets Fund | 0.0400% | 0.2000% | 0.3000% | 0.4500% | 0.4500% | N/A |
** | Effective March 7, 2014, Service Class and Class A merged into Class R5. |
MassMutual served as the Funds’ administrator pursuant to an administrative and shareholder services agreement with each Fund through March 31, 2014.
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class A shares and Class R4 shares of each Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares of each Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant
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class of shares, reducing redemptions of shares, or maintaining or improving services provided to each Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Effective April 1, 2014, the Trust has entered into a separate Supplemental Shareholder Services Agreement with MassMutual, on behalf of Service Class shares, Administrative Class shares, and Class A shares of each Fund. Fees payable under the Supplemental Shareholder Services Agreement are intended to compensate MassMutual for its provision of shareholder services to the Funds’ investors and are calculated and paid based on the average daily net assets attributable to the relevant share classes of the Funds separately, at the following annual rates: 0.05% for Service Class shares, and 0.15% for Administrative Class shares and Class A shares. MassMutual may pay these fees to other intermediaries for providing shareholder services to the Funds’ investors.
Expense Caps and Waivers
Effective April 1, 2014, MML Advisers contractually agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund fees and expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) through January 31, 2016 based upon the average daily net assets of the applicable class of shares for the Funds, as follows:
Class I | Class R5 | Service Class | Administrative Class | Class A | Class R4 | Class R3 | ||||||||||||||||||||
Diversified Bond Fund | 0.52% | 0.62% | 0.72% | 0.82% | 1.07% | 0.97% | 1.22% | |||||||||||||||||||
High Yield Fund | 0.55% | 0.65% | 0.75% | 0.85% | 1.10% | 1.00% | 1.25% | |||||||||||||||||||
Balanced Fund | 0.60% | 0.70% | 0.80% | 0.90% | 1.15% | 1.05% | 1.30% | |||||||||||||||||||
Value Fund | 0.60% | 0.70% | 0.80% | 0.90% | 1.15% | 1.05% | 1.30% | |||||||||||||||||||
Focused International Fund | 0.95% | 1.05% | 1.15% | 1.25% | 1.50% | 1.40% | 1.65% | |||||||||||||||||||
Strategic Emerging Markets Fund | 1.05% | 1.15% | 1.25% | 1.35% | 1.60% | 1.50% | 1.75% |
# | Acquired Fund fees and expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
Prior to April 1, 2014, MassMutual had contractually agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund fees and expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares for the Funds, as follows:
Class I | Class R5 | Service Class | Administrative Class | Class A | Class R3 | |||||||||||||||||
Main Street Fund | N/A | 0.71% | 0.76% | 0.91% | 1.16% | 1.46% | ||||||||||||||||
Global Fund | N/A | 0.89% | 1.03% | 1.14% | 1.43% | 1.52% | ||||||||||||||||
Strategic Emerging Markets Fund | 0.99% | 1.15% | 1.25% | 1.40% | 1.65% | N/A |
# | Acquired Fund fees and expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
For the Money Market Fund, MML Advisers has agreed to voluntarily waive some or all of its fees in an attempt to allow the Fund to avoid a negative yield. There is no guarantee that the Fund will be able to avoid a negative yield. Payments made to intermediatries will be unaffected. MML Advisers may amend or discontinue this waiver at any time without advance notice.
Prior to April 1, 2014, for the Money Market Fund, MassMutual had agreed to voluntarily waive some or all of its fees in an attempt to allow each class of the Fund to avoid a negative yield. There was no guarantee that a class of the Fund would be able to avoid a negative yield. Payments made to intermediaries were unaffected.
Prior to April 1, 2014, MassMutual had contractually agreed to waive 0.14% of the advisory fee for each class of the Short-Duration Bond Fund, 0.13% of the advisory fee for each class of the Inflation-Protected and Income Fund, 0.18% of the advisory fee for each class of the Core Bond Fund, 0.17% of the advisory fee for each class of the Diversified Bond Fund, 0.10% of the
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Notes to Financial Statements (Continued)
advisory fee for each class of the High Yield Fund, 0.10% of the advisory fee for each class of the Focused International Fund, and 0.15% of the advisory fee for each class of the Strategic Emerging Markets Fund.
MassMutual had contractually agreed to waive, through March 7, 2014, 0.22% of the administrative and shareholder services fees for Class A of the Money Market Fund.
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Funds.
The following table shows beneficial ownership of Funds’ shares by affiliated parties at September 30, 2014:
Total % of Ownership by Related Party | ||||
Money Market Fund | 70.0 | % | ||
Short-Duration Bond Fund | 83.8 | % | ||
Inflation-Protected and Income Fund | 91.6 | % | ||
Core Bond Fund | 91.2 | % | ||
Diversified Bond Fund | 54.7 | % | ||
High Yield Fund | 83.9 | % | ||
Balanced Fund | 82.2 | % | ||
Value Fund | 95.8 | % | ||
Disciplined Value Fund | 85.5 | % | ||
Main Street Fund | 96.6 | % | ||
Disciplined Growth Fund | 84.6 | % | ||
Small Cap Opportunities Fund | 91.0 | % | ||
Global Fund | 91.3 | % | ||
International Equity Fund | 92.1 | % | ||
Focused International Fund | 95.9 | % | ||
Strategic Emerging Markets Fund | 99.7 | % |
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended September 30, 2014, were as follows:
Purchases | Sales | |||||||||||||||
Long-Term U.S. Government Securities | Other Long-Term Securities | Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||||||||
Short-Duration Bond Fund | $ | 264,021,753 | $ | 169,692,721 | $ | 240,884,300 | $ | 124,070,845 | ||||||||
Inflation-Protected and Income Fund | 244,028,698 | 115,129,329 | 187,043,051 | 91,943,903 | ||||||||||||
Core Bond Fund | 5,046,987,893 | 352,450,210 | 5,059,669,554 | 224,626,086 |
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Purchases | Sales | |||||||||||||||
Long-Term U.S. Government Securities | Other Long-Term Securities | Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||||||||
Diversified Bond Fund | $ | 421,252,024 | $ | 46,137,818 | $ | 402,123,963 | $ | 15,441,593 | ||||||||
High Yield Fund | - | 222,721,433 | - | 200,846,372 | ||||||||||||
Balanced Fund | 188,342,776 | 110,868,774 | 188,063,486 | 113,724,317 | ||||||||||||
Value Fund | - | 47,695,374 | - | 97,017,317 | ||||||||||||
Disciplined Value Fund | - | 311,383,600 | - | 343,290,170 | ||||||||||||
Main Street Fund | - | 101,472,976 | - | 113,754,621 | ||||||||||||
Disciplined Growth Fund | - | 599,665,265 | - | 535,058,883 | ||||||||||||
Small Cap Opportunities Fund | - | 117,071,534 | - | 119,861,457 | ||||||||||||
Global Fund | - | 110,115,427 | - | 141,942,660 | ||||||||||||
International Equity Fund | - | 430,033,300 | - | 457,653,700 | ||||||||||||
Focused International Fund | - | 57,936,338 | - | 137,261,018 | ||||||||||||
Strategic Emerging Markets Fund | - | 153,646,393 | - | 138,770,184 |
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Money Market Fund Class R5 | ||||||||||||||||
Sold | 1,230,695,622 | $ | 1,230,695,627 | 340,068,101 | $ | 340,068,101 | ||||||||||
Issued — merger | 320,763,696 | 320,723,316 | - | - | ||||||||||||
Issued as reinvestment of dividends | 6,862 | 6,862 | 25,200 | 25,200 | ||||||||||||
Redeemed | (1,228,986,046 | ) | (1,228,986,046 | ) | (350,911,262 | ) | (350,911,262 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 322,480,134 | $ | 322,439,759 | (10,817,961 | ) | $ | (10,817,961 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Fund Class Y** | ||||||||||||||||
Sold | 466,845,155 | $ | 466,845,155 | 448,610,233 | $ | 448,610,233 | ||||||||||
Issued as reinvestment of dividends | 5,681 | 5,681 | 14,760 | 14,760 | ||||||||||||
Redeemed | (438,777,925 | ) | (438,853,243 | ) | (454,406,325 | ) | (454,406,325 | ) | ||||||||
Redemptions — merger | (130,881,518 | ) | (130,823,669 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (102,808,607 | ) | $ | (102,826,076 | ) | (5,781,332 | ) | $ | (5,781,332 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Fund Class A*** | ||||||||||||||||
Sold | 193,789,971 | $ | 193,789,971 | 553,502,060 | $ | 553,502,060 | ||||||||||
Issued as reinvestment of dividends | 6,836 | 6,836 | 22,798 | 22,798 | ||||||||||||
Redeemed | (160,084,098 | ) | (160,008,779 | ) | (541,220,105 | ) | (541,220,105 | ) | ||||||||
Redemptions — merger | (189,882,178 | ) | (189,899,647 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (156,169,469 | ) | $ | (156,111,619 | ) | 12,304,753 | $ | 12,304,753 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class I | ||||||||||||||||
Sold | 11,013,823 | $ | 115,659,565 | 10,344,692 | $ | 109,286,274 | ||||||||||
Issued as reinvestment of dividends | 447,434 | 4,639,894 | 440,033 | 4,602,743 | ||||||||||||
Redeemed | (10,849,992 | ) | (113,549,097 | ) | (5,508,514 | ) | (58,247,802 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 611,265 | $ | 6,750,362 | 5,276,211 | $ | 55,641,215 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class R5 | ||||||||||||||||
Sold | 5,026,994 | $ | 52,820,235 | 7,881,845 | $ | 83,327,185 | ||||||||||
Issued as reinvestment of dividends | 369,282 | 3,840,528 | 463,375 | 4,860,798 | ||||||||||||
Redeemed | (6,941,152 | ) | (72,931,328 | ) | (4,441,304 | ) | (47,086,559 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,544,876 | ) | $ | (16,270,565 | ) | 3,903,916 | $ | 41,101,424 | ||||||||
|
|
|
|
|
|
|
|
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Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short-Duration Bond Fund Service Class | ||||||||||||||||
Sold | 3,460,996 | $ | 36,180,030 | 3,292,794 | $ | 34,705,844 | ||||||||||
Issued as reinvestment of dividends | 161,678 | 1,671,755 | 211,402 | 2,207,036 | ||||||||||||
Redeemed | (3,618,355 | ) | (37,723,494 | ) | (3,751,518 | ) | (39,715,362 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,319 | $ | 128,291 | (247,322 | ) | $ | (2,802,482 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Administrative Class | ||||||||||||||||
Sold | 2,151,927 | $ | 22,426,153 | 1,960,110 | $ | 20,556,332 | ||||||||||
Issued as reinvestment of dividends | 91,010 | 938,310 | 111,611 | 1,161,866 | ||||||||||||
Redeemed | (2,778,347 | ) | (28,926,205 | ) | (895,677 | ) | (9,391,862 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (535,410 | ) | $ | (5,561,742 | ) | 1,176,044 | $ | 12,326,336 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class A | ||||||||||||||||
Sold | 1,869,389 | $ | 19,321,254 | 1,877,073 | $ | 19,630,447 | ||||||||||
Issued as reinvestment of dividends | 122,136 | 1,253,112 | 205,582 | 2,127,773 | ||||||||||||
Redeemed | (1,698,879 | ) | (17,555,683 | ) | (1,599,526 | ) | (16,671,350 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 292,646 | $ | 3,018,683 | 483,129 | $ | 5,086,870 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class R4* | ||||||||||||||||
Sold | 9,569 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 9,569 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Short-Duration Bond Fund Class R3 | ||||||||||||||||
Sold | 18,326 | $ | 191,280 | 38,675 | $ | 404,037 | ||||||||||
Issued as reinvestment of dividends | 271 | 2,817 | 1,130 | 11,757 | ||||||||||||
Redeemed | (79,408 | ) | (829,767 | ) | (9,815 | ) | (102,569 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (60,811 | ) | $ | (635,670 | ) | 29,990 | $ | 313,225 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class I | ||||||||||||||||
Sold | 7,269,641 | $ | 77,301,630 | 5,141,729 | $ | 59,545,445 | ||||||||||
Issued as reinvestment of dividends | 653,066 | 6,667,797 | 477,170 | 5,625,838 | ||||||||||||
Redeemed | (3,200,884 | ) | (34,023,212 | ) | (5,335,045 | ) | (61,297,340 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,721,823 | $ | 49,946,215 | 283,854 | $ | 3,873,943 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class R5 | ||||||||||||||||
Sold | 1,551,988 | $ | 16,488,110 | 1,327,570 | $ | 15,501,902 | ||||||||||
Issued as reinvestment of dividends | 264,463 | 2,702,817 | 262,759 | 3,097,926 | ||||||||||||
Redeemed | (1,455,903 | ) | (15,733,736 | ) | (2,662,808 | ) | (30,302,976 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 360,548 | $ | 3,457,191 | (1,072,479 | ) | $ | (11,703,148 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Service Class | ||||||||||||||||
Sold | 1,418,256 | $ | 14,988,812 | 2,678,604 | $ | 31,417,945 | ||||||||||
Issued as reinvestment of dividends | 401,998 | 4,096,356 | 312,003 | 3,669,152 | ||||||||||||
Redeemed | (1,997,251 | ) | (21,199,522 | ) | (3,318,590 | ) | (39,005,153 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (176,997 | ) | $ | (2,114,354 | ) | (327,983 | ) | $ | (3,918,056 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Administrative Class | ||||||||||||||||
Sold | 436,438 | $ | 4,661,209 | 412,663 | $ | 4,836,561 | ||||||||||
Issued as reinvestment of dividends | 47,492 | 489,171 | 32,862 | 390,402 | ||||||||||||
Redeemed | (408,595 | ) | (4,412,023 | ) | (295,036 | ) | (3,431,867 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 75,335 | $ | 738,357 | 150,489 | $ | 1,795,096 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class A | ||||||||||||||||
Sold | 681,772 | $ | 7,139,859 | 715,655 | $ | 8,256,557 | ||||||||||
Issued as reinvestment of dividends | 136,007 | 1,369,593 | 110,396 | 1,282,801 | ||||||||||||
Redeemed | (969,397 | ) | (10,131,469 | ) | (1,407,791 | ) | (16,114,746 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (151,618 | ) | $ | (1,622,017 | ) | (581,740 | ) | $ | (6,575,388 | ) | ||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (Continued)
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Inflation-Protected and Income Fund Class R4* | ||||||||||||||||
Sold | 9,785 | $ | 100,005 | |||||||||||||
Redeemed | - | ++ | (4 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 9,785 | $ | 100,001 | |||||||||||||
|
|
|
| |||||||||||||
Inflation-Protected and Income Fund Class R3 | ||||||||||||||||
Sold | 58,398 | $ | 609,644 | 65,345 | $ | 745,548 | ||||||||||
Issued as reinvestment of dividends | 7,161 | 72,255 | 3,731 | 43,503 | ||||||||||||
Redeemed | (41,794 | ) | (439,012 | ) | (35,158 | ) | (399,833 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,765 | $ | 242,887 | 33,918 | $ | 389,218 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class I | ||||||||||||||||
Sold | 17,545,322 | $ | 197,681,079 | 11,818,817 | $ | 135,205,202 | ||||||||||
Issued as reinvestment of dividends | 1,581,913 | 17,274,485 | 1,904,797 | 21,695,637 | ||||||||||||
Redeemed | (7,923,065 | ) | (89,234,292 | ) | (14,303,720 | ) | (164,375,500 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 11,204,170 | $ | 125,721,272 | (580,106 | ) | $ | (7,474,661 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class R5 | ||||||||||||||||
Sold | 5,451,737 | $ | 61,571,709 | 5,769,887 | $ | 67,332,514 | ||||||||||
Issued as reinvestment of dividends | 1,396,022 | 15,286,443 | 2,814,108 | 32,108,967 | ||||||||||||
Redeemed | (7,974,873 | ) | (89,777,230 | ) | (24,078,587 | ) | (274,626,851 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,127,114 | ) | $ | (12,919,078 | ) | (15,494,592 | ) | $ | (175,185,370 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Service Class | ||||||||||||||||
Sold | 5,184,193 | $ | 57,848,900 | 2,333,728 | $ | 26,700,679 | ||||||||||
Issued as reinvestment of dividends | 416,093 | 4,531,247 | 628,846 | 7,137,405 | ||||||||||||
Redeemed | (3,794,890 | ) | (42,602,157 | ) | (3,926,756 | ) | (44,719,578 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,805,396 | $ | 19,777,990 | (964,182 | ) | $ | (10,881,494 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Administrative Class | ||||||||||||||||
Sold | 1,789,651 | $ | 19,993,893 | 1,282,742 | $ | 14,641,530 | ||||||||||
Issued as reinvestment of dividends | 228,187 | 2,473,551 | 344,824 | 3,896,508 | ||||||||||||
Redeemed | (2,978,656 | ) | (33,007,647 | ) | (2,163,061 | ) | (24,429,654 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (960,818 | ) | $ | (10,540,203 | ) | (535,495 | ) | $ | (5,891,616 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class A | ||||||||||||||||
Sold | 1,755,440 | $ | 19,383,679 | 2,161,957 | $ | 24,608,105 | ||||||||||
Issued as reinvestment of dividends | 449,848 | 4,835,861 | 700,102 | 7,848,149 | ||||||||||||
Redeemed | (2,975,182 | ) | (32,980,882 | ) | (3,032,471 | ) | (33,984,478 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (769,894 | ) | $ | (8,761,342 | ) | (170,412 | ) | $ | (1,528,224 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class R4* | ||||||||||||||||
Sold | 9,133 | $ | 100,005 | |||||||||||||
Issued as reinvestments of dividends | - | - | ||||||||||||||
Redeemed | - | ++ | (4 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 9,133 | $ | 100,001 | |||||||||||||
|
|
|
| |||||||||||||
Core Bond Fund Class R3 | ||||||||||||||||
Sold | 7,377 | $ | 82,916 | 49,865 | $ | 584,278 | ||||||||||
Issued as reinvestment of dividends | 2,488 | 27,271 | 6,429 | 73,225 | ||||||||||||
Redeemed | (57,467 | ) | (644,833 | ) | (32,067 | ) | (363,669 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (47,602 | ) | $ | (534,646 | ) | 24,227 | $ | 293,834 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class I | ||||||||||||||||
Sold | 564,430 | $ | 6,026,462 | - | $ | - | ||||||||||
Issued as reinvestment of dividends | 12,588 | 130,156 | 1 | 8 | ||||||||||||
Redeemed | (56,722 | ) | (603,946 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 520,296 | $ | 5,552,672 | 1 | $ | 8 | ||||||||||
|
|
|
|
|
|
|
|
296
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Diversified Bond Fund Class R5 | ||||||||||||||||
Sold | 3,922,130 | $ | 39,474,848 | 654,627 | $ | 6,556,096 | ||||||||||
Issued as reinvestment of dividends | 111,164 | 1,072,731 | 250,639 | 2,493,857 | ||||||||||||
Redeemed | (1,093,856 | ) | (10,861,412 | ) | (806,510 | ) | (8,165,250 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,939,438 | $ | 29,686,167 | 98,756 | $ | 884,703 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Service Class | ||||||||||||||||
Sold | 675,761 | $ | 6,803,008 | 248,537 | $ | 2,523,968 | ||||||||||
Issued as reinvestment of dividends | 33,913 | 330,990 | 64,209 | 645,940 | ||||||||||||
Redeemed | (204,667 | ) | (2,060,544 | ) | (2,572,987 | ) | (27,276,855 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 505,007 | $ | 5,073,454 | (2,260,241 | ) | $ | (24,106,947 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Administrative Class | ||||||||||||||||
Sold | 1,019,272 | $ | 10,287,096 | 669,773 | $ | 6,734,881 | ||||||||||
Issued as reinvestment of dividends | 44,760 | 436,409 | 68,470 | 688,123 | ||||||||||||
Redeemed | (224,515 | ) | (2,254,294 | ) | (364,104 | ) | (3,670,197 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 839,517 | $ | 8,469,211 | 374,139 | $ | 3,752,807 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class A | ||||||||||||||||
Sold | 927,793 | $ | 9,302,759 | 455,717 | $ | 4,620,290 | ||||||||||
Issued as reinvestment of dividends | 88,578 | 860,974 | 225,217 | 2,256,672 | ||||||||||||
Redeemed | (825,073 | ) | (8,267,771 | ) | (1,026,749 | ) | (10,446,677 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 191,298 | $ | 1,895,962 | (345,815 | ) | $ | (3,569,715 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class R4* | ||||||||||||||||
Sold | 10,071 | $ | 100,005 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | ++ | (4 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 10,071 | $ | 100,001 | |||||||||||||
|
|
|
| |||||||||||||
Diversified Bond Fund Class R3+ | ||||||||||||||||
Sold | 10,070 | $ | 100,002 | - | $ | - | ||||||||||
Issued as reinvestment of dividends | - | - | 9 | 95 | ||||||||||||
Redeemed | - | ++ | (2 | ) | (157 | ) | (1,672 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 10,070 | $ | 100,000 | (148 | ) | $ | (1,577 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class I | ||||||||||||||||
Sold | 4,947,243 | $ | 50,167,596 | 4,099,190 | $ | 40,659,215 | ||||||||||
Issued as reinvestment of dividends | 938,627 | 9,010,818 | 815,997 | 7,686,693 | ||||||||||||
Redeemed | (5,381,659 | ) | (54,285,804 | ) | (5,421,214 | ) | (53,479,615 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 504,211 | $ | 4,892,610 | (506,027 | ) | $ | (5,133,707 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class R5 | ||||||||||||||||
Sold | 968,195 | $ | 9,780,662 | 1,531,423 | $ | 15,283,811 | ||||||||||
Issued as reinvestment of dividends | 256,575 | 2,475,954 | 169,094 | 1,599,632 | ||||||||||||
Redeemed | (430,303 | ) | (4,391,950 | ) | (913,468 | ) | (8,974,171 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 794,467 | $ | 7,864,666 | 787,049 | $ | 7,909,272 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Service Class | ||||||||||||||||
Sold | 1,287,196 | $ | 13,043,299 | 1,024,207 | $ | 10,168,389 | ||||||||||
Issued as reinvestment of dividends | 480,312 | 4,635,009 | 422,942 | 4,001,029 | ||||||||||||
Redeemed | (1,568,832 | ) | (16,008,065 | ) | (1,471,258 | ) | (14,478,342 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 198,676 | $ | 1,670,243 | (24,109 | ) | $ | (308,924 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Administrative Class | ||||||||||||||||
Sold | 1,118,124 | $ | 11,151,841 | 686,251 | $ | 6,766,114 | ||||||||||
Issued as reinvestment of dividends | 121,854 | 1,163,706 | 70,872 | 664,781 | ||||||||||||
Redeemed | (406,014 | ) | (4,077,830 | ) | (241,092 | ) | (2,361,660 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 833,964 | $ | 8,237,717 | 516,031 | $ | 5,069,235 | ||||||||||
|
|
|
|
|
|
|
|
297
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
High Yield Fund Class A | ||||||||||||||||
Sold | 924,072 | $ | 9,231,024 | 597,004 | $ | 5,846,469 | ||||||||||
Issued as reinvestment of dividends | 278,121 | 2,647,709 | 266,419 | 2,491,023 | ||||||||||||
Redeemed | (1,017,693 | ) | (10,101,834 | ) | (1,995,839 | ) | (19,200,858 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 184,500 | $ | 1,776,899 | (1,132,416 | ) | $ | (10,863,366 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class R4* | ||||||||||||||||
Sold | 10,111 | $ | 100,005 | |||||||||||||
Redeemed | - | ++ | (4 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 10,111 | $ | 100,001 | |||||||||||||
|
|
|
| |||||||||||||
High Yield Fund Class R3 | ||||||||||||||||
Sold | 38,951 | $ | 391,552 | 23,457 | $ | 232,977 | ||||||||||
Issued as reinvestment of dividends | 5,839 | 56,526 | 3,489 | 33,142 | ||||||||||||
Redeemed | (45,611 | ) | (464,842 | ) | (8,539 | ) | (84,042 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (821 | ) | $ | (16,764 | ) | 18,407 | $ | 182,077 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class I* | ||||||||||||||||
Sold | 2,802,597 | $ | 36,410,988 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | (11,048 | ) | (144,729 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 2,791,549 | $ | 36,266,259 | |||||||||||||
|
|
|
| |||||||||||||
Balanced Fund Class R5 | ||||||||||||||||
Sold | 637,798 | $ | 8,091,398 | 657,030 | $ | 7,744,560 | ||||||||||
Issued as reinvestment of dividends | 583,396 | 7,076,593 | 159,713 | 1,795,172 | ||||||||||||
Redeemed | (4,126,936 | ) | (53,116,762 | ) | (1,060,590 | ) | (12,529,707 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,905,742 | ) | $ | (37,948,771 | ) | (243,847 | ) | $ | (2,989,975 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Service Class | ||||||||||||||||
Sold | 302,031 | $ | 3,961,332 | 392,319 | $ | 4,740,924 | ||||||||||
Issued as reinvestment of dividends | 50,420 | 634,782 | 10,065 | 117,156 | ||||||||||||
Redeemed | (200,634 | ) | (2,599,013 | ) | (207,006 | ) | (2,516,356 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 151,817 | $ | 1,997,101 | 195,378 | $ | 2,341,724 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Administrative Class | ||||||||||||||||
Sold | 502,438 | $ | 6,369,301 | 120,709 | $ | 1,446,795 | ||||||||||
Issued as reinvestment of dividends | 20,459 | 249,392 | 4,497 | 50,821 | ||||||||||||
Redeemed | (269,537 | ) | (3,443,208 | ) | (118,985 | ) | (1,396,715 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 253,360 | $ | 3,175,485 | 6,221 | $ | 100,901 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class A | ||||||||||||||||
Sold | 487,992 | $ | 6,043,018 | 2,010,209 | $ | 23,201,565 | ||||||||||
Issued as reinvestment of dividends | 209,213 | 2,493,816 | 29,503 | 326,595 | ||||||||||||
Redeemed | (1,137,801 | ) | (14,088,538 | ) | (501,159 | ) | (5,877,114 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (440,596 | ) | $ | (5,551,704 | ) | 1,538,553 | $ | 17,651,046 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class R4* | ||||||||||||||||
Sold | 8,143 | $ | 100,005 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | (4 | ) | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 8,143 | $ | 100,001 | |||||||||||||
|
|
|
| |||||||||||||
Balanced Fund Class R3* | ||||||||||||||||
Sold | 8,143 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 8,143 | $ | 100,000 | |||||||||||||
|
|
|
|
298
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Value Fund Class I* | ||||||||||||||||
Sold | 4,990 | $ | 100,100 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 4,990 | $ | 100,100 | |||||||||||||
|
|
|
| |||||||||||||
Value Fund Class R5 | ||||||||||||||||
Sold | 147,748 | $ | 2,987,278 | 155,136 | $ | 2,626,329 | ||||||||||
Issued as reinvestment of dividends | 88,445 | 1,692,845 | 135,681 | 2,084,066 | ||||||||||||
Redeemed | (2,559,791 | ) | (51,263,712 | ) | (3,291,712 | ) | (54,695,066 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,323,598 | ) | $ | (46,583,589 | ) | (3,000,895 | ) | $ | (49,984,671 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Service Class | ||||||||||||||||
Sold | 549 | $ | 11,058 | 972 | $ | 16,585 | ||||||||||
Issued as reinvestment of dividends | 98 | 1,879 | 128 | 1,968 | ||||||||||||
Redeemed | (330 | ) | (6,861 | ) | (3,463 | ) | (58,019 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 317 | $ | 6,076 | (2,363 | ) | $ | (39,466 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Administrative Class | ||||||||||||||||
Sold | 59,598 | $ | 1,214,145 | 49,887 | $ | 826,140 | ||||||||||
Issued as reinvestment of dividends | 10,448 | 200,704 | 16,320 | 251,497 | ||||||||||||
Redeemed | (248,413 | ) | (4,973,951 | ) | (442,941 | ) | (7,287,054 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (178,367 | ) | $ | (3,559,102 | ) | (376,734 | ) | $ | (6,209,417 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class A | ||||||||||||||||
Sold | 54,856 | $ | 1,113,598 | 43,736 | $ | 734,155 | ||||||||||
Issued as reinvestment of dividends | 4,031 | 77,471 | 6,519 | 100,464 | ||||||||||||
Redeemed | (152,615 | ) | (2,992,377 | ) | (231,939 | ) | (3,734,142 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (93,728 | ) | $ | (1,801,308 | ) | (181,684 | ) | $ | (2,899,523 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class R4* | ||||||||||||||||
Sold | 4,973 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 4,973 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Value Fund Class R3 | ||||||||||||||||
Sold | 15 | $ | 296 | 37 | $ | 610 | ||||||||||
Issued as reinvestment of dividends | 2 | 45 | 4 | 45 | ||||||||||||
Redeemed | - | - | (109 | ) | (1,821 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 17 | $ | 341 | (68 | ) | $ | (1,166 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class I* | ||||||||||||||||
Sold | 13,049,132 | $ | 200,333,804 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | (1,443,188 | ) | (22,818,324 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 11,605,944 | $ | 177,515,480 | |||||||||||||
|
|
|
| |||||||||||||
Disciplined Value Fund Class R5 | ||||||||||||||||
Sold | 1,807,871 | $ | 26,459,859 | 4,294,025 | $ | 53,525,598 | ||||||||||
Issued as reinvestment of dividends | 309,216 | 4,461,989 | 423,047 | 4,771,965 | ||||||||||||
Redeemed | (15,024,695 | ) | (228,233,713 | ) | (6,086,646 | ) | (77,716,935 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (12,907,608 | ) | $ | (197,311,865 | ) | (1,369,574 | ) | $ | (19,419,372 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Service Class | ||||||||||||||||
Sold | 549,408 | $ | 8,347,268 | 930,418 | $ | 11,494,855 | ||||||||||
Issued as reinvestment of dividends | 83,393 | 1,196,680 | 128,057 | 1,438,085 | ||||||||||||
Redeemed | (1,421,509 | ) | (21,023,580 | ) | (1,834,869 | ) | (23,235,497 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (788,708 | ) | $ | (11,479,632 | ) | (776,394 | ) | $ | (10,302,557 | ) | ||||||
|
|
|
|
|
|
|
|
299
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Disciplined Value Fund Administrative Class | ||||||||||||||||
Sold | 219,137 | $ | 3,299,670 | 125,655 | $ | 1,579,693 | ||||||||||
Issued as reinvestment of dividends | 6,738 | 98,306 | 5,164 | 58,924 | ||||||||||||
Redeemed | (108,530 | ) | (1,668,198 | ) | (43,265 | ) | (560,100 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 117,345 | $ | 1,729,778 | 87,554 | $ | 1,078,517 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class A | ||||||||||||||||
Sold | 109,072 | $ | 1,617,046 | 303,758 | $ | 3,812,349 | ||||||||||
Issued as reinvestment of dividends | 11,346 | 161,790 | 15,535 | 173,369 | ||||||||||||
Redeemed | (316,288 | ) | (4,699,776 | ) | (286,531 | ) | (3,546,744 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (195,870 | ) | $ | (2,920,940 | ) | 32,762 | $ | 438,974 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class R4* | ||||||||||||||||
Sold | 6,685 | $ | 100,005 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | (4 | ) | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 6,685 | $ | 100,001 | |||||||||||||
|
|
|
| |||||||||||||
Disciplined Value Fund Class R3 | ||||||||||||||||
Sold | 20 | $ | 299 | 177 | $ | 2,254 | ||||||||||
Issued as reinvestment of dividends | 22 | 317 | 35 | 394 | ||||||||||||
Redeemed | (298 | ) | (4,274 | ) | (101 | ) | (1,305 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (256 | ) | $ | (3,658 | ) | 111 | $ | 1,343 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class I* | ||||||||||||||||
Sold | 3,393,313 | $ | 47,709,956 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | (52,086 | ) | (751,208 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 3,341,227 | $ | 46,958,748 | |||||||||||||
|
|
|
| |||||||||||||
Main Street Fund Class R5 | ||||||||||||||||
Sold | 487,575 | $ | 6,505,483 | 472,554 | $ | 5,134,034 | ||||||||||
Issued as reinvestment of dividends | 93,636 | 1,211,651 | 147,888 | 1,502,544 | ||||||||||||
Redeemed | (4,567,438 | ) | (63,355,664 | ) | (1,513,969 | ) | (16,504,656 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,986,227 | ) | $ | (55,638,530 | ) | (893,527 | ) | $ | (9,868,078 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Service Class | ||||||||||||||||
Sold | 92,623 | $ | 1,236,391 | 59,924 | $ | 677,936 | ||||||||||
Issued as reinvestment of dividends | 3,432 | 44,986 | 5,700 | 58,713 | ||||||||||||
Redeemed | (57,489 | ) | (772,859 | ) | (104,830 | ) | (1,133,887 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 38,566 | $ | 508,518 | (39,206 | ) | $ | (397,238 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Administrative Class | ||||||||||||||||
Sold | 210,586 | $ | 2,852,896 | 269,133 | $ | 3,045,108 | ||||||||||
Issued as reinvestment of dividends | 17,725 | 229,178 | 31,824 | 323,331 | ||||||||||||
Redeemed | (485,973 | ) | (6,478,452 | ) | (719,144 | ) | (7,680,258 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (257,662 | ) | $ | (3,396,378 | ) | (418,187 | ) | $ | (4,311,819 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class A | ||||||||||||||||
Sold | 192,410 | $ | 2,590,863 | 274,645 | $ | 2,986,136 | ||||||||||
Issued as reinvestment of dividends | 5,199 | 66,762 | 10,606 | 107,123 | ||||||||||||
Redeemed | (358,438 | ) | (4,813,275 | ) | (329,825 | ) | (3,547,641 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (160,829 | ) | $ | (2,155,650 | ) | (44,574 | ) | $ | (454,382 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class R4* | ||||||||||||||||
Sold | 7,524 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 7,524 | $ | 100,000 | |||||||||||||
|
|
|
|
300
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Main Street Fund Class R3 | ||||||||||||||||
Sold | 2,948 | $ | 39,354 | 769 | $ | 8,346 | ||||||||||
Issued as reinvestment of dividends | 7 | 99 | 28 | 280 | ||||||||||||
Redeemed | (310 | ) | (4,137 | ) | (4,217 | ) | (45,899 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,645 | $ | 35,316 | (3,420 | ) | $ | (37,273 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class I* | ||||||||||||||||
Sold | 16,058,932 | $ | 198,434,179 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | (1,883,079 | ) | (24,066,781 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 14,175,853 | $ | 174,367,398 | |||||||||||||
|
|
|
| |||||||||||||
Disciplined Growth Fund Class R5 | ||||||||||||||||
Sold | 4,488,764 | $ | 55,777,699 | 3,313,710 | $ | 39,569,475 | ||||||||||
Issued as reinvestment of dividends | 3,595,143 | 41,991,277 | 332,049 | 3,632,613 | ||||||||||||
Redeemed | (15,304,881 | ) | (189,644,887 | ) | (6,733,019 | ) | (81,013,841 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (7,220,974 | ) | $ | (91,875,911 | ) | (3,087,260 | ) | $ | (37,811,753 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Service Class | ||||||||||||||||
Sold | 1,761,001 | $ | 21,684,519 | 698,501 | $ | 8,596,184 | ||||||||||
Issued as reinvestment of dividends | 1,078,235 | 12,626,126 | 89,360 | 979,387 | ||||||||||||
Redeemed | (967,524 | ) | (12,292,700 | ) | (1,097,602 | ) | (13,424,061 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,871,712 | $ | 22,017,945 | (309,741 | ) | $ | (3,848,490 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Administrative Class | ||||||||||||||||
Sold | 840,800 | $ | 10,781,962 | 870,580 | $ | 10,534,106 | ||||||||||
Issued as reinvestment of dividends | 359,504 | 4,238,554 | 13,970 | 154,091 | ||||||||||||
Redeemed | (836,321 | ) | (10,432,977 | ) | (143,142 | ) | (1,695,592 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 363,983 | $ | 4,587,539 | 741,408 | $ | 8,992,605 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class A | ||||||||||||||||
Sold | 1,358,947 | $ | 17,000,491 | 568,630 | $ | 6,802,771 | ||||||||||
Issued as reinvestment of dividends | 405,180 | 4,700,083 | 21,856 | 238,006 | ||||||||||||
Redeemed | (480,343 | ) | (5,881,137 | ) | (434,829 | ) | (5,246,806 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,283,784 | $ | 15,819,437 | 155,657 | $ | 1,793,971 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class R4* | ||||||||||||||||
Sold | 8,313 | $ | 100,005 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | ++ | (4 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 8,313 | $ | 100,001 | |||||||||||||
|
|
|
| |||||||||||||
Disciplined Growth Fund Class R3* | ||||||||||||||||
Sold | 8,313 | $ | 100,002 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | ++ | (2 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 8,313 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Small Cap Opportunities Fund Class I* | ||||||||||||||||
Sold | 304,247 | $ | 4,915,406 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 304,247 | $ | 4,915,406 | |||||||||||||
|
|
|
| |||||||||||||
Small Cap Opportunities Fund Class R5 | ||||||||||||||||
Sold | 468,604 | $ | 7,492,025 | 710,699 | $ | 9,125,094 | ||||||||||
Issued as reinvestment of dividends | 52,605 | 807,480 | 68,419 | 771,082 | ||||||||||||
Redemptions in-kind | - | - | - | - | ||||||||||||
Redeemed | (1,449,424 | ) | (22,899,726 | ) | (1,378,627 | ) | (17,109,982 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (928,215 | ) | $ | (14,600,221 | ) | (599,509 | ) | $ | (7,213,806 | ) | ||||||
|
|
|
|
|
|
|
|
301
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Small Cap Opportunities Fund Service Class | ||||||||||||||||
Sold | 327,694 | $ | 5,261,623 | 26,529 | $ | 339,542 | ||||||||||
Issued as reinvestment of dividends | 2,100 | 32,239 | 3,162 | 35,673 | ||||||||||||
Redeemed | (70,353 | ) | (1,136,554 | ) | (152,688 | ) | (1,943,348 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 259,441 | $ | 4,157,308 | (122,997 | ) | $ | (1,568,133 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Administrative Class | ||||||||||||||||
Sold | 649,419 | $ | 10,412,913 | 200,026 | $ | 2,577,134 | ||||||||||
Issued as reinvestment of dividends | 5,512 | 84,225 | 5,919 | 66,410 | ||||||||||||
Redeemed | (183,438 | ) | (2,935,749 | ) | (95,174 | ) | (1,174,794 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 471,493 | $ | 7,561,389 | 110,771 | $ | 1,468,750 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class A | ||||||||||||||||
Sold | 874,002 | $ | 13,546,176 | 918,981 | $ | 11,741,244 | ||||||||||
Issued as reinvestment of dividends | 32,973 | 497,234 | 39,059 | 432,774 | ||||||||||||
Redeemed | (1,634,434 | ) | (25,567,161 | ) | (1,096,854 | ) | (13,568,877 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (727,459 | ) | $ | (11,523,751 | ) | (138,814 | ) | $ | (1,394,859 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class R4* | ||||||||||||||||
Sold | 6,196 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 6,196 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Small Cap Opportunities Fund Class R3* | ||||||||||||||||
Sold | 6,196 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 6,196 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Global Fund Class I* | ||||||||||||||||
Sold | 6,734 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 6,734 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Global Fund Class R5 | ||||||||||||||||
Sold | 596,055 | $ | 8,882,014 | 856,491 | $ | 10,824,510 | ||||||||||
Issued as reinvestment of dividends | 269,539 | 3,859,794 | 219,353 | 2,614,685 | ||||||||||||
Redeemed | (2,495,292 | ) | (36,369,397 | ) | (3,284,672 | ) | (41,863,484 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,629,698 | ) | $ | (23,627,589 | ) | (2,208,828 | ) | $ | (28,424,289 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Service Class | ||||||||||||||||
Sold | 550,251 | $ | 8,105,003 | 131,410 | $ | 1,631,727 | ||||||||||
Issued as reinvestment of dividends | 11,505 | 163,834 | 7,221 | 85,643 | ||||||||||||
Redeemed | (242,068 | ) | (3,563,490 | ) | (187,448 | ) | (2,286,070 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 319,688 | $ | 4,705,347 | (48,817 | ) | $ | (568,700 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Administrative Class | ||||||||||||||||
Sold | 985,679 | $ | 14,657,745 | 682,886 | $ | 8,594,074 | ||||||||||
Issued as reinvestment of dividends | 156,063 | 2,234,838 | 101,607 | 1,211,149 | ||||||||||||
Redeemed | (1,327,618 | ) | (19,637,905 | ) | (1,370,240 | ) | (17,168,259 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (185,876 | ) | $ | (2,745,322 | ) | (585,747 | ) | $ | (7,363,036 | ) | ||||||
|
|
|
|
|
|
|
|
302
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Global Fund Class A | ||||||||||||||||
Sold | 337,388 | $ | 4,927,648 | 589,178 | $ | 7,523,605 | ||||||||||
Issued as reinvestment of dividends | 51,595 | 732,648 | 27,915 | 330,240 | ||||||||||||
Redeemed | (789,170 | ) | (11,588,534 | ) | (847,310 | ) | (10,438,132 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (400,187 | ) | $ | (5,928,238 | ) | (230,217 | ) | $ | (2,584,287 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class R4* | ||||||||||||||||
Sold | 6,803 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 6,803 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Global Fund Class R3 | ||||||||||||||||
Sold | 29,970 | $ | 434,468 | 15,980 | $ | 201,012 | ||||||||||
Issued as reinvestment of dividends | 1,205 | 17,185 | 652 | 7,743 | ||||||||||||
Redeemed | (18,504 | ) | (273,671 | ) | (11,349 | ) | (143,759 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 12,671 | $ | 177,982 | 5,283 | $ | 64,996 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class I* | ||||||||||||||||
Sold | 4,958,981 | $ | 76,898,175 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | (496,160 | ) | (7,687,739 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 4,462,821 | $ | 69,210,436 | |||||||||||||
|
|
|
| |||||||||||||
International Equity Fund Class R5 | ||||||||||||||||
Sold | 2,951,304 | $ | 45,364,093 | 2,339,965 | $ | 33,545,806 | ||||||||||
Issued as reinvestment of dividends | 2,876,748 | 42,316,955 | 1,347,821 | 18,101,237 | ||||||||||||
Redeemed | (9,317,679 | ) | (143,666,395 | ) | (5,781,155 | ) | (82,302,791 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,489,627 | ) | $ | (55,985,347 | ) | (2,093,369 | ) | $ | (30,655,748 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Service Class | ||||||||||||||||
Sold | 717,566 | $ | 11,221,479 | 363,884 | $ | 5,359,349 | ||||||||||
Issued as reinvestment of dividends | 191,101 | 2,807,276 | 75,902 | 1,017,844 | ||||||||||||
Redeemed | (906,556 | ) | (13,821,770 | ) | (465,336 | ) | (6,415,024 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,111 | $ | 206,985 | (25,550 | ) | $ | (37,831 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Administrative Class | ||||||||||||||||
Sold | 424,330 | $ | 6,479,471 | 210,934 | $ | 2,947,496 | ||||||||||
Issued as reinvestment of dividends | 121,841 | 1,782,541 | 53,333 | 712,533 | ||||||||||||
Redeemed | (400,020 | ) | (6,105,195 | ) | (281,602 | ) | (3,938,060 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 146,151 | $ | 2,156,817 | (17,335 | ) | $ | (278,031 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class A | ||||||||||||||||
Sold | 705,460 | $ | 10,533,126 | 451,269 | $ | 6,308,625 | ||||||||||
Issued as reinvestment of dividends | 358,804 | 5,134,481 | 152,651 | 1,999,729 | ||||||||||||
Redeemed | (875,794 | ) | (13,007,617 | ) | (580,651 | ) | (8,051,811 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 188,470 | $ | 2,659,990 | 23,269 | $ | 256,543 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class R4* | ||||||||||||||||
Sold | 6,653 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 6,653 | $ | 100,000 | |||||||||||||
|
|
|
|
303
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Equity Fund Class R3* | ||||||||||||||||
Sold | 6,653 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 6,653 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Focused International Fund Class I | ||||||||||||||||
Sold | 1,168,425 | $ | 14,749,857 | 3,491,643 | $ | 41,600,175 | ||||||||||
Issued as reinvestment of dividends | 122,442 | 1,536,642 | 91,770 | 1,063,618 | ||||||||||||
Redeemed | (6,739,993 | ) | (86,126,153 | ) | (2,555,264 | ) | (30,303,513 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (5,449,126 | ) | $ | (69,839,654 | ) | 1,028,149 | $ | 12,360,280 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Focused International Fund Class R5 | ||||||||||||||||
Sold | 34,732 | $ | 439,457 | 75,040 | $ | 909,106 | ||||||||||
Issued as reinvestment of dividends | 5,466 | 68,822 | 44,260 | 513,418 | ||||||||||||
Redeemed | (241,080 | ) | (3,019,800 | ) | (2,610,711 | ) | (31,174,320 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (200,882 | ) | $ | (2,511,521 | ) | (2,491,411 | ) | $ | (29,751,796 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Focused International Fund Service Class | ||||||||||||||||
Sold | 15,295 | $ | 193,929 | 136,384 | $ | 1,608,319 | ||||||||||
Issued as reinvestment of dividends | 2,851 | 35,833 | 8,642 | 100,077 | ||||||||||||
Redeemed | (248,130 | ) | (3,140,868 | ) | (629,132 | ) | (7,493,949 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (229,984 | ) | $ | (2,911,106 | ) | (484,106 | ) | $ | (5,785,553 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Focused International Fund Administrative Class | ||||||||||||||||
Sold | 31,399 | $ | 399,409 | 60,429 | $ | 723,488 | ||||||||||
Issued as reinvestment of dividends | 2,422 | 30,635 | 7,689 | 89,498 | ||||||||||||
Redeemed | (200,164 | ) | (2,538,633 | ) | (374,002 | ) | (4,430,334 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (166,343 | ) | $ | (2,108,589 | ) | (305,884 | ) | $ | (3,617,348 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Focused International Fund Class A | ||||||||||||||||
Sold | 91,113 | $ | 1,148,415 | 141,831 | $ | 1,679,782 | ||||||||||
Issued as reinvestment of dividends | 9,359 | 117,458 | 16,529 | 191,242 | ||||||||||||
Redeemed | (545,591 | ) | (6,886,071 | ) | (909,818 | ) | (10,690,152 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (445,119 | ) | $ | (5,620,198 | ) | (751,458 | ) | $ | (8,819,128 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Focused International Fund Class R4* | ||||||||||||||||
Sold | 7,962 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 7,962 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Focused International Fund Class R3 | ||||||||||||||||
Sold | 16,718 | $ | 208,177 | 24,035 | $ | 280,352 | ||||||||||
Issued as reinvestment of dividends | 535 | 6,627 | 669 | 7,648 | ||||||||||||
Redeemed | (16,384 | ) | (204,571 | ) | (31,632 | ) | (371,149 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 869 | $ | 10,233 | (6,928 | ) | $ | (83,149 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class I | ||||||||||||||||
Sold | 2,954,465 | $ | 35,684,840 | 1,495,458 | $ | 18,022,037 | ||||||||||
Issued as reinvestment of dividends | 127,758 | 1,494,775 | 86,687 | 1,094,858 | ||||||||||||
Redeemed | (1,356,992 | ) | (16,318,615 | ) | (2,899,249 | ) | (34,455,909 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,725,231 | $ | 20,861,000 | (1,317,104 | ) | $ | (15,339,014 | ) | ||||||||
|
|
|
|
|
|
|
|
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Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Strategic Emerging Markets Fund Class R5 | ||||||||||||||||
Sold | 135,141 | $ | 1,649,145 | 150,056 | $ | 1,794,751 | ||||||||||
Issued as reinvestment of dividends | 6,857 | 81,186 | 3,741 | 47,848 | ||||||||||||
Redeemed | (11,227 | ) | (132,266 | ) | (62,482 | ) | (709,949 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 130,771 | $ | 1,598,065 | 91,315 | $ | 1,132,650 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Service Class | ||||||||||||||||
Sold | 3,988 | $ | 48,036 | 970 | $ | 11,334 | ||||||||||
Issued as reinvestment of dividends | 182 | 2,132 | 101 | 1,277 | ||||||||||||
Redeemed | (655 | ) | (7,938 | ) | (298 | ) | (3,817 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,515 | $ | 42,230 | 773 | $ | 8,794 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Administrative Class | ||||||||||||||||
Sold | 42,744 | $ | 480,813 | 4,766 | $ | 57,375 | ||||||||||
Issued as reinvestment of dividends | 79 | 926 | 35 | 441 | ||||||||||||
Redeemed | (17,553 | ) | (203,726 | ) | (1,639 | ) | (19,709 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 25,270 | $ | 278,013 | 3,162 | $ | 38,107 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class A | ||||||||||||||||
Sold | 39,169 | $ | 469,121 | 7,494 | $ | 89,022 | ||||||||||
Issued as reinvestment of dividends | 181 | 2,112 | - | - | ||||||||||||
Redeemed | (29,247 | ) | (318,017 | ) | (10,337 | ) | (124,269 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 10,103 | $ | 153,216 | (2,843 | ) | $ | (35,247 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class R4* | ||||||||||||||||
Sold | 8,591 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 8,591 | $ | 100,000 | |||||||||||||
|
|
|
| |||||||||||||
Strategic Emerging Markets Fund Class R3* | ||||||||||||||||
Sold | 8,591 | $ | 100,000 | |||||||||||||
Issued as reinvestment of dividends | - | - | ||||||||||||||
Redeemed | - | - | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | 8,591 | $ | 100,000 | |||||||||||||
|
|
|
|
* | Class commenced operations on April 1, 2014. |
** | Class Y shares merged into Class S shares on March 7, 2014. Class S shares were renamed Class R5 shares on April 1, 2014. |
*** | Class A shares merged into Class S shares on March 7, 2014. Class S shares were renamed Class R5 shares on April 1, 2014. |
+ | Class N shares were eliminated as of February 25, 2013. Class R3 shares were launched on April 1, 2014. |
++ | Amount rounds to less than 0.5 share. |
Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the year ended September 30, 2014, no material amounts have been retained by the Distributor.
Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. Prior to April 1, 2014, redemptions or exchanges of Class R3 shares made within eighteen months of purchase were subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the year ended September 30, 2014, were waived for any redemptions or exchanges subject to such a charge.
305
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Notes to Financial Statements (Continued)
6. | Federal Income Tax Information |
At September 30, 2014, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Short-Duration Bond Fund | $ | 576,038,526 | $ | 9,159,676 | $ | (14,111,373 | ) | $ | (4,951,697 | ) | ||||||
Inflation-Protected and Income Fund | 625,093,172 | 9,892,891 | (15,276,811 | ) | (5,383,920 | ) | ||||||||||
Core Bond Fund | 1,834,587,225 | 41,679,749 | (12,786,053 | ) | 28,893,696 | |||||||||||
Diversified Bond Fund | 176,119,026 | 3,781,148 | (1,127,518 | ) | 2,653,630 | |||||||||||
High Yield Fund | 264,341,001 | 6,037,154 | (5,088,654 | ) | 948,500 | |||||||||||
Balanced Fund | 166,531,223 | 11,152,702 | (1,419,291 | ) | 9,733,411 | |||||||||||
Value Fund | 76,405,039 | 13,253,077 | (564,972 | ) | 12,688,105 | |||||||||||
Disciplined Value Fund | 312,075,395 | 33,154,140 | (4,177,457 | ) | 28,976,683 | |||||||||||
Main Street Fund | 168,330,655 | 41,856,909 | (2,181,698 | ) | 39,675,211 | |||||||||||
Disciplined Growth Fund | 407,501,890 | 39,242,981 | (7,572,943 | ) | 31,670,038 | |||||||||||
Small Cap Opportunities Fund | 174,796,129 | 21,125,048 | (7,014,817 | ) | 14,110,231 | |||||||||||
Global Fund | 286,759,554 | 147,749,807 | (7,407,454 | ) | 140,342,353 | |||||||||||
International Equity Fund | 492,027,535 | 70,384,767 | (22,721,341 | ) | 47,663,426 | |||||||||||
Focused International Fund | 38,704,146 | 2,012,363 | (2,241,195 | ) | (228,832 | ) | ||||||||||
Strategic Emerging Markets Fund | 154,023,318 | 12,260,610 | (9,371,763 | ) | 2,888,847 |
Note: The aggregate cost for investments for the Money Market Fund at September 30, 2014, is the same for financial reporting and federal income tax purposes.
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.
At September 30, 2014, the following Fund(s) had available, for federal income tax purposes, pre-enactment unused capital losses:
Expiring 2016 | Expiring 2017 | |||||||
Money Market Fund | $ | 821,066 | $ | - | ||||
Value Fund | - | 43,005,798 | ||||||
Disciplined Value Fund | - | 20,197,194 | ||||||
Focused International Fund | - | 5,652,476 |
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Notes to Financial Statements (Continued)
At September 30, 2014, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term Capital Loss Carryforward | Long Term Capital Loss Carryforward | |||||||
Inflation-Protected and Income Fund | $ | 119,309 | $ | 172,183 | ||||
Strategic Emerging Markets Fund | 2,100,778 | 2,639,410 |
Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, subject to the eight-year carryforward period and possible expiration.
The following Fund(s) elected to defer to the fiscal year beginning October 1, 2014, post-October capital losses:
Post-October Loss | ||||
Short-Duration Bond Fund | $ | (1,354,883 | ) | |
Diversified Bond Fund | (370,066 | ) | ||
Focused International Fund | (270,523 | ) |
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 September 30, 2014, was as follows:
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
Money Market Fund | $ | 19,379 | $ | - | $ | - | ||||||
Short-Duration Bond Fund | 12,460,853 | - | - | |||||||||
Inflation-Protected and Income Fund | 6,205,449 | 9,192,880 | - | |||||||||
Core Bond Fund | 44,429,178 | - | - | |||||||||
Diversified Bond Fund | 2,831,260 | - | - | |||||||||
High Yield Fund | 15,893,825 | 4,099,744 | - | |||||||||
Balanced Fund | 5,129,652 | 5,325,408 | - | |||||||||
Value Fund | 1,973,768 | - | - | |||||||||
Disciplined Value Fund | 5,920,478 | - | - | |||||||||
Main Street Fund | 1,552,676 | - | - | |||||||||
Disciplined Growth Fund | 38,113,803 | 25,442,237 | - | |||||||||
Small Cap Opportunities Fund | 1,421,203 | - | - | |||||||||
Global Fund | 3,716,517 | 3,291,893 | - | |||||||||
International Equity Fund | 10,665,834 | 41,375,855 | - | |||||||||
Focused International Fund | 1,796,017 | - | - | |||||||||
Strategic Emerging Markets Fund | 1,581,131 | - | - |
307
Table of Contents
Notes to Financial Statements (Continued)
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2013, was as follows:
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
Money Market Fund | $ | 62,765 | $ | - | $ | - | ||||||
Short-Duration Bond Fund | 10,787,757 | 4,184,393 | - | |||||||||
Inflation-Protected and Income Fund | 11,015,941 | 3,094,039 | - | |||||||||
Core Bond Fund | 62,377,274 | 10,383,566 | - | |||||||||
Diversified Bond Fund | 4,397,509 | 1,687,297 | - | |||||||||
High Yield Fund | 16,490,081 | - | - | |||||||||
Balanced Fund | 2,290,396 | - | - | |||||||||
Value Fund | 2,438,679 | - | - | |||||||||
Disciplined Value Fund | 6,444,354 | - | - | |||||||||
Main Street Fund | 1,991,991 | - | - | |||||||||
Disciplined Growth Fund | 4,181,831 | 822,266 | - | |||||||||
Small Cap Opportunities Fund | 1,305,961 | - | - | |||||||||
Global Fund | 4,249,509 | - | - | |||||||||
International Equity Fund | 6,824,568 | 15,006,972 | - | |||||||||
Focused International Fund | 1,965,501 | - | - | |||||||||
Strategic Emerging Markets Fund | 1,144,424 | - | - |
The following Fund(s) have elected to pass through the foreign tax credit for the year ended September 30, 2014:
Amount | ||||
Global Fund | $ | 217,475 | ||
International Equity Fund | 559,205 | |||
Focused International Fund | 112,704 | |||
Strategic Emerging Markets Fund | 149,024 |
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 September 30, 2014, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies, the deferral of wash sale losses, and deferred Trustee compensation.
At September 30, 2014, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Money Market Fund | $ | 21,750 | $ | (821,066 | ) | $ | (88,408 | ) | $ | - | ||||||
Short-Duration Bond Fund | 9,740,544 | - | (1,428,283 | ) | (5,147,678 | ) | ||||||||||
Inflation-Protected and Income Fund | 8,026,311 | (291,492 | ) | (39,170 | ) | (5,433,667 | ) | |||||||||
Core Bond Fund | 29,600,036 | - | (227,292 | ) | 28,411,241 | |||||||||||
Diversified Bond Fund | 2,086,600 | - | (395,961 | ) | 2,569,934 | |||||||||||
High Yield Fund | 15,283,903 | 3,576,643 | (26,680 | ) | 948,500 | |||||||||||
Balanced Fund | 8,012,764 | 6,200,262 | (23,642 | ) | 9,713,138 |
308
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Notes to Financial Statements (Continued)
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Value Fund | $ | 1,249,209 | $ | (43,005,798 | ) | $ | (52,227 | ) | $ | 12,688,105 | ||||||
Disciplined Value Fund | 4,279,568 | (20,197,194 | ) | (39,667 | ) | 28,976,683 | ||||||||||
Main Street Fund | 1,193,232 | 1,273,284 | (23,501 | ) | 39,672,948 | |||||||||||
Disciplined Growth Fund | 29,753,362 | 21,479,301 | (34,331 | ) | 31,670,040 | |||||||||||
Small Cap Opportunities Fund | 3,960,171 | 22,478,814 | (36,516 | ) | 14,110,231 | |||||||||||
Global Fund | 3,476,054 | 17,358,804 | (51,731 | ) | 140,311,974 | |||||||||||
International Equity Fund | 5,621,610 | 77,909,180 | (98,362 | ) | 47,505,900 | |||||||||||
Focused International Fund | 3,068,656 | (5,652,476 | ) | (284,601 | ) | (236,643 | ) | |||||||||
Strategic Emerging Markets Fund | 1,443,431 | (4,740,188 | ) | (15,242 | ) | 2,353,203 |
During the year ended September 30, 2014, the following amounts were reclassified due to permanent differences between book and tax accounting:
Paid-in Capital | Accumulated Net Realized Gain (Loss) on Investments | Undistributed Net Investment Income (Loss) | ||||||||||
Money Market Fund | $ | 2,162 | $ | (496 | ) | $ | (1,666 | ) | ||||
Short-Duration Bond Fund | 1,382 | (4,325,929 | ) | 4,324,547 | ||||||||
Inflation-Protected and Income Fund | 646 | (1,869,259 | ) | 1,868,613 | ||||||||
Core Bond Fund | 4,576 | (3,684,411 | ) | 3,679,835 | ||||||||
Diversified Bond Fund | 120,971 | (345,226 | ) | 224,255 | ||||||||
High Yield Fund | 382 | 108,670 | (109,052 | ) | ||||||||
Balanced Fund | 647 | (31,954 | ) | 31,307 | ||||||||
Value Fund | 1,667 | 47,965 | (49,632 | ) | ||||||||
Disciplined Value Fund | 680 | 98,933 | (99,613 | ) | ||||||||
Main Street Fund | 424 | 26,501 | (26,925 | ) | ||||||||
Disciplined Growth Fund | 470 | 71,260 | (71,730 | ) | ||||||||
Small Cap Opportunities Fund | (1,187 | ) | (69,135 | ) | 70,322 | |||||||
Global Fund | 967 | (76,696 | ) | 75,729 | ||||||||
International Equity Fund | 2,413 | (428,769 | ) | 426,356 | ||||||||
Focused International Fund | 217 | 32,398 | (32,615 | ) | ||||||||
Strategic Emerging Markets Fund | 226 | 109,125 | (109,351 | ) |
The Funds did not have any unrecognized tax benefits at September 30, 2014, 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 September 30, 2014, 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.
309
Table of Contents
Notes to Financial Statements (Continued)
7. | Investment in Affiliated Issuers |
A summary of the Funds’ transactions in the securities of affiliated issuers during the year ended September 30, 2014, was as follows:
Number of Shares Held as of 9/30/13 | Purchases | Sales | Number of Shares Held as of 9/30/14 | Value as of 9/30/14 | Dividend Income | Net Realized Gain (Loss) | ||||||||||||||||||||||
Global Fund | ||||||||||||||||||||||||||||
Oppenheimer Institutional | 5,971,868 | 54,842,142 | 55,876,572 | 4,937,438 | $ | 4,937,438 | $ | 5,153 | $ | - | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
International Equity Fund | ||||||||||||||||||||||||||||
Oppenheimer Institutional | 19,588,063 | 175,977,373 | 180,817,301 | 14,748,135 | $ | 14,748,135 | $ | 12,997 | $ | - | ||||||||||||||||||
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|
|
|
|
|
* | Fund advised by OFI Global Asset Management, Inc. |
8. | 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.
9. | New Accounting Pronouncements |
On June 7, 2013, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): “Amendments to the Scope, Measurement, and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 sets forth a new approach for determining whether a public or private company is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.
In June 2014, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2014-11, Transfers & Servicing (Topic 860): “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”) to improve the financial reporting of repurchase agreements and other similar transactions. ASU 2014-11 includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. ASU 2014-11 is effective for annual reporting periods beginning after December 15, 2014 and interim periods beginning after December 15, 2015. Management is currently evaluating the implications of these changes and their impact on the financial statements.
10. | 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 transaction (“LBO”) 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.
310
Table of Contents
Notes to Financial Statements (Continued)
The potential amounts sought to be recovered from the Balanced Fund, Disciplined Value Fund, and Small Cap Opportunities Fund, plus interest and the Official Committee’s court costs, are approximately $44,200, $299,880, and $414,800, respectively.
In addition, on June 2, 2011, the Disciplined Value Fund and Small Cap Opportunities Fund, were named as defendants in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.
The Funds cannot predict the outcome of these proceedings. Accordingly, the Funds have not accrued any amounts in the accompanying financial statements related to these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Official Committee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Funds’ net asset values depending on the net assets of each applicable Fund at the time of such judgment or settlement.
11. | Subsequent Events |
In preparation of these financial statements, management has evaluated the events and transactions subsequent to September 30, 2014, 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 November 14, 2014 (the “Termination Date”), the Focused International Fund was dissolved pursuant to a Plan of Liquidation and Termination approved by the Trustees. Shareholders of the various classes of shares of the Fund received proceeds in proportion to the number of shares of such class held by each of them on the Termination Date.
311
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of MassMutual Premier Funds and Shareholders of MassMutual Premier Money Market Fund, MassMutual Premier Short-Duration Bond Fund, MassMutual Premier Inflation-Protected and Income Fund, MassMutual Premier Core Bond Fund, MassMutual Premier Diversified Bond Fund, MassMutual Premier High Yield Fund, MassMutual Premier Balanced Fund, MassMutual Premier Value Fund, MassMutual Premier Disciplined Value Fund, MassMutual Premier Main Street Fund, MassMutual Premier Disciplined Growth Fund, MassMutual Premier Small Cap Opportunities Fund, MassMutual Premier Global Fund, MassMutual Premier International Equity Fund, MassMutual Premier Focused International Fund, and MassMutual Premier Strategic Emerging Markets Fund (collectively, the “Funds”):
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Funds as of September 30, 2014, and the related statements of operations for the year then ended, the statement of cash flows for the MassMutual Premier Inflation-Protected and Income Fund for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2014, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2014, the results of their operations for the year then ended, the cash flows for the MassMutual Premier Inflation-Protected and Income Fund for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
November 25, 2014
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Trustees and Officers (Unaudited)
The following table lists the Trust’s Trustees and Officers as of September 30, 2014; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Premier Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082, Attention: Retirement Services Marketing.
Disinterested Trustees
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Richard H. Ayers Age: 71 | Chairman
Trustee | Since
Since | Retired. | 90 | Director (2008-2011), Celera Corporation; Director (1996-2008), Applera Corporation; Chairman (since 2010), Trustee (since 1996), MassMutual Select Funds (open-end investment company); Chairman (since 2010), Trustee (since 1999), MML Series Investment Fund (open-end investment company); Chairman and Trustee (since 2012), MML Series Investment Fund II (open-end investment company). | |||||
Allan W. Blair Age: 66 | Trustee | Since 2012 | President and Chief Executive Officer (since 1996), Economic Development Council of Western Massachusetts; President and Chief Executive Officer (since 1984), Westover Metropolitan Development Corporation. | 90 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). | |||||
Nabil N. El-Hage Age: 56 | Trustee
Chairman | Since 2003
(2006- 2012) | Consultant (since 2010); Chairman (since 2011), Academy of Executive Education, LLC; Senior Associate Dean for External Relations (2009-2010), Thomas Henry Carroll Ford Foundation Adjunct Professor of Business Administration (2009-2010), Professor of Management Practice (2005-2009), Harvard Business School; Director (since 2011), Argo Group International Holdings, Ltd. | 90 | Director (2007-2010), Virtual Radiologic Corporation; Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Chairman (2006-2012), Trustee (since 2005), MML Series Investment Fund II (open-end investment company). | |||||
Maria D. Furman Age: 60 | Trustee | Since 2004 | Retired. | 90 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company). |
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Trustees and Officers (Unaudited)
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
R. Alan Hunter, Jr. Age: 67 | Trustee | Since 2012 | Retired. | 90 | Director (since 2007), Actuant Corporation; Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). | |||||
F. William Marshall, Jr. Age: 72 | Trustee | Since 2012 | Retired; Consultant (1999-2009). | 128*** | Trustee (since 2000), Denver Board – Oppenheimer Funds; Trustee (since 1996), MassMutual Select Funds (open-end investment company); Trustee (since 1996), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). | |||||
C. Ann Merrifield Age: 63 | Trustee | Since 2004 | President and Chief Executive Officer (since 2012), PathoGenetix; Senior Vice President, Genzyme Business Excellence Initiative (2009-2011), President, Biosurgery (2003-2009), Genzyme Corporation. | 90 | Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company). | |||||
Susan B. Sweeney Age: 62 | Trustee | Since 2012 | Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company); Senior Managing Director (2008-2010), Ironwood Capital (private equity firm). | 92^ | Trustee (since 2012) Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2012) Babson Capital Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). |
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Trustees and Officers (Unaudited) (Continued)
Interested Trustees
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Robert E. Joyal^^ Age: 69 | Trustee | Since 2012 | Retired | 92^ | Director (since 2013), Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc.; Director (since 2006), Jefferies Group, Inc. (investment bank); Director (2007-2011), Scottish Re Group Ltd.; Director (2003-2010), Alabama Aircraft Industries, Inc.; Trustee (since 2003), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2003), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). | |||||
Elaine A. Sarsynski^^^ Age: 59 | Trustee Vice Chairperson | Since (2011-2012) | Executive Vice President (since 2008), MassMutual Retirement Services Division, MassMutual; Chairman (since 2006), MassMutual International, LLC. | 90 | Director (since 2012), Horizon Technology Finance Management LLC; Director (since 2013), MML Advisers; Trustee (since 2008), MassMutual Select Funds (open-end investment company); Trustee (since 2008), MML Series Investment Fund (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MML Series Investment Fund II (open-end investment company). |
Principal Officers who are Not Trustees
Name, Address*, and Age | Position(s) Held | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Michael C. Eldredge Age: 50 | Vice President | Since 2009 | Head of Investments and portfolio manager (since 2014), MML Advisers; Vice President (since 2008), MassMutual; Vice President (2005-2008), ING; Vice President (since 2009), MassMutual Select Funds (open-end investment company); Vice President (since 2009), MML Series Investment Fund (open-end investment company); Vice President (since 2009), MML Series Investment Fund II (open-end investment company). | 90 | ||||
Andrew M. Goldberg Age: 48 | Vice President, Secretary, and Chief Legal Officer
Assistant Clerk | Since 2008
(2004- | Assistant Vice President and Counsel (since 2004), MassMutual; Assistant Secretary (since 2013), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company). | 90 |
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Trustees and Officers (Unaudited) (Continued)
Name, Address*, and Age | Position(s) Held | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Brian K. Haendiges Age: 54 | Vice President | Since 2014 | Vice President (since 2014) MML Advisers; Senior Vice President (since 2014), Vice President (2010-2014), MassMutual; Vice President (since 2014), MassMutual Select Funds (open-end investment company); Vice President (since 2014), MML Series Investment Fund (open-end investment company); Vice President (since 2014), MML Series Investment Fund II (open-end investment company). | 90 | ||||
Nicholas H. Palmerino Age: 49 | Chief Financial Officer and Treasurer | Since 2006 | Vice President (2014), Assistant Vice President (2006-2014), MassMutual; Chief Financial Officer and Treasurer (since 2006), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund II (open-end investment company). | 90 | ||||
Philip S. Wellman Age: 50 | Vice President and Chief Compliance Officer | Since 2007 | Vice President and Chief Compliance Officer (since 2013), MML Advisers; Vice President and Associate General Counsel (since 2014), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2007-2008), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company). | 90 | ||||
Eric H. Wietsma Age: 48 | President
Vice President | Since 2008
(2006- | Senior Vice President (since 2010), Corporate Vice President (2007-2010), MassMutual; Director and President (since 2013), MML Advisers; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); Vice President (since 2006), MML Series Investment Fund (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company). | 90 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082. |
** | 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-two years. Such an exception was made for any Trustee who attains the age of seventy-two years during 2014. Such Trustees shall retire and cease to serve as a Trustee on or before December 31, 2015. |
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. |
*** | Denver Board – Oppenheimer Funds is deemed to be part of the Fund Complex because it is managed by OFI Global Asset Management, Inc., an affiliate of MML Advisers. |
^ | Babson Capital Participation Investors and Babson Capital Corporate Investors are deemed to be a part of the Fund Complex because they are managed by Babson Capital Management LLC, an affiliate of MML Advisers. |
^^ | Mr. Joyal is an “Interested Person,” as that term is defined in the 1940 Act, through his position as a director of Jefferies Group, Inc., a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion. |
^^^ | Ms. Sarsynski is an Interested Person as a director of MML Advisers. |
# | The President, Treasurer, and Secretary 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 other officer shall hold office at the pleasure of the Trustees. |
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Federal Tax Information (Unaudited)
For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended September 30, 2014, qualified for the dividends received deduction, as follows:
Dividends Received Deductions | ||||
Balanced Fund | 32.90% | |||
Value Fund | 98.56% | |||
Disciplined Value Fund | 100.00% | |||
Main Street Fund | 100.00% | |||
Disciplined Growth Fund | 16.21% | |||
Small Cap Opportunities Fund | 80.03% | |||
Global Fund | 51.40% | |||
Strategic Emerging Markets Fund | 0.03% |
For the year ended September 30, 2014, the following Fund(s) earned the following foreign sources of income:
Amount | ||||
Global Fund | $ | 5,484,064 | ||
International Equity Fund | 9,461,918 | |||
Focused International Fund | 3,474,755 | |||
Strategic Emerging Markets Fund | 2,463,929 |
Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended September 30, 2014:
Qualified Dividend Income | ||||
Core Bond Fund | $ | 165,750 | ||
Diversified Bond Fund | 12,750 | |||
Balanced Fund | 2,293,150 | |||
Value Fund | 2,071,597 | |||
Disciplined Value Fund | 7,199,874 | |||
Main Street Fund | 2,916,785 | |||
Disciplined Growth Fund | 5,988,507 | |||
Small Cap Opportunities Fund | 1,262,932 | |||
Global Fund | 5,277,844 | |||
International Equity Fund | 9,002,521 | |||
Focused International Fund | 2,190,048 | |||
Strategic Emerging Markets Fund | 1,321,626 |
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A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) 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 website at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Trustees’ Approval of Investment Advisory Contracts
At their meetings in April and May 2014, the Contract Committee (the “Committee”) and 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”), re-approved the existing advisory and subadvisory agreements (collectively, the “Contracts”) for each of the Money Market Fund, Short-Duration Bond Fund, Inflation-Protected and Income Fund, Core Bond Fund, Diversified Bond Fund, High Yield Fund, Balanced Fund, Value Fund, Disciplined Value Fund, Main Street Fund, Disciplined Growth Fund, Small Cap Opportunities Fund, Global Fund, International Equity Fund, Focused International Fund, and Strategic Emerging Markets Fund. In preparation for the meetings, the Trustees requested, and MML Advisers and the subadvisers provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.
The Committee received in advance of the meetings (i) a memorandum from MML Advisers discussing the nature and quality of the services it provides as investment adviser to the Funds; (ii) a profitability analysis prepared by MML Advisers; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to each Fund prepared by an independent third-party vendor (the “Third-Party”). The Third Party Report provided detailed comparative advisory fee, total expense, and performance information for each Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MML Advisers and each of the subadvisers, noting that prior to April 1, 2014, MassMutual, of which MML Advisers is a wholly-owned subsidiary, served as the investment adviser to the Funds.
The Committee considered the nature, scope, and quality of services MML Advisers provides to the Funds, including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the Funds, and the needs of the Funds for administrative and shareholder services.
The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over various time periods against peer funds and a benchmark index). In connection with the Committee’s review, MML Advisers provided commentary and analysis regarding each Fund’s performance and expenses. The Committee also noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (ii) a wide range of information about each subadviser and its personnel with responsibility for providing services to the respective Fund and the fees payable to each subadviser by MML Advisers. MML Advisers reviewed with the Committee in detail the work MML Advisers does in its oversight roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to provide those services. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning each Fund.
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Other Information (Unaudited) (Continued)
The Committee reviewed the expense and performance information for each Fund. (References to any one- or three-year period below are to periods ended December 31, 2013. In all cases, the comparative expense information is that of a Fund’s “peer group” and the comparative performance information is that of a Fund’s “performance category.”)
The Committee considered that, in the case of four of the Funds, expense information showed the Funds to be in the first or second quartile of their peer groups (favorable), and performance information showed the Funds to have had first or second quartile investment performance in their performance categories for the most recent one- and three-year periods. These Funds included the Disciplined Value Fund, Disciplined Growth Fund, Small Cap Opportunities Fund, and Global Fund. The Committee also considered that the advisory fee breakpoints of the Disciplined Value Fund, Disciplined Growth Fund, and Global Fund had recently been revised.
In respect of the International Equity Fund, MML Advisers noted that the Fund’s performance continues to be outstanding. MML Advisers noted that, although the Fund’s expenses are relatively high (90th comparative percentile), they are actually within two basis points of the Fund’s expense category (as opposed to expense peer) median.
The Committee considered information regarding the Funds that had achieved favorable investment performance in recent periods compared to their performance categories, but that had experienced relatively high total net expense ratios:
• | Money Market Fund – The Committee considered that the Fund has achieved consistent favorable performance – in the first comparative quartile for the one- and three-year periods – and that MML Advisers has been waiving its fee in recent years to maintain a positive yield. The Committee considered that the Fund’s relative expense position reflects structural difficulties facing money market funds generally in the current low-interest rate environment. |
• | Short-Duration Bond Fund – The Committee considered MML Advisers’ statements that the Fund’s performance has been outstanding – achieving better than median performance in eight of the last ten calendar years, including a 29th comparative percentile ranking for the three-year period. The Committee considered MML Advisers’ statement that, although the Fund’s expenses are in the fourth quartile (78th comparative percentile), they are within three basis points of the peer median. The Committee further considered that the Fund’s advisory fee breakpoints had recently been revised. |
• | Diversified Bond Fund – The Committee considered MML Advisers’ statements that the Fund has delivered quite favorable investment performance, in the 37th and 31st comparative percentiles for the one- and three-year periods, respectively. MML Advisers stated that, although the Fund’s expense ratio is at the 62nd percentile, the Fund nevertheless represents a favorable investment value in light of its favorable long-term performance, noting that the Fund had achieved top half results versus the category in nine of the last ten calendar years. The Committee considered that the Fund’s advisory fee breakpoints had recently been revised. |
• | High Yield Fund – The Committee considered that the Fund has achieved 9th and 1st percentile relative performance for the one- and three-year periods, and MML Advisers’ statements that the subadviser’s performance has been very strong since the integration of a new high-yield team nearly four years ago. The Committee considered that the Fund’s expenses were above the peer median by only a modest amount (54th percentile). The Committee also considered that the Fund’s advisory fee breakpoints had recently been revised. |
The Committee considered information regarding the Funds that had underperformed in recent periods compared to their peers. The Committee considered that each of the Funds had relatively favorable expenses, first or second quartile, but had achieved unfavorable relative performance.
• | Balanced Fund – The Committee considered that the Fund has achieved three-year performance in the second comparative quartile (49th comparative percentile), and MML Advisers’ statement that the underperformance in the one-year period was due to conservative bond positioning and exposure to emerging markets equities. The Committee considered MML Advisers’ strong continued confidence in the subadviser. |
• | Value Fund – Although the Fund has incurred expenses in the first comparative quartile, its performance for the one- and three-year periods has been in the third and fourth comparative quartiles. MML Advisers reported that the Fund is currently in “under review” status in light of its underperformance. The Committee considered MML Advisers’ report that the subadviser has hired a new portfolio manager for the Fund, who takes a more diversified approach than the prior portfolio manager, and that the Fund’s performance has improved since the appointment of that new portfolio manager in the first quarter of 2013. MML Advisers reported that it intended to monitor this Fund closely in the coming year. |
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Other Information (Unaudited) (Continued)
• | Main Street Fund – The Committee considered that the Fund has a low comparative expense ratio (6th comparative percentile) and has achieved three-year performance in the second quartile (39th comparative percentile). MML Advisers noted that the Fund’s one-year performance had fallen to the third quartile (58th comparative percentile), but that MML Advisers remains highly confident in the Fund’s subadviser and portfolio management team. The Committee considered that the Fund’s advisory fee breakpoints had recently been revised. |
• | Strategic Emerging Markets Fund – The Committee considered MML Advisers’ statements that the Fund’s underperformance – 88th and 96th comparative percentiles for the one- and three-year periods – was due to the Fund’s previous subadviser, which was replaced in late 2013. MML Advisers stated that it has strong confidence in the new subadviser. The Committee considered that the Fund’s advisory fee breakpoints had recently been revised. |
The Committee considered information regarding the Funds that had underperformed in recent periods compared to their peers, and that had expenses in the third or fourth comparative quartile. The Committee noted that, with the exception of the Focused International Fund, each Fund’s advisory fee was at or below the median of its peers.
• | Core Bond Fund – The Committee considered MML Advisers’ statements that the Fund’s subadviser, generally manages the Fund in a relatively conservative manner, attempting to realize much of the benefit of “up” markets, while protecting against substantial declines in value in “down” markets; in the current market, that resulted in, among other things, a relatively low allocation to high yield bonds, which have outperformed recently. MML Advisers noted that the Fund’s subadviser tends to underperform in markets like the ones presented by the current market environment, which favor higher risk assets. The Committee considered that the Fund’s advisory fee breakpoints had recently been revised. |
• | Inflation-Protected and Income Fund – The Committee considered that the Fund’s performance for the three-year period has been in the second quartile (33rd comparative percentile), and that the Fund has performed in accordance with MML Advisers’ expectations in all periods. MML Advisers stated that the Fund’s relatively high expense ratio is due at least in part to the relatively small number of peer funds in the expense group. The Committee considered that the Fund’s advisory fee breakpoints had recently been revised. |
• | Focused International Fund – MML Advisers reported to the Committee that the Fund is under review due to the Fund’s sustained period of underperformance, which could affect the Fund’s long-term viability. MML Advisers undertook to report back to the Committee at an upcoming meeting regarding its plans with respect to this Fund. MML Advisers reported that it was likely that it would recommend liquidating the Fund. The Committee considered that the Fund’s advisory fee breakpoints had recently been revised. |
The Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting, concerning economies of scale and the profitability of MML Advisers’ advisory relationship with the various Funds, including: (i) a description of the revenue (including advisory fees and administrative and shareholder services fees, as applicable) and expense allocation methodology employed by MML Advisers; and (ii) profitability information for each individual Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the Funds and the so-called “fallout benefits” to MML Advisers, such as any reputational value derived from serving as investment adviser to the Funds, and benefits accruing to subadvisers due to so-called “soft-dollar arrangements.”
Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee 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 Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.
As to each of the Funds, the Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MML Advisers’ oversight of each Fund and the subadvisory process; (ii) MML Advisers’ levels of profitability from its relationship with the various Funds are not excessive and the advisory fees payable under the Contracts and each Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadvisers generally appear well suited to the Funds, given their investment objectives and policies; (iv) either the relative or absolute performance of a Fund (in each case, taking into account the applicable investment strategy and risk profile of the Fund), or the steps MML Advisers has proposed in respect of the underperformance of a Fund, are sufficient to warrant continuation of the Contracts for each of the Funds; and (v) the terms of the Contracts are fair and reasonable with respect to each Fund and are in the best interests of each Fund’s shareholders.
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Other Information (Unaudited) (Continued)
Fund Expenses September 30, 2014
Expense Examples:
The following information is in regards to expenses for the six months ended September 30, 2014:
As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) 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 September 30, 2014.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Money Market Fund | ||||||||||||||||||||||||
Class R5 | $ | 1,000 | 0.12 | % | $ | 1,000.00 | $ | 0.60 | $ | 1,024.50 | $ | 0.61 | ||||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.39 | % | 1,006.70 | 1.96 | 1,023.10 | 1.98 | |||||||||||||||||
Class R5 | 1,000 | 0.49 | % | 1,006.70 | 2.46 | 1,022.60 | 2.48 | |||||||||||||||||
Service Class | 1,000 | 0.59 | % | 1,005.80 | 2.97 | 1,022.10 | 2.99 | |||||||||||||||||
Administrative Class | 1,000 | 0.69 | % | 1,004.80 | 3.47 | 1,021.60 | 3.50 | |||||||||||||||||
Class A | 1,000 | 0.94 | % | 1,003.90 | 4.72 | 1,020.40 | 4.76 | |||||||||||||||||
Class R4† | 1,000 | 0.84 | % | 1,004.80 | 4.22 | 1,020.90 | 4.26 | |||||||||||||||||
Class R3 | 1,000 | 1.09 | % | 1,003.80 | 5.48 | 1,019.60 | 5.52 |
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Other Information (Unaudited) (Continued)
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.45 | % | $ | 1,017.30 | $ | 2.28 | $ | 1,022.80 | $ | 2.28 | ||||||||||||
Class R5 | 1,000 | 0.55 | % | 1,016.40 | 2.78 | 1,022.30 | 2.79 | |||||||||||||||||
Service Class | 1,000 | 0.65 | % | 1,015.40 | 3.28 | 1,021.80 | 3.29 | |||||||||||||||||
Administrative Class | 1,000 | 0.75 | % | 1,015.30 | 3.79 | 1,021.30 | 3.80 | |||||||||||||||||
Class A | 1,000 | 1.00 | % | 1,013.70 | 5.05 | 1,020.10 | 5.06 | |||||||||||||||||
Class R4† | 1,000 | 0.90 | % | 1,014.70 | 4.55 | 1,020.60 | 4.56 | |||||||||||||||||
Class R3 | 1,000 | 1.15 | % | 1,012.70 | 5.80 | 1,019.30 | 5.82 | |||||||||||||||||
Core Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.41 | % | 1,026.00 | 2.08 | 1,023.00 | 2.08 | |||||||||||||||||
Class R5 | 1,000 | 0.51 | % | 1,025.10 | 2.59 | 1,022.50 | 2.59 | |||||||||||||||||
Service Class | 1,000 | 0.61 | % | 1,024.30 | 3.10 | 1,022.00 | 3.09 | |||||||||||||||||
Administrative Class | 1,000 | 0.71 | % | 1,024.40 | 3.60 | 1,021.50 | 3.60 | |||||||||||||||||
Class A | 1,000 | 0.96 | % | 1,022.80 | 4.87 | 1,020.30 | 4.86 | |||||||||||||||||
Class R4† | 1,000 | 0.86 | % | 1,022.80 | 4.36 | 1,020.80 | 4.36 | |||||||||||||||||
Class R3 | 1,000 | 1.11 | % | 1,021.50 | 5.63 | 1,019.50 | 5.62 | |||||||||||||||||
Diversified Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.52 | % | 1,027.40 | 2.64 | 1,022.50 | 2.64 | |||||||||||||||||
Class R5 | 1,000 | 0.62 | % | 1,026.30 | 3.15 | 1,022.00 | 3.14 | |||||||||||||||||
Service Class | 1,000 | 0.72 | % | 1,026.10 | 3.66 | 1,021.50 | 3.65 | |||||||||||||||||
Administrative Class | 1,000 | 0.82 | % | 1,025.10 | 4.16 | 1,021.00 | 4.15 | |||||||||||||||||
Class A | 1,000 | 1.07 | % | 1,024.20 | 5.43 | 1,019.70 | 5.42 | |||||||||||||||||
Class R4† | 1,000 | 0.97 | % | 1,025.20 | 4.92 | 1,020.20 | 4.91 | |||||||||||||||||
Class R3† | 1,000 | 1.22 | % | 1,023.20 | 6.19 | 1,019.00 | 6.17 | |||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.55 | % | 1,016.00 | 2.78 | 1,022.30 | 2.79 | |||||||||||||||||
Class R5 | 1,000 | 0.65 | % | 1,014.90 | 3.28 | 1,021.80 | 3.29 | |||||||||||||||||
Service Class | 1,000 | 0.75 | % | 1,015.00 | 3.79 | 1,021.30 | 3.80 | |||||||||||||||||
Administrative Class | 1,000 | 0.85 | % | 1,014.10 | 4.29 | 1,020.80 | 4.31 | |||||||||||||||||
Class A | 1,000 | 1.10 | % | 1,013.10 | 5.55 | 1,019.60 | 5.57 | |||||||||||||||||
Class R4† | 1,000 | 1.00 | % | 1,013.10 | 5.05 | 1,020.10 | 5.06 | |||||||||||||||||
Class R3 | 1,000 | 1.25 | % | 1,011.90 | 6.30 | 1,018.80 | 6.33 | |||||||||||||||||
Balanced Fund | ||||||||||||||||||||||||
Class I† | 1,000 | 0.60 | % | 1,040.00 | 3.07 | 1,022.10 | 3.04 | |||||||||||||||||
Class R5 | 1,000 | 0.70 | % | 1,039.20 | 3.58 | 1,021.60 | 3.55 | |||||||||||||||||
Service Class | 1,000 | 0.80 | % | 1,038.50 | 4.09 | 1,021.10 | 4.05 | |||||||||||||||||
Administrative Class | 1,000 | 0.90 | % | 1,037.40 | 4.60 | 1,020.60 | 4.56 | |||||||||||||||||
Class A | 1,000 | 1.15 | % | 1,036.60 | 5.87 | 1,019.30 | 5.82 | |||||||||||||||||
Class R4† | 1,000 | 1.05 | % | 1,037.50 | 5.36 | 1,019.80 | 5.32 | |||||||||||||||||
Class R3† | 1,000 | 1.30 | % | 1,035.80 | 6.63 | 1,018.60 | 6.58 | |||||||||||||||||
Value Fund | ||||||||||||||||||||||||
Class I† | 1,000 | 0.60 | % | 1,044.40 | 3.08 | 1,022.10 | 3.04 | |||||||||||||||||
Class R5 | 1,000 | 0.70 | % | 1,043.40 | 3.59 | 1,021.60 | 3.55 | |||||||||||||||||
Service Class | 1,000 | 0.80 | % | 1,043.70 | 4.10 | 1,021.10 | 4.05 | |||||||||||||||||
Administrative Class | 1,000 | 0.90 | % | 1,043.30 | 4.61 | 1,020.60 | 4.56 | |||||||||||||||||
Class A | 1,000 | 1.15 | % | 1,041.30 | 5.88 | 1,019.30 | 5.82 | |||||||||||||||||
Class R4† | 1,000 | 1.05 | % | 1,042.30 | 5.38 | 1,019.80 | 5.32 | |||||||||||||||||
Class R3 | 1,000 | 1.30 | % | 1,040.50 | 6.65 | 1,018.60 | 6.58 |
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Other Information (Unaudited) (Continued)
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Disciplined Value Fund | ||||||||||||||||||||||||
Class I† | $ | 1,000 | 0.50 | % | $ | 1,039.60 | $ | 2.56 | $ | 1,022.60 | $ | 2.54 | ||||||||||||
Class R5 | 1,000 | 0.60 | % | 1,040.30 | 3.07 | 1,022.10 | 3.04 | |||||||||||||||||
Service Class | 1,000 | 0.70 | % | 1,039.20 | 3.58 | 1,021.60 | 3.55 | |||||||||||||||||
Administrative Class | 1,000 | 0.80 | % | 1,038.50 | 4.09 | 1,021.10 | 4.05 | |||||||||||||||||
Class A | 1,000 | 1.05 | % | 1,036.80 | 5.36 | 1,019.80 | 5.32 | |||||||||||||||||
Class R4† | 1,000 | 0.95 | % | 1,037.40 | 4.85 | 1,020.30 | 4.81 | |||||||||||||||||
Class R3 | 1,000 | 1.20 | % | 1,036.50 | 6.13 | 1,019.10 | 6.07 | |||||||||||||||||
Main Street Fund | ||||||||||||||||||||||||
Class I† | 1,000 | 0.62 | % | 1,061.10 | 3.20 | 1,022.00 | 3.14 | |||||||||||||||||
Class R5 | 1,000 | 0.72 | % | 1,060.40 | 3.72 | 1,021.50 | 3.65 | |||||||||||||||||
Service Class | 1,000 | 0.82 | % | 1,059.60 | 4.23 | 1,021.00 | 4.15 | |||||||||||||||||
Administrative Class | 1,000 | 0.92 | % | 1,059.00 | 4.75 | 1,020.50 | 4.66 | |||||||||||||||||
Class A | 1,000 | 1.17 | % | 1,058.70 | 6.04 | 1,019.20 | 5.92 | |||||||||||||||||
Class R4† | 1,000 | 1.07 | % | 1,058.70 | 5.52 | 1,019.70 | 5.42 | |||||||||||||||||
Class R3 | 1,000 | 1.32 | % | 1,057.50 | 6.81 | 1,018.50 | 6.68 | |||||||||||||||||
Disciplined Growth Fund | ||||||||||||||||||||||||
Class I† | 1,000 | 0.50 | % | 1,061.80 | 2.58 | 1,022.60 | 2.54 | |||||||||||||||||
Class R5 | 1,000 | 0.60 | % | 1,061.80 | 3.10 | 1,022.10 | 3.04 | |||||||||||||||||
Service Class | 1,000 | 0.70 | % | 1,060.90 | 3.62 | 1,021.60 | 3.55 | |||||||||||||||||
Administrative Class | 1,000 | 0.80 | % | 1,060.50 | 4.13 | 1,021.10 | 4.05 | |||||||||||||||||
Class A | 1,000 | 1.05 | % | 1,059.00 | 5.42 | 1,019.80 | 5.32 | |||||||||||||||||
Class R4† | 1,000 | 0.95 | % | 1,059.00 | 4.90 | 1,020.30 | 4.81 | |||||||||||||||||
Class R3† | 1,000 | 1.20 | % | 1,058.20 | 6.19 | 1,019.10 | 6.07 | |||||||||||||||||
Small Cap Opportunities Fund | ||||||||||||||||||||||||
Class I† | 1,000 | 0.66 | % | 959.30 | 3.24 | 1,021.80 | 3.35 | |||||||||||||||||
Class R5 | 1,000 | 0.76 | % | 958.70 | 3.73 | 1,021.30 | 3.85 | |||||||||||||||||
Service Class | 1,000 | 0.86 | % | 958.10 | 4.22 | 1,020.80 | 4.36 | |||||||||||||||||
Administrative Class | 1,000 | 0.96 | % | 957.80 | 4.71 | 1,020.30 | 4.86 | |||||||||||||||||
Class A | 1,000 | 1.21 | % | 956.00 | 5.93 | 1,019.00 | 6.12 | |||||||||||||||||
Class R4† | 1,000 | 1.11 | % | 956.60 | 5.44 | 1,019.50 | 5.62 | |||||||||||||||||
Class R3† | 1,000 | 1.36 | % | 955.40 | 6.67 | 1,018.20 | 6.88 | |||||||||||||||||
Global Fund | ||||||||||||||||||||||||
Class I† | 1,000 | 0.84 | % | 1,017.50 | 4.25 | 1,020.90 | 4.26 | |||||||||||||||||
Class R5 | 1,000 | 0.94 | % | 1,017.50 | 4.75 | 1,020.40 | 4.76 | |||||||||||||||||
Service Class | 1,000 | 1.04 | % | 1,016.90 | 5.26 | 1,019.90 | 5.27 | |||||||||||||||||
Administrative Class | 1,000 | 1.14 | % | 1,016.20 | 5.76 | 1,019.40 | 5.77 | |||||||||||||||||
Class A | 1,000 | 1.39 | % | 1,015.00 | 7.02 | 1,018.10 | 7.03 | |||||||||||||||||
Class R4† | 1,000 | 1.29 | % | 1,015.60 | 6.52 | 1,018.60 | 6.53 | |||||||||||||||||
Class R3 | 1,000 | 1.54 | % | 1,014.20 | 7.78 | 1,017.30 | 7.79 | |||||||||||||||||
International Equity Fund | ||||||||||||||||||||||||
Class I† | 1,000 | 0.96 | % | 930.20 | 4.65 | 1,020.30 | 4.86 | |||||||||||||||||
Class R5 | 1,000 | 1.06 | % | 929.50 | 5.13 | 1,019.80 | 5.37 | |||||||||||||||||
Service Class | 1,000 | 1.16 | % | 928.80 | 5.61 | 1,019.30 | 5.87 | |||||||||||||||||
Administrative Class | 1,000 | 1.26 | % | 928.40 | 6.09 | 1,018.80 | 6.38 | |||||||||||||||||
Class A | 1,000 | 1.51 | % | 927.50 | 7.30 | 1,017.50 | 7.64 | |||||||||||||||||
Class R4† | 1,000 | 1.41 | % | 927.50 | 6.81 | 1,018.00 | 7.13 | |||||||||||||||||
Class R3† | 1,000 | 1.66 | % | 926.80 | 8.02 | 1,016.70 | 8.39 |
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Other Information (Unaudited) (Continued)
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Focused International Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.95 | % | $ | 982.50 | $ | 4.72 | $ | 1,020.30 | $ | 4.81 | ||||||||||||
Class R5 | 1,000 | 1.05 | % | 982.60 | 5.22 | 1,019.80 | 5.32 | |||||||||||||||||
Service Class | 1,000 | 1.15 | % | 980.90 | 5.71 | 1,019.30 | 5.82 | |||||||||||||||||
Administrative Class | 1,000 | 1.25 | % | 981.00 | 6.21 | 1,018.80 | 6.33 | |||||||||||||||||
Class A | 1,000 | 1.50 | % | 980.10 | 7.45 | 1,017.50 | 7.59 | |||||||||||||||||
Class R4† | 1,000 | 1.40 | % | 980.90 | 6.95 | 1,018.00 | 7.08 | |||||||||||||||||
Class R3 | 1,000 | 1.65 | % | 979.80 | 8.19 | 1,016.80 | 8.34 | |||||||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||||||||||
Class I | 1,000 | 1.05 | % | 1,037.70 | 5.36 | 1,019.80 | 5.32 | |||||||||||||||||
Class R5 | 1,000 | 1.15 | % | 1,037.30 | 5.87 | 1,019.30 | 5.82 | |||||||||||||||||
Service Class | 1,000 | 1.25 | % | 1,036.90 | 6.38 | 1,018.80 | 6.33 | |||||||||||||||||
Administrative Class | 1,000 | 1.35 | % | 1,035.80 | 6.89 | 1,018.30 | 6.83 | |||||||||||||||||
Class A | 1,000 | 1.60 | % | 1,034.40 | 8.16 | 1,017.00 | 8.09 | |||||||||||||||||
Class R4† | 1,000 | 1.50 | % | 1,035.20 | 7.65 | 1,017.50 | 7.59 | |||||||||||||||||
Class R3† | 1,000 | 1.75 | % | 1,033.50 | 8.92 | 1,016.30 | 8.85 |
* | Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2014, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise. |
† | Class commenced operations on April 1, 2014. |
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Underwriter:
MML Distributors, LLC
100 Bright Meadow Boulevard
Enfield, CT 06082-1981
November 28, 2014
©2014 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) [of which Retirement Services is a division] and its affiliated companies and sales representatives. Investment Adviser: MML Investment Advisers, LLC | RS-35127-00 |
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MassMutual Barings Dynamic Allocation Fund. Investors should consider the 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.
Table of Contents
MassMutual Barings Dynamic Allocation Fund – President’s Letter to Shareholders (Unaudited)
To Our Shareholders
Eric Wietsma
“We believe one of the most effective ways you can plan for the kind of retirement you want is to understand your goals and have a long-term plan that takes into consideration how comfortable you are with the market’s ups and downs and how long you have to save and invest before you begin withdrawing your money.”
September 30, 2014
I am pleased to present you with the MassMutual Barings Dynamic Allocation Fund Annual Report, covering the year ended September 30, 2014. It was an eventful year in the financial markets and in the world. Investors drove U.S. stocks higher, with stocks of midsize and large companies substantially outperforming small-company shares. Stocks of foreign companies from both developed and emerging markets enjoyed positive returns, but were unable to keep pace with most categories of U.S. equities. Bonds advanced, but mainly underperformed equities during the year. New and ongoing conflicts across the globe made headlines and contributed to the creation of choppy markets at different points during the year, and the Federal Reserve began the process of winding down “Quantitative Easing,” the central bank’s multi-year program focused on stimulating economic growth through bond purchases.
The occasional periods of volatility that occurred during the year ended September 30, 2014 can serve as solid reminders that financial markets are unpredictable and can change direction quickly. We believe investors should maintain appropriate perspective during periods of strong investment performance as well as when markets are struggling. Our view is that retirement investors who follow certain investment guidelines, such as the ones below, have a greater chance of reaching their retirement income goals.
Investment concepts to keep in mind
Time can be your ally
For most people, investing for retirement occurs over many decades. While retirement investors often know that the financial markets will be volatile from time to time, seasoned investors tend to understand taking a long-term approach can help them navigate the market’s downturns, leverage its upturns, and successfully grow their account balances in an effort to reach their retirement income goals.
Contribute as much as you can
While it is impossible to control your investments’ performance, you can control how often and how much you save. Contributing to your retirement account on a regular basis and increasing your contribution level as often as you are able, may be one way to help you realize your long-term investment objectives.
Monitor your asset allocation and diversify
Stocks, bonds, and short-term/money market investments are investment types that typically behave differently depending upon the economic and market environment. Each of these categories contains an even greater array of sub-categories, such as small-cap stocks, international stocks, and high-yield bonds. Many financial professionals believe that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing investment types by maintaining a portfolio that includes a mix of investment types and sub-categories.
(Continued)
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MassMutual Barings Dynamic Allocation Fund – President’s Letter to Shareholders (Unaudited) (Continued)
Who Matters Most
MassMutual believes “Who Matters Most to You Says the Most About You.” At MassMutual, our customers – and their dreams for the future – matter most to us. That is why we are devoted to helping you make the right moves today to prepare for the kind of retirement that you envision – a retirement you can enjoy on your terms. We believe one of the most effective ways you can plan for the kind of retirement you want is to understand your goals and have a long-term plan that takes into consideration how comfortable you are with the market’s ups and downs and how long you have to save and invest before you begin withdrawing your money. If you work with a financial professional, this may be an excellent time to contact him or her for assistance in reviewing your personal retirement investment strategy and making any adjustments that may be appropriate. Thank you for your trust in MassMutual.
Sincerely,
President
The information provided is the opinion of MassMutual Retirement Services Investments Marketing as of 10/1/14 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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MassMutual Barings Dynamic Allocation Fund – Economic and Market Overview (Unaudited)
September 30, 2014
Stocks offer a range of positive returns in an eventful environment
Major stock indexes across the globe advanced for the year ended September 30, 2014, and investors navigated periods of increased volatility and a variety of challenges to the financial markets in an environment that included a government shutdown and other political action over federal spending, geopolitical conflicts in Eastern Europe and the Middle East, reductions in the Federal Reserve’s (the “Fed”) Quantitative Easing program (“QE”), and weak economic data from Europe and the Far East. In the U.S., ongoing improvement in employment, corporate profitability, and other key economic data – including a mid-cycle rebound in gross domestic product (“GDP”) – helped bolster stock prices.
The Fed maintained the amount of longer-dated U.S. Treasury and mortgage-backed bond purchases in QE at a total of $85 billion a month throughout 2013 before beginning the process of “tapering” the central bank’s monthly investment to $75 billion in January 2014. The Fed’s monthly reduction of bond purchases proceeded systematically in additional $10 billion increments thereafter during 2014, and the central bank indicated an expected end to the program in October 2014. The commencement of QE tapering roiled markets somewhat in late fourth-quarter 2013 and early first-quarter 2014, but investors ultimately seemed to accept the end of the program as inevitable and the reductions became less of a factor in market movements as the year progressed. The central bank also helped keep short-term interest rates at historically low levels by continuing the federal funds rate at 0.0% to 0.25% – the level the rate has occupied since December 2008. The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight. The Fed reassured investors following the central bank’s September 2014 meeting that short-term interest rates would remain low for a “considerable time” after the end of QE.
Investor concerns about economic growth in foreign markets and its impact on the U.S. contributed to volatility in the price of oil, which started the period on October 1, 2013 at more than $102 per barrel, went to $91.36 in January, peaked at nearly $108 in June and finished at $91.17 on September 30, 2014. U.S. retail gasoline prices declined to as low as $3.34 per gallon in early November 2013, but advanced in the spring and summer of 2014. Gas prices hit a peak of nearly $3.79 per gallon in late April 2014 and hovered in the $3.74 to $3.78 range until late June before declining steadily to $3.43 at the end of September, when drivers once again got some relief at the pumps. Gold prices also gyrated, dropping to less than $1,203 per ounce in mid-December 2013, cresting to $1,382 in mid-March 2014, and closing at $1,208.70 at the end of September 2014.
Market performance
U.S. stocks generally outperformed their foreign counterparts during the year ended September 30, 2014, with the notable exception of U.S. small-cap stocks, which failed to keep pace with U.S. mid- and large-cap stocks, and generated returns more in line with foreign developed and emerging markets. The major technology stock benchmark in the U.S., the NASDAQ Composite® Index, returned 20.61% for the year and led all U.S. broad market indexes. The S&P 500® Index of large-capitalization U.S. stocks posted a 19.73% advance and the blue-chip Dow Jones Industrial AverageSM rose 15.29%, with both benchmarks hitting new all-time highs. The Russell 2000® Index of small-capitalization stocks underperformed larger-cap counterparts, but still advanced 3.93%. The MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, rose 4.30% for the year and edged out the MSCI® EAFE® Index, a barometer for foreign stocks in developed markets, which gained 4.25%.
Bonds advanced, but mainly underperformed equities during the year, with the Barclays U.S. Aggregate Bond Index, a broad measure of the U.S. investment-grade bond markets, rising 3.96%. Unrelenting low interest rates continued to take their toll, and shorter-term debt investments barely managed to stay in positive territory. In this environment, the Barclays U.S. 1-3 Year Government Bond Index, which measures the performance of short-term U.S. government bonds, returned just 0.52%; and Treasury bills, as measured by the Citigroup 3-Month Treasury Bill Index, gained only 0.04%. Investors sought the higher returns offered by high-yield bonds, which helped the Barclays U.S. Corporate High-Yield Index, a measure of the performance of fixed-rate, non-investment-grade debt from corporate sectors, advance 7.20% for the year.*
Q4 2013: Stocks power ahead through government shutdown, prospective Fed tapering
Investors largely stood their ground through the political fiscal wrangling and potential Fed actions, and U.S. stocks notched impressive gains in the fourth quarter of 2013. In the midst of a budget crisis that had shut down most functions of the federal
* | Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment. |
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MassMutual Barings Dynamic Allocation Fund – Economic and Market Overview (Unaudited) (Continued)
government, Congress approved a measure 16 days into the shutdown that provided funding for the government until mid-January, along with a temporary extension of the U.S. debt ceiling until February 7, 2014. President Obama signed the bill into law in the early hours of October 17, and most federal workers returned to work that same day. The move alleviated fears that the nation would not pay its bills and ended the shutdown, which had been in effect since October 1. The stock market responded with strong gains during the month of October, and the momentum carried over into November, bolstered by upward revisions to economic growth figures, improved consumer confidence, and a reduction in a key interest rate by the European Central Bank (“ECB”), which also sent European equities higher. Bonds changed little for the quarter.
In December, equities rose, but the results did not come easily. The major equity market indexes experienced losses in the first two weeks of the month, reflecting investor concerns that the market might be overpriced and lingering questions about the Fed’s timeline for the tapering of QE. In fact, the S&P 500’s decline of 1.6% in the second week of December was its worst weekly performance since August. Sentiment improved in the third week of the month, as the market received clear communication from the Fed of its plans to reduce its bond purchases and, more importantly, its commitment to keep short-term rates very low as it does so.
Stocks in the U.S. also rose during the latter part of December following the passage of a two-year budget agreement that appeared to reduce the risk of another government shutdown, which represented a welcome departure from the political brinksmanship that has characterized most Congressional budget debates over the past few years. A sizable upward revision in the government’s December 20 release of estimated third-quarter economic growth to a healthy 4.1% from 3.6% was another positive catalyst.
Q1 2014: Stocks suffer early losses, then recover
U.S. stocks ended the first quarter of 2014 with only minimal changes, as a sell-off early in the quarter gave way to a recovery that more than offset previous losses in most cases. The decline was relatively brief and confined to a two-week stretch in late January and the beginning of February. A weak December 2013 employment report, concerns about emerging markets, and the Fed’s ongoing downsizing of QE were all factors weighing on share prices. Worries about emerging markets eased, however, and enabled stocks to embark on a recovery. Resurgent concerns over slowing U.S. economic growth and a flight to quality due to emerging-market volatility helped drive up prices of U.S. Treasury securities. Reassuring comments from new U.S. Federal Reserve Chair Janet Yellen, the first woman to lead the Fed who replaced Ben Bernanke at the end of January, also helped bolster the market.
The federal government’s fiscal woes eased a bit in the first quarter. On February 15, President Obama signed legislation extending the federal debt ceiling through March 2015. In doing so, he removed a cause for concern that the government might not be able to pay its bills or could possibly shut down again.
One factor keeping investors on edge during the quarter was turmoil in Ukraine, specifically the country’s Crimea region, which has been governed as an independent republic since 1992 and is home to many pro-Russian sympathizers. On March 16, a referendum in Crimea yielded the decision to become part of Russia, a move not recognized by the West. Russia’s support of this referendum, together with the build-up of Russian troops along the Russia/Ukraine border, triggered economic sanctions against Russia by Western nations, including the United States. The political upheaval did little to bolster the market later in the quarter, but did not really do significant damage to stock prices. Consequently, most broad equity benchmarks ended the quarter only modestly below their all-time highs.
Q2 2014: Stocks continue their record-setting pace
Stocks of U.S. and foreign companies overcame a brief and relatively mild sell-off during the first half of April to surge into fresh high ground in the second quarter of 2014, as an ongoing global economic recovery, receding concerns about Ukraine, and stimulative monetary policy from central banks provided a supportive backdrop for equity prices. Stocks’ solid second quarter followed a shaky first quarter in which performance was much more muted. In the fixed-income market, yields of longer-term U.S. Treasury securities declined during April and May before recovering somewhat in June. Weak U.S. economic growth in the first quarter, which was initially estimated at just 0.1% and was subsequently revised much lower – making it the first negative reading in three years – helped drive the April drop.
The ECB provided a boost for the markets in early June, when ECB President Mario Draghi announced reductions in the central bank’s key interest rates. Notably, the ECB’s deposit rate turned negative for the first time, in essence charging euro zone banks
4
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MassMutual Barings Dynamic Allocation Fund – Economic and Market Overview (Unaudited) (Continued)
for parking funds with the central bank. The ECB also introduced a fresh series of low-cost loans to banks in an effort to jump-start lending. These moves helped lift the performance of stocks in the United States, Europe, and Japan, as well as in emerging markets.
Global stock prices also reacted favorably to remarks coming out of the Fed meeting on June 18, at which the Fed stated the central bank would continue to reduce the amount of the central bank’s monthly bond purchases and reaffirmed its intention to keep short-term interest rates near zero in an ongoing effort to incentivize job creation and economic growth.
Energy stocks rose during the quarter, spurred by concerns about potential disruptions in Iraq’s oil production amid widespread terrorist activity by the Islamic State in Iraq and Syria (“ISIS”), a radical Sunni group.
Q3 2014: Gains narrow as concerns increase about global growth
Large-capitalization U.S. stocks overcame negative markets in July and September to finish the third quarter of 2014 with modest upside progress. However, shares of small and mid-size U.S. companies, foreign stocks from developed and emerging markets, and high-yield bonds struggled, as investors took a more risk-averse approach. Bonds were basically flat for the quarter.
Trouble overseas was one reason for increased investor caution in the market. At the end of July, U.S. stocks suffered a sharp one-day decline after Argentina effectively defaulted on its bonds for the second time in 13 years. Around the same time, the share price of Banco Espirito Santo, Portugal’s largest bank, plunged after it reported a huge $4.8 billion first-half loss that wiped out the bank’s capital cushion and forced it to seek new funding.
In Eastern Europe, the standoff between Ukraine and Russia intensified. In the Middle East, there was a resurgence of the conflict between Israel and Hamas, and the threat of ISIS continued to grow.
Despite these developments, the negative impact on U.S. markets was relatively fleeting, as investor sentiment was buoyed by encouraging news about the U.S. economy. Data reported at the end of July showed that GDP, a broad measure of economic activity, advanced a robust 4.0% in the second quarter after contracting 2.1% in a first quarter hampered by severe winter weather. At the end of September, that second-quarter figure was revised up to 4.6%.
Healthy U.S. economic growth stood in stark contrast to the euro zone, where second-quarter economic activity was stagnant, and Japan, whose economy contracted sharply in the second quarter, according to data that became available in the third quarter. This discrepancy among developed nations helped trigger a significant rally in the U.S. dollar, which depressed the dollar-denominated returns of foreign markets.
As October 2014 began, investors appeared to focus on the factors likely to impact the markets in the year ahead, with the November mid-term elections and their potential to change the balance of power in Washington, continued economic malaise in large economies across the globe, and unsettling developments with regard to ISIS and Ebola at the top of most lists. Investors will also likely keep an eye out for continued economic growth here at home and improvement abroad to help create a favorable environment for stocks and bonds in the year ahead.
The information provided is the opinion of MassMutual Retirement Services Investment Services as of 10/1/14 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.
5
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MassMutual Barings Dynamic Allocation Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MassMutual Barings Dynamic Allocation Fund, and who is the Fund’s subadviser?
The Fund seeks positive total real return by investing across different asset classes. The Fund invests primarily in individual securities, exchange-traded Funds (“ETFs”), and derivatives. The Fund’s subadviser is Baring International Investment Limited (Baring).
How did the Fund perform during the 12 months ended September 30, 2014?
The Fund’s Class R5 shares returned 8.15%, underperforming the 12.20% return of the Morgan Stanley Capital International (“MSCI”) World IndexSM (the “benchmark”), an unmanaged index of issuers listed on the stock exchanges of 20 foreign countries and the U.S. Conversely, the Fund’s Class R5 shares’ 8.15% return outperformed the 2.62% return of the Consumer Price Index for All Urban Consumers (CPI-U), a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2014, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2014, the Fund’s fixed-income and emerging-market equity holdings detracted from performance. The Fund held a small position in commodities at the beginning of the year and initiated a small allocation to real estate held investments late in the period, both of which worked against performance. The Fund’s small investments in Brazilian, Russian, and Mexican bonds were detrimental, as were the Fund’s investments in gold and agriculture investments during the early part of the year. The Fund eliminated gold investments during the year, which proved to be a solid strategy when gold declined.
The Fund’s allocations to global equities and currencies were the primary drivers of positive performance during the year. The Fund’s sizable holdings in the broad U.S. equity market made the most substantial contribution, which was consistent with our view that the U.S. had the potential to lead in terms of global growth. The Fund eliminated holdings in European equities in July – before the summer’s downturn – which provided a relative benefit. The Fund’s positioning in specific sectors with rising corporate spending also helped drive returns, particularly technology and health care. Despite the generally negative impact of the Fund’s overall fixed-income component, developed-market bond holdings performed well, particularly the Fund’s positioning in U.S. corporate bonds and longer-dated U.S. Treasuries. In addition, select emerging-market bonds contributed positively to Fund performance for the year.
The Fund is permitted to use derivative instruments, which 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. Most derivatives are used for hedging, speculation, or both. Overall, the Fund’s derivative positions aided performance during the year.
6
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
From an asset-allocation perspective, we continue to favor stocks – particularly U.S. and Japanese equities – over bonds. Our view is the U.S. economic picture appears strongest among global equity markets – framed by what we believe is slow, steady revenue growth, with little by way of cost pressures. In Japan, the story is more focused on monetary policy and reform measures, which we believe have the potential to boost growth over the long term. This contrasts with our views on European equity markets, where we foresee the potential for continued weak economic growth and the possibility of little benefit from monetary policy measures.
In the fixed-income sector, we believe the high-yield market may be due for some volatility. If our view on the economic cycle is correct and defaults ultimately remain low, there could come a point at which time high-yield bonds could look attractive once again. We think certain segments of the emerging-market bond universe are more attractive, as the yield on these bonds could provide a decent cushion in both relative and absolute terms.
MassMutual Barings Dynamic Allocation Fund Portfolio Characteristics (% of Net Assets) on 9/30/14 | ||||
Mutual Funds* | 70.1 | % | ||
Bonds & Notes | 16.9 | % | ||
|
| |||
Total Long-Term Investments | 87.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 13.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
*Category includes ETFs.
7
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Barings Dynamic Allocation Fund Class I, Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), the MSCI World Index, and the CPI-U.
TOTAL RETURN | One Year 10/1/13 - 9/30/14 | Since Inception Average Annual 11/28/11 - 9/30/14 | ||||||
Class I | 8.24% | 7.98% | ||||||
Class R5 | 8.15% | 7.87% | ||||||
Service Class | 8.15% | 7.76% | ||||||
Administrative Class | 8.01% | 7.65% | ||||||
Class A | 7.71% | 7.39% | ||||||
Class A (sales load deducted)* | 1.51% | 5.18% | ||||||
MSCI World Index# | 12.20% | 19.13% | ||||||
CPI-U | 2.62% | 2.15%+ |
Hypothetical Investments in MassMutual Barings Dynamic Allocation Fund Class R4, Class R3, the MSCI World Index, and the CPI-U.
TOTAL RETURN | Since 9/30/14 | |||
Class R4 | 2.95% | |||
Class R3 | 2.85% | |||
MSCI World Index# | 2.59% | |||
CPI-U | 0.74% |
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
# Benchmark.
+ From 12/1/11.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI World Index and the CPI-U are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these consolidated financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
8
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Consolidated Portfolio of Investments
September 30, 2014
Principal Amount | Value | |||||||
BONDS & NOTES — 16.9% | ||||||||
SOVEREIGN DEBT OBLIGATIONS — 4.6% | ||||||||
Brazil Notas do Tesouro Nacional, | 544,000 | $ | 212,723 | |||||
Mexican Bonos MXN (a) | 1,987,600 | 167,614 | ||||||
Mexican Bonos MXN (a) | 1,330,000 | 116,980 | ||||||
United Mexican States MXN (a) | 640,000 | 61,530 | ||||||
|
| |||||||
558,847 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $613,210) | 558,847 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 12.3% | ||||||||
U.S. Treasury Bonds & Notes — 12.3% | ||||||||
U.S. Treasury Note | $ | 189,900 | 188,948 | |||||
U.S. Treasury Note | 1,030,200 | 1,054,436 | ||||||
U.S. Treasury Note | 235,300 | 254,255 | ||||||
|
| |||||||
1,497,639 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,486,635) | 1,497,639 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $2,099,845) | 2,056,486 | |||||||
|
| |||||||
Number of Shares | ||||||||
MUTUAL FUNDS — 70.1% | ||||||||
Diversified Financial — 70.1% | ||||||||
iShares China Large-Cap ETF | 2,982 | 114,151 | ||||||
iShares Global Materials ETF | 3,755 | 224,887 | ||||||
iShares Global Tech ETF | 10,980 | 1,003,462 | ||||||
iShares MSCI Japan Index Fund | 123,576 | 1,454,490 | ||||||
iShares MSCI South Korea Capped Index Fund | 7,735 | 468,045 | ||||||
iShares MSCI Taiwan Index Fund | 41,271 | 630,208 | ||||||
iShares MSCI United Kingdom ETF | 24,036 | 465,818 | ||||||
iShares S&P Global Healthcare Sector Index Fund | 9,720 | 949,644 | ||||||
iShares S&P Global Industrials Sector Index Fund | 7,507 | 526,015 | ||||||
SPDR S&P 500 ETF Trust | 7,897 | 1,555,867 |
Number of Shares | Value | |||||||
Vanguard Financials ETF | 8,121 | $ | 377,058 | |||||
Vanguard Information Technology ETF | 3,126 | 312,850 | ||||||
Vanguard REIT ETF | 6,417 | 461,061 | ||||||
|
| |||||||
8,543,556 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $8,192,524) | 8,543,556 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $10,292,369) | 10,600,042 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 12.3% | ||||||||
Repurchase Agreement — 8.6% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/14, 0.010%, due 10/01/14 (b) | $ | 1,052,025 | 1,052,025 | |||||
|
| |||||||
Time Deposits — 0.4% | ||||||||
Euro Time Deposit | 48,162 | 48,162 | ||||||
|
| |||||||
U.S. Treasury Bills — 3.3% | ||||||||
U.S. Treasury Bill | 405,700 | 405,643 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,505,830) | 1,505,830 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.3% (Cost $11,798,199) (c) | 12,105,872 | |||||||
Other Assets/(Liabilities) — 0.7% | 82,885 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 12,188,757 | ||||||
|
|
Notes to Consolidated Portfolio of Investments
BRL | Brazilian Real |
ETF | Exchange-Traded Fund |
MXN | Mexican Peso |
(a) | The principal amount of the security is in foreign currency. The market value is in U.S. dollars. |
(b) | Maturity value of $1,052,026. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity dates of 5/15/40, and an aggregate market value, including accrued interest, of $1,075,354. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the consolidated financial statements.
9
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Consolidated Financial Statements
Consolidated Statement of Assets and Liabilities
September 30, 2014
Assets: | ||||
Investments, at value (Note 2) (a) | $ | 10,600,042 | ||
Short-term investments, at value (Note 2) (b) | 1,505,830 | |||
|
| |||
Total investments | 12,105,872 | |||
|
| |||
Receivables from: | ||||
Open forward foreign currency contracts (Note 2) | 81,739 | |||
Investment adviser (Note 3) | 16,615 | |||
Interest and dividends | 30,760 | |||
Prepaid expenses | 17,917 | |||
|
| |||
Total assets | 12,252,903 | |||
|
| |||
Liabilities: | ||||
Payables for: | ||||
Open forward foreign currency contracts (Note 2) | 9,418 | |||
Fund shares repurchased | 1,309 | |||
Trustees’ fees and expenses (Note 3) | 1,499 | |||
Affiliates (Note 3): | ||||
Investment advisory fees | 11,985 | |||
Administration fees | 7,976 | |||
Service fees | 921 | |||
Shareholder service fees | 469 | |||
Distribution fees | 65 | |||
Accrued expense and other liabilities | 30,504 | |||
|
| |||
Total liabilities | 64,146 | |||
|
| |||
Net assets | $ | 12,188,757 | ||
|
| |||
Net assets consist of: | ||||
Paid-in capital | $ | 9,792,759 | ||
Undistributed (accumulated) net investment income (loss) | 416,438 | |||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 1,599,799 | |||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 379,761 | |||
|
| |||
Net assets | $ | 12,188,757 | ||
|
| |||
(a) Cost of investments: | $ | 10,292,369 | ||
(b) Cost of short-term investments: | $ | 1,505,830 |
The accompanying notes are an integral part of the consolidated financial statements.
10
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Consolidated Financial Statements (Continued)
Consolidated Statement of Assets and Liabilities
September 30, 2014
Class I shares: | ||||
Net assets | $ | 3,927,884 | ||
|
| |||
Shares outstanding (a) | 350,011 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 11.22 | ||
|
| |||
Class R5 shares: | ||||
Net assets | $ | 4,343,052 | ||
|
| |||
Shares outstanding (a) | 387,293 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 11.21 | ||
|
| |||
Service Class shares: | ||||
Net assets | $ | 1,242,990 | ||
|
| |||
Shares outstanding (a) | 111,106 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 11.19 | ||
|
| |||
Administrative Class shares: | ||||
Net assets | $ | 1,233,180 | ||
|
| |||
Shares outstanding (a) | 110,243 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 11.19 | ||
|
| |||
Class A shares: | ||||
Net assets | $ | 1,235,860 | ||
|
| |||
Shares outstanding (a) | 110,620 | |||
|
| |||
Net asset value and redemption price per share | $ | 11.17 | ||
|
| |||
Offering price per share (100/[100-maximum sales charge] of net asset value) | $ | 11.85 | ||
|
| |||
Class R4 shares: | ||||
Net assets | $ | 102,960 | ||
|
| |||
Shares outstanding (a) | 9,208 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 11.18 | ||
|
| |||
Class R3 shares: | ||||
Net assets | $ | 102,831 | ||
|
| |||
Shares outstanding (a) | 9,208 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 11.17 | ||
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the consolidated financial statements.
11
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Consolidated Financial Statements (Continued)
Consolidated Statement of Operations
For the Year Ended September 30, 2014
Investment income (Note 2): | ||||
Dividends | $ | 368,432 | ||
Interest | 130,750 | |||
Securities lending net income | 73,239 | |||
|
| |||
Total investment income | 572,421 | |||
|
| |||
Expenses (Note 3): | ||||
Investment advisory fees | 172,669 | |||
Custody fees | 2,875 | |||
Audit fees | 62,290 | |||
Legal fees | 2,718 | |||
Proxy fees | 1,028 | |||
Shareholder reporting fees | 14,495 | |||
Trustees’ fees | 1,573 | |||
Registration and filing fees | 4,395 | |||
Transfer agent fees | 1,500 | |||
Subsidiary administration fees | 29,795 | |||
|
| |||
293,338 | ||||
Administration fees: | ||||
Class I | 13,549 | |||
Class R5 | 10,035 | |||
Service Class | 13,392 | |||
Administrative Class | 6,065 | |||
Class A | 4,520 | |||
Class R4* | 231 | |||
Class R3* | 231 | |||
Distribution fees: | ||||
Class R3* | 128 | |||
Service fees: | ||||
Class A | 3,013 | |||
Class R4* | 129 | |||
Class R3* | 128 | |||
Shareholder service fees: | ||||
Service Class | 1,091 | |||
Administrative Class | 1,175 | |||
Class A | 926 | |||
|
| |||
Total expenses | 347,951 | |||
Expenses waived (Note 3): | ||||
Class I fees reimbursed by adviser | (19,815 | ) | ||
Class R5 fees reimbursed by adviser | (8,838 | ) | ||
Service Class fees reimbursed by adviser | (8,801 | ) | ||
Administrative Class fees reimbursed by adviser | (3,239 | ) | ||
Class A fees reimbursed by adviser | (3,047 | ) | ||
Class R4 fees reimbursed by adviser* | (177 | ) | ||
Class R3 fees reimbursed by adviser* | (177 | ) | ||
Subsidiary expenses waived (Note 3) | (60,192 | ) | ||
|
| |||
Net expenses | 243,665 | |||
|
| |||
Net investment income (loss) | 328,756 | |||
|
| |||
Realized and unrealized gain (loss): | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 1,999,174 | |||
Foreign currency transactions | (38,339 | ) | ||
|
| |||
Net realized gain (loss) | 1,960,835 | |||
|
|
* | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the consolidated financial statements.
12
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Consolidated Financial Statements (Continued)
Consolidated Statement of Operations
For the Year Ended September 30, 2014
Net change in unrealized appreciation (depreciation) on: | ||||
Investment transactions | $ | (709,210 | ) | |
Translation of assets and liabilities in foreign currencies | 280,706 | |||
|
| |||
Net change in unrealized appreciation (depreciation) | (428,504 | ) | ||
|
| |||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 1,532,331 | |||
|
| |||
Net increase (decrease) in net assets resulting from operations | $ | 1,861,087 | ||
|
|
The accompanying notes are an integral part of the consolidated financial statements.
13
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Consolidated Financial Statements (Continued)
Consolidated Statements of Changes in Net Assets
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 328,756 | $ | 259,172 | ||||
Net realized gain (loss) on investment transactions | 1,960,835 | 1,086,959 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (428,504 | ) | 36,419 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 1,861,087 | 1,382,550 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (154,810 | ) | (93,058 | ) | ||||
Class R5 | (58,658 | ) | (38,621 | ) | ||||
Service Class | (56,701 | ) | (35,546 | ) | ||||
Administrative Class | (20,152 | ) | (13,658 | ) | ||||
Class A | (11,974 | ) | (6,501 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (302,295 | ) | (187,384 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (650,910 | ) | (56,983 | ) | ||||
Class R5 | (261,550 | ) | (25,960 | ) | ||||
Service Class | (270,944 | ) | (24,088 | ) | ||||
Administrative Class | (106,883 | ) | (11,023 | ) | ||||
Class A | (75,009 | ) | (7,750 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (1,365,296 | ) | (125,804 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | (7,615,138 | ) | 7,233,661 | |||||
Class R5 | 320,208 | 64,581 | ||||||
Service Class | (2,946,446 | ) | 531,175 | |||||
Administrative Class | (415,087 | ) | (34,929 | ) | ||||
Class A | 96,983 | (28,321 | ) | |||||
Class R4* | 100,000 | - | ||||||
Class R3* | 100,000 | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (10,359,480 | ) | 7,766,167 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (10,165,984 | ) | 8,835,529 | |||||
Net assets | ||||||||
Beginning of year | 22,354,741 | 13,519,212 | ||||||
|
|
|
| |||||
End of year | $ | 12,188,757 | $ | 22,354,741 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 416,438 | $ | 369,230 | ||||
|
|
|
|
* | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the consolidated financial statements.
14
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Consolidated Financial Statements (Continued)
Consolidated Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations: | Less distributions to shareholders: | Ratios / Supplemental Data: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of period | Total Return1,m | Net assets, end of period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waivers j | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.24 | $ | 0.18 | $ | 0.70 | $ | 0.88 | $ | (0.17 | ) | $ | (0.73 | ) | $ | (0.90 | ) | $ | 11.22 | 8.24% | $ | 3,928 | 1.49% | 1.02% | 1.61% | |||||||||||||||||||||||||||
09/30/13 | 10.62 | 0.16 | 0.65 | 0.81 | (0.12 | ) | (0.07 | ) | (0.19 | ) | 11.24 | 7.90% | 11,420 | 1.63% | 1.02% | 1.42% | ||||||||||||||||||||||||||||||||||||
09/30/12g | 10.00 | 0.11 | 0.55 | 0.66 | (0.04 | ) | - | (0.04 | ) | 10.62 | 6.51% | b | 3,716 | 3.16% | a | 1.02% | a | 1.31% | a | |||||||||||||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.23 | $ | 0.18 | $ | 0.69 | $ | 0.87 | $ | (0.16 | ) | $ | (0.73 | ) | $ | (0.89 | ) | $ | 11.21 | 8.15% | $ | 4,343 | 1.62% | 1.12% | 1.60% | |||||||||||||||||||||||||||
09/30/13 | 10.61 | 0.15 | 0.65 | 0.80 | (0.11 | ) | (0.07 | ) | (0.18 | ) | 11.23 | 7.70% | 4,013 | 1.72% | 1.11% | 1.35% | ||||||||||||||||||||||||||||||||||||
09/30/12g | 10.00 | 0.11 | 0.54 | 0.65 | (0.04 | ) | - | (0.04 | ) | 10.61 | 6.50% | b | 3,727 | 3.25% | a | 1.11% | a | 1.22% | a | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.20 | $ | 0.16 | $ | 0.71 | $ | 0.87 | $ | (0.15 | ) | $ | (0.73 | ) | $ | (0.88 | ) | $ | 11.19 | 8.15% | $ | 1,243 | 1.69% | 1.22% | 1.41% | |||||||||||||||||||||||||||
09/30/13 | 10.60 | 0.13 | 0.65 | 0.78 | (0.11 | ) | (0.07 | ) | (0.18 | ) | 11.20 | 7.50% | 4,149 | 1.82% | 1.21% | 1.21% | ||||||||||||||||||||||||||||||||||||
09/30/12g | 10.00 | 0.09 | 0.55 | 0.64 | (0.04 | ) | - | (0.04 | ) | 10.60 | 6.39% | b | 3,395 | 3.35% | a | 1.21% | a | 1.00% | a | |||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.20 | $ | 0.16 | $ | 0.70 | $ | 0.86 | $ | (0.14 | ) | $ | (0.73 | ) | $ | (0.87 | ) | $ | 11.19 | 8.01% | $ | 1,233 | 1.82% | 1.33% | 1.43% | |||||||||||||||||||||||||||
09/30/13 | 10.59 | 0.12 | 0.65 | 0.77 | (0.09 | ) | (0.07 | ) | (0.16 | ) | 11.20 | 7.43% | 1,636 | 1.95% | 1.34% | 1.11% | ||||||||||||||||||||||||||||||||||||
09/30/12g | 10.00 | 0.08 | 0.55 | 0.63 | (0.04 | ) | - | (0.04 | ) | 10.59 | 6.28% | b | 1,579 | 3.48% | a | 1.34% | a | 0.96% | a | |||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14 | $ | 11.19 | $ | 0.13 | $ | 0.70 | $ | 0.83 | $ | (0.12 | ) | $ | (0.73 | ) | $ | (0.85 | ) | $ | 11.17 | 7.71% | $ | 1,236 | 2.09% | 1.54% | 1.18% | |||||||||||||||||||||||||||
09/30/13 | 10.57 | 0.10 | 0.65 | 0.75 | (0.06 | ) | (0.07 | ) | (0.13 | ) | 11.19 | 7.24% | 1,137 | 2.20% | 1.56% | 0.91% | ||||||||||||||||||||||||||||||||||||
09/30/12g | 10.00 | 0.06 | 0.54 | 0.60 | (0.03 | ) | - | (0.03 | ) | 10.57 | 6.05% | b | 1,102 | 3.73% | a | 1.59% | a | 0.74% | a | |||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14h | $ | 10.86 | $ | 0.07 | $ | 0.25 | $ | 0.32 | $ | - | $ | - | $ | - | $ | 11.18 | 2.95% | b | $ | 103 | 2.19% | a | 1.47% | a | 1.34% | a | ||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/14h | $ | 10.86 | $ | 0.06 | $ | 0.25 | $ | 0.31 | $ | - | $ | - | $ | - | $ | 11.17 | 2.85% | b | $ | 103 | 2.44% | a | 1.72% | a | 1.09% | a |
Year ended September 30 | Period ended September 30, 2012b,g | |||||||||||
2014 | 2013 | |||||||||||
Portfolio turnover rate | 83 | % | 123 | % | 91 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
g | For the period November 28, 2011 (commencement of operations) through September 30, 2012. |
h | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
The accompanying notes are an integral part of the consolidated financial statements.
15
Table of Contents
Notes to Consolidated Financial Statements
1. | The Fund |
MassMutual Premier Funds (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 August 1, 1994, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The MassMutual Barings Dynamic Allocation Fund (the “Fund”) is a series of the Trust.
Each share class of the 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 Fund’s Prospectus.
Effective April 1, 2014, Class Z shares were renamed Class I shares, Class S shares were renamed Class R5 shares, Class Y shares were renamed Service Class shares, and Class L shares were renamed Administrative Class shares.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by the Fund in the preparation of the consolidated financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the consolidated 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 consolidated financial statements. Actual results could differ from those estimates.
Basis of Consolidation
The accompanying consolidated financial statements for the Fund include the accounts of MassMutual Barings Cayman Dynamic Allocation Fund I, Ltd. (the “Subsidiary”), a wholly owned subsidiary of the Fund, which primarily invests in commodity-related investments consistent with the Fund’s investment objectives and policies as stated in its Prospectus and Statement of Additional Information. The Subsidiary allows the Fund to hold these commodity-related investments and still satisfy regulated investment company tax requirements. The Fund may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions have been eliminated. As of September 30, 2014, the Fund’s net assets were $12,188,757, of which $54,191 or 0.44%, represented the Fund’s ownership of the shares of the Subsidiary.
Investment Valuation
The net asset value of the 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.
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 for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market 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 (other than short-term obligations) 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. Short-term debt securities with remaining maturities of 60 days or less are valued at either amortized cost or at original cost plus accrued interest, whichever the Fund’s investment adviser determines more closely approximates current market value. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.
16
Table of Contents
Notes to Consolidated Financial Statements (Continued)
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, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Fund’s Valuation Committee1 in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Fund’s Valuation Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Fund’s Valuation Committee reports to the Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Fund to a significant extent. The value determined for an investment using the Fund’s 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 Fund may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Fund does not price its shares. As a result, the values of the Fund’s portfolio securities may change on days when the prices of the Fund’s shares are not calculated. The prices of the Fund’s shares will reflect any such changes when the prices of the Fund’s shares are next calculated, which is the next business day. The Fund 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 Fund values its 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 Fund’s 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 Fund calculates its 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.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of
1 | The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Fund’s pricing procedures in general. |
17
Table of Contents
Notes to Consolidated Financial Statements (Continued)
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 Fund can access at the measurement date
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Fund determines its net asset values.
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned key inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The following is the aggregate value by input level, as September 30, 2014, for the Fund’s investments:
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Sovereign Debt Obligations | $ | - | $ | 558,847 | $ | - | $ | 558,847 | ||||||||
U.S. Treasury Obligations | - | 1,497,639 | - | 1,497,639 | ||||||||||||
Mutual Funds | 8,543,556 | - | - | 8,543,556 | ||||||||||||
Short-Term Investments | - | 1,505,830 | - | 1,505,830 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 8,543,556 | $ | 3,562,316 | $ | - | $ | 12,105,872 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 81,739 | $ | - | $ | 81,739 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (9,418 | ) | $ | - | $ | (9,418 | ) | ||||||
|
|
|
|
|
|
|
|
18
Table of Contents
Notes to Consolidated Financial Statements (Continued)
The Fund had no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the year ended September 30, 2014. The Fund recognizes transfers between the Levels as of the beginning of the year.
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Fund may not be able to close out a derivative transaction at a favorable time or price. The Fund held derivatives during the year ended September 30, 2014. The following table shows how the Fund used these types of derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).
Type of Derivative and Objective for Use | ||
Foreign Currency Exchange Transactions* | ||
Hedging/Risk Management | A | |
Directional Exposures to Currencies | M |
* | Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable. |
At September 30, 2014, and during the year then ended, the Fund had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Foreign Exchange Risk | Total | |||||||
Asset Derivatives | ||||||||
Forward Contracts* | $ | 81,739 | $ | 81,739 | ||||
|
|
|
| |||||
Liability Derivatives | ||||||||
Forward Contracts^ | $ | (9,418 | ) | $ | (9,418 | ) | ||
|
|
|
| |||||
Realized Gain (Loss)# | ||||||||
Forward Contracts | $ | (25,380 | ) | $ | (25,380 | ) | ||
|
|
|
| |||||
Change in Appreciation (Depreciation)## | ||||||||
Forward Contracts | $ | 281,494 | $ | 281,494 | ||||
|
|
|
| |||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||
Forward Contracts | $ | 4,654,773 | $ | 4,654,773 | ||||
|
|
|
|
* | Consolidated Statement of Assets and Liabilities location: Receivables from: open forward foreign currency contracts. |
^ | Consolidated Statement of Assets and Liabilities location: Payables for: open forward foreign currency contracts. |
# | Consolidated Statement of Operations location: Amounts are included in net realized gain (loss) on: foreign currency transactions. |
## | Consolidated Statement of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: translation of assets and liabilities in foreign currencies. |
† | Amount(s) disclosed represent average notional amounts for forward contracts, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended September 30, 2014. |
Further details regarding the derivatives and other investments held by the Fund during the year ended September 30, 2014, are discussed below.
19
Table of Contents
Notes to Consolidated Financial Statements (Continued)
Foreign Currency Exchange Transactions
The Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.
The Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and the Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. The Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce the Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.
Whenever the Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If the Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that the Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.
Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Fund as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the 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 of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.
The Fund had the following open forward foreign currency contracts at September 30, 2014. The Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Contracts to Buy | ||||||||||||||||
GBP | 19,000 | Barclays Bank PLC | 10/02/14 | $ | 31,106 | $ | (305 | ) | ||||||||
GBP | 110,000 | Citibank N.A. | 10/02/14 | 185,155 | (6,828 | ) | ||||||||||
GBP | 236,000 | The Northern Trust Company | 10/02/14 | 382,731 | (139 | ) | ||||||||||
GBP | 380,000 | State Street Bank and Trust Co. | 10/02/14 | 618,183 | (2,146 | ) | ||||||||||
|
|
|
| |||||||||||||
$ | 1,217,175 | $ | (9,418 | ) | ||||||||||||
|
|
|
| |||||||||||||
Contracts to Deliver | ||||||||||||||||
GBP | 745,000 | Deutsche Bank AG | 10/02/14 | $ | 1,274,581 | $ | 66,824 | |||||||||
JPY | 157,640,000 | Deutsche Bank AG | 12/17/14 | 1,451,937 | 13,609 | |||||||||||
|
|
|
| |||||||||||||
2,726,518 | 80,433 | |||||||||||||||
|
|
|
| |||||||||||||
GBP | 332,000 | State Street Bank and Trust Co. | 12/17/14 | 539,170 | 1,306 | |||||||||||
|
|
|
| |||||||||||||
$ | 3,265,688 | $ | 81,739 | |||||||||||||
|
|
|
|
GBP British Pound
JPY Japanese Yen
20
Table of Contents
Notes to Consolidated Financial Statements (Continued)
Repurchase Agreements
The Fund may enter into repurchase agreements with certain banks and broker-dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The 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 the 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.
Securities Lending
The Fund may lend its securities to qualified brokers, under the terms of a master netting agreement. Securities lending cannot exceed 33% of the total assets of the Fund taken at current value.
The Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash or securities adjusted daily to have market 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 the Fund and any additional collateral is delivered to the Fund the next business day. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its 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 loan of securities. At September 30, 2014, the Fund’s collateral was equal to or greater than 100% of the market value of securities on loan.
The Fund employs an agent to implement its securities lending program and the agent receives a fee from the Fund for its services. In addition, the Fund may be required to pay a rebate to the borrower. Accordingly, the Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the securities lending agent or borrower, respectively. For the year ended September 30, 2014, the Fund earned securities lending net income as follows:
Securities Lending | Securities Lending | Securities Lending | ||
$91,551 | $18,312 | $73,239 |
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 distributions including realized gain distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Fund 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 Fund
21
Table of Contents
Notes to Consolidated Financial Statements (Continued)
does 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 Fund and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Fund, the income and expense accounts are allocated 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 the Fund not directly attributable to the operations of any one share class of the Fund are prorated among the Fund’s classes based on the relative net assets of each.
Foreign Securities
The Fund 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 the 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 the 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 Fund would not be subject to federal income taxes on its ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to its shareholders. Therefore, the Fund has not made any provision for federal income tax.
The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of any net realized capital gains of the 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 Fee
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”), serves as investment adviser to the Fund. Under an investment advisory agreement between MML Advisers and the Trust on behalf of the Fund, MML Advisers is responsible for providing investment management services for the Fund. In return for these services, MML Advisers receives an advisory fee, based upon the Fund’s average daily net assets, at the annual rate of 0.80%. MassMutual served as the Fund's investment adviser pursuant to the investment advisory agreement through March 31, 2014.
22
Table of Contents
Notes to Consolidated Financial Statements (Continued)
MML Advisers has also entered into an investment subadvisory agreement with Baring International Investment Ltd. (“Baring”), an indirect wholly-owned subsidiary of MassMutual Holdings (Bermuda) Ltd., itself an indirect wholly-owned subsidiary of MassMutual Holding LLC. This agreement provides that Baring manage the investment and reinvestment of the assets of the Fund. Baring receives a subadvisory fee from MML Advisers, based upon the Fund’s average daily net assets, at the annual rate of 0.60%.
The Fund’s subadvisory fee is paid by MML Advisers out of the advisory fee previously disclosed above.
Baring provides investment advisory services to the Subsidiary pursuant to an investment advisory agreement. The Subsidiary pays an advisory fee to Baring based upon the Subsidiary’s average daily net assets. The rate of this fee is equal to the subadvisory fee rate that MML Advisers pays Baring in respect of the Fund. The amount of the fee payable by MML Advisers to Baring in respect of the Fund for any period is reduced by the amount of the advisory fee payable by the Subsidiary to Baring for that period. Under the Fund’s investment advisory agreement, the amount of the advisory fee payable by the Fund to MML Advisers in respect of any period is also reduced by the amount of the advisory fee payable by the Subsidiary to Baring in respect of that period. The amount of the reduction to the Fund’s advisory fee is reflected as a reduction of expenses on the Consolidated Statement of Operations.
Administration Fees
Under an administrative and shareholder services agreement between the Trust and MML Advisers, on behalf of the Fund, MML Advisers is obligated to provide certain administrative and shareholder services. 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 Fund, at the following annual rates*:
Class I | Class R5 | Service Class | Administrative Class | Class A | Class R4 | Class R3 | ||||||
None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% |
* | Prior to April 1, 2014, the administrative service fees per share class were as follows: |
Class I | Class R5 | Service Class | Administrative Class | Class A | ||||
0.0300% | 0.1200% | 0.2200% | 0.3500% | 0.3500% |
MassMutual served as the Fund's administrator pursuant to an administrative and shareholder services agreement with the Fund through March 31, 2014.
The Subsidiary also pays certain other expenses, including administrative, accounting services, custodian, and transfer agent fees. In respect of certain (but not all) of these fees, the Fund has entered into offsetting arrangements with its service providers which result in a reduction of certain of the Fund’s expenses with respect to those assets held by the Subsidiary. Certain of these reductions are reflected as a reduction of expenses on the Consolidated Statement of Operations.
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class A shares and Class R4 shares of the Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares of the Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to the Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Effective April 1, 2014, the Trust has entered into a separate Supplemental Shareholder Services Agreement with MassMutual, on behalf of Service Class shares, Administrative Class shares, and Class A shares of the Fund. Fees payable under the Supplemental Shareholder Services Agreement are intended to compensate MassMutual for its provision of shareholder services to the Fund's
23
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Notes to Consolidated Financial Statements (Continued)
investors and are calculated and paid based on the average daily net assets attributable to the relevant share classes of the Fund separately, at the following annual rates: 0.05% for Service Class shares, and 0.15% for Administrative Class shares and Class A shares. MassMutual may pay these fees to other intermediaries for providing shareholder services to the Fund's investors.
Expense Caps and Waivers
Effective April 1, 2014, MML Advisers contractually agreed to cap the fees and expenses of the Fund (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, for example, organizational expenses and shareholder meeting expenses) through January 31, 2016 based upon the average daily net assets of the applicable class of shares of the Fund, as follows:
Class I | Class R5 | Service Class | Administrative Class | Class A | Class R4 | Class R3 | ||||||||||||||||||
1.02% | 1.12 | % | 1.22 | % | 1.32 | % | 1.57 | % | 1.47 | % | 1.72 | % |
# | Acquired Fund fees and expenses are expenses borne indirectly by the Fund through investments in other pooled investment vehicles. |
Prior to April 1, 2014, MassMutual had contractually agreed to cap the fees and expenses of the Fund (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, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Fund, as follows:
Class I | Class R5 | Service Class | Administrative Class | Class A | ||||||||||||
1.02% | 1.11 | % | 1.21 | % | 1.34 | % | 1.50 | % |
# | Acquired Fund fees and expenses are expenses borne indirectly by the Fund through investments in other pooled investment vehicles. |
Expense caps and waiver amounts are reflected as a reduction of expenses on the Consolidated Statement of Operations.
Deferred Compensation
Trustees of the Fund 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 Fund’s books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Consolidated Statement of Assets and Liabilities.
Other
Certain officers and trustees of the Fund are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Fund.
The beneficial ownership of the Fund’s shares by affiliated parties at September 30, 2014 was 100.0%.
24
Table of Contents
Notes to Consolidated Financial Statements (Continued)
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended September 30, 2014, were as follows:
Purchases | Sales | |||||||||||||
Long-Term U.S. Government Securities | Other Long-Term Securities | Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||||||
$ | 3,995,373 | $ | 12,211,519 | $ | 3,037,212 | $ | 23,638,171 |
5. | Capital Share Transactions |
Changes in shares outstanding for the Fund were as follows:
Year Ended September 30, 2014 | Year Ended September 30, 2013 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I | ||||||||||||||||
Sold | 12,505 | $ | 137,100 | 691,261 | $ | 7,504,200 | ||||||||||
Issued as reinvestment of dividends | 43,996 | 472,519 | 7,473 | 78,461 | ||||||||||||
Redeemed | (722,936 | ) | (8,224,757 | ) | (32,298 | ) | (349,000 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (666,435 | ) | $ | (7,615,138 | ) | 666,436 | $ | 7,233,661 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Sold | - | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends | 29,814 | 320,208 | 6,151 | 64,581 | ||||||||||||
Redeemed | - | - | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 29,814 | $ | 320,208 | 6,151 | $ | 64,581 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Service Class | ||||||||||||||||
Sold | 31,816 | $ | 356,365 | 52,319 | $ | 560,000 | ||||||||||
Issued as reinvestment of dividends | 30,535 | 327,645 | 5,690 | 59,634 | ||||||||||||
Redeemed | (321,563 | ) | (3,630,456 | ) | (8,049 | ) | (88,459 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (259,212 | ) | $ | (2,946,446 | ) | 49,960 | $ | 531,175 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Administrative Class | ||||||||||||||||
Sold | - | $ | - | 2,039 | $ | 22,000 | ||||||||||
Issued as reinvestment of dividends | 11,839 | 127,035 | 2,352 | 24,681 | ||||||||||||
Redeemed | (47,680 | ) | (542,122 | ) | (7,483 | ) | (81,610 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (35,841 | ) | $ | (415,087 | ) | (3,092 | ) | $ | (34,929 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Sold | 880 | $ | 10,000 | 625 | $ | 6,645 | ||||||||||
Issued as reinvestment of dividends | 8,099 | 86,983 | 1,358 | 14,251 | ||||||||||||
Redeemed | - | - | (4,612 | ) | (49,217 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 8,979 | $ | 96,983 | (2,629 | ) | $ | (28,321 | ) | ||||||||
|
|
|
|
|
|
|
|
25
Table of Contents
Notes to Consolidated Financial Statements (Continued)
Year Ended September 30, 2014 | ||||||||
Shares | Amount | |||||||
Class R4* | ||||||||
Sold | 9,208 | $ | 100,000 | |||||
Issued as reinvestment of dividends | - | - | ||||||
Redeemed | - | - | ||||||
|
|
|
| |||||
Net increase (decrease) | 9,208 | $ | 100,000 | |||||
|
|
|
| |||||
Class R3* | ||||||||
Sold | 9,208 | $ | 100,000 | |||||
Issued as reinvestment of dividends | - | - | ||||||
Redeemed | - | - | ||||||
|
|
|
| |||||
Net increase (decrease) | 9,208 | $ | 100,000 | |||||
|
|
|
|
* | Class commenced operations on April 1, 2014. |
Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the year ended September 30, 2014, no material amounts have been retained by the Distributor.
Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. Prior to April 1, 2014, redemptions or exchanges of Class R3 shares made within eighteen months of purchase were subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. There were no contingent deferred sales charges imposed during the year ended September 30, 2014.
6. | Federal Income Tax Information |
At September 30, 2014, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund, as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$11,804,001 | $523,827 | $(221,956) | $301,871 |
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 consolidated 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 September 30, 2014, was as follows:
Ordinary | Long Term Capital Gain | Return of Capital | ||
$1,258,820 | $408,771 | $ - |
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2013, was as follows:
Ordinary | Long Term Capital Gain | Return of Capital | ||
$313,188 | $ - | $ - |
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Table of Contents
Notes to Consolidated Financial Statements (Continued)
Capital accounts within the consolidated 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 September 30, 2014, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, premium amortization accruals, the deferral of wash sale losses, and deferred Trustee compensation.
At September 30, 2014, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||
$1,066,667 | $1,029,092 | $(1,399) | $301,638 |
During the year ended September 30, 2014, the following amounts were reclassified due to permanent differences between book and tax accounting:
Paid-in Capital | Accumulated | Undistributed | ||
$(215,529) | $194,782 | $20,747 |
The Fund did not have any unrecognized tax benefits at September 30, 2014, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Consolidated Statement of Operations. During the year ended September 30, 2014, the Fund did not incur any such interest or penalties. The Fund is 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 Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.
7. | Indemnifications |
Under the Fund’s 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 Fund, and shareholders are indemnified against personal liability for obligations of the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
8. | New Accounting Pronouncements |
On June 7, 2013, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): “Amendments to the Scope, Measurement, and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 sets forth a new approach for determining whether a public or private company is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the consolidated financial statements.
In June 2014, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2014-11, Transfers & Servicing (Topic 860): “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”) to improve the financial reporting of repurchase agreements and other similar transactions. ASU 2014-11 includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. ASU 2014-11 is effective for annual reporting periods beginning after December 15, 2014 and interim periods
27
Table of Contents
Notes to Consolidated Financial Statements (Continued)
beginning after December 15, 2015. Management is currently evaluating the implications of these changes and their impact on the consolidated financial statements.
9. | Subsequent Events |
In preparation of these consolidated financial statements, management has evaluated the events and transactions subsequent to September 30, 2014, through the date when the consolidated financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Fund’s consolidated financial statements.
28
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of MassMutual Premier Funds and Shareholders of MassMutual Barings Dynamic Allocation Fund:
We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated portfolio of investments, of MassMutual Barings Dynamic Allocation Fund and subsidiary (the “Fund”) as of September 30, 2014, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2014, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the consolidated financial statements and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of MassMutual Barings Dynamic Allocation Fund and subsidiary as of September 30, 2014, 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 periods presented, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
November 24, 2014
29
Table of Contents
Trustees and Officers (Unaudited)
The following table lists the Trust’s Trustees and Officers as of September 30, 2014; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Premier Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082, Attention: Retirement Services Marketing.
Disinterested Trustees
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Richard H. Ayers Age: 71 | Chairman Trustee | Since Since | Retired. | 90 | Director (2008-2011), Celera Corporation; Director (1996-2008), Applera Corporation; Chairman (since 2010), Trustee (since 1996), MassMutual Select Funds (open-end investment company); Chairman (since 2010), Trustee (since 1999), MML Series Investment Fund (open-end investment company); Chairman and Trustee (since 2012), MML Series Investment Fund II (open-end investment company). | |||||
Allan W. Blair Age: 66 | Trustee | Since 2012 | President and Chief Executive Officer (since 1996), Economic Development Council of Western Massachusetts; President and Chief Executive Officer (since 1984), Westover Metropolitan Development Corporation. | 90 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). | |||||
Nabil N. El-Hage Age: 56 | Trustee
Chairman | Since 2003
(2006-2012) | Consultant (since 2010); Chairman (since 2011), Academy of Executive Education, LLC; Senior Associate Dean for External Relations (2009-2010), Thomas Henry Carroll Ford Foundation Adjunct Professor of Business Administration (2009-2010), Professor of Management Practice (2005-2009), Harvard Business School; Director (since 2011), Argo Group International Holdings, Ltd. | 90 | Director (2007-2010), Virtual Radiologic Corporation; Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Chairman (2006-2012), Trustee (since 2005), MML Series Investment Fund II (open-end investment company). | |||||
Maria D. Furman Age: 60 | Trustee | Since 2004 | Retired. | 90 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company). |
30
Table of Contents
Trustees and Officers (Unaudited) (Continued)
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
R. Alan Hunter, Jr. Age: 67 | Trustee | Since 2012 | Retired. | 90 | Director (since 2007), Actuant Corporation; Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). | |||||
F. William Marshall, Jr. Age: 72 | Trustee | Since 2012 | Retired; Consultant (1999-2009). | 128*** | Trustee (since 2000), Denver Board – Oppenheimer Funds; Trustee (since 1996), MassMutual Select Funds (open-end investment company); Trustee (since 1996), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). | |||||
C. Ann Merrifield Age: 63 | Trustee | Since 2004 | President and Chief Executive Officer (since 2012), PathoGenetix; Senior Vice President, Genzyme Business Excellence Initiative (2009-2011), President, Biosurgery (2003-2009), Genzyme Corporation. | 90 | Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company). | |||||
Susan B. Sweeney Age: 62 | Trustee | Since 2012 | Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company); Senior Managing Director (2008-2010), Ironwood Capital (private equity firm). | 92^ | Trustee (since 2012) Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2012) Babson Capital Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). |
31
Table of Contents
Trustees and Officers (Unaudited) (Continued)
Interested Trustees
Name, Address*, and Age | Position(s) | Term of | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
Robert E. Joyal^^ Age: 69 | Trustee | Since 2012 | Retired | 92^ | Director (since 2013), Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc.; Director (since 2006), Jefferies Group, Inc. (investment bank); Director (2007-2011), Scottish Re Group Ltd.; Director (2003-2010), Alabama Aircraft Industries, Inc.; Trustee (since 2003), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2003), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). | |||||
Elaine A. Sarsynski^^^ Age: 59 | Trustee
Vice Chairperson | Since
(2011-2012) | Executive Vice President (since 2008), MassMutual Retirement Services Division, MassMutual; Chairman (since 2006), MassMutual International, LLC. | 90 | Director (since 2012), Horizon Technology Finance Management LLC; Director (since 2013), MML Advisers; Trustee (since 2008), MassMutual Select Funds (open-end investment company); Trustee (since 2008), MML Series Investment Fund (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MML Series Investment Fund II (open-end investment company). |
Principal Officers who are Not Trustees
Name, Address*, and Age | Position(s) Held | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Michael C. Eldredge Age: 50 | Vice President | Since 2009 | Head of Investments and portfolio manager (since 2014), MML Advisers; Vice President (since 2008), MassMutual; Vice President (2005-2008), ING; Vice President (since 2009), MassMutual Select Funds (open-end investment company); Vice President (since 2009), MML Series Investment Fund (open-end investment company); Vice President (since 2009), MML Series Investment Fund II (open-end investment company). | 90 | ||||
Andrew M. Goldberg Age: 48 | Vice President, Secretary, and Chief Legal Officer Assistant Clerk | Since 2008
(2004- | Assistant Vice President and Counsel (since 2004), MassMutual; Assistant Secretary (since 2013), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company). | 90 |
32
Table of Contents
Trustees and Officers (Unaudited) (Continued)
Name, Address*, and Age | Position(s) Held | Term of Office# and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer | ||||
Brian K. Haendiges Age: 54 | Vice President | Since 2014 | Vice President (since 2014) MML Advisers; Senior Vice President (since 2014), Vice President (2010-2014), MassMutual; Vice President (since 2014), MassMutual Select Funds (open-end investment company); Vice President (since 2014), MML Series Investment Fund (open-end investment company); Vice President (since 2014), MML Series Investment Fund II (open-end investment company). | 90 | ||||
Nicholas H. Palmerino Age: 49 | Chief Financial Officer and Treasurer | Since 2006 | Vice President (since 2014), Assistant Vice President (2006-2014), MassMutual; Chief Financial Officer and Treasurer (since 2006), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund II (open-end investment company). | 90 | ||||
Philip S. Wellman Age: 50 | Vice President and Chief Compliance Officer | Since 2007 | Vice President and Chief Compliance Officer (since 2013), MML Advisers; Vice President and Associate General Counsel (since 2014), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2007-2008), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company). | 90 | ||||
Eric H. Wietsma Age: 48 | President
Vice President | Since 2008
(2006- | Senior Vice President (since 2010), Corporate Vice President (2007-2010), MassMutual; Director and President (since 2013), MML Advisers; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); Vice President (since 2006), MML Series Investment Fund (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company). | 90 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082. |
** | 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-two years. Such an exception was made for any Trustee who attains the age of seventy-two years during 2014. Such Trustees shall retire and cease to serve as a Trustee on or before December 31, 2015. |
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. |
*** | Denver Board – Oppenheimer Funds is deemed to be part of the Fund Complex because it is managed by OFI Global Asset Management, Inc., an affiliate of MML Advisers. |
^ | Babson Capital Participation Investors and Babson Capital Corporate Investors are deemed to be a part of the Fund Complex because they are managed by Babson Capital Management LLC, an affiliate of MML Advisers. |
^^ | Mr. Joyal is an “Interested Person,” as that term is defined in the 1940 Act, through his position as a director of Jefferies Group, Inc., a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion. |
^^^ | Ms. Sarsynski is an Interested Person as a director of MML Advisers. |
# | The President, Treasurer, and Secretary 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 other officer shall hold office at the pleasure of the Trustees. |
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Federal Tax Information (Unaudited)
Under Section 854(b)(2) of the Code, the Fund hereby designates $205,687 as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended September 30, 2014.
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Other Information (Unaudited)
A description of the policies and procedures that the Fund’s investment adviser and subadviser use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Information regarding how the Fund 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 website at http://www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Trustees’ Approval of Investment Advisory Contracts
At their meetings in April and May 2014, the Contract Committee (the “Committee”) and 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 subadviser (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreement (collectively, the “Contracts”) for the Fund. In preparation for the meetings, the Trustees requested, and MML Advisers and the subadviser provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.
The Committee received in advance of the meetings (i) a memorandum from MML Advisers discussing the nature and quality of the services it provides as investment manager to the Fund; (ii) a profitability analysis prepared by MML Advisers; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to the Fund prepared by an independent third-party vendor (the “Third-Party”). The Third Party Report provided detailed comparative advisory fee, total expense, and performance information for the Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MML Advisers and the subadviser, noting that prior to April 1, 2014, MassMutual, of which MML Advisers is a wholly-owned subsidiary, served as the investment adviser to the Fund.
The Committee considered the nature, scope, and quality of services MML Advisers provides to the Fund, including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Fund; (iii) MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Fund; and (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the Fund and the needs of the Fund for administrative and shareholder services.
The Committee then reviewed and considered the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over the one-year period against peer funds and a benchmark index). In connection with the Committee’s review, MML Advisers provided commentary and analysis regarding the Fund’s performance and expenses. The Committee also noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Fund; and (ii) a wide range of information about the subadviser and its personnel with responsibility for providing services to the Fund and the fee payable to the subadviser by MML Advisers. MML Advisers reviewed with the Committee in detail the work MML Advisers does in its oversight roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to provide those services. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning the Fund.
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Other Information (Unaudited) (Continued)
The Committee reviewed the expense and performance information for the Fund. (References to the one-year period below are to the period ended December 31, 2013. The comparative expense information is that of the Fund’s “peer group” and the comparative performance information is that of the Fund’s “performance category.”)
The Committee considered that the Fund has achieved a first quartile (25th comparative percentile) performance record for the one-year period (the only period available), and MML Advisers’ statement that the Fund’s relatively high expense ratio (64th percentile) was due at least in part to the Fund’s increased investment in equity ETFs.
The Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting, concerning economies of scale and the profitability of MML Advisers’ advisory relationship with the Fund, including: (i) a description of the revenue (including advisory fee and administrative and shareholder services fees, as applicable) and expense allocation methodology employed by MML Advisers; and (ii) profitability information for the Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the Fund and the so-called “fallout benefits” to MML Advisers, such as any reputational value derived from serving as investment adviser to the Fund, and benefits accruing to the subadviser due to so-called “soft-dollar arrangements.”
Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee 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 Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.
The Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MML Advisers’ oversight of the Fund and the subadvisory process; (ii) MML Advisers’ level of profitability from its relationship with the Fund was not excessive and the advisory fee payable under the Contract and the Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadviser generally appear well suited to the Fund, given its investment objective and policies; (iv) the relative performance of the Fund (taking into account the applicable investment strategy and risk profile of the Fund) is sufficient to warrant continuation of the Contracts for the Fund; and (v) the terms of the Contracts were fair and reasonable with respect to the Fund and were in the best interests of the Fund’s shareholders.
The Committee also considered the information presented and discussed regarding the existing advisory agreement for the Subsidiary.
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Other Information (Unaudited) (Continued)
Fund Expenses September 30, 2014
Expense Examples:
The following information is in regards to expenses for the six months ended September 30, 2014:
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) 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 Fund 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 September 30, 2014.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Class I | $ | 1,000 | 1.02 | % | $ | 1,031.20 | $ | 5.19 | $ | 1,020.00 | $ | 5.17 | ||||||||||||
Class R5 | 1,000 | 1.12 | % | 1,031.30 | 5.70 | 1,019.50 | 5.67 | |||||||||||||||||
Service Class | 1,000 | 1.22 | % | 1,030.40 | 6.21 | 1,019.00 | 6.17 | |||||||||||||||||
Administrative Class | 1,000 | 1.32 | % | 1,030.40 | 6.72 | 1,018.50 | 6.68 | |||||||||||||||||
Class A | 1,000 | 1.57 | % | 1,028.50 | 7.98 | 1,017.20 | 7.94 | |||||||||||||||||
Class R4† | 1,000 | 1.47 | % | 1,029.50 | 7.48 | 1,017.70 | 7.44 | |||||||||||||||||
Class R3† | 1,000 | 1.72 | % | 1,028.50 | 8.75 | 1,016.40 | 8.69 |
* | Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2014, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise. |
† | Class commenced operations on April 1, 2014. |
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Underwriter:
MML Distributors, LLC
100 Bright Meadow Blvd.
Enfield, CT 06082-1981
November 28, 2014
©2014 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) [of which Retirement Services is a division] and its affiliated companies and sales representatives. Investment Adviser: MML Investment Advisers, LLC | RS-35128-00 |
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Item 2. Code of Ethics.
As of September 30, 2014, the Registrant adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. For the year ended September 30, 2014, there were no amendments to a provision of the Code of Ethics. A copy of its Code of Ethics is filed with this Form N-CSR under Item 12(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that R. Alan Hunter, Jr. and Nabil N. El-Hage, both members of the Audit Committee, are audit committee financial experts as defined by the Securities and Exchange Commission (the “SEC”). Mr. Hunter and Mr. El-Hage are both “independent” as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
References below to Deloitte & Touche LLP include its affiliates where applicable.
(a) | AUDIT FEES: The aggregate fees billed to the Registrant for professional services rendered by its independent auditors, Deloitte & Touche LLP, for the audit of the Registrant’s annual financial statements for the fiscal years ended 2014 and 2013 were $468,155 and $571,155, respectively. |
(b) | AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2014 and 2013. 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 2014 and 2013. |
(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 2014 and 2013 were $148,440 and $107,080, 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 2014 and 2013. |
(d) | ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2014 and 2013. 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 2014 and 2013. |
(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 2014 and 2013 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 2014 and 2013 were $1,785,951 and $2,088,292, respectively. |
(h) | The audit committee considers whether the provision of non-audit services by Deloitte & Touche LLP to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining Deloitte & Touche LLP’s independence. |
* | Refers to fees that were required to be approved by the audit committee for services that relate directly to the operations and financial reporting of the Registrant. |
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Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Investments.
Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this filing.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable to this filing.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this Form N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of Ethics (Item 2) is attached.
(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT.
(a)(3) Not applicable to this filing.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the 1940 Act (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto as Exhibit 99.906CERT.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | MassMutual Premier Funds |
By (Signature and Title) | /s/ Eric Wietsma |
Eric Wietsma, President and Principal Executive Officer |
Date | 11/25/14 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Eric Wietsma |
Eric Wietsma, President and Principal Executive Officer |
Date | 11/25/14 |
By (Signature and Title) | /s/ Nicholas H. Palmerino |
Nicholas H. Palmerino, Treasurer and Principal Financial Officer |
Date | 11/25/14 |