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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: 9/30/2015
Date of reporting period: 9/30/2015
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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
“In our view, the market environment during the past year underscores the importance of taking a long-term perspective and avoiding reacting to current events or short-term market changes.”
September 30, 2015
The return of market volatility challenges retirement investors
I am pleased to present you with the MassMutual Premier Funds Annual Report, covering the year ended September 30, 2015 (the “fiscal year”). U.S. stocks outperformed international shares across the board during the fiscal year, as continued growth here contrasted with weakness in many of the world’s other large economies, including Europe and China. The economic difficulties elsewhere, which were exacerbated by low oil prices, created a challenging investing environment that left some major U.S. and international stock indexes in negative territory for the fiscal year. While the market volatility that re-emerged in this 12-month period in general – and the final quarter in particular – presented a significant challenge, it can serve to remind investors that market conditions are cyclical and subject to change at any time.
In our view, the market environment during the past year underscores the importance of taking a long-term perspective and avoiding reacting to current events or short-term market changes. We also believe retirement investors are wise to maintain a plan that focuses on their goals, how long they have to invest, and how comfortable they are with the ups and downs of the market.
Suggestions for retirement investors under any market conditions
• | You are likely in it for the long run. Investing for retirement is not something that happens overnight. Many people save and invest for retirement throughout their working years. It may help you to keep in mind that, although the financial markets will go up and down over time, taking a long-term approach to investing gives you more time to ride out the downturns as you work toward your long-term investment goals. |
• | Keep investing. Of course, you can’t control the performance of your investments. What you can control, however, is how often and how much you save. Contributing to your retirement account on a regular basis and increasing your contribution level as often possible can help you boost your retirement savings.* |
• | Monitor your asset allocation and diversify. Stocks, bonds, and short-term/money market investments are asset classes that tend to behave differently, depending upon the economic and market environment. Those broad asset classes contain an even greater array of asset sub-categories (such as small-cap stocks, international stocks, and high-yield bonds). Most financial professionals agree that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing asset types by selecting a number of investments that represent a mix of asset classes and sub-categories.* |
Who and what matter most
We believe “Who Matters Most to You Says the Most About You.” Helping our customers prepare for the kind of financial future they see for themselves matters most to us. That’s why we encourage you to maintain perspective when it comes to retirement investing, despite short-term changes in the markets or day-to-day events that may seem unsettling. Our view is that changing market conditions have the potential to reward patient investors. 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 continued confidence and trust in us.
Sincerely,
Eric Wietsma
President
* | Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels. |
The information provided is the opinion of MassMutual Retirement Services Investments Marketing as of 10/1/15 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, 2015
Stocks mixed in a year of economic weakness abroad and low oil prices
Major U.S. stock indexes had mixed results in a volatile environment for the year ended September 30, 2015 (the “fiscal year”), with small-company and technology stocks edging out blue-chip and large-company stocks on investor concerns about the impact of the substantial economic weakness in foreign markets critical to many large U.S. companies. High-quality U.S. bonds advanced for the year and outperformed some of the main broad stock indexes, as many investors sought cover in the traditionally safer investments amid the market choppiness. Foreign stocks, particularly those from emerging markets, fell substantially due to economic events and issues in Europe and China, dramatically lower oil prices, and the strength of the U.S. dollar versus other benchmark currencies.
The Federal Reserve (the “Fed”) made the last monthly purchases related to the Quantitative Easing program (QE) in October 2014, and Fed watchers ramped up speculation about when the central bank would see the U.S. economy as strong enough to begin increasing the federal funds rate. (The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight.) Investors drove market volatility in reaction to economic data and statements by the Fed that possibly offered clues about when increases might start. The U.S. economy continued to show improvement in key measures, including in unemployment and some price categories; but the threat to U.S. growth represented by the nearly worldwide economic slowdown and unsettling news from China contributed to the Fed’s decision to delay increasing interest rates before the end of the fiscal year. As a result, short-term interest rates continued at historically low levels, with the Fed maintaining the federal funds rate at 0.0% to 0.25% – the level the rate has occupied since December 2008.
The price of crude oil had already fallen from a high of more than $106 per barrel in early summer 2014 to $90.74 on October 1, 2014, the start of the fiscal year. Slowing economic growth and falling demand in foreign markets combined with an overabundant supply drove investor concerns about oil, which lost about half its value over the next six months before finally hitting a low of $43.39 in mid-March 2015. Oil rallied as high as $61.36 in June, but eventually dropped to $38.22 in the late-August market turmoil and finished the fiscal year, on September 30, at $45.06. U.S. retail gasoline prices drove a similar road and gave drivers the lowest gas prices in nearly five years. Gold prices peaked in late January 2015 at $1,295.75 per ounce then lost luster for much of the rest of the fiscal year and finished at $1,114.00.
Market performance
Despite results that landed some of the more well-known U.S. equity benchmarks in negative territory for the fiscal year, U.S. stocks outperformed international shares across the board. The technology-focused NASDAQ Composite® Index rose 4.00% and the Russell 2000® Index of small-capitalization stocks advanced 1.25%. Conversely, the S&P 500® Index of large-capitalization U.S. stocks lost 0.61% and the blue-chip Dow Jones Industrial AverageSM shed 2.11%, as the strong U.S. dollar made American goods more expensive in foreign markets and the nearly worldwide economic slowdown reduced demand. The impact of the slowdown was even more pronounced in international markets, with the MSCI EAFE® Index, a barometer for foreign stocks in developed markets, falling 8.66%, and the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, declining 19.28%.*
Bonds rewarded investors during the fiscal year, with the Barclays U.S. Aggregate Bond Index, a broad measure of U.S. investment-grade bond performance, rising 2.94%. The performance of shorter-term debt investments reflected the unrelenting low interest rate environment, and the Barclays U.S. 1-3 Year Government Bond Index, which measures the performance of short-term U.S. government bonds, returned just 1.20%. Treasury bills, as measured by the Citigroup 3-Month Treasury Bill Index, gained only 0.02%. The impact of lower oil prices on energy companies during the fiscal year worked against high-yield bonds, as many issuers of such bonds are energy companies. In this environment, the Barclays U.S. Corporate High-Yield Index, a measure of the performance of fixed-rate, non-investment-grade debt from corporate sectors, dropped 3.43% for the year.*
* | 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)
Q4 2014: Volatility increases, but U.S. stocks advance
Investors shook off numerous concerns to drive U.S. stocks to healthy gains in the fourth quarter of 2014. Plunging crude oil prices and disappointing economic data from Europe and China were a couple of the factors that kept investors on edge and contributed to two short sell-offs during the quarter. In November, the market reacted positively to the results of the U.S. midterm elections, but the impact was muted, as investors had anticipated Republicans would take control of the U.S. Senate for weeks prior to the elections.
Oil’s decline – partly a result of increasing supply from North American shale beds – accelerated in late November after the Organization of Petroleum Exporting Countries (OPEC) announced its decision not to cut production. Good news on the U.S. economy was a major factor that lifted share prices. Gross domestic product (GDP), a measure of all final goods and services produced in the nation, expanded by an upwardly revised 5.0% in the third quarter of 2014, its fastest pace since the third quarter of 2003. This strong performance stood in stark contrast to near-recessionary conditions afflicting most other key developed nations. Notably, the 18-member euro zone barely managed positive economic growth during the third quarter and rose just 0.2%. Foreign markets underperformed, as the U.S. dollar rose against other major currencies driven by U.S. economic strength and declining oil prices.
Q1 2015: Market momentum cools amid increasing talk of Fed rate hikes
In the first quarter of 2015, U.S. stocks declined in January and March, but produced strong gains in February. When the dust settled at the end of March, some key market benchmarks were not far from where they started the quarter. Much of the downside volatility in January was due to further weakness in crude oil prices. A surging U.S. dollar also fueled concern about multinational companies that derive a significant portion of their profits from overseas, especially Europe.
February brought renewed optimism among stock investors amid some stabilization in oil’s price and favorable corporate earnings reports. However, stocks surrendered some of those gains in March, as a better-than-expected February employment report raised the possibility that the Fed might speed up its timetable for raising short-term interest rates. Other reports offered a mixed picture of the U.S. economy, however. According to data released in the first quarter, GDP expanded by a relatively modest 2.2% in the fourth quarter of 2014, which also included weak durable goods orders and retail sales.
The possibility of Greece defaulting on its debt following the January election of Prime Minister Alexis Tsipras (who had run a campaign against austerity), air strikes in Yemen by Saudi Arabia, and concern about the upcoming second-quarter earnings season were other factors unsettling the market as the first quarter wound to a close.
Q2 2015: Greek debt crisis drives increased volatility
U.S. stocks were choppy in the second quarter of 2015, and most indexes made little headway in either direction. Investors sought clarity on a number of issues, including the debt problems of Greece, the sustainability of the U.S. economic recovery following a weak first quarter, when the Fed’s first interest-rate hike since mid-2006 could occur, and the near-term path of crude oil and the U.S. dollar.
Despite repeated efforts to forge an agreement with other countries in the European Union to reschedule its debt, Greece was unable to make a loan payment to the International Monetary Fund of €1.6 billion (euro), or roughly $1.8 billion, by a June 30 deadline. The default resulted in Greek banks and markets closing the week of June 29 through July 3. Global stock markets fell sharply in response on Monday, June 29, but stabilized on the final day of the quarter.
On the U.S. economic front, the news was somewhat encouraging – but still mixed. First-quarter GDP had originally been reported at -0.7% but underwent an upward revision to -0.2%. Nonfarm payrolls bounced back nicely in April and May after falling well short of estimates in March; however, industrial production remained weak amid challenges from lower oil prices and the stronger dollar.
The Fed’s Open Market Committee met in April and June, deciding both times to leave short-term interest rates unchanged. Crude oil, the focus of so much attention in prior quarters due to its steep decline, receded from the limelight in the second quarter when prices for the commodity rose.
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MassMutual Premier Funds – Economic and Market Overview (Unaudited) (Continued)
Q3 2015: China’s economic slowdown sinks stocks worldwide; Fed leaves rates unchanged
U.S. stocks struggled in the third quarter of 2015, as concerns about China and fresh weakness in commodity prices prompted nervous investors to sell stocks and seek safer ground. A string of disappointing reports on China’s economy, coupled with that nation’s decision to devalue its currency on August 11 and another freefall in its share prices, contributed to the risk-sensitive environment.
The extreme volatility in Chinese stocks – partly a result of local investors buying on margin – had little effect on U.S. securities markets for much of 2015, but that changed in August, as the Shanghai Stock Exchange Composite Index plunged 43% following its mid-June peak. Most major U.S. stock benchmarks had their worst quarter since 2011 after U.S. stocks dropped roughly 10% in a decline that mostly occurred in just a handful of days in the second half of August. Crude oil prices had recovered somewhat starting in early spring, but again came under pressure during the August stock decline before regaining some ground by the end of the quarter. Following its mid-September meeting, the Fed provided few clues to investors about when the central bank would start increasing interest rates, and the lack of guidance roiled markets in the immediate aftermath.
Despite the market jitters, most data indicated the U.S. economy was expanding at a reasonably healthy rate, even if the progress was subpar compared with most other post-World War II recoveries. Following a slow first quarter attributed to extreme weather, the final revised estimate for U.S. second-quarter growth came in at a fairly robust 3.9% annual rate, and overall expectations for 2015 were about in line with 2014’s annual growth of 2.4%. In August, the U.S. unemployment rate fell from 5.3% to 5.1%, the lowest level in seven years.
As the third quarter of 2015 (and the fiscal year) drew to a close, the low price of oil, the timetable for Fed interest rate increases and the potential actions of other central banks around the world, and the ongoing impact of the economic malaise of China, Europe, and the emerging markets on the investing environment were among the topics on the minds of many investors as they focused on the factors likely to impact the markets in the year ahead.
The information provided is the opinion of MassMutual Retirement Services Investment Services as of 10/1/15 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. On or about May 1, 2016 (the “Effective Date”), the name of the Fund will be changed to MassMutual Premier U.S. Government Money Market Fund and the Fund will operate as a government money market fund. On the Effective Date, the Fund’s investment approach will change so that it normally invests at least 99.5% of its total assets in cash, U.S. Government securities, and repurchase agreements collateralized by cash or U.S. Government securities as it seeks current income consistent with preservation of capital and liquidity. The Board of Trustees of the MassMutual Premier Funds approved changes to the Fund in response to amendments to Rule 2a-7 under the Investment Company Act of 1940, which is the primary rule governing money market funds, including the Fund. The changes, all of which are effective on or about the Effective Date, will bring the Fund into conformance with the requirements of the Rule 2a-7 amendments.
How did the Fund perform during the 12 months ended September 30, 2015?
The Fund’s Class R5 shares returned 0.01%, modestly underperforming the 0.02% 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 0.01% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
Short-term interest rates continued to be pegged down by Federal Reserve (the “Fed”) monetary policy, which drove low nominal yields for the Fund for the year ended September 30, 2015.
High-quality floating-rate paper continued to offer a yield advantage when compared to commercial paper. (Commercial paper is the commonly used name for short-term unsecured promissory notes sold by banks and corporations to meet short-term debt obligations.) During the middle of the period, the Fund took advantage of the seasonal increase in Treasury bill supply, which took place in the middle of the first quarter of 2015 and caused yields to rise on a resulting reduction in demand.
Given the recent market environment, the Fund continued to focus on high-credit-quality issuers in short-maturity non-financial commercial paper, which allowed the Fund to earn additional yield, relative to the benchmark. The Fund continued to avoid investing in European bank paper – a stance that has benefited overall credit quality, but limits some of the Fund’s opportunity to achieve higher yields. The Fund also held corporate bonds with maturities under one year and had a higher allocation to short-maturity U.S. agency discount notes relative to U.S. Treasury bills to add incremental income.
The money market sector started to see some of the effects of certain funds shifting from prime money market funds to government money market funds during the third quarter of 2015, with the yield difference between Tier 1 commercial paper and Treasury bills widening and reflecting price changes in those groups.
Subadviser outlook
Rising uncertainty has weighed heavily on global financial markets, evidenced by the slowdown in China, falling commodity prices, and U.S. monetary policy. After verbally guiding markets that an interest rate increase was imminent, the Fed once again declined to raise interest rates at its September meeting. Despite post-meeting comments from Fed officials suggesting their commitment to action later this year, we remain skeptical that an increase will occur in 2015.
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MassMutual Premier Money Market Fund – Portfolio Manager Report (Unaudited) (Continued)
With low front-end interest rates, we continue to believe focusing on high-quality issuers in short maturities is a sound strategy for the Fund that will likely allow us to quickly adjust to changing market conditions and to maintain the Fund’s commitment to preservation of principal and liquidity.
MassMutual Premier Money Market Fund Portfolio Characteristics (% of Net Assets) on 9/30/15 | ||||
Commercial Paper | 81.2 | % | ||
Discount Notes | 9.4 | % | ||
U.S. Government Obligations | 7.5 | % | ||
Time Deposits | 2.5 | % | ||
Corporate Debt | 1.2 | % | ||
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Total Short-Term Investments | 101.8 | % | ||
Other Assets and Liabilities | (1.8 | )% | ||
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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 9/30/15 | Five Year 10/1/10 - 9/30/15 | Ten Year Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | 0.01% | 0.01% | 1.25% | |||||||||
Citigroup 3-Month Treasury Bill Index | 0.02% | 0.06% | 1.26% |
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, 2015?
The Fund’s Class R5 shares returned 1.95%, outperforming the 1.20% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
The Fund’s allocation to Treasuries was the primary contributor to performance for the year ended September 30, 2015. As the yields of shorter-term bonds rose relative to longer-term counterparts during the year, the Fund increased its Treasury allocation – a move that benefited performance after market volatility picked up and investors turned to favor Treasury securities over investments perceived to be less safe.
An overweight position, relative to the benchmark, in corporate bonds benefited the Fund. The Fund’s allocation to investment-grade and high-yield bonds with a credit rating of BB also contributed. Within corporate bonds, asset managers and electric utility industries were the best performers, while gas pipelines and consumer product industries detracted during the year. The Fund’s allocation to convertible securities also hurt performance, as energy and technology companies sold off.
Asset-backed securities (ABS) were the primary contributors to performance within the securitized sectors. New issue supply has been strong, and the Fund took advantage of attractive, short ABS deals backed by timeshare and business franchise loans. Residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS) also helped performance. Fundamentals in both residential and commercial real estate continued to improve and the Fund selectively added to bonds in these sectors in an effort to take advantage of opportunities to enhance the income of the Fund.
Agency collateralized mortgage obligation (CMO) securities detracted from performance, as that sector lagged the benchmark. (“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.) CMOs offer the ability to add income to the Fund and their duration is more stable, relative to pass-through agency mortgage-backed securities. An agency pass-through security is backed by a U.S. government agency, representing pooled bonds, that passes income from debtors to its security holders.
The Fund uses 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. Performance from derivatives modestly contributed to the Fund’s full-year performance.
Subadviser outlook
Rising uncertainty has weighed heavily on global financial markets, evidenced by the slowdown in China, falling commodity prices, and U.S. monetary policy. After verbally guiding markets that an interest rate increase was imminent, the Fed once again declined to raise interest rates at its September meeting. Despite post-meeting comments from Fed officials suggesting their commitment to action later this year, we remain skeptical that an increase will occur in 2015.
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MassMutual Premier Short-Duration Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
Corporate bond prices have declined amid diverging economic growth trends as well as heightened idiosyncratic risks, including Brazilian politics, merger and acquisition activity, and commodity sensitivity. Securitized sectors have been less affected by recent uncertainty, providing some stability. We expect this to continue, and see potential value in certain sectors that are less correlated to corporate America. However, our view is that this volatility will likely present targeted opportunities, highlighting the importance of sound credit selection skills.
MassMutual Premier Short-Duration Bond Fund | ||||
Corporate Debt | 40.1 | % | ||
Non-U.S. Government Agency Obligations | 31.3 | % | ||
U.S. Treasury Obligations | 18.9 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 7.3 | % | ||
Municipal Obligations | 0.5 | % | ||
Preferred Stock | 0.5 | % | ||
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Total Long-Term Investments | 98.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.4 | % | ||
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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 10/1/14 - 9/30/15 | Five Year 9/30/15 | Ten Year Annual 9/30/15 | |||||||||
Class R5 | 1.95% | 2.04% | 3.87% | |||||||||
Service Class | 1.87% | 1.97% | 3.82% | |||||||||
Administrative Class | 1.69% | 1.87% | 3.72% | |||||||||
Class A | 1.44% | 1.61% | 3.46% | |||||||||
Class A (sales load deducted)* | -2.11% | 0.89% | 3.09% | |||||||||
Class R3 | 1.27% | 1.35% | 3.17% | |||||||||
Barclays U.S. 1-3 Year Government Bond Index | 1.20% | 0.79% | 2.62% |
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 9/30/15 | Since Inception Average Annual 12/3/10 - 9/30/15 | ||||||
Class I | 2.00% | 2.35% | ||||||
Barclays U.S. 1-3 Year Government Bond Index | 1.20% | 0.85% |
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.
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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 R4 and the Barclays U.S. 1-3 Year Government Bond Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual | ||||||
Class R4 | 1.57% | 1.36% | ||||||
Barclays U.S. 1-3 Year Government Bond Index | 1.20% | 1.00% |
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.
11
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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, 2015?
The Fund’s Class R5 shares returned -1.22%, trailing the -0.83% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
Consumer prices, as measured by the U.S. Bureau of Labor Statistics, were down relative to last year, as unadjusted Headline CPI came in at 0.2%, down substantially from 1.7%. Primary drivers included weaker energy and commodity prices. Core CPI, which excludes energy and food prices, increased to 1.8%, up from 1.7%. Both measures remain below the Federal Reserve’s (the “Fed”) 2% inflation objective.
TIPS positioning detracted from Fund performance in aggregate during the period. Underweight positioning, relative to the benchmark, in shorter-maturity inflation bonds contributed, but was offset by modestly overweight positioning in longer-maturity inflation bonds, which underperformed.
In addition to TIPS, the Fund also invested in high-quality, income-producing securities, including asset-backed and money market securities. The income earned by these investments contributed positively to the Fund’s full-year performance. Asset-backed securities (ABS) were the main drivers of the Fund’s performance. Security selection in bonds backing auto loans and timeshares within the ABS sector were the primary contributors. An allocation to high-quality commercial paper also contributed to the Fund’s returns over the year. (Commercial paper is the commonly used name for short-term unsecured promissory notes sold by banks and corporations to meet short-term debt obligations.)
The Fund may use derivative instruments to implement manager views. During the year, these positions modestly detracted from performance. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both.
Subadviser outlook
Global slowdowns across core economies suggest that the risks associated with deflation have resurfaced amid waning commodity prices and weak economic developments in China.
12
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited) (Continued)
In its September statement, the Fed deferred an interest rate hike while continuing to assess renewed downside risks associated with recent global economic and financial developments. Our view is that the Fed will remain cautious before beginning interest rate increases. We believe that shifts in policy may be driven primarily by changes in global economic developments, coupled with domestic labor market conditions, wage growth, and inflation.
In our view, it is likely the market will continue to offer challenges over the next several months, so we continue to proceed with caution in the near term. That being said, we continue to be constructive and opportunistic in selecting securities for the Fund, as TIPS remain at compelling prices.
MassMutual Premier Inflation-Protected and Income Fund Portfolio Characteristics (% of Net Assets) on 9/30/15 | ||||
U.S. Treasury Obligations | 96.9 | % | ||
Non-U.S. Government Agency Obligations | 46.7 | % | ||
Corporate Debt | 4.7 | % | ||
Municipal Obligations | 0.3 | % | ||
Purchased Options | 0.1 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 148.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | (48.8 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
13
Table of Contents
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 10/1/14 - 9/30/15 | Five Year Average Annual 10/1/10 - 9/30/15 | Ten Year Average Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | -1.22% | 2.38% | 3.77% | |||||||||
Service Class | -1.23% | 2.28% | 3.67% | |||||||||
Administrative Class | -1.30% | 2.14% | 3.52% | |||||||||
Class A | -1.58% | 1.95% | 3.33% | |||||||||
Class A (sales load deducted)* | -6.25% | 0.96% | 2.83% | |||||||||
Class R3 | -1.76% | 1.68% | 3.04% | |||||||||
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | -0.83% | 2.55% | 4.01% |
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 10/1/14 - 9/30/15 | Since Inception Average Annual 3/1/11 - 9/30/15 | ||||||
Class I | -1.12% | 2.70% | ||||||
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | -0.83% | 2.69% |
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 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.
14
Table of Contents
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 | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 4/1/14 - 9/30/15 | ||||||
Class R4 | -1.47% | -0.02% | ||||||
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | -0.83% | 0.56% |
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.
15
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, 2015?
The Fund’s Class R5 shares returned 1.63%, underperforming the 2.94% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2015, the Fund held an overweight position, relative to the benchmark, in investment-grade corporate bonds and convertible securities, which were the primary detractors from performance throughout the year. The Fund’s investments in the energy and metals and mining industries were the main drivers of underperformance within the corporate and convertible sectors. Both sectors sold off amid concerns over the possibility of a Federal Reserve (the “Fed”) increase to interest rates, a strengthening U.S. currency, and slowing global economic growth, particularly in emerging-market countries. Conversely, Fund investments in bonds of asset managers and life insurance companies were the primary contributors to performance. At year-end, the Fund held an overweight stake in corporate bonds.
In securitized sectors, agency mortgage-backed securities (MBS) were the primary contributors to performance during the year. (“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.) Positioning in lower-coupon securities benefited the Fund, as did a modest allocation to agency collateralized mortgage obligation (CMO) securities, which offered attractive characteristics. Asset-backed securities (ABS) and non-agency residential mortgage-backed securities (RMBS) also modestly contributed to performance. Within the ABS sector, the Fund took advantage of strong new issue supply in deals backed by cell towers and business franchise loans. Commercial mortgage-backed securities (CMBS) were flat for the period. Commercial real estate fundamentals continued to show signs of modest improvement across multiple regions, and the Fund held an overweight position in CMBS with an emphasis on shorter-maturity, seasoned issues rated BBB. Finally, collateral loan obligations (CLOs) rated AAA modestly contributed to the Fund’s performance when their prices held steady despite the sell-off in other fixed-income asset classes.
The Fund uses 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. In aggregate, these positions modestly contributed to performance during the year.
Subadviser outlook
Rising uncertainty has weighed heavily on global financial markets, evidenced by the slowdown in China, falling commodity prices, and U.S. monetary policy. After verbally guiding markets that an interest rate increase was imminent, the Fed once again declined to raise interest rates at its September meeting. Despite post-meeting comments from Fed officials suggesting their commitment to action later this year, we remain skeptical that that increase will occur in 2015.
Corporate bond prices have declined amid diverging economic growth trends as well as heightened idiosyncratic risks, including Brazilian politics, merger and acquisition activity, and commodity sensitivity. Securitized sectors have been less affected by recent uncertainty, providing some stability. We expect this may continue, and see value in certain sectors that are less correlated to corporate America. However, our view is that this volatility will likely present targeted opportunities, highlighting the importance of sound credit selection skills.
16
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MassMutual Premier Core Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Core Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/15 | ||||
Corporate Debt | 50.1 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 25.9 | % | ||
Non-U.S. Government Agency Obligations | 21.0 | % | ||
Municipal Obligations | 1.1 | % | ||
U.S. Treasury Obligations | 1.1 | % | ||
Sovereign Debt Obligations | 0.8 | % | ||
Preferred Stock | 0.7 | % | ||
|
| |||
Total Long-Term Investments | 100.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.7 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
17
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 10/1/14 - 9/30/15 | Five Year Average Annual 10/1/10 - 9/30/15 | Ten Year Average Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | 1.63% | 3.35% | 4.85% | |||||||||
Service Class | 1.49% | 3.28% | 4.81% | |||||||||
Administrative Class | 1.38% | 3.19% | 4.70% | |||||||||
Class A | 1.12% | 2.92% | 4.44% | |||||||||
Class A (sales load deducted)* | -3.68% | 1.92% | 3.93% | |||||||||
Class R3 | 1.02% | 2.65% | 4.16% | |||||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 3.10% | 4.64% |
Hypothetical Investments in MassMutual Premier Core Bond Fund Class I and the Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 12/3/10 - 9/30/15 | ||||||
Class I | 1.67% | 3.86% | ||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 3.42% |
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.
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 R4 and the Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 4/1/14 - 9/30/15 | ||||||
Class R4 | 1.28% | 2.38% | ||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 3.45% |
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.
19
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, 2015?
The Fund’s Class R5 shares returned 0.66%, underperforming the 2.94% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
The primary detractors from Fund performance during the year ended September 30, 2015 were convertible, high-yield, and investment-grade corporate bonds. In particular, the Fund’s investments in the energy and metals and mining industries hindered performance most. Although the Fund held shorter-maturity bonds in these sectors, any exposure during the year was detrimental, as both sectors sold off amid concerns over the possibility of a Federal Reserve (the “Fed”) increase to interest rates, a strengthening U.S. currency, and slowing global economic growth, particularly in emerging-market countries.
Fund holdings in the electric utilities and life insurance industries contributed to performance. In securitized sectors, agency mortgage-backed securities (MBS) were the top performers during the period. (“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 held an underweight position in this sector, relative to the benchmark. Residential mortgage-backed securities (RMBS) also benefited performance, as that sector remained attractive. Non-agency bond fundamentals continued to improve, with firming housing data – and the Fund held an overweight position, but continued to be more selective with its purchases. Asset-backed securities (ABS) contributed to performance, and the Fund took advantage of new issue supply in deals backed by cell towers or timeshares. U.S. Treasuries also helped drive Fund performance during the period.
The Fund uses 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. The Fund’s derivative positions contributed to performance for the year.
Subadviser outlook
Rising uncertainty has weighed heavily on global financial markets, evidenced by the slowdown in China, falling commodity prices, and U.S. monetary policy. After verbally guiding markets that an interest rate increase was imminent, the Fed once again declined to raise interest rates at its September meeting. Despite post-meeting comments from Fed officials suggesting their commitment to action later this year, we remain skeptical that increase will occur in 2015.
Corporate bond prices have declined amid diverging economic growth trends as well as heightened idiosyncratic risks, including Brazilian politics, merger and acquisition activity, and commodity sensitivity. Securitized sectors have been less affected by recent uncertainty, providing some stability. We expect this may continue, and see value in certain sectors that are less correlated to corporate America. However, our view is that this volatility will likely present targeted opportunities, highlighting the importance of sound credit selection skills.
20
Table of Contents
MassMutual Premier Diversified Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Diversified Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/15 | ||||
Corporate Debt | 43.2 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 24.9 | % | ||
Non-U.S. Government Agency Obligations | 21.0 | % | ||
U.S. Treasury Obligations | 5.1 | % | ||
Sovereign Debt Obligations | 0.8 | % | ||
Preferred Stock | 0.6 | % | ||
Purchased Options | 0.4 | % | ||
Municipal Obligations | 0.4 | % | ||
Common Stock | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 96.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.6 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
21
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 10/1/14 - 9/30/15 | Five Year Average Annual 10/1/10 - 9/30/15 | Ten Year Average Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | 0.66% | 3.84% | 4.81% | |||||||||
Service Class | 0.59% | 3.78% | 4.82% | |||||||||
Administrative Class | 0.54% | 3.74% | 4.79% | |||||||||
Class A | 0.21% | 3.45% | 4.53% | |||||||||
Class A (sales load deducted)* | -4.55% | 2.45% | 4.02% | |||||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 3.10% | 4.64% |
Hypothetical Investments in MassMutual Premier Diversified Bond Fund Class I and the Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 12/3/10 - 9/30/15 | ||||||
Class I | 0.81% | 4.79% | ||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 3.42% |
Hypothetical Investments in MassMutual Premier Diversified Bond Fund Class R4, Class R3, and the Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 4/1/14 - 9/30/15 | ||||||
Class R4 | 0.34% | 1.90% | ||||||
Class R3 | 0.15% | 1.64% | ||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 3.45% |
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.
22
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, 2015?
The Fund’s Class R5 shares returned -2.28%, outperforming the -3.43% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2015, the Fund outperformed the benchmark primarily due to strong security selection, with some help from prudent risk allocation. At the beginning of the period, the Fund held overweight positions, relative to the benchmark, in corporate bonds rated B and CCC, and underweight stakes in bonds rated BB. The Fund maintained that basic allocation throughout the year, but selectively reduced its exposure to bonds rated CCC and B over the period and shifted some of the proceeds to overweight positions in corporate bonds rated BB, given the increased market volatility and reduced liquidity in the recent environment.
In terms of industry weightings, the Fund significantly decreased its overweight position in the energy sector over the course of the year. The Fund’s most significant overweight positions by sector included capital goods, transportation, consumer cyclicals, and consumer products. Key underweight positions were in the communications, consumer non-cyclicals, finance, electric, banking, and technology sectors.
Even with the Fund’s significant reduction in energy exposure over the period, nine of the 10 largest detractors from the Fund’s performance were energy-related issuers, reflecting the significance of the downturn that began in the fourth quarter of 2014. While holdings in the refinery and midstream market segments have generally remained resilient relative to the energy sector as a whole, exploration and production, and oilfield services bonds have been materially impacted by the pullback in commodity prices, resulting in dramatic price pressure that has dragged down returns.
The Fund benefited from an underweight position in other commodities, particularly in the metals and mining sector. Fund holdings that were the top three contributors for the year were Multi Packaging Solutions, Kenan Advantage, and RCN. Multi Packaging Solutions, a specialty printing and packaging company, is the Fund’s largest position and the most significant contributor to return. The company filed for an initial public offering (IPO) in June and announced its intention to use proceeds to pay down debt. Kenan Advantage, a fuel delivery company, is the Fund’s fourth-largest position. The company was acquired in July and benefited from subsequent new financing. Fund holding RCN Cable, a cable systems operator, produced consistently solid financial results over the period, which contributed to the Fund’s performance.
Subadviser outlook
With the Federal Open Market Committee once again leaving interest rates unchanged in September, we believe the timing of the initial rate hike will likely remain one of the biggest question marks for the market. Although interest rates will remain a point of interest for investors, we do not believe the eventual action, if any, is likely to have a material impact on the fundamental performance of high-yield issuers, nor the market, in the near term. While the extensive volatility we have seen in commodities is likely to persist, we believe general corporate fundamentals may remain intact. This may continue to support high-yield valuations in the near term as well as keep default rates below their historical averages. Despite recent pressure, our view is that any further pullback in prices will likely provide opportunities to add to positions in high-yield bonds offering attractive relative value.
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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 9/30/15 | ||||
Corporate Debt | 85.8 | % | ||
Bank Loans | 2.6 | % | ||
Common Stock | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 88.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 11.5 | % | ||
|
| |||
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 Class R5, Service Class, 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 10/1/14 - 9/30/15 | Five Year Average Annual 10/1/10 - 9/30/15 | Ten Year Average Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | -2.28% | 7.89% | 6.90% | |||||||||
Service Class | -2.40% | 7.81% | 6.84% | |||||||||
Administrative Class | -2.58% | 7.66% | 6.69% | |||||||||
Class A | -2.78% | 7.39% | 6.43% | |||||||||
Class A (sales load deducted)* | -8.37% | 6.13% | 5.80% | |||||||||
Class R3 | -2.91% | 7.14% | 6.13% | |||||||||
Barclays U.S. Corporate High-Yield Bond Index | -3.43% | 6.15% | 7.25% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
* 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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Table of Contents
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 10/1/14 - 9/30/15 | Since Inception Average Annual 3/1/11 - 9/30/15 | ||||||
Class I | -2.27% | 7.09% | ||||||
Barclays U.S. Corporate High-Yield Bond Index | -3.43% | 5.18% |
Hypothetical Investments in MassMutual Premier High Yield Fund Class R4 and the Barclays U.S. Corporate High-Yield Bond Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 4/1/14 - 9/30/15 | ||||||
Class R4 | -2.67% | -0.93% | ||||||
Barclays U.S. Corporate High-Yield Bond Index | -3.43% | -1.98% |
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.
26
Table of Contents
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, 2015?
The Fund’s Class R5 shares returned -2.03%, trailing the -0.61% 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 -8.66% return of the MSCI 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. Conversely, the Fund underperformed the 2.94% 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. Similarly, the Fund’s Class R5 shares lagged the -0.09% return of the Lipper Balanced Fund Index, an unmanaged, equally weighted index of the 30 largest mutual funds within the Lipper Balanced Category; and the 0.14% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s stock component performance
Throughout the year ended September 30, 2015, the Fund emphasized U.S. equities and de-emphasized positioning in poorly performing foreign equities. The Fund’s performance was hurt by less-than-favorable stock selection, and its value emphasis also detracted, as Fund holdings in industries that exhibited value characteristics, such as those in the materials, energy, and industrial service sectors, produced the most negative returns. Examples of underperforming Fund holdings include gold mining company Newport Mining, oil and gas company Hess, and oil drilling company Nabors Industries.
Conversely, Fund holdings in sectors that investors believed would be able to maintain growth in a slowing world economy – such as health care, retail, and consumer – experienced positive returns. Examples of Fund holdings within these industries included health-benefits manager Anthem, retailer Ross Stores, and consumer goods manufacturer Clorox.
Subadviser discussion of factors that contributed to the Fund’s bond component performance
During the year ended September 30, 2015, the Fund held an overweight position, relative to the bond component’s benchmark, in investment-grade corporate bonds and convertible securities, which were the primary detractors from performance throughout the year. The bond component’s investments in the energy and metals and mining industries were the main drivers of underperformance within the corporate and convertible sectors. Both sectors sold off amid concerns over the possibility of a Federal Reserve (the “Fed”) increase to interest rates, a strengthening U.S. currency, and slowing global economic growth, particularly in emerging-market countries. Conversely, Fund investments in bonds of asset managers and life insurance companies were the primary contributors to performance. At year end, the Fund held an overweight stake in corporate bonds.
In securitized sectors, agency mortgage-backed securities (MBS) and a modest allocation to agency collateralized mortgage obligation (CMO) securities were the primary contributors to performance during the year. (“Agency” refers to government-sponsored entities that issue bonds backed by mortgage loans, including Ginnie Mae, Fannie Mae, Freddie Mac, and the Federal
27
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MassMutual Premier Balanced Fund – Portfolio Manager Report (Unaudited) (Continued)
Home Loan Banks.) Asset-backed securities (ABS) and non-agency residential mortgage-backed securities (RMBS) also modestly contributed to performance. Within the ABS sector, the Fund took advantage of strong new issue supply in deals backed by cell towers and business franchise loans.
The Fund uses derivatives, 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 performance throughout the year.
Subadviser outlook
Corporate bond prices have declined amid diverging economic growth trends as well as heightened idiosyncratic risks, including Brazilian politics, merger and acquisition activity, and commodity sensitivity. Securitized sectors have been less affected by recent uncertainty, providing some stability. We expect this may continue, and see value in certain sectors that are less correlated to corporate America. However, our view is that this volatility will likely present targeted opportunities, highlighting the importance of sound credit selection skills.
Our view is that the differential between the strength of U.S. equity earnings and the yields investors may expect from bonds, even when the Fed is increasing rates, may be enough to compensate investors for the added risk of owning equities. We believe that there is value in global equities as well, but uncertainties about China and a potential rise in the value of the dollar have kept our enthusiasm in check.
MassMutual Premier Balanced Fund Portfolio Characteristics (% of Net Assets) on 9/30/15 | ||||
Common Stock | 52.5 | % | ||
Corporate Debt | 16.5 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 9.0 | % | ||
Mutual Funds | 8.3 | % | ||
Non-U.S. Government Agency Obligations | 7.8 | % | ||
Municipal Obligations | 0.6 | % | ||
Sovereign Debt Obligations | 0.3 | % | ||
Preferred Stock | 0.3 | % | ||
U.S. Treasury Obligations | 0.2 | % | ||
Rights | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 95.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 4.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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Table of Contents
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 10/1/14 - 9/30/15 | Five Year Average Annual 10/1/10 - 9/30/15 | Ten Year Average Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | -2.03% | 8.23% | 5.71% | |||||||||
Service Class | -2.18% | 8.07% | 5.54% | |||||||||
Administrative Class | -2.23% | 7.91% | 5.39% | |||||||||
Class A | -2.49% | 7.66% | 5.14% | |||||||||
Class A (sales load deducted)* | -8.10% | 6.39% | 4.52% | |||||||||
S&P 500 Index# | -0.61% | 13.34% | 6.80% | |||||||||
MSCI EAFE Index | -8.66% | 3.98% | 2.97% | |||||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 3.10% | 4.64% | |||||||||
Lipper Balanced Fund Index | -0.09% | 7.66% | 5.33% | |||||||||
Custom Balanced Index | 0.14% | 8.53% | 5.90% |
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 | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 4/1/14 - 9/30/15 | ||||||
Class I | -1.96% | 1.30% | ||||||
Class R4 | -2.46% | 0.79% | ||||||
Class R3 | -2.66% | 0.55% | ||||||
S&P 500 Index# | -0.61% | 3.81% | ||||||
MSCI EAFE Index | -8.66% | -7.14% | ||||||
Barclays U.S. Aggregate Bond Index | 2.94% | 3.45% | ||||||
Lipper Balanced Fund Index | -0.09% | 1.36% | ||||||
Custom Balanced Index | 0.14% | 2.66% |
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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Table of Contents
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, 2015?
The Fund’s Class R5 shares returned -3.16%, outperforming the -4.42% 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. Conversely, the Fund’s Class R5 shares’ -3.16% return trailed the -0.61% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2015, the Fund outperformed the benchmark, primarily due to stock selection in the consumer staples and industrials sectors, and an underweight position, relative to the benchmark, in energy. Fund holdings underperformed the benchmark within the financials and health care sectors, largely as a result of stock selection.
Fund holdings that were top individual contributors included UnitedHealth Group (health care), Broadcom (information technology), Kraft Heinz (consumer staples), Delta Air Lines (industrials), and Apple (information technology). UnitedHealth Group is the largest U.S. health insurance company with a diversified business model serving commercial insurance customers, government programs (e.g., Medicare Advantage and Medicaid), and international customers. In January, the company reported better-than-expected results for the fourth quarter of 2014 and forecasted accelerating growth in 2015 due to membership gains and disciplined management of medical costs. Broadcom is a semiconductor company that Avago Technologies announced plans to acquire during the period. In March 2015, Kraft Foods Group announced a merger with the H.J. Heinz Company, which was subsequently completed, and the combined company, Kraft Heinz, became the third-largest North American food and beverage company. Shares of Delta Air Lines rallied early in the year due partially to strong revenue growth. Consumer electronics giant Apple continued to perform well with the ongoing success of the iPhone 6, excitement surrounding the introduction of the new iWatch, and an increased dividend and buyback program that resulted in strong relative performance.
Fund holdings that were detractors from performance included Suncor Energy (energy), Anadarko Petroleum Corp. (energy), Micron Technology (information technology), Kohl’s (consumer discretionary), and Sanofi (health care). Suncor Energy, which specializes in the production of synthetic crude from oil sand, and Anadarko Petroleum, an American oil and gas exploration company, were negatively impacted by the sharp decline in oil prices during the year, which negatively impacted investor sentiment and made energy the worst-performing sector in the benchmark. Micron Technology, a leading manufacturer of memory (DRAM and NAND) for the technology industry, was negatively impacted by sluggish demand for PCs. Department store operator Kohl’s experienced declines over the second half of the year after reporting weaker-than-expected quarterly results. Sanofi is a global diversified health care company based in France whose shares fell in October 2014 after the company issued a warning about sales of its diabetes drugs in the U.S. in 2015, due to pricing pressures. Subsequently, the Fund exited its position in Sanofi.
Subadviser outlook
The Fund utilizes in-depth fundamental research to identify companies that Fund management believes may be poised for an unanticipated acceleration in return on invested capital over a multi-year time horizon. Our opinion is that this longer-term approach provides a more comprehensive outlook of potential investments by focusing on all three financial statements – income statement, balance sheet, and statement of cash flows – and helps us seek to uncover companies whose generation and use of available cash may not yet be fully reflected in the current stock price.
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MassMutual Premier Value Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Value Fund Largest Holdings (% of Net Assets) on 9/30/15 | ||||
Citigroup, Inc. | 3.5 | % | ||
JP Morgan Chase & Co. | 3.1 | % | ||
Pfizer, Inc. | 2.7 | % | ||
American International Group, Inc. | 2.6 | % | ||
Edison International | 2.5 | % | ||
UnitedHealth Group, Inc. | 2.4 | % | ||
Suncor Energy, Inc. | 2.3 | % | ||
Ally Financial, Inc. | 2.1 | % | ||
Danaher Corp. | 2.1 | % | ||
Cardinal Health, Inc. | 1.9 | % | ||
|
| |||
25.2 | % | |||
|
|
MassMutual Premier Value Fund Sector Table (% of Net Assets) on 9/30/15 | ||||
Financial | 22.9 | % | ||
Consumer, Non-cyclical | 21.1 | % | ||
Technology | 11.3 | % | ||
Consumer, Cyclical | 11.3 | % | ||
Industrial | 11.1 | % | ||
Energy | 9.9 | % | ||
Communications | 5.4 | % | ||
Utilities | 4.3 | % | ||
Basic Materials | 1.4 | % | ||
Mutual Funds | 0.9 | % | ||
|
| |||
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 Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Value Fund Class R5, Service Class, Administrative 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 10/1/14 - 9/30/15 | Five Year Annual 10/1/10 - 9/30/15 | Ten Year Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | -3.16% | 10.64% | 5.13% | |||||||||
Service Class | -3.28% | 10.53% | 5.02% | |||||||||
Administrative Class | -3.40% | 10.42% | 4.91% | |||||||||
Class A | -3.59% | 10.11% | 4.61% | |||||||||
Class A (sales load deducted)* | -9.13% | 8.82% | 3.99% | |||||||||
Class R3 | -3.77% | 9.81% | 4.29% | |||||||||
Russell 1000 Value Index# | -4.42% | 12.29% | 5.71% | |||||||||
S&P 500 Index | -0.61% | 13.34% | 6.80% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
* 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.
32
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 | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 4/1/14 - 9/30/15 | ||||||
Class I | -3.10% | 0.80% | ||||||
Class R4 | -3.57% | 0.34% | ||||||
Russell 1000 Value Index# | -4.42% | 0.17% | ||||||
S&P 500 Index | -0.61% | 3.81% |
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.
33
Table of Contents
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 create a diversified portfolio of equity securities in order to outperform the total return performance of its benchmark, the Russell 1000® Value Index*. Under normal circumstances, the Fund invests mainly in common stocks of companies that the Fund’s subadviser considers to be undervalued. The Fund will normally invest in common stocks of companies with market capitalizations of at least $200 million at the time of purchase. The Fund’s subadviser is Babson Capital Management LLC (Babson Capital).
How did the Fund perform during the 12 months ended September 30, 2015?
The Fund’s Class R5 shares returned -4.74%, behind the -4.42% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2015, investors favored high-growth stocks over the value stocks that make up the majority of the investable universe for the Fund. The value universe is disproportionately made up of stocks in the energy, materials, and industrial sectors – all of which were at the epicenter of the global growth slowdown. The other large sector in the value universe is financials, which was a major player in the recessionary environment of a few years ago.
While it has been a challenging few years for value investors, investing in troubled industries is an inherent part of value investing. There are now many mature technology companies that are classified as value stocks, including Fund holdings software giant Microsoft and Internet hardware company Cisco. These companies have matured, and have slower growth than newer technology companies like Facebook. The market is more skeptical of their growth potential, so they have tended to trade at lower multiples to earnings and are comparatively inexpensive. The Fund held overweight positions, relative to the benchmark, in both of these companies during the year, which helped performance. Conversely, the Fund’s value approach did not work well with respect to Fund holding U.S. Steel. Global growth concerns cut the value of U.S. Steel by 73%, despite the company generating strong free cash flow last year. Free cash flow is the amount of money a company has left after paying its bills.
During the year, the health care, retail and consumer sectors had positive returns. Examples of strong stock performers that the Fund held within these industries included hospital operator Community Health Systems, shoe retailer Footlocker, and video-game maker Electronic Arts. Given the slowdown in China and the decline in commodity prices, the materials, energy, and industrial services sectors produced the most negative returns. Examples of underperforming stocks the Fund owned in those sectors include mining company Cliff Natural Resources, oil and gas company Hess, and engineering company AECOM.
Subadviser outlook
The financial crisis of a few years back is likely still on the minds of many investors, which can make them even more reactive when the market turns down. Many companies have been using their available cash to buy back stock, which can even out the small corrections in normal markets. Aided by consistent company repurchases, the market just ended its third-longest streak without a 10% correction since 1927.
We believe that the above-average corporate profitability of the past five years will continue due to a secular decline in wages. Wages have been pressured by inexpensive oversees labor and automation, and our view is that these trends could persist and create higher profits for companies.
* | 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 9/30/15 | ||||
Exxon Mobil Corp. | 3.5 | % | ||
General Electric Co. | 3.4 | % | ||
JP Morgan Chase & Co. | 2.9 | % | ||
Wells Fargo & Co. | 2.5 | % | ||
Pfizer, Inc. | 2.4 | % | ||
Bank of America Corp. | 2.3 | % | ||
Citigroup, Inc. | 2.2 | % | ||
AT&T, Inc. | 2.0 | % | ||
Merck & Co., Inc. | 1.9 | % | ||
Cisco Systems, Inc. | 1.8 | % | ||
|
| |||
24.9 | % | |||
|
|
MassMutual Premier Disciplined Value Fund Sector Table (% of Net Assets) on 9/30/15 | ||||
Financial | 31.1 | % | ||
Consumer, Non-cyclical | 18.4 | % | ||
Industrial | 11.0 | % | ||
Energy | 9.7 | % | ||
Technology | 7.5 | % | ||
Communications | 7.3 | % | ||
Consumer, Cyclical | 6.7 | % | ||
Utilities | 5.6 | % | ||
Basic Materials | 2.0 | % | ||
Diversified | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 99.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.6 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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Table of Contents
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 R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the Russell 1000 Value Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Five Year Average Annual 10/1/10 - 9/30/15 | Ten Year Average Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | -4.74% | 11.95% | 5.23% | |||||||||
Service Class | -4.84% | 11.83% | 5.09% | |||||||||
Administrative Class | -4.97% | 11.70% | 4.94% | |||||||||
Class A | -5.13% | 11.40% | 4.67% | |||||||||
Class A (sales load deducted)* | -10.58% | 10.09% | 4.06% | |||||||||
Class R3 | -5.29% | 11.12% | 4.38% | |||||||||
Russell 1000 Value Index | -4.42% | 12.29% | 5.71% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
* 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.
36
Table of Contents
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 | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 4/1/14 - 9/30/15 | ||||||
Class I | -4.64% | -0.58% | ||||||
Class R4 | -5.10% | -1.03% | ||||||
Russell 1000 Value Index | -4.42% | 0.17% |
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.
37
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, 2015?
The Fund’s Class R5 shares returned -0.50%, outpacing the -0.61% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2015, the Fund outperformed the benchmark, primarily due to stock selection in the materials, health care, and consumer discretionary sectors. Conversely, Fund holdings underperformed the benchmark in the industrials, energy, and financials sectors, as a result of less-than-favorable stock selection.
Fund holdings that were top individual contributors included Vulcan Materials (materials), AutoZone (consumer discretionary), Mondelez (consumer staples), UnitedHealth Group (health care), and MasterCard (information technology). Shares of Vulcan Materials, a provider of construction materials such as sand and gravel, delivered strong results as construction demand continued to improve. Over the fourth quarter of 2014, AutoZone, a retailer of auto parts, underwent an acceleration in same-store sales – a key metric for the retailing industry – which led to rising profit expectations. At Mondelez, a global manufacturer and retailer of consumer products, primarily in the snack food and confection categories, management reported significant margin expansion during the first quarter of 2015, which provided a positive surprise for investors. UnitedHealth is the largest U.S. health insurance company with a diversified business model serving commercial insurance customers, government programs (e.g., Medicare Advantage and Medicaid), and international customers. UnitedHealth Group reported better-than-expected results for the fourth quarter of 2014 in January, and forecasted accelerating growth in 2015 due to membership gains and disciplined management of medical costs. MasterCard, a credit card provider, continued to benefit from the transition from cash to electronic payments around the world.
Conversely, Fund holdings that detracted most from performance during the year included energy stocks Noble Energy, Chevron, and National Oilwell Varco. These stocks declined – along with most energy-related stocks – due to the fall in oil prices. Noble Energy is a global exploration and production company whose investors reacted unfavorably to the company’s announced merger with Rosetta Resources. Chevron’s earnings results were mostly in line with analyst estimates, and the company’s strong refining operations helped offset lower oil prices; however, concerns about the pace of new projects coming online, combined with a high cash spend rate, negatively impacted investor sentiment. National Oilwell Varco is a worldwide supplier of equipment to the energy sector. As oil prices fell, many of the company’s customers decreased spending expectations, negatively impacting the projected growth of the company’s products and services. The Fund subsequently exited its position in this holding.
Also detracting from performance were Genworth Financial (financials) and Tyco International (industrials). Genworth Financials, which provides insurance for the life, mortgage, and long-term care markets, disappointed investors late last year when it reported weak third-quarter 2014 results. Tyco International provides security products and services, fire detection and suppression products and services, and life safety products. Tyco surprised investors with a disappointing earnings outlook when the company released its second-quarter fiscal year 2015 results in late April. The Fund trimmed its position in this holding modestly, but still retained a sizably overweight stake, relative to the benchmark, as it reallocated capital to other stocks for which Fund management has higher conviction in near-term fundamentals.
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MassMutual Premier Main Street Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
Fund management remains alert to disruption – both through product innovation and, increasingly, due to business model and/or process dislocations. Examples include Amazon’s dramatic impact on how goods and services are sold to customers, and how the Affordable Care Act is changing the winners and losers within health care. These disruptions may pose both threats and opportunities, and our research is increasingly focused on distinguishing between the two.
Though equity market valuations were a bit above historical averages at year end, our view is that a higher valuation level might be justified should profitability remain strong and interest rates remain low. Given our outlook that inflation may remain tame and, therefore, interest rates may be unlikely to rise dramatically over the immediate future, we are not expecting a significant contraction relative to historical valuations, but remain focused on possible changes in the investing environment.
MassMutual Premier Main Street Fund Largest Holdings (% of Net Assets) on 9/30/15 | ||||
Apple, Inc. | 4.8 | % | ||
Alphabet, Inc. Class C | 4.6 | % | ||
Citigroup, Inc. | 3.5 | % | ||
Mondelez International, Inc. Class A | 3.4 | % | ||
CME Group, Inc. | 2.9 | % | ||
Philip Morris International, Inc. | 2.8 | % | ||
General Electric Co. | 2.8 | % | ||
PepsiCo, Inc. | 2.5 | % | ||
Chevron Corp. | 2.3 | % | ||
PG&E Corp. | 2.3 | % | ||
|
| |||
31.9 | % | |||
|
|
MassMutual Premier Main Street Fund Sector Table (% of Net Assets) on 9/30/15 | ||||
Consumer, Non-cyclical | 27.6 | % | ||
Financial | 16.7 | % | ||
Communications | 13.9 | % | ||
Industrial | 10.4 | % | ||
Technology | 9.9 | % | ||
Consumer, Cyclical | 6.7 | % | ||
Energy | 6.4 | % | ||
Utilities | 3.3 | % | ||
Basic Materials | 1.7 | % | ||
Mutual Funds | 1.6 | % | ||
|
| |||
Total Long-Term Investments | 98.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
39
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 10/1/14 - 9/30/15 | Five Year Average Annual 10/1/10 - 9/30/15 | Ten Year Average Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | -0.50% | 12.70% | 6.33% | |||||||||
Service Class | -0.57% | 12.66% | 6.24% | |||||||||
Administrative Class | -0.63% | 12.48% | 6.11% | |||||||||
Class A | -0.96% | 12.19% | 5.84% | |||||||||
Class A (sales load deducted)* | -6.65% | 10.87% | 5.21% | |||||||||
Class R3 | -1.07% | 11.90% | 5.55% | |||||||||
S&P 500 Index | -0.61% | 13.34% | 6.80% |
Hypothetical Investments in MassMutual Premier Main Street Fund Class I, Class R4, and the S&P 500 Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 4/1/14 - 9/30/15 | ||||||
Class I | -0.36% | 3.78% | ||||||
Class R4 | -0.85% | 3.28% | ||||||
S&P 500 Index | -0.61% | 3.81% |
GROWTH OF $10,000 INVESTMENT FOR 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 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.
40
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 create a diversified portfolio of equity securities in order to outperform the total return performance of its benchmark, the Russell 1000® Growth Index*. Under normal circumstances, the Fund invests mainly in common stocks of companies that the Fund’s subadviser believes offer the potential for long-term growth. The Fund will normally invest in common stocks of companies with market capitalizations of at least $200 million at the time of purchase. The Fund may use futures contracts as a substitute for direct investments in order to help manage cash flows. The Fund’s subadviser is Babson Capital Management LLC (Babson Capital).
How did the Fund perform during the 12 months ended September 30, 2015?
The Fund’s Class R5 shares returned 1.29%, trailing the 3.17% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year ended September 30, 2015, investors favored high-growth stocks in the biotechnology and Internet industries, as these companies were forecast to continue growing, even in a challenging environment. When the stock market fell in late August, strong-performing stocks in those industries declined more than the overall market.
The Fund seeks stocks that have multiple favorable characteristics, often evaluating earnings growth against value measures. This approach hampered performance throughout much of the year, however, as investors seemed willing to pay exorbitant prices for high-growth stocks. For example, the Fund held a significantly underweight position, relative to the benchmark, in Facebook, the well-known company that runs the largest social network, which rose more than 13% for the period. Facebook is growing greater than 40% per year, but the Fund maintained an underweight position because investors must pay too high a price to participate in that growth, in management’s view. Instead, the Fund invested in other companies like JetBlue, the budget airline, which was also growing at more than 40% per year, but with a price that was more reasonable.
The retail trade, consumer non-durables, and health services sectors all advanced by more than 10% for the year. Examples of strong performers within these industries included Fund holdings retailer Target, shoe company Nike, and health insurer Cigna.
Given the slowdown in China and the decline in commodity prices, the energy and industrial services sectors produced the most negative returns for the year. Examples of underperforming stocks that were Fund holdings within these sectors included natural gas producer Chesapeake Energy and energy exploration company Haliburton.
Subadviser outlook
The financial crisis of a few years back is likely still on the minds of many investors, which can make them even more reactive when the market turns down. Many companies have been using their available cash to buy back stock, which can even out the small corrections in normal markets. Aided by consistent company repurchases, the market just ended its third-longest streak without a 10% correction since 1927.
We believe that the above-average corporate profitability of the past five years will continue due to a secular decline in wages. Wages have been pressured by inexpensive oversees labor and automation, and our view is that these trends could persist and create higher profits for companies.
* | 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 Disciplined Growth Fund Largest Holdings (% of Net Assets) on 9/30/15 | ||||
Apple, Inc. | 7.3 | % | ||
Amazon.com, Inc. | 2.6 | % | ||
Gilead Sciences, Inc. | 2.2 | % | ||
Verizon Communications, Inc. | 2.1 | % | ||
Amgen, Inc. | 1.9 | % | ||
Alphabet, Inc. Class A | 1.9 | % | ||
The Walt Disney Co. | 1.9 | % | ||
Alphabet, Inc. Class C | 1.7 | % | ||
PepsiCo, Inc. | �� | 1.7 | % | |
Visa, Inc. Class A | 1.4 | % | ||
|
| |||
24.7 | % | |||
|
|
MassMutual Premier Disciplined Growth Fund Sector Table (% of Net Assets) on 9/30/15 | ||||
Consumer, Non-cyclical | 30.5 | % | ||
Communications | 19.0 | % | ||
Technology | 16.4 | % | ||
Consumer, Cyclical | 15.2 | % | ||
Industrial | 9.9 | % | ||
Financial | 5.1 | % | ||
Basic Materials | 2.6 | % | ||
Energy | 0.6 | % | ||
Utilities | 0.1 | % | ||
Diversified | 0.1 | % | ||
|
| |||
Total Long-Term Investments | 99.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
42
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 Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Five Year Average Annual 10/1/10 - 9/30/15 | Ten Year Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | 1.29% | 14.47% | 7.92% | |||||||||
Service Class | 1.19% | 14.35% | 7.86% | |||||||||
Administrative Class | 1.08% | 14.21% | 7.71% | |||||||||
Class A | 0.78% | 13.91% | 7.44% | |||||||||
Class A (sales load deducted)* | -5.01% | 12.57% | 6.81% | |||||||||
Russell 1000 Growth Index | 3.17% | 14.47% | 8.09% |
Hypothetical Investments in MassMutual Premier Disciplined Growth Fund Class I, Class R4, Class R3, and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 9/30/15 | ||||||
Class I | 1.30% | 4.98% | ||||||
Class R4 | 0.94% | 4.55% | ||||||
Class R3 | 0.66% | 4.29% | ||||||
Russell 1000 Growth Index | 3.17% | 6.61% |
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.
43
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, 2015?
The Fund’s Class R5 shares returned 2.44%, outpacing the 1.25% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2015, the Fund outperformed the benchmark, primarily due to strong relative stock selection in the information technology, energy, and financials sectors. Conversely, Fund holdings underperformed the benchmark within the consumer discretionary and health care sectors primarily due to stock selection, and within the materials sector because of weaker relative stock selection and an overweight position, relative to the benchmark.
Fund holdings that were top individual contributors for the year included information technology stocks Imperva and Fortinet, and health care stocks Prestige Brands Holdings, DexCom, and WellCare Health Plans. Imperva, which develops protection software and services for databases and business applications, reported strong results, demonstrating that the new company management’s sales and marketing overhaul was bearing fruit. Fortinet provides cyber security solutions for enterprises, service providers, and governments worldwide. Over the last year, the company ramped up sales and marketing to expand distribution of its products, which coincided with an increase in spending on IT security products spurred by high-profile breaches that have escalated security issues into the offices of CEOs, COOs, and CFOs. Sales at Prestige Brands Holdings, a distributor of over-the-counter health care and household products, improved as destocking by retailers came to an end. DexCom is a medical device company that benefited from a favorable combination of an FDA product approval and continued revenue growth. WellCare Health Plans, which provides managed care services to government-sponsored health care programs such as Medicare and Medicaid, saw its stock rise late last year, when reported revenues and earnings topped expectations and upper management changes were well received by investors.
Fund holdings that were detractors from performance included CONE Midstream Partners (energy), Century Aluminum Company (materials), Intrepid Potash (materials), Spectranetics (health care), and Tronox Ltd. (materials). CONE Midstream Partners is involved in natural gas gathering in the Marcellus shale field. The company’s stock declined during the year when management revised its growth projections downward, which reflected reduced spending by customers resulting from the substantial decline in oil prices. The stock of aluminum producer Century Aluminum suffered from weakening London Metals Exchange (LME) prices, and the Fund exited the stock during the period. Intrepid Potash, the largest producer of potassium chloride (“potash”) in the U.S., experienced declines due partly to declining potash prices. Spectranetics, which develops single-use medical devices used in minimally invasive cardiovascular procedures, had a disappointing first quarter, and revised estimates downward based on lower-than-expected U.S. peripheral atherectomy (a procedure to remove plaque from blood vessels) growth. Tronox produces and sells titanium-bearing feedstocks and titanium dioxide (TiO2) pigment – used globally in paints, coatings, plastics, and paper. Disappointing results, stemming from industry over-supply of TiO2 that put added pressure on prices, hurt the stock’s performance. Additionally, Tronox’s acquisition of FMC Corp.’s soda ash business – primarily used in the manufacturing of glass and detergents – was not well received by investors, and the Fund exited the stock during the period.
Subadviser outlook
Fund management remains alert to disruption – both through product innovation and, increasingly, due to business model and/or process dislocations. Examples include Amazon’s dramatic impact on how goods and services are sold to customers, and how the Affordable Care Act is changing the winners and losers within health care. These disruptions may pose both threats and opportunities, and our research is increasingly focused on distinguishing between the two.
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Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)
Though equity market valuations were a bit above historical averages at year end, our view is that a higher valuation level might be justified should profitability remain strong and interest rates remain low. Given our outlook that inflation may remain tame and, therefore, interest rates may be unlikely to rise dramatically over the immediate future, we are not expecting a significant contraction relative to historical valuations, but remain focused on possible changes in the investing environment.
MassMutual Premier Small Cap Opportunities Fund Largest Holdings (% of Net Assets) on 9/30/15 | ||||
Pinnacle Foods, Inc. | 2.5 | % | ||
Korn/Ferry International | 2.2 | % | ||
STAG Industrial, Inc. | 2.2 | % | ||
SYNNEX Corp. | 2.1 | % | ||
WellCare Health Plans, Inc. | 2.0 | % | ||
BankUnited, Inc. | 2.0 | % | ||
KAR Auction Services, Inc. | 2.0 | % | ||
Prestige Brands Holdings, Inc. | 1.9 | % | ||
j2 Global, Inc. | 1.9 | % | ||
BancorpSouth, Inc. | 1.9 | % | ||
|
| |||
20.7 | % | |||
|
|
MassMutual Premier Small Cap Opportunities Fund Sector Table (% of Net Assets) on 9/30/15 | ||||
Consumer, Non-cyclical | 28.3 | % | ||
Financial | 24.3 | % | ||
Technology | 15.6 | % | ||
Consumer, Cyclical | 11.5 | % | ||
Industrial | 7.8 | % | ||
Mutual Funds | 6.4 | % | ||
Basic Materials | 4.3 | % | ||
Energy | 3.2 | % | ||
Utilities | 2.9 | % | ||
Communications | 1.3 | % | ||
|
| |||
Total Long-Term Investments | 105.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | (5.6 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
45
Table of Contents
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 R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Five Year Average Annual 9/30/15 | Ten Year Average Annual 9/30/15 | |||||||||
Class R5 | 2.44% | 13.77% | 6.76% | |||||||||
Service Class | 2.41% | 13.65% | 6.66% | |||||||||
Administrative Class | 2.25% | 13.55% | 6.56% | |||||||||
Class A | 2.04% | 13.26% | 6.29% | |||||||||
Class A (sales load deducted)* | -3.83% | 11.93% | 5.66% | |||||||||
Russell 2000 Index | 1.25% | 11.73% | 6.55% |
Hypothetical Investments in MassMutual Premier Small Cap Opportunities Fund Class I, Class R4, Class R3, and the Russell 2000 Index.
TOTAL RETURN | One Year 9/30/15 | Since Inception Average Annual 9/30/15 | ||||||
Class I | 2.63% | -1.04% | ||||||
Class R4 | 2.17% | -1.51% | ||||||
Class R3 | 1.97% | -1.73% | ||||||
Russell 2000 Index | 1.25% | -2.88% |
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.
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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 can invest without limit in foreign securities, including American Depositary Receipts, and can invest in any country, including developing or emerging market countries. However, the Fund currently emphasizes investments in developed markets such as the United States, Western European countries, and Japan. The Fund normally will invest in at least three countries (one of which may be the United States) and typically invests in a number of different countries. The Fund’s subadviser is OppenheimerFunds, Inc. (OFI).
How did the Fund perform during the 12 months ended September 30, 2015?
The Fund’s Class R5 shares returned -2.07%, outpacing the -6.66% return of the 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2015, the Fund benefited most from underweight positions, relative to the benchmark, in the energy and materials sectors and stock selection in the information technology sector. Conversely, Fund holdings underperformed the benchmark in the consumer staples sector due to stock selection and an underweight position, and in the consumer discretionary sector due to stock selection.
Four of the top-performing Fund holdings for the year were American stocks – including Altera Corp. (information technology), Aetna (health care), Walt Disney (consumer discretionary) and Clovis Oncology (health care). Rounding out the top five was Industria de Diseno Textil (“Inditex”) (consumer discretionary, Spain). Altera is a key player in the programmable logic device (PLD) niche of the semiconductor industry. Recognizing the value of Altera’s intellectual property, Intel, the largest chip maker, announced plans to acquire the company. The Fund’s investment in Aetna, a health benefits company, is based on our belief the company can be part of the solution to rising health care costs and is likely to benefit from the growing number of people becoming insured, which has been the case so far. Walt Disney produces movies, television programs, musical recordings, books, magazines, and merchandise for entertainment and education. The company also operates distribution channels such as television networks, theme parks, hotels, cruise lines, retail stores and classrooms. Walt Disney has unique, iconic intellectual property assets, and many channels through which to monetize them. Clovis Oncology is a biopharmaceutical company that had a strong reporting period. Inditex is a multinational clothing company that reported a 26% increase in net profit over the first half of 2015, helped by strong sales.
Fund holdings that detracted from performance included Technip (energy, France), SunEdison (information technology, United States), LM Ericsson Telefon (“Ericsson”) (information technology, Sweden), and two Spanish companies – Banco Bilbao Vizcaya Argentari (“BBVA”) (financials) and Repsol (energy). Technip is a global leader in project management, construction, and engineering services provided to companies in the energy industry. It was a challenging year for the company, as the geopolitical issues in Russia generated concerns for an important project that Technip had been awarded there. The stock was also negatively impacted by concerns about the capital expenditure plans of large energy companies in light of falling oil prices. The Fund initiated a position in SunEdison in the middle of August, during a period of sharp decline in its share price. The company is a developer of technologies in the field of solar power. Mobile network operator Ericsson underperformed for a few reasons, including slower U.S. recovery, 4G peaking in China, and no resolution of a patent dispute with Apple – all of which we view as transient factors. BBVA, one of the largest banks in Spain, has over 50% of its earnings coming from Latin America. The stock was weak due to investor worries about a deteriorating macro-economic environment in Europe and Latin American growth rates that were below market expectations. Repsol is a global energy company that was negatively impacted partly by declining oil prices.
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MassMutual Premier Global Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
Headlines have very little to do with the way the Fund invests, other than perhaps creating opportunities to buy or add to companies where we believe near-term concerns have caused share prices to dislocate from long-term fundamentals. The Fund is a long-term, growth-oriented investment portfolio that uses a bottom-up, fundamental approach, seeking to invest only in high-quality companies with above-average, sustainable growth characteristics. The Fund seeks to add value through individual stock selection, and makes no effort to mimic the weights assigned to the benchmark by sector, region or country. Valuation is a critical part of the Fund’s investment criteria. Assuming we properly understand a given set of business economics, our returns are principally a function of paying an appropriate price for companies with solid growth fundamentals.
MassMutual Premier Global Fund Largest Holdings (% of Net Assets) on 9/30/15 | ||||
The McGraw Hill Financial, Inc. | 2.4 | % | ||
Aetna, Inc. | 2.4 | % | ||
Colgate-Palmolive Co. | 2.1 | % | ||
Citigroup, Inc. | 2.1 | % | ||
Murata Manufacturing Co. Ltd. | 2.1 | % | ||
Airbus Group SE | 2.1 | % | ||
Altera Corp. | 2.1 | % | ||
Adobe Systems, Inc. | 2.0 | % | ||
LVMH Moet Hennessy Louis Vuitton SE | 1.9 | % | ||
Industria de Diseno Textil SA | 1.9 | % | ||
|
| |||
21.1 | % | |||
|
|
MassMutual Premier Global Fund Sector Table (% of Net Assets) on 9/30/15 | ||||
Consumer, Non-cyclical | 23.9 | % | ||
Financial | 20.4 | % | ||
Communications | 16.0 | % | ||
Industrial | 15.6 | % | ||
Technology | 10.0 | % | ||
Consumer, Cyclical | 8.7 | % | ||
Mutual Fund | 3.8 | % | ||
Diversified | 1.9 | % | ||
Energy | 1.2 | % | ||
Basic Materials | 0.9 | % | ||
|
| |||
Total Long-Term Investments | 102.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | (2.4 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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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 9/30/15 | Five Year Average Annual 10/1/10 - 9/30/15 | Ten Year Average Annual 9/30/15 | |||||||||
Class R5 | -2.07% | 8.96% | 5.81% | |||||||||
Service Class | -2.15% | 8.82% | 5.67% | |||||||||
Administrative Class | -2.23% | 8.70% | 5.56% | |||||||||
Class A | -2.44% | 8.40% | 5.26% | |||||||||
Class A (sales load deducted)* | -8.05% | 7.13% | 4.64% | |||||||||
Class R3 | -2.63% | 8.29% | 5.15% | |||||||||
MSCI ACWI | -6.66% | 6.82% | 4.58% |
Hypothetical Investments in MassMutual Premier Global Fund Class I, Class R4, and the MSCI ACWI.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 4/1/14 - 9/30/15 | ||||||
Class I | -1.92% | -0.13% | ||||||
Class R4 | -2.44% | -0.61% | ||||||
MSCI ACWI | -6.66% | -2.83% |
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 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 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, 2015?
The Fund’s Class R5 shares returned -3.17%, significantly outperforming the -12.16% return of the MSCI All Country World Index (ACWI) ex USA (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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
Stock selection in the consumer discretionary, materials, and information technology sectors benefited the Fund most for the year ended September 30, 2015. An underweight position, relative to the benchmark, in energy also contributed. Conversely, Fund holdings underperformed the benchmark in the consumer staples and industrials sectors due to less-than-favorable stock selection.
Fund holdings that were contributors to performance included consumer discretionary stocks Dollarama (Canada), Domino’s Pizza Group, Carnival, and Dignity (all from the United Kingdom) – as well as health care stock Galenica (Switzerland). Dollarama is a Canadian discount retailer that is similar to Dollar Tree and Dollar General in the U.S. Although the economy in Canada has been suffering with the fall in oil prices, Dollarama has been benefiting as shoppers look for more affordable choices. Shares of pizza company Domino’s Pizza Group benefited from positive earnings results on strong same-store sales growth in 2015. Carnival, a market leader in the global cruise industry, rallied early in the year after reporting solid financial results driven by higher onboard spending and increased demand for Asian cruises. Dignity is a provider of funeral-related services that had a strong reporting period. Galenica, which develops, manufactures, and markets pharmaceutical products and runs pharmacies, benefited from announcing its intention to strengthen the pipeline of its pharmaceutical division (Vifor) through acquisitions and partnerships, with an eye toward potentially spinning it off over the next few years.
Conversely, Fund holdings that were top individual detractors included Aryzta (consumer staples, Switzerland), Weir Group (industrials, United Kingdom), Lenovo Group (information technology, China), and two U.K. companies in the industrials sector, Rolls-Royce and Aggreko. Arzyta is a Swiss packaged-food company that announced the acquisition of a 49% stake in Picard, a premium frozen food company in France. Picard moved Arzyta into the retail channel, which investors didn’t favor. Weir Group is a producer of pumps used commonly in the oil and gas industry, particularly in U.S. fracking fields. The company’s share price declined along with the price of oil. Lenovo, a computer technology company, declined due partly to weak PC demand and its struggling mobile business. The company recently announced a restructuring plan to focus on cost reduction and improve efficiency. Rolls-Royce designs, develops, manufactures, and services power systems for use in the air, on land, and at sea. The company issued profit warnings during the reporting period, driven partly by declining oil prices and weaker demand for some of its aircraft engines. Finally, Aggreko is a temporary power generation company that was also negatively impacted by falling oil prices.
Subadviser outlook
Our view is that market turmoil can result in opportunity for active investors. In many cases, bouts of volatility cause short-term market participants to treat equities like a generic asset class, without differentiation. As a result, many great companies can fall in price also. The Fund continues to seek to invest in companies that may benefit from long-term secular growth trends, ones that have significant and durable competitive advantages, and the financial flexibility to increase their relative market position relative to competitors during downtrends 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 9/30/15 | ||||
Dollarama, Inc. | 2.1 | % | ||
Continental AG | 1.7 | % | ||
Novo Nordisk A/S | 1.7 | % | ||
Nippon Telegraph & Telephone Corp. | 1.6 | % | ||
Carnival Corp. | 1.5 | % | ||
Infineon Technologies AG | 1.5 | % | ||
Valeo SA | 1.4 | % | ||
Roche Holding AG | 1.4 | % | ||
Heineken NV | 1.4 | % | ||
Amadeus IT Holding SA Class A | 1.4 | % | ||
|
| |||
15.7 | % | |||
|
|
MassMutual Premier International Equity Fund Sector Table (% of Net Assets) on 9/30/15 | ||||
Consumer, Non-cyclical | 27.6 | % | ||
Consumer, Cyclical | 21.4 | % | ||
Industrial | 16.6 | % | ||
Communications | 14.2 | % | ||
Technology | 9.9 | % | ||
Mutual Fund | 5.2 | % | ||
Financial | 4.2 | % | ||
Basic Materials | 3.4 | % | ||
Diversified | 0.9 | % | ||
Energy | 0.4 | % | ||
|
| |||
Total Long-Term Investments | 103.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | (3.8 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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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 10/1/14 - 9/30/15 | Five Year Average Annual 9/30/15 | Ten Year Average Annual 10/1/05 - 9/30/15 | |||||||||
Class R5 | -3.17% | 6.59% | 5.92% | |||||||||
Service Class | -3.20% | 6.54% | 5.87% | |||||||||
Administrative Class | -3.28% | 6.39% | 5.73% | |||||||||
Class A | -3.54% | 6.14% | 5.46% | |||||||||
Class A (sales load deducted)* | -9.09% | 4.89% | 4.84% | |||||||||
MSCI ACWI ex-U.S. | -12.16% | 1.82% | 3.03% |
Hypothetical Investments in MassMutual Premier International Equity Fund Class I, Class R4, Class R3, and the MSCI ACWI ex-U.S.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 4/1/14 - 9/30/15 | ||||||
Class I | -3.02% | -6.63% | ||||||
Class R4 | -3.46% | -7.10% | ||||||
Class R3 | -3.76% | -7.33% | ||||||
MSCI ACWI ex-U.S. | -12.16% | -8.59% |
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.
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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 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, 2015?
The Fund’s Class R5 shares returned -23.20%, trailing the -19.28% return of the MSCI Emerging Markets 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2015, the Fund underperformed the benchmark, primarily due to stock selection in the consumer discretionary, information technology, and consumer staples sectors. Conversely, Fund holdings outperformed the benchmark, primarily in the financials and health care sectors, due to stronger relative stock selection.
Fund holdings that detracted most from the Fund’s full-year performance included Petroleo Brasileiro (“Petrobras”) (energy, Brazil), Baidu (information technology, China), Glencore (materials, United Kingdom), Alibaba Group Holding (information technology, China), and Yandex (information technology, Russia). Petrobras is a Brazilian oil exploration and production company whose share price dropped due to the fall in world oil prices and negative company-specific news related to an alleged corruption scandal. The Fund exited this position following the catastrophic decline in oil prices and increasing balance sheet strains associated with the company’s massive capital investment program. Fund management was disappointed by the unparalleled level of corporate governance and corruption allegations in the Chinese Internet industry, which negatively impacted Baidu.com (the leading search engine in China) and Alibaba Group Holding, the largest e-commerce platform in the Chinese market. Glencore is a natural resource company that was negatively impacted by declining commodity prices, which reduced the company’s profitability and put pressure on its balance sheet, sending the stock price down significantly. Yandex is the leading Internet search engine in Russia. The company continues to show sales growth in local currency terms, but has suffered from the macro-economic slowdown in Russia as well as the sharp depreciation of the Russian ruble.
Four of the five top-performing Fund holdings were based in India: Infosys (information technology), Housing Development Finance Corp. (“HDFC”) (financials), Dr. Reddy’s Laboratories Ltd. (health care), and Zee Entertainment Enterprises (consumer discretionary). India was an unconventional bastion of stability in the emerging-market equity world during the year – a result of significant improvements in the country’s balance of payments (India was a major beneficiary of lower energy prices) and relative economic growth resilience. Infosys is a leading information technology service company that demonstrated signs of significant improvements under new leadership and clearly benefited from massive corporate technology shifts toward social, digital, and cloud offerings. HDFC is the leading provider of housing loans in India. The Reserve Bank of India eased monetary conditions significantly in the first quarter of 2015, which proved beneficial for the share prices of many lenders, including HDFC. Dr. Reddy’s Laboratories is a global generics pharmaceutical company with a strong presence in the U.S., India, and Russia/Commonwealth of Independent States (CIS) markets. We believe the company is well positioned to continue to grow sales and earnings over the long term due to its solid pipeline and global partnerships. Zee Entertainment, a leading media and entertainment company that produces content in Hindi and several other languages, is the most significant beneficiary of
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MassMutual Premier Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited) (Continued)
digitization of India’s television, which improves measurability of audiences and hence subscription monetization. Finally, LVMH Moet Hennessy Louis Vuitton (consumer discretionary), based in France, also contributed to the Fund’s full-year performance and rallied early in 2015 after reporting solid fourth-quarter results.
Subadviser outlook
For long-term investors, we believe it is time to step back and ignore the noise. The Fund has struggled in the current environment and underperformed in the past 12 months. While this is disappointing, it does not change our strategy or investment philosophy. We intend to maintain the Fund’s focus on long-term investing, while continuing to seek to invest in rare, extraordinary companies we believe may have substantial competitive advantages. We believe extraordinary companies can emerge from difficult periods with even greater competitive advantages, because great companies typically have the cash flow and balance sheet flexibility to invest during tough times. We remain focused on quality companies with the potential to dominate their markets. We believe this focus allows the Fund the potential to generate strong returns for investors over the long term.
MassMutual Premier Strategic Emerging Markets Fund Largest Holdings (% of Net Assets) on 9/30/15 | ||||
Housing Development Finance Corp. | 4.2 | % | ||
Tencent Holdings Ltd. | 3.5 | % | ||
Magnit PJSC | 3.4 | % | ||
Infosys Technologies Ltd. | 3.1 | % | ||
NovaTek OAO | 2.5 | % | ||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) | 2.5 | % | ||
JD.com, Inc. ADR | 2.1 | % | ||
Baidu, Inc. Sponsored ADR (Cayman Islands) | 2.1 | % | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 2.0 | % | ||
Ctrip.com International Ltd. ADR | 1.7 | % | ||
|
| |||
27.1 | % | |||
|
|
MassMutual Premier Strategic Emerging Markets Fund Sector Table (% of Net Assets) on 9/30/15 | ||||
Financial | 23.9 | % | ||
Consumer, Non-cyclical | 20.2 | % | ||
Communications | 18.6 | % | ||
Consumer, Cyclical | 14.0 | % | ||
Technology | 6.8 | % | ||
Mutual Funds | 4.5 | % | ||
Industrial | 3.8 | % | ||
Diversified | 3.2 | % | ||
Energy | 2.7 | % | ||
Basic Materials | 1.3 | % | ||
|
| |||
Total Long-Term Investments | 99.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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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 10/1/14 - 9/30/15 | Five Year Average Annual 10/1/10 - 9/30/15 | Since Inception Average Annual 11/3/08 - 9/30/15 | |||||||||
Class R5 | -23.20% | -6.53% | 5.16% | |||||||||
Service Class | -23.23% | -6.60% | 5.07% | |||||||||
Administrative Class | -23.32% | -6.72% | 4.92% | |||||||||
Class A | -23.47% | -6.97% | 4.66% | |||||||||
Class A (sales load deducted)* | -27.87% | -8.06% | 3.76% | |||||||||
MSCI Emerging Markets Index | -19.28% | -3.58% | 7.45% |
Hypothetical Investments in MassMutual Premier Strategic Emerging Markets Fund Class I and the MSCI Emerging Markets Index.
TOTAL RETURN | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 3/1/11 - 9/30/15 | ||||||
Class I | -23.13% | -7.11% | ||||||
MSCI Emerging Markets Index | -19.28% | -4.60% |
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.
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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 | One Year 10/1/14 - 9/30/15 | Since Inception Average Annual 9/30/15 | ||||||
Class R4 | -23.45% | -14.35% | ||||||
Class R3 | -23.57% | -14.54% | ||||||
MSCI Emerging Markets Index | -19.28% | -11.66% |
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.
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MassMutual Premier Money Market Fund – Portfolio of Investments
September 30, 2015
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 101.8% | ||||||||
Commercial Paper — 81.2% | ||||||||
Air Products & Chemicals, Inc. (a) | $ | 5,000,000 | $ | 4,999,583 | ||||
Air Products & Chemicals, Inc. (a) | 6,000,000 | 6,000,000 | ||||||
American Honda Finance Corp. | 8,000,000 | 7,999,833 | ||||||
Archer Daniels Midland Co. (a) | 10,000,000 | 9,999,878 | ||||||
AstraZeneca PLC (a) | 9,500,000 | 9,497,902 | ||||||
Basin Electric Power Coorperative (a) | 10,000,000 | 9,999,711 | ||||||
Brown-Forman Corp. (a) | 9,990,000 | 9,989,009 | ||||||
Cargill, Inc. (a) | 10,000,000 | 10,000,000 | ||||||
Caterpillar Financial Services Co. | 10,000,000 | 9,996,442 | ||||||
CDP Financial, Inc. (a) | 5,000,000 | 4,999,693 | ||||||
CDP Financial, Inc. (a) | 4,300,000 | 4,299,632 | ||||||
Coca-Cola Co. (a) | 6,000,000 | 5,999,510 | ||||||
ConocoPhillips Qatar Funding Ltd. (a) | 10,000,000 | 9,995,667 | ||||||
Dover Corp. (a) | 10,000,000 | 10,000,000 | ||||||
Emerson Electric Co. (a) | 7,750,000 | 7,747,384 | ||||||
Emerson Electric Co. (a) | 2,000,000 | 1,999,736 | ||||||
Estee Lauder Cos., Inc. Class A (a) | 3,000,000 | 2,999,686 | ||||||
Estee Lauder Cos., Inc. Class A (a) | 7,000,000 | 6,999,108 | ||||||
Google, Inc. Class C (a) | 6,000,000 | 5,999,350 | ||||||
Henkel Corp. (a) | 2,500,000 | 2,499,775 | ||||||
Hershey Foods Corp. (a) | 10,000,000 | 9,999,097 | ||||||
Honeywell International, Inc. (a) | 9,500,000 | 9,496,638 | ||||||
John Deere Capital Corp. (a) | 10,000,000 | 9,999,419 |
Principal Amount | Value | |||||||
Johnson & Johnson (a) | $ | 10,000,000 | $ | 9,999,792 | ||||
Kimberly Clark Corp. (a) | 10,000,000 | 9,999,533 | ||||||
L’Oreal USA, Inc. (a) | 10,000,000 | 9,999,144 | ||||||
Microsoft Corp. (a) | 10,000,000 | 9,998,133 | ||||||
National Rural Utilities Cooperative Finance Corp. | 6,200,000 | 6,199,731 | ||||||
National Rural Utilities Cooperative Finance Corp. | 1,900,000 | 1,899,904 | ||||||
National Rural Utilities Cooperative Finance Corp. | 2,000,000 | 1,999,806 | ||||||
NSTAR Electric Co. | 1,300,000 | 1,299,955 | ||||||
NSTAR Electric Co. | 8,200,000 | 8,199,795 | ||||||
NSTAR Electric Co. | 500,000 | 499,986 | ||||||
Paccar Financial Corp. | 10,000,000 | 9,995,017 | ||||||
Parker-hannifin Corp. (a) | 2,720,000 | 2,719,882 | ||||||
PepsiCo, Inc. (a) | 8,000,000 | 7,999,422 | ||||||
Pfizer, Inc. (a) | 9,000,000 | 8,994,803 | ||||||
Precision Castparts Corp. (a) | 10,000,000 | 9,999,833 | ||||||
Proctor & Gamble Co. (a) | 5,750,000 | 5,749,754 | ||||||
Reckitt Benckiser PLC (a) | 1,000,000 | 999,783 | ||||||
Reckitt Benckiser PLC (a) | 8,250,000 | 8,248,034 | ||||||
The Wal-Mart Stores, Inc. (a) | 10,000,000 | 9,998,953 | ||||||
Toyota Motor Credit Corp. | 9,000,000 | 8,999,762 | ||||||
Unilever Capital Crop. (a) | 3,800,000 | 3,799,177 | ||||||
Unilever Capital Crop. (a) | 6,000,000 | 5,997,700 | ||||||
United Healthcare Co. (a) | 10,000,000 | 10,000,000 | ||||||
|
| |||||||
325,114,952 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
57
Table of Contents
MassMutual Premier Money Market Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Corporate Debt — 1.2% | ||||||||
General Electric Capital Corp. FRN | $ | 1,100,000 | $ | 1,100,477 | ||||
General Electric Capital Corp. FRN | 3,500,000 | 3,505,370 | ||||||
|
| |||||||
4,605,847 | ||||||||
|
| |||||||
Discount Notes — 9.4% | ||||||||
Federal Farm Credit Discount Notes | 1,000,000 | 999,984 | ||||||
Federal Farm Credit Discount Notes | 3,000,000 | 2,999,850 | ||||||
Federal Home Loan Bank Discount Notes | 2,000,000 | 1,999,879 | ||||||
Federal Home Loan Bank Discount Notes | 653,000 | 652,886 | ||||||
Federal Home Loan Bank Discount Notes | 400,000 | 399,833 | ||||||
Federal Home Loan Bank Discount Notes | 415,000 | 414,817 | ||||||
Federal Home Loan Bank Discount Notes | 900,000 | 899,571 | ||||||
Federal Home Loan Bank Discount Notes | 2,300,000 | 2,298,762 | ||||||
Federal Home Loan Bank Discount Notes | 1,920,000 | 1,918,936 | ||||||
Federal Home Loan Bank Discount Notes | 500,000 | 499,672 | ||||||
Federal Home Loan Bank Discount Notes | 2,710,000 | 2,708,088 | ||||||
Federal Home Loan Bank Discount Notes | 400,000 | 399,691 | ||||||
Federal Home Loan Bank Discount Notes | 1,075,000 | 1,073,863 | ||||||
Federal Home Loan Mortgage Corp. | 700,000 | 699,925 | ||||||
Federal Home Loan Mortgage Corp. | 5,850,000 | 5,847,684 | ||||||
Federal Home Loan Mortgage Corp. | 2,000,000 | 1,998,433 | ||||||
Federal Home Loan Mortgage Corp. | 500,000 | 499,618 | ||||||
Federal National Mortgage Association | 6,700,000 | 6,696,815 | ||||||
Federal National Mortgage Association | 500,000 | 499,738 | ||||||
Federal National Mortgage Association | 350,000 | 349,806 | ||||||
Federal National Mortgage Association | 1,500,000 | 1,498,967 | ||||||
Federal National Mortgage Association | 1,600,000 | 1,598,827 |
Principal Amount | Value | |||||||
Federal National Mortgage Association | $ | 500,000 | $ | 499,556 | ||||
Federal National Mortgage Association | 163,000 | 162,898 | ||||||
|
| |||||||
37,618,099 | ||||||||
|
| |||||||
Time Deposits — 2.5% | ||||||||
Euro Time Deposit | 9,841,165 | 9,841,165 | ||||||
|
| |||||||
U.S. Government Obligations — 7.5% | ||||||||
U.S. Treasury Note, | 15,000,000 | 14,999,898 | ||||||
U.S. Treasury Note, | 10,000,000 | 10,001,060 | ||||||
U.S. Treasury Note, | 5,000,000 | 5,003,157 | ||||||
|
| |||||||
30,004,115 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $407,184,178) | 407,184,178 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.8% (Cost $407,184,178) (b) | 407,184,178 | |||||||
Other Assets/(Liabilities) — (1.8)% | (7,166,801 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 400,017,377 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
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, 2015, these securities amounted to a value of $268,024,721 or 67.00% 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.
58
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments
September 30, 2015
Principal Amount | Value | |||||||
EQUITIES — 0.5% | ||||||||
PREFERRED STOCK — 0.5% | ||||||||
Consumer, Non-cyclical — 0.2% | ||||||||
Pharmaceuticals — 0.2% | ||||||||
Allergan PLC 5.500% | $ | 1,125 | $ | 1,061,393 | ||||
|
| |||||||
Energy — 0.3% | ||||||||
Oil & Gas — 0.3% | ||||||||
Anadarko Petroleum Corp. 7.500% | 27,000 | 1,010,610 | ||||||
Southwestern Energy Co. 6.250% | 12,900 | 400,932 | ||||||
|
| |||||||
1,411,542 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,133,811) | 2,472,935 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $3,133,811) | 2,472,935 | |||||||
|
| |||||||
BONDS & NOTES — 98.1% | ||||||||
CORPORATE DEBT — 40.1% | ||||||||
Aerospace & Defense — 0.1% | ||||||||
Exelis, Inc. | 740,000 | 756,052 | ||||||
|
| |||||||
Agriculture — 1.4% | ||||||||
Bunge Ltd. Finance Corp. | 4,895,000 | 4,986,047 | ||||||
Imperial Tobacco Finance PLC (a) | 2,285,000 | 2,298,577 | ||||||
|
| |||||||
7,284,624 | ||||||||
|
| |||||||
Airlines — 0.0% | ||||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 109,699 | 109,699 | ||||||
|
| |||||||
Auto Manufacturers — 1.5% | ||||||||
Ford Motor Credit Co. LLC | 3,080,000 | 3,071,028 | ||||||
General Motors Co. | 595,000 | 599,802 | ||||||
General Motors Financial Co., Inc. 3.200% 7/13/20 | 705,000 | 695,504 | ||||||
Hyundai Capital America (a) | 485,000 | 487,542 | ||||||
Volkswagen Group of America Finance LLC (a) | 3,000,000 | 2,878,344 | ||||||
|
| |||||||
7,732,220 | ||||||||
|
| |||||||
Banks — 2.6% | ||||||||
BNP Paribas SA | 795,000 | 797,599 | ||||||
CIT Group, Inc. | 3,200,000 | 3,240,000 |
Principal Amount | Value | |||||||
Credit Agricole SA (a) | $ | 1,395,000 | $ | 1,415,107 | ||||
First Horizon National Corp. | 1,738,000 | 1,752,947 | ||||||
Intesa Sanpaolo SpA | 2,760,000 | 2,843,170 | ||||||
Itau Unibanco Holding SA (a) | 840,000 | 786,828 | ||||||
Nordea Bank AB (a) | 1,960,000 | 1,973,988 | ||||||
Regions Financial Corp. | 340,000 | 381,195 | ||||||
Skandinaviska Enskilda Banken AB (a) | 305,000 | 309,880 | ||||||
SVB Financial Group | 225,000 | 250,802 | ||||||
|
| |||||||
13,751,516 | ||||||||
|
| |||||||
Biotechnology — 0.5% | ||||||||
Celgene Corp. | 2,525,000 | 2,547,909 | ||||||
|
| |||||||
Building Materials — 0.5% | ||||||||
Martin Marietta Material, Inc. FRN | 585,000 | 580,609 | ||||||
Masco Corp. | 1,750,000 | 2,016,875 | ||||||
|
| |||||||
2,597,484 | ||||||||
|
| |||||||
Chemicals — 1.9% | ||||||||
Airgas, Inc. | 2,885,000 | 2,929,464 | ||||||
Ashland, Inc. | 1,950,000 | 1,964,625 | ||||||
Incitec Pivot Ltd. (a) | 3,600,000 | 3,616,481 | ||||||
LyondellBasell Industries NV | 450,000 | 485,191 | ||||||
RPM International, Inc. | 850,000 | 951,794 | ||||||
|
| |||||||
9,947,555 | ||||||||
|
| |||||||
Commercial Services — 1.3% | ||||||||
Leidos Holdings, Inc. | 1,661,000 | 1,652,318 | ||||||
McGraw Hill Financial, Inc. (a) | 2,050,000 | 2,085,852 | ||||||
The Western Union Co. | 3,050,000 | 3,182,919 | ||||||
|
| |||||||
6,921,089 | ||||||||
|
| |||||||
Computers — 0.5% | ||||||||
Hewlett Packard Enterprise Co. (a) | 2,730,000 | 2,726,506 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
59
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Distribution & Wholesale — 0.1% | ||||||||
Arrow Electronics, Inc. | $ | 295,000 | $ | 298,331 | ||||
|
| |||||||
Diversified Financial — 7.0% | ||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust | 2,050,000 | 2,047,437 | ||||||
Air Lease Corp. | 2,200,000 | 2,178,000 | ||||||
Air Lease Corp. | 1,075,000 | 1,088,437 | ||||||
Air Lease Corp. STEP | 190,000 | 198,313 | ||||||
Ally Financial, Inc. | 1,285,000 | 1,270,544 | ||||||
Ally Financial, Inc. | 2,000,000 | 2,037,500 | ||||||
Capital One Bank USA NA | 500,000 | 498,773 | ||||||
Citigroup, Inc. | 7,000,000 | 7,369,677 | ||||||
ERAC USA Finance LLC (a) | 1,000,000 | 1,005,571 | ||||||
The Goldman Sachs Group, Inc. | 655,000 | 655,897 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 2,730,000 | 2,738,518 | ||||||
International Lease Finance Corp. FRN | 1,800,000 | 1,791,000 | ||||||
International Lease Finance Corp. | 270,000 | 269,325 | ||||||
International Lease Finance Corp. | 2,208,000 | 2,241,120 | ||||||
Lazard Group LLC | 895,000 | 948,030 | ||||||
Lazard Group LLC | 104,000 | 112,377 | ||||||
Merrill Lynch & Co., Inc. | 3,100,000 | 3,271,579 | ||||||
Merrill Lynch & Co., Inc. | 2,025,000 | 2,082,860 | ||||||
Morgan Stanley | 4,500,000 | 4,714,105 | ||||||
|
| |||||||
36,519,063 | ||||||||
|
| |||||||
Electric — 0.3% | ||||||||
IPALCO Enterprises, Inc. | 900,000 | 942,750 | ||||||
Kansas Gas & Electric Co. | 265,860 | 268,519 | ||||||
Tri-State Generation & Transmission Association, Series 2003, Class A (a) | 177,401 | 188,089 | ||||||
|
| |||||||
1,399,358 | ||||||||
|
|
Principal Amount | Value | |||||||
Electronics — 0.3% | ||||||||
Avnet, Inc. | $ | 595,000 | $ | 622,289 | ||||
Jabil Circuit, Inc. | 410,000 | 424,350 | ||||||
Jabil Circuit, Inc. | 255,000 | 284,963 | ||||||
|
| |||||||
1,331,602 | ||||||||
|
| |||||||
Environmental Controls — 0.3% | ||||||||
Clean Harbors, Inc. | 1,400,000 | 1,414,000 | ||||||
|
| |||||||
Foods — 0.2% | ||||||||
JBS Investments GmbH (a) | 634,000 | 649,850 | ||||||
Tyson Foods, Inc. | 180,000 | 181,357 | ||||||
|
| |||||||
831,207 | ||||||||
|
| |||||||
Forest Products & Paper — 0.6% | ||||||||
Domtar Corp. | 262,000 | 298,403 | ||||||
Sappi Papier Holding GmbH (a) | 2,750,000 | 2,887,500 | ||||||
|
| |||||||
3,185,903 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.1% | ||||||||
Kennametal, Inc. | 350,000 | 351,063 | ||||||
|
| |||||||
Health Care – Products — 0.4% | ||||||||
Boston Scientific Corp. | 785,000 | 784,828 | ||||||
Zimmer Biomet Holdings, Inc. | 1,213,000 | 1,214,514 | ||||||
|
| |||||||
1,999,342 | ||||||||
|
| |||||||
Health Care – Services — 0.2% | ||||||||
Anthem, Inc. | 1,055,000 | 1,055,410 | ||||||
|
| |||||||
Holding Company – Diversified — 0.5% | ||||||||
Hutchison Whampoa International 14 Ltd. (a) | 2,580,000 | 2,570,039 | ||||||
|
| |||||||
Home Builders — 0.8% | ||||||||
DR Horton, Inc. | 2,900,000 | 2,918,125 | ||||||
Lennar Corp. | 1,383,000 | 1,394,755 | ||||||
|
| |||||||
4,312,880 | ||||||||
|
| |||||||
Insurance — 1.2% | ||||||||
AXIS Specialty Finance PLC | 265,000 | 266,182 |
The accompanying notes are an integral part of the financial statements.
60
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
TIAA Asset Management Finance Co. LLC (a) | $ | 3,700,000 | $ | 3,751,426 | ||||
Willis Group Holdings PLC | 180,000 | 182,208 | ||||||
Willis Group Holdings PLC | 840,000 | 939,624 | ||||||
Willis North America, Inc. | 835,000 | 882,520 | ||||||
|
| |||||||
6,021,960 | ||||||||
|
| |||||||
Internet — 0.6% | ||||||||
Expedia, Inc. | 2,715,000 | 3,064,247 | ||||||
|
| |||||||
Investment Companies — 0.5% | ||||||||
Ares Capital Corp. | 1,450,000 | 1,493,011 | ||||||
FS Investment Corp. | 1,040,000 | 1,053,989 | ||||||
|
| |||||||
2,547,000 | ||||||||
|
| |||||||
Iron & Steel — 0.8% | ||||||||
Allegheny Technologies, Inc. | 2,800,000 | 2,954,000 | ||||||
ArcelorMittal STEP | 75,000 | 74,250 | ||||||
ArcelorMittal | 445,000 | 436,100 | ||||||
Commercial Metals Co. | 355,000 | 365,650 | ||||||
Reliance Steel & Aluminum Co. | 499,000 | 518,167 | ||||||
|
| |||||||
4,348,167 | ||||||||
|
| |||||||
Lodging — 0.4% | ||||||||
Marriott International, Inc. | 1,845,000 | 1,852,897 | ||||||
|
| |||||||
Machinery – Diversified — 0.5% | ||||||||
CNH Industrial Capital LLC | 660,000 | 628,650 | ||||||
CNH Industrial Capital LLC | 265,000 | 257,548 | ||||||
CNH Industrial Capital LLC | 510,000 | 519,562 | ||||||
Roper Technologies, Inc. | 1,125,000 | 1,126,546 | ||||||
|
| |||||||
2,532,306 | ||||||||
|
| |||||||
Manufacturing — 1.0% | ||||||||
Harsco Corp | 3,248,000 | 3,246,376 | ||||||
SPX FLOW, Inc. | 505,000 | 530,250 |
Principal Amount | Value | |||||||
Tyco Electronics Group SA | $ | 1,461,000 | $ | 1,600,973 | ||||
|
| |||||||
5,377,599 | ||||||||
|
| |||||||
Media — 0.6% | ||||||||
CCO Safari II LLC (a) | 1,845,000 | 1,831,410 | ||||||
Sirius XM Radio, Inc. (a) | 1,450,000 | 1,417,375 | ||||||
|
| |||||||
3,248,785 | ||||||||
|
| |||||||
Mining — 1.0% | ||||||||
Freeport-McMoRan, Inc. | 1,500,000 | 1,353,750 | ||||||
Glencore Finance Canada. STEP (a) | 500,000 | 499,500 | ||||||
Vale Overseas Ltd. | 3,330,000 | 3,352,511 | ||||||
|
| |||||||
5,205,761 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 300,000 | 303,224 | ||||||
Pitney Bowes, Inc. | 74,000 | 79,618 | ||||||
|
| |||||||
382,842 | ||||||||
|
| |||||||
Oil & Gas — 1.3% | ||||||||
Chesapeake Energy Corp., Convertible | 105,000 | 74,550 | ||||||
Chesapeake Energy Corp., Convertible | 1,065,000 | 915,900 | ||||||
Chesapeake Energy Corp. | 1,700,000 | 1,666,340 | ||||||
Noble Holding International Ltd. | 300,000 | 284,152 | ||||||
Petrobras Global Finance BV | 1,265,000 | 1,116,362 | ||||||
Petroleos Mexicanos | 155,000 | 151,706 | ||||||
Rowan Cos., Inc. | 170,000 | 166,707 | ||||||
Southwestern Energy Co. | 400,000 | 393,040 | ||||||
Transocean, Inc. STEP | 200,000 | 197,500 | ||||||
Transocean, Inc. | 220,000 | 201,300 | ||||||
Whiting Petroleum Corp., Convertible (a) | 1,000,000 | 814,375 | ||||||
WPX Energy, Inc. | 1,145,000 | 1,047,675 | ||||||
|
| |||||||
7,029,607 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
61
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Oil & Gas Services — 1.1% | ||||||||
Cameron International Corp. | $ | 3,300,000 | $ | 3,278,187 | ||||
SESI LLC | 315,000 | 313,819 | ||||||
Superior Energy Services, Inc. | 2,409,000 | 2,363,831 | ||||||
|
| |||||||
5,955,837 | ||||||||
|
| |||||||
Pharmaceuticals — 1.2% | ||||||||
AbbVie, Inc. | 2,590,000 | 2,582,810 | ||||||
Actavis Funding SCS | 1,580,000 | 1,586,287 | ||||||
Baxalta, Inc. (a) | 1,525,000 | 1,520,423 | ||||||
McKesson Corp. | 255,000 | 255,535 | ||||||
Mylan, Inc. | 500,000 | 496,486 | ||||||
|
| |||||||
6,441,541 | ||||||||
|
| |||||||
Pipelines — 0.9% | ||||||||
Boardwalk Pipelines LP | 1,100,000 | 1,137,365 | ||||||
Energy Transfer Partners LP | 1,070,000 | 1,065,250 | ||||||
Kinder Morgan Finance Co. LLC (a) | 925,000 | 978,891 | ||||||
Kinder Morgan, Inc. (a) | 1,290,000 | 1,318,178 | ||||||
|
| |||||||
4,499,684 | ||||||||
|
| |||||||
Real Estate — 0.2% | ||||||||
Regency Centers LP | 1,189,000 | 1,268,170 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 2.5% |
| |||||||
American Tower Corp. | 850,000 | 894,161 | ||||||
DDR Corp. | 2,400,000 | 2,745,638 | ||||||
DDR Corp. | 145,000 | 150,122 | ||||||
Digital Delta Holdings LLC (a) (b) | 925,000 | 928,499 | ||||||
Duke Realty LP | 2,450,000 | 2,597,419 | ||||||
Duke Realty LP | 550,000 | 666,342 | ||||||
HCP, Inc. | 1,450,000 | 1,528,090 | ||||||
Highwoods Realty LP | 710,000 | 755,727 |
Principal Amount | Value | |||||||
Highwoods Realty LP | $ | 170,000 | $ | 191,496 | ||||
Realty Income Corp. | 205,000 | 206,637 | ||||||
UDR, Inc. | 1,500,000 | 1,516,710 | ||||||
Vereit Operating Partnership LP | 640,000 | 627,200 | ||||||
Vereit Operating Partnership LP | 320,000 | 305,200 | ||||||
|
| |||||||
13,113,241 | ||||||||
|
| |||||||
Retail — 0.5% | ||||||||
AutoNation, Inc. | 735,000 | 742,901 | ||||||
Best Buy Co., Inc. | 1,450,000 | 1,462,397 | ||||||
Macy’s Retail Holdings, Inc. | 250,000 | 274,534 | ||||||
|
| |||||||
2,479,832 | ||||||||
|
| |||||||
Savings & Loans — 0.7% | ||||||||
Glencore Funding LLC (a) | 2,638,000 | 2,506,100 | ||||||
Glencore Funding LLC (a) | 1,150,000 | 966,000 | ||||||
|
| |||||||
3,472,100 | ||||||||
|
| |||||||
Semiconductors — 1.0% | ||||||||
KLA-Tencor Corp. | 3,495,000 | 3,513,205 | ||||||
Micron Technology, Inc., Convertible 3.000% 11/15/43 | 1,750,000 | 1,471,094 | ||||||
|
| |||||||
4,984,299 | ||||||||
|
| |||||||
Telecommunications — 1.2% | ||||||||
Crown Castle Towers LLC (a) | 1,100,000 | 1,127,341 | ||||||
Frontier Communications Corp. | 2,310,000 | 2,439,937 | ||||||
Qwest Corp. | 975,000 | 1,010,218 | ||||||
Sprint Communications, Inc. (a) | 1,185,000 | 1,243,420 | ||||||
Telefonica Emisiones SAU | 331,000 | 342,774 | ||||||
|
| |||||||
6,163,690 | ||||||||
|
| |||||||
Transportation — 0.6% | ||||||||
Asciano Finance (a) | 388,000 | 411,346 | ||||||
Ryder System, Inc. | 1,295,000 | 1,317,403 | ||||||
Ryder System, Inc. | 190,000 | 190,457 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Ryder System, Inc. | $ | 1,080,000 | $ | 1,085,949 | ||||
|
| |||||||
3,005,155 | ||||||||
|
| |||||||
Trucking & Leasing — 1.1% | ||||||||
Aviation Capital Group Corp. (a) | 3,260,000 | 3,257,033 | ||||||
GATX Corp. | 105,000 | 106,640 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 770,000 | 766,296 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 1,650,000 | 1,664,570 | ||||||
|
| |||||||
5,794,539 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $208,633,606) | 208,432,111 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.5% | ||||||||
Access to Loans for Learning Student Loan Corp., Series 2004-IV, Class Note FRN | 1,083,295 | 1,073,535 | ||||||
Louisiana State Public Facilities Authority FRN | 333,795 | 336,132 | ||||||
State of Illinois | 1,200,000 | 1,251,528 | ||||||
|
| |||||||
2,661,195 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $2,598,133) | 2,661,195 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 31.3% | ||||||||
Agency Collateral CMO — 0.1% |
| |||||||
Fannie Mae REMICS, Series 2015-62, Class VA 4.000% 10/25/26 | 518,724 | 569,524 | ||||||
|
| |||||||
Auto Floor Plan ABS — 0.1% | ||||||||
NCF Dealer Floorplan Master Trust, | 630,000 | 630,000 | ||||||
|
| |||||||
Automobile ABS — 3.9% | ||||||||
American Credit Acceptance Receivables Trust, Series 2014-3, | 380,122 | 380,053 | ||||||
American Credit Acceptance | 1,670,000 | 1,669,888 |
Principal Amount | Value | |||||||
American Credit Acceptance | $ | 1,130,837 | $ | 1,130,587 | ||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A (a) | 600,000 | 603,785 | ||||||
Capital Automotive REIT, Series 2012-1A, Class A (a) | 514,455 | 533,518 | ||||||
CarNow Auto Receivables Trust, | 171,645 | 171,615 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 466,262 | 464,965 | ||||||
CFC LLC, Series 2015-1A, Class A (a) | 744,734 | 744,597 | ||||||
Chesapeake Funding LLC, | 65,382 | 65,387 | ||||||
Chesapeake Funding LLC, | 400,000 | 399,515 | ||||||
CPS Auto Trust, Series 2014-B, Class A (a) | 624,317 | 623,489 | ||||||
CPS Auto Trust, Series 2014-C, Class A (a) | 680,748 | 680,464 | ||||||
CPS Auto Trust, Series 2014-D, Class A (a) | 428,156 | 428,145 | ||||||
CPS Auto Trust, Series 2013-D, Class A (a) | 323,165 | 323,586 | ||||||
CPS Auto Trust, Series 2013-C, Class A (a) | 342,251 | 342,651 | ||||||
CPS Auto Trust, Series 2013-B, Class A (a) | 762,059 | 764,786 | ||||||
CPS Auto Trust, Series 2015-C, Class B (a) | 750,000 | 751,763 | ||||||
Credit Acceptance Auto Loan Trust, | 1,100,000 | 1,099,704 | ||||||
Exeter Automobile Receivables Trust, | 327,993 | 327,483 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Exeter Automobile Receivables Trust, | $ | 159,100 | $ | 159,264 | ||||
Exeter Automobile Receivables Trust, | 345,754 | 345,481 | ||||||
Exeter Automobile Receivables Trust, | 696,603 | 696,355 | ||||||
Exeter Automobile Receivables Trust, | 763,116 | 762,846 | ||||||
Exeter Automobile Receivables Trust, Series 2013-2A, Class B (a) | 1,000,000 | 1,004,918 | ||||||
First Investors Auto Owner Trust, | 729,641 | 730,031 | ||||||
First Investors Auto Owner Trust, | 680,077 | 680,308 | ||||||
Flagship Credit Auto Trust, | 96,529 | 96,569 | ||||||
Flagship Credit Auto Trust, | 571,527 | 571,339 | ||||||
Flagship Credit Auto Trust, | 273,571 | 274,339 | ||||||
Flagship Credit Auto Trust, | 835,586 | 835,375 | ||||||
GLS Auto Receivables Trust, | 457,821 | 458,024 | ||||||
GO Financial Auto Securitization Trust, | 304,279 | 304,123 | ||||||
Oscar US Funding Trust, | 669,230 | 669,808 | ||||||
Santander Drive Auto Receivables Trust, | 329,742 | 329,742 | ||||||
SNAAC Auto Receivables Trust, | 164,995 | 164,832 | ||||||
Tidewater Auto Receivables Trust, | 53,300 | 53,301 |
Principal Amount | Value | |||||||
Westlake Automobile Receivables Trust, Series 2014-2A, Class A2 (a) | $ | 332,760 | $ | 332,757 | ||||
|
| |||||||
19,975,393 | ||||||||
|
| |||||||
Commercial MBS — 6.8% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A4 VRN | 932,689 | 972,503 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4 VRN | 574,101 | 611,004 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM VRN | 500,000 | 534,345 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4 VRN | 1,282,038 | 1,383,661 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class A4 | 725,631 | 748,970 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class AM | 900,000 | 935,823 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM VRN | 1,185,000 | 1,244,273 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class AM VRN | 880,000 | 914,375 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4 VRN | 700,000 | 740,444 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 | 625,000 | 658,853 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM VRN | 1,215,000 | 1,295,839 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW12, Class AM VRN | 900,000 | 919,914 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Commercial Mortgage Pass Through Certificates, Series 2014-BBG, Class A FRN (a) | $ | 1,085,000 | $ | 1,077,149 | ||||
Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2 | 845,000 | 878,922 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A1A VRN | 440,559 | 449,102 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class AM VRN | 400,000 | 407,290 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4 VRN | 1,055,000 | 1,116,213 | ||||||
DBRR Trust, Series 2013-EZ3, Class A VRN (a) | 511,376 | 511,376 | ||||||
DBUBS Mortgage Trust, | 424,340 | 429,107 | ||||||
DBUBS Mortgage Trust, | 525,479 | 527,879 | ||||||
GCCFC Commercial Mortgage Trust, | 1,215,000 | 1,246,725 | ||||||
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4 VRN | 1,043,723 | 1,057,659 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, | 1,143,479 | 1,178,415 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB14, Class AM VRN | 1,400,000 | 1,406,343 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB20, | 900,000 | 968,943 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class AM | 1,360,000 | 1,410,796 |
Principal Amount | Value | |||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4 | $ | 825,000 | $ | 872,823 | ||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM VRN | 680,000 | 729,180 | ||||||
Morgan Stanley Capital I, | 450,000 | 467,545 | ||||||
Morgan Stanley Capital I, | 885,000 | 927,772 | ||||||
Morgan Stanley Capital I, | 600,000 | 618,176 | ||||||
Morgan Stanley Capital I, | 297,003 | 297,761 | ||||||
Morgan Stanley Capital I, | 355,341 | 387,313 | ||||||
Morgan Stanley Capital I Trust, Series 2012-C4, Class A2 | 575,000 | 580,610 | ||||||
STRIPs Ltd., Series 2012-1A, Class A (a) | 163,794 | 162,191 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ VRN | 299,321 | 300,071 | ||||||
VFC LLC, Series 2014-2, Class A | 208,354 | 208,389 | ||||||
VFC LLC, Series 2015-3, Class A, | 404,426 | 403,976 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 1,450,000 | 1,501,494 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, | 1,025,000 | 1,025,198 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, | 240,000 | 255,810 |
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-C26, | $ | 1,200,000 | $ | 1,233,288 | ||||
Wells Fargo Reremic Trust, Series 2012-IO, Class A (a) | 106,545 | 106,545 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C10, Class A2 | 880,000 | 886,101 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A2 (a) | 342,958 | 346,000 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A2 (a) | 391,066 | 391,892 | ||||||
|
| |||||||
35,328,058 | ||||||||
|
| |||||||
Home Equity ABS — 2.1% | ||||||||
ACE Securities Corp., | 176,973 | 175,968 | ||||||
ACE Securities Corp., | 258,074 | 254,532 | ||||||
ACE Securities Corp., | 550,776 | 546,595 | ||||||
Asset-Backed Funding Certificates, | 88,398 | 87,977 | ||||||
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE3, | 168,148 | 167,159 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE12, | 982,905 | 954,219 | ||||||
Citigroup Mortgage Loan Trust, | 139,002 | 136,211 | ||||||
Countrywide Asset-Backed Certificates, | 82,891 | 82,727 | ||||||
Countrywide Asset-Backed Certificates, | 83,223 | 81,392 | ||||||
Credit Suisse Seasoned Loan Trust, | 627,294 | 614,439 | ||||||
First Franklin Mortgage Loan Trust, | 372,739 | 366,705 |
Principal Amount | Value | |||||||
Fremont Home Loan Trust, Series 2005-E, | $ | 176,003 | $ | 171,680 | ||||
GSAMP Trust, Series 2005-AHL, | 162,354 | 160,206 | ||||||
Home Equity Asset Trust, Series 2006-4, | 123,698 | 122,452 | ||||||
Home Equity Asset Trust, Series 2005-HF1, | 348,363 | 338,433 | ||||||
Home Equity Asset Trust, Series 2005-HF1, Class A2B FRN | 389,034 | 378,399 | ||||||
JP Morgan Mortgage Acquisition Corp., | 565,236 | 555,963 | ||||||
Lake Country Mortgage Loan Trust, | 35,650 | 35,581 | ||||||
Long Beach Mortgage Loan Trust, | 652,763 | 642,411 | ||||||
MASTR Asset-Backed Securities Trust, | 875,000 | 860,483 | ||||||
Merrill Lynch Mortgage Investors Trust, | 86,550 | 86,173 | ||||||
Merrill Lynch Mortgage Synthetic, | 463,817 | 458,760 | ||||||
Morgan Stanley Capital, Inc., | 325,825 | 327,077 | ||||||
New Century Home Equity Loan Trust, | 65 | 66 | ||||||
NovaStar Mortgage Funding Trust, | 775,807 | 771,944 | ||||||
Park Place Securities, Inc., | 234,110 | 233,041 | ||||||
Park Place Securities, Inc., | 142,967 | 142,174 | ||||||
Park Place Securities, Inc., | 144,836 | 144,571 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Residential Asset Mortgage Products, Inc., Series 2005-EFC5, | $ | 544,836 | $ | 542,051 | ||||
Residential Asset Mortgage Products, Inc., Series 2005-EFC4, | 70,706 | 70,598 | ||||||
Residential Asset Securities Corp., | 642,826 | 636,363 | ||||||
Residential Asset Securities Corp., | 363,893 | 359,217 | ||||||
Security National Mortgage Loan Trust, | 331,271 | 330,839 | ||||||
Structured Asset Investment Loan Trust, | 117,564 | 117,240 | ||||||
|
| |||||||
10,953,646 | ||||||||
|
| |||||||
Other ABS — 13.3% | ||||||||
321 Henderson Receivables I LLC, | 534,015 | 522,955 | ||||||
321 Henderson Receivables I LLC, | 593,814 | 576,313 | ||||||
321 Henderson Receivables I LLC, | 989,722 | 1,051,635 | ||||||
AIMCO CLO Ltd., Series 2014-AA, | 1,000,000 | 994,999 | ||||||
Alterna Funding I LLC, | 498,095 | 496,381 | ||||||
ARL First LLC, Series 2012-1A, Class A1 FRN (a) | 1,196,031 | 1,204,316 | ||||||
Ascentium Equipment Receivables LLC, Series 2014-1A, Class A2 (a) | 478,083 | 478,490 | ||||||
Ascentium Equipment Receivables LLC, Series 2014-1A, Class B (a) | 700,000 | 701,208 | ||||||
BCC Funding VIII LLC, | 226,687 | 226,791 | ||||||
BCC Funding X LLC, | 1,300,000 | 1,306,555 |
Principal Amount | Value | |||||||
Birchwood Park CLO Ltd., | $ | 1,010,000 | $ | 1,003,366 | ||||
Blue Hill CLO Ltd., Series 2013-1A, Class A FRN (a) | 2,315,000 | 2,300,719 | ||||||
BlueMountain CLO Ltd., | 1,475,000 | 1,464,053 | ||||||
CAN Capital Funding LLC, | 880,000 | 884,125 | ||||||
Carlyle Global Market Strategies, | 1,250,000 | 1,243,429 | ||||||
Carlyle Global Market Strategies, | 1,410,000 | 1,404,515 | ||||||
Carlyle Global Market Strategies, | 1,520,000 | 1,515,001 | ||||||
Cazenovia Creek Funding I LLC, | 654,832 | 655,945 | ||||||
Citi Held For Asset Issuance, Series 2015-PM1, Class A (a) | 310,296 | 310,199 | ||||||
CKE Restaurant Holdings, Inc., | 385,000 | 397,392 | ||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2006-RP2, Class A3 FRN (a) | 915,913 | 900,008 | ||||||
DB Master Finance LLC, | 666,650 | 672,483 | ||||||
Diamond Resorts Owner Trust, | 371,472 | 373,920 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) | 716,908 | 723,630 | ||||||
Direct Capital Funding V LLC, Series 2013-2, Class A2 (a) | 392,713 | 393,077 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) | 1,613,638 | 1,667,673 | ||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) | 791,667 | 785,128 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A1 FRN (a) | $ | 710,675 | $ | 719,540 | ||||
Drug Royalty Corp., Inc., Series 2012-1, Class A1 FRN (a) | 303,077 | 312,197 | ||||||
Eaton Vance CLO, Series 2014-1A, Class A FRN (a) | 1,275,000 | 1,266,901 | ||||||
Elara HGV Timeshare Issuer LLC, | 753,236 | 751,116 | ||||||
Element Rail Leasing I LLC, Series 2014-1A, Class A1 (a) | 550,817 | 548,085 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) | 278,010 | 278,649 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A | 310,000 | 316,259 | ||||||
First Franklin Mortgage Loan Trust, | 274,033 | 273,303 | ||||||
FNA Trust, Series 2014-1A, Class A (a) | 1,353,822 | 1,350,225 | ||||||
FRS I LLC, Series 2013-1A, Class A1 (a) | 260,998 | 261,314 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class A FRN (a) | 1,475,000 | 1,469,721 | ||||||
Global Container Assets Ltd., Series 2015-1A, Class A1 (a) | 512,500 | 509,451 | ||||||
Global Container Assets Ltd., Series 2013-1A, Class A1 (a) | 524,789 | 526,077 | ||||||
Global SC Funding One Ltd., | 378,038 | 378,034 | ||||||
GoldenTree Loan Opportunities VII Ltd., | 1,505,000 | 1,482,577 | ||||||
Hercules Capital Funding Trust, | 420,000 | 420,525 | ||||||
HFG Healthco-4 LLC, Series 2011-1A, Class A FRN (a) | 575,000 | 578,896 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) | 824,717 | 820,753 |
Principal Amount | Value | |||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) | $ | 661,688 | $ | 668,223 | ||||
Horizon Funding Trust, Series 2013-1A, Class A (a) | 154,413 | 154,992 | ||||||
Icon Brand Holdings LLC, | 440,460 | 446,776 | ||||||
Icon Brand Holdings LLC, | 472,686 | 480,542 | ||||||
ING Investment Management CLO Ltd., | 790,000 | 782,275 | ||||||
ING Investment Management CLO V Ltd., Series 2007-5A, | 1,084,219 | 1,076,069 | ||||||
LCM Ltd., Series 10AR, | 1,297,297 | 1,293,421 | ||||||
LCM Ltd., Series 16A, Class A FRN (a) | 1,250,000 | 1,244,435 | ||||||
LCM XI LP, Series 11A, | 3,660,000 | 3,636,550 | ||||||
Madison Park Funding XII Ltd., | 1,250,000 | 1,244,919 | ||||||
Madison Park Funding XIV Ltd., | 930,000 | 924,311 | ||||||
Miramax LLC, Series 2014-1A, | 578,760 | 581,191 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4 FRN | 1,007,591 | 998,802 | ||||||
MVW Owner Trust, Series 2013-1A, Class A (a) | 609,802 | 611,828 | ||||||
MVW Owner Trust, Series 2014-2, Class A (a) | 1,101,334 | 1,104,538 | ||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) | 308,249 | 308,355 | ||||||
Navitas Equipment Receivables LLC, | 750,000 | 751,613 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
New York City Tax Lien, Series 2014-A, Class A (a) | $ | 177,871 | $ | 177,781 | ||||
Ocwen Master Advance Receivables Trust, Series 15-1, Class AT1 (a) | 400,000 | 400,000 | ||||||
OnDeck Asset Securitization Trust, | 500,000 | 500,667 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) | 223,010 | 227,315 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 320,000 | 322,416 | ||||||
RAAC, Series 2006-RP2, Class A FRN (a) | 585,427 | 575,876 | ||||||
Race Point VIII CLO Ltd., | 550,000 | 546,875 | ||||||
SBA Tower Trust, Series 2014-1A, Class C STEP (a) | 850,000 | 852,712 | ||||||
Sierra Receivables Funding Co. LLC, | 521,382 | 520,974 | ||||||
Sierra Receivables Funding Co. LLC, | 460,287 | 461,749 | ||||||
Sierra Receivables Funding Co. LLC, | 132,433 | 133,933 | ||||||
Sierra Receivables Funding Co. LLC, | 91,711 | 92,945 | ||||||
Sonic Capital LLC, Series 2011-1A, Class A2 (a) | 1,086,700 | 1,142,393 | ||||||
SpringCastle America Funding LLC, Series 2014-AA, Class A (a) | 936,578 | 937,749 | ||||||
Springleaf Funding Trust, | 234,049 | 234,195 | ||||||
Store Master Funding I LLC, | 199,583 | 201,235 | ||||||
SVO VOI Mortgage LLC, | 129,248 | 129,738 |
Principal Amount | Value | |||||||
Symphony CLO XV Ltd., | $ | 1,050,000 | $ | 1,043,645 | ||||
TAL Advantage LLC, | 2,006,667 | 2,004,707 | ||||||
TAL Advantage LLC, Series 2014-2A, | 659,677 | 656,333 | ||||||
Trade MAPS 1 Ltd., Series 2013-1A, Class A FRN (a) | 1,275,000 | 1,275,412 | ||||||
Trip Rail Master Funding LLC, | 600,059 | 621,061 | ||||||
Trip Rail Master Funding LLC, | 561,757 | 596,193 | ||||||
Welk Resorts LLC, Series 2015-AA, Class A (a) | 507,573 | 511,913 | ||||||
Wendys Funding LLC, | 1,250,000 | 1,264,062 | ||||||
Westgate Resorts LLC, Series 2014-1A, | 786,829 | 784,245 | ||||||
|
| |||||||
69,042,893 | ||||||||
|
| |||||||
Student Loans ABS — 4.1% | ||||||||
Access Group, Inc., Series 2007-A, Class A2 FRN | 12,830 | 12,817 | ||||||
Access Group, Inc., Series 2004-A, Class A2 FRN | 391,353 | 388,869 | ||||||
Access Group, Inc., Series 2015-1, Class A FRN (a) | 1,343,349 | 1,303,486 | ||||||
Access Group, Inc., Series 2003-A, Class A3 FRN | 777,139 | 700,350 | ||||||
Access Group, Inc., Series 2015-1, Class B FRN (a) | 430,000 | 363,073 | ||||||
CIT Education Loan Trust, Series 2005-1, Class A3 FRN | 395,234 | 391,418 | ||||||
College Loan Corp Trust I, | 978,872 | 844,988 | ||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B (a) | 512,063 | 500,353 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
DRB Prime Student Loan Trust, | $ | 1,243,079 | $ | 1,252,962 | ||||
DRB Prime Student Loan Trust, | 800,000 | 799,911 | ||||||
Education Funding Capital Trust I, | 450,000 | 443,565 | ||||||
Education Funding Capital Trust I, | 1,050,000 | 1,047,883 | ||||||
Education Funding Capital Trust I, | 100,000 | 93,258 | ||||||
GCO Education Loan Funding Trust, | 92,088 | 91,997 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1, | 888,113 | 883,451 | ||||||
KeyCorp Student Loan Trust, | 203,907 | 202,865 | ||||||
KeyCorp Student Loan Trust, | 685,000 | 657,955 | ||||||
National Collegiate Student Loan Trust, Series 2007-1, Class A2 FRN | 472,673 | 469,572 | ||||||
National Collegiate Student Loan Trust, Series 2006-3, Class A3 FRN | 866,967 | 858,979 | ||||||
National Collegiate Student Loan Trust, Series 2005-1, Class A4 FRN | 736,502 | 723,543 | ||||||
National Collegiate Student Loan Trust, Series 2004-1, Class A2 FRN | 1,000,916 | 996,323 | ||||||
Navient Private Education Loan Trust, Series 2015-BA, Class A1 FRN (a) | 926,194 | 924,984 | ||||||
Navient Private Education Loan Trust, Series 2014-AA, Class A2A (a) | 930,000 | 936,894 | ||||||
Nelnet Student Loan Trust, | 395,000 | 333,143 | ||||||
North Carolina State Education Assistance Authority, | 491,624 | 491,376 |
Principal Amount | Value | |||||||
SLC Student Loan Trust, | $ | 288,524 | $ | 286,560 | ||||
SLM Student Loan Trust, | 600,000 | 578,282 | ||||||
SLM Student Loan Trust, | 480,000 | 416,715 | ||||||
SLM Student Loan Trust, | 493,399 | 400,455 | ||||||
SLM Student Loan Trust, | 520,000 | 498,436 | ||||||
SLM Student Loan Trust, | 777,155 | 656,558 | ||||||
SLM Student Loan Trust, | 727,374 | 615,970 | ||||||
SLM Student Loan Trust, | 631,227 | 549,524 | ||||||
SLM Student Loan Trust, | 200,867 | 201,758 | ||||||
SLM Student Loan Trust, | 100,000 | 99,081 | ||||||
Social Professional Loan Program LLC, Series 2014-B, Class A1 FRN (a) | 972,289 | 971,946 | ||||||
Social Professional Loan Program LLC, Series 2014-A, Class A2 (a) | 392,974 | 402,113 | ||||||
|
| |||||||
21,391,413 | ||||||||
|
| |||||||
WL Collateral CMO — 0.8% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7 FRN | 111,769 | 107,262 | ||||||
Connecticut Avenue Securities, | 1,031,985 | 1,030,080 | ||||||
Connecticut Avenue Securities, | 1,359,007 | 1,360,331 | ||||||
Countrywide Home Loans, Inc., | 26,482 | 25,724 | ||||||
Countrywide Home Loans, Inc., | 9,425 | 8,801 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
GS Mortgage Securities Corp., | $ | 706,191 | $ | 680,384 | ||||
GSR Mortgage Loan Trust, | 24,057 | 22,917 | ||||||
IndyMac Index Mortgage Loan Trust, | 91,865 | 75,993 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2 FRN | 88,755 | 87,355 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IIA2 FRN | 215,673 | 216,607 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA FRN | 11,643 | 11,024 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA FRN | 6,388 | 6,257 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A FRN | 318 | 322 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A FRN | 55,140 | 55,209 | ||||||
Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, | 538,939 | 536,498 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, Class A FRN | 129,213 | 125,717 | ||||||
|
| |||||||
4,350,481 | ||||||||
|
| |||||||
WL Collateral PAC — 0.1% | ||||||||
Structured Asset Securities Corp., | 171,174 | 170,004 | ||||||
Structured Asset Securities Corp., | 35,018 | 33,544 | ||||||
|
| |||||||
203,548 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $163,109,235) | 162,444,956 | |||||||
|
|
Principal Amount | Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 7.3% | ||||||||
Collateralized Mortgage Obligations — 6.7% |
| |||||||
Federal Home Loan Mortgage Corp. | $ | 2,659,132 | $ | 2,760,083 | ||||
Series 4447, Class PA | 679,907 | 714,219 | ||||||
Series 3990, Class VA | 1,638,853 | 1,763,956 | ||||||
Series 4213, Class VE | 1,543,698 | 1,658,283 | ||||||
Series 4290, Class CA | 3,657,277 | 3,870,053 | ||||||
Series 4443, Class BA | 911,964 | 963,104 | ||||||
Series 2626, Class A | 1,044,087 | 1,116,781 | ||||||
Series 4328, Class DA | 2,997,399 | 3,205,240 | ||||||
Series 4325, Class MA | 3,462,425 | 3,694,101 | ||||||
Series 4336, Class MA | 5,537,725 | 5,918,106 | ||||||
Series 4323, Class CA | 1,590,421 | 1,713,234 | ||||||
Federal National Mortgage Association | 1,733,741 | 1,866,706 | ||||||
Series 2014-14, Class A | 1,904,948 | 2,001,716 | ||||||
Series 2014-48, Class AB | 1,699,491 | 1,818,287 | ||||||
Series 2013-112, Class HQ | 709,937 | 757,856 | ||||||
Government National Mortgage Association, Series 2014-131, | 1,140,772 | 1,178,225 | ||||||
|
| |||||||
34,999,950 | ||||||||
|
| |||||||
Pass-Through Securities — 0.6% | ||||||||
Federal Home Loan Mortgage Corp. | 808,622 | 864,922 | ||||||
Federal National Mortgage Association | 138,029 | 147,063 | ||||||
Pool #725692 2.362% | 152,481 | 161,925 | ||||||
Pool #888586 2.411% | 303,282 | 322,917 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Pool #684154 5.500% | $ | 6,729 | $ | 7,012 | ||||
Pool #702331 5.500% | 112,505 | 117,656 | ||||||
Pool #725796 5.500% | 597,351 | 633,058 | ||||||
Pool #844564 5.500% | 120,078 | 128,725 | ||||||
Government National Mortgage Association | 32,523 | 39,435 | ||||||
Government National Mortgage Association II | 378,828 | 393,787 | ||||||
Pool #82462 2.500% | 297,581 | 308,973 | ||||||
|
| |||||||
3,125,473 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $37,948,142) | 38,125,423 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 18.9% | ||||||||
U.S. Treasury Bonds & Notes — 18.9% | ||||||||
U.S. Treasury Note (d) | 44,050,000 | 44,204,862 | ||||||
U.S. Treasury Note | 5,700,000 | 5,699,499 | ||||||
U.S. Treasury Note | 46,020,000 | 46,308,076 | ||||||
U.S. Treasury Note | 2,000,000 | 2,021,270 | ||||||
|
| |||||||
98,233,707 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $99,335,415) | 98,233,707 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $511,624,531) | 509,897,392 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $514,758,342) | 512,370,327 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 3.6% | ||||||||
Commercial Paper — 3.6% | ||||||||
Diamond Offshore Drilling, Inc. (a) | 7,200,000 | 7,200,000 |
Principal Amount | Value | |||||||
EnCana Corp. (a) | $ | 5,000,000 | $ | 4,999,694 | ||||
Hyundai Capital America (a) | 6,500,000 | 6,499,928 | ||||||
|
| |||||||
18,699,622 | ||||||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 16,314 | 16,314 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $18,715,936) | 18,715,936 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.2% (Cost $533,474,278) (e) | 531,086,263 | |||||||
Other Assets/(Liabilities) — (2.2)% | (11,641,916 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 519,444,347 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
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, 2015, these securities amounted to a value of $170,756,046 or 32.87% of net assets. |
(b) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(c) | Restricted security. Certain securities are restricted as to resale. At September 30, 2015, these securities amounted to a value of $612,365 or 0.12% 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 held as collateral for open futures contracts. (Note 2). |
(e) | 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 Short-Duration Bond Fund – Portfolio of Investments (Continued)
Country weightings, as a percentage of net assets, is as follows:
United States | 85.9 | % | ||
Cayman Islands | 6.2 | % | ||
Ireland | 1.1 | % | ||
Australia | 0.8 | % | ||
Luxembourg | 0.7 | % | ||
Austria | 0.6 | % | ||
Italy | 0.5 | % | ||
United Kingdom | 0.5 | % | ||
Sweden | 0.5 | % | ||
France | 0.5 | % | ||
Netherlands | 0.3 | % | ||
Canada | 0.3 | % | ||
Bermuda | 0.3 | % | ||
United States Virgin Islands | 0.2 | % | ||
Brazil | 0.1 | % | ||
Spain | 0.1 | % | ||
Mexico | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 98.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.4 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
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September 30, 2015
Principal Amount | Value | |||||||
BONDS & NOTES — 148.7% | ||||||||
CORPORATE DEBT — 4.7% | ||||||||
Auto Manufacturers — 0.3% | ||||||||
Nissan Motor Acceptance Corp. FRN (a) | $ | 1,100,000 | $ | 1,096,629 | ||||
|
| |||||||
Banks — 0.9% | ||||||||
Deutsche Bank AG FRN | 1,750,000 | 1,752,416 | ||||||
First Horizon National Corp. | 390,000 | 393,354 | ||||||
The Huntington National Bank FRN | 765,000 | 759,968 | ||||||
|
| |||||||
2,905,738 | ||||||||
|
| |||||||
Computers — 0.6% | ||||||||
Hewlett-Packard Co. (a) | 1,300,000 | 1,300,000 | ||||||
Hewlett-Packard Co. | 700,000 | 707,788 | ||||||
|
| |||||||
2,007,788 | ||||||||
|
| |||||||
Diversified Financial — 1.6% | ||||||||
Ally Financial, Inc. | 1,295,000 | 1,280,431 | ||||||
The Goldman Sachs Group, Inc. FRN | 1,625,000 | 1,623,136 | ||||||
The Goldman Sachs Group, Inc. FRN | 2,250,000 | 2,253,036 | ||||||
|
| |||||||
5,156,603 | ||||||||
|
| |||||||
Holding Company – Diversified — 0.3% | ||||||||
MUFG Americas Holdings Corp. FRN | 870,000 | 870,945 | ||||||
|
| |||||||
Pharmaceuticals — 0.7% | ||||||||
Actavis Funding SCS FRN | 1,250,000 | 1,248,095 | ||||||
Actavis Funding SCS FRN | 1,250,000 | 1,245,374 | ||||||
|
| |||||||
2,493,469 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.3% | ||||||||
DDR Corp. | 945,000 | 978,382 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $15,746,191) | 15,509,554 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.3% | ||||||||
Access to Loans for Learning Student Loan Corp., Series 2004-IV, Class Note FRN | 679,634 | 673,510 |
Principal Amount | Value | |||||||
Louisiana State Public Facilities Authority FRN | $ | 226,981 | $ | 228,570 | ||||
|
| |||||||
902,080 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $894,721) | 902,080 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 46.7% | ||||||||
Auto Floor Plan ABS — 0.7% | ||||||||
Ally Master Owner Trust, Series 2015-2, Class A1 FRN | 900,000 | 899,114 | ||||||
Navistar Financial Dealer Note Master Trust, Series 2014-1, Class A (a) | 1,300,000 | 1,294,743 | ||||||
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A FRN (a) | 250,000 | 250,000 | ||||||
|
| |||||||
2,443,857 | ||||||||
|
| |||||||
Automobile ABS — 16.2% | ||||||||
American Credit Acceptance Receivables Trust, Series 2014-2, Class A (a) | 37,784 | 37,782 | ||||||
American Credit Acceptance Receivables Trust, Series 2014-3, Class A (a) | 209,067 | 209,029 | ||||||
American Credit Acceptance Receivables Trust, Series 2014-1, Class A (a) | 31,142 | 31,142 | ||||||
American Credit Acceptance Receivables Trust, Series 2014-4, Class A (a) | 485,674 | 485,205 | ||||||
American Credit Acceptance Receivables Trust, Series 2013-1, Class A (a) | 57,589 | 57,621 | ||||||
American Credit Acceptance Receivables Trust, Series 2015-3, Class A (a) (b) | 1,900,000 | 1,899,872 | ||||||
American Credit Acceptance Receivables Trust, Series 2015-2, Class A (a) | 695,900 | 695,746 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2014-3, Class A2B FRN | 870,877 | 870,353 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2014-1, Class A2 | 16,979 | 16,979 | ||||||
Avis Budget Rental Car Funding LLC, Series 2010-5A, Class A (a) | 650,000 | 653,499 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Bank of The West Auto Trust, | $ | 420,000 | $ | 423,438 | ||||
California Republic Auto Receivables Trust, Series 2013-2, Class A2 | 261,091 | 261,698 | ||||||
California Republic Auto Receivables Trust, Series 2013-1, Class A2 (a) | 711,378 | 711,789 | ||||||
Capital Auto Receivables Asset Trust, Series 2014-3, Class A1 FRN | 732,628 | 732,119 | ||||||
CarNow Auto Receivables Trust, Series 2014-1A, Class A (a) | 214,556 | 214,519 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 262,273 | 261,543 | ||||||
CFC LLC, Series 2014-1A, Class A (a) | 154,583 | 154,516 | ||||||
CFC LLC, Series 2013-2A, Class A (a) | 68,886 | 68,930 | ||||||
CFC LLC, Series 2015-1A, Class A (a) | 522,081 | 521,986 | ||||||
Chesapeake Funding LLC, Series 2012-2A, Class A FRN (a) | 198,705 | 198,674 | ||||||
Chesapeake Funding LLC, Series 2012-1A, Class A FRN (a) | 43,588 | 43,592 | ||||||
Chesapeake Funding LLC, Series 2015-1A, Class B FRN (a) | 260,000 | 259,685 | ||||||
CPS Auto Trust, Series 2014-B, Class A (a) | 416,211 | 415,659 | ||||||
CPS Auto Trust, Series 2014-A, Class A (a) | 153,506 | 153,433 | ||||||
CPS Auto Trust, Series 2014-C, Class A (a) | 433,203 | 433,023 | ||||||
CPS Auto Trust, Series 2013-A, Class A (a) | 352,892 | 351,807 | ||||||
CPS Auto Trust, Series 2012-D, Class A (a) | 181,466 | 182,001 | ||||||
CPS Auto Trust, Series 2014-D, Class A (a) 1.490% 4/15/19 | 642,233 | 642,217 | ||||||
CPS Auto Trust, Series 2015-A, Class A (a) 1.530% 7/15/19 | 410,101 | 409,913 | ||||||
CPS Auto Trust, Series 2013-D, Class A (a) 1.540% 7/16/18 | 312,905 | 313,313 | ||||||
CPS Auto Trust, Series 2013-C, Class A (a) 1.640% 4/16/18 | 220,683 | 220,941 | ||||||
CPS Auto Trust, Series 2015-B, Class A (a) 1.650% 11/15/19 | 729,817 | 729,851 |
Principal Amount | Value | |||||||
CPS Auto Trust, Series 2015-C, Class A (a) | $ | 600,000 | $ | 599,777 | ||||
CPS Auto Trust, Series 2012-C, Class A (a) | 187,056 | 187,786 | ||||||
CPS Auto Trust, Series 2013-B, Class A (a) | 412,930 | 414,407 | ||||||
CPS Auto Trust, Series 2015-C, Class B (a) | 450,000 | 451,058 | ||||||
CPS Auto Trust, Series 2012-A, Class A (a) | 114,134 | 114,906 | ||||||
CPS Auto Trust, Series 2011-B, Class A (a) | 151,791 | 152,283 | ||||||
Credit Acceptance Auto Loan Trust, Series 2013-1A, Class A (a) | 441,162 | 441,422 | ||||||
Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A (a) | 250,000 | 250,523 | ||||||
Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A (a) | 680,000 | 679,817 | ||||||
Drive Auto Receivables Trust, Series 2015-BA, Class A1 (a) | 72,550 | 72,550 | ||||||
Drive Auto Receivables Trust, Series 2015-BA, Class A2B FRN (a) | 1,100,000 | 1,100,000 | ||||||
Drive Auto Receivables Trust, Series 2015-AA, Class A2 (a) | 769,467 | 769,551 | ||||||
Drive Auto Receivables Trust, Series 2015-CA, Class A2A (a) | 1,230,000 | 1,229,882 | ||||||
Drive Auto Receivables Trust, Series 2015-BA, Class A3 (a) | 350,000 | 350,117 | ||||||
Drive Auto Receivables Trust, Series 2015-AA, Class A3 (a) | 560,000 | 560,774 | ||||||
Drive Auto Receivables Trust Drive, Series 2015-DA, Class L1 (a) | 2,900,000 | 2,900,000 | ||||||
Drive Auto Receivables Trust Drive, Series 2015-DA, Class A2B (a) | 1,200,000 | 1,200,000 | ||||||
DT Auto Owner Trust, Series 2014-3A, Class A (a) | 182,738 | 182,679 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
DT Auto Owner Trust, Series 2015-1A, Class A (a) | $ | 1,267,153 | $ | 1,266,996 | ||||
DT Auto Owner Trust, Series 2015-2A, Class A (a) | 2,053,955 | 2,053,953 | ||||||
Enterprise Fleet Financing LLC, Series 2014-1, Class A2 (a) | 382,302 | 381,994 | ||||||
Exeter Automobile Receivables Trust, Series 2014-2A, Class A (a) | 190,236 | 189,940 | ||||||
Exeter Automobile Receivables Trust, Series 2013-1A, Class A (a) | 8,530 | 8,531 | ||||||
Exeter Automobile Receivables Trust, Series 2014-1A, Class A (a) | 143,399 | 143,547 | ||||||
Exeter Automobile Receivables Trust, Series 2014-3A, Class A (a) | 197,574 | 197,418 | ||||||
Exeter Automobile Receivables Trust, Series 2013-2A, Class A (a) | 42,970 | 42,988 | ||||||
Exeter Automobile Receivables Trust, Series 2015-2A, Class A (a) | 431,230 | 431,077 | ||||||
Exeter Automobile Receivables Trust, Series 2015-1A, Class A (a) | 443,995 | 443,838 | ||||||
Exeter Automobile Receivables Trust, Series 2012-2A, Class B (a) | 477,457 | 478,690 | ||||||
Exeter Automobile Receivables Trust, Series 2013-2A, Class B (a) | 1,000,000 | 1,004,918 | ||||||
First Investors Auto Owner Trust, Series 2015-1A, Class A1 (a) | 2,156 | 2,156 | ||||||
First Investors Auto Owner Trust, Series 2013-1A, Class A2 (a) | 184,081 | 184,157 | ||||||
First Investors Auto Owner Trust, Series 2014-3A, Class A2 (a) | 626,547 | 626,953 | ||||||
First Investors Auto Owner Trust, Series 2015-1A, Class A2 (a) | 800,000 | 799,712 | ||||||
First Investors Auto Owner Trust, Series 2013-2A, Class A2 (a) | 181,597 | 181,806 | ||||||
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) | 777,231 | 777,495 |
Principal Amount | Value | |||||||
Flagship Credit Auto Trust, | $ | 293,140 | $ | 292,890 | ||||
Flagship Credit Auto Trust, | 317,515 | 317,410 | ||||||
Flagship Credit Auto Trust, | 596,675 | 596,524 | ||||||
Flagship Credit Auto Trust, | 235,330 | 235,990 | ||||||
Flagship Credit Auto Trust, | 1,165,934 | 1,165,640 | ||||||
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) | 879,017 | 879,405 | ||||||
GO Financial Auto Securitization Trust, Series 2015-1, Class A (a) | 684,627 | 684,277 | ||||||
Oscar US Funding Trust, | 535,384 | 535,847 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A1 (a) | 418,616 | 418,404 | ||||||
Oscar US Funding Trust III, Series 2015-2A, Class A1 (a) | 2,540,000 | 2,540,000 | ||||||
Prestige Auto Receivables Trust, Series 2014-1A, Class A2 (a) | 121,398 | 121,418 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-4, Class A1 | 1,075,666 | 1,076,009 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-4, Class A2B FRN | 269,998 | 269,977 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-5, Class A2B FRN | 514,821 | 514,821 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-1, Class A2B FRN | 1,042,067 | 1,042,067 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B FRN | 1,100,000 | 1,100,000 | ||||||
Santander Drive Auto Receivables Trust, Series 2013-A, Class A3 (a) | 423,928 | 424,120 | ||||||
Santander Drive Auto Receivables Trust, Series 2013-2, Class B | 440,448 | 440,828 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Santander Drive Auto Receivables Trust, Series 2013-5, Class B | $ | 1,405,000 | $ | 1,408,785 | ||||
Santander Drive Auto Receivables Trust, Series 2015-S2, Class R1 (a) | 197,845 | 197,845 | ||||||
Santander Drive Auto Receivables Trust, Series 2012-4, Class C | 282,833 | 284,709 | ||||||
Tidewater Auto Receivables Trust, Series 2014-AA, Class A2 (a) | 42,079 | 42,080 | ||||||
United Auto Credit Securitization Trust, Series 2015-1, Class A (a) | 766,067 | 766,187 | ||||||
Westlake Automobile Receivables Trust, Series 2015-2A, Class A1 (a) | 2,153,553 | 2,153,986 | ||||||
Westlake Automobile Receivables Trust, Series 2014-1A, Class A2 (a) | 99,350 | 99,376 | ||||||
Westlake Automobile Receivables Trust, Series 2014-2A, Class A2 (a) | 209,516 | 209,514 | ||||||
Westlake Automobile Receivables Trust, Series 2015-1A, Class A2 (a) | 886,647 | 886,160 | ||||||
Westlake Automobile Receivables Trust, Series 2015-2A, Class A2A (a) | 560,000 | 560,147 | ||||||
|
| |||||||
52,799,992 | ||||||||
|
| |||||||
Commercial MBS — 2.5% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A4 VRN | 279,807 | 291,751 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4 VRN | 221,430 | 221,265 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class AM VRN | 610,000 | 611,252 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T22, Class A4 VRN | 294,416 | 297,472 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T22, Class AM VRN | 500,000 | 506,895 |
Principal Amount | Value | |||||||
Commercial Mortgage Pass Through Certificates, Series 2014-BBG, Class A FRN (a) | $ | 520,000 | $ | 516,237 | ||||
DBRR Trust, Series 2013-EZ3, | 268,838 | 268,838 | ||||||
DBUBS Mortgage Trust, | 359,538 | 361,180 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM VRN | 740,000 | 759,322 | ||||||
GS Mortgage Securities Trust, Series 2011-GC3, Class A2 (a) | 292,524 | 292,827 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class AM VRN | 660,000 | 676,086 | ||||||
Morgan Stanley Capital I, | 350,000 | 360,603 | ||||||
STRIPs Ltd., Series 2012-1A, Class A (a) | 813,435 | 805,473 | ||||||
VFC LLC, Series 2014-2, Class A (Acquired 7/9/14, Cost $300,000) (a) (c) | 104,177 | 104,194 | ||||||
VFC LLC, Series 2015-3, Class A, (Acquired 3/25/15, Cost $399,250) (a) (c) | 237,898 | 237,633 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM VRN | 1,800,000 | 1,806,860 | ||||||
Wells Fargo Reremic Trust, | 191,926 | 191,926 | ||||||
|
| |||||||
8,309,814 | ||||||||
|
| |||||||
Home Equity ABS — 0.6% | ||||||||
ACE Securities Corp., Series 2005-AG1, Class A1B1 FRN | 92,803 | 92,276 | ||||||
ACE Securities Corp., Series 2005-HE5, Class M2 FRN | 335,839 | 333,290 | ||||||
Asset-Backed Securities Corp. Trust, Series 2005-HE2, Class M1 FRN | 24,050 | 24,030 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A FRN | $ | 51,162 | $ | 50,036 | ||||
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1 FRN | 251,720 | 247,645 | ||||||
Lake Country Mortgage Loan Trust, Series 2005-HE1, Class M1 FRN (a) | 25,668 | 25,618 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2 FRN | 401,306 | 394,942 | ||||||
Mastr Asset Backed Securities Trust, Series 2005-WMC1, Class M2 FRN | 93,721 | 93,399 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M1 FRN (a) | 363,778 | 359,811 | ||||||
Morgan Stanley Home Equity Loan Trust, Series 2005-3, Class M1 FRN | 100,216 | 100,170 | ||||||
Park Place Securities, Inc., Series 2005-WCW3, Class A2C FRN | 80,419 | 79,973 | ||||||
|
| |||||||
1,801,190 | ||||||||
|
| |||||||
Other ABS — 15.0% | ||||||||
321 Henderson Receivables I LLC, Series 2006-1A, Class A1 FRN (a) | 729,136 | 714,035 | ||||||
321 Henderson Receivables I LLC, Series 2006-2A, Class A1 FRN (a) | 2,300,733 | 2,232,926 | ||||||
321 Henderson Receivables LLC, Series 2006-3A, Class A1 FRN (a) | 306,564 | 297,997 | ||||||
321 Henderson Receivables LLC, Series 2006-4A, Class A1 FRN (a) | 606,691 | 594,695 | ||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) | 1,808,559 | 1,802,337 | ||||||
Apidos CLO XXII, Series 2015-22A, Class X (a) (b) | 750,000 | 750,000 | ||||||
ARL First LLC, Series 2012-1A, Class A1 FRN (a) | 1,115,123 | 1,122,848 | ||||||
Ascentium Equipment Receivables LLC, Series 2015-1A, Class A1 (a) | 229,643 | 229,645 | ||||||
Ascentium Equipment Receivables LLC, Series 2014-1A, Class A2 (a) | 232,751 | 232,949 |
Principal Amount | Value | |||||||
Ascentium Equipment Receivables LLC, Series 2015-1A, Class A2 (a) | $ | 1,310,000 | $ | 1,311,163 | ||||
Ascentium Equipment Receivables LLC, Series 2014-1A, Class B (a) | 340,000 | 340,587 | ||||||
Avery Point VI CLO Ltd., | 860,000 | 859,973 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (a) | 396,702 | 396,884 | ||||||
BCC Funding X LLC, Series 2015-1, Class A1 (a) | 1,421,302 | 1,421,308 | ||||||
BCC Funding X LLC, Series 2015-1, Class A2 (a) | 800,000 | 804,034 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) | 1,309,664 | 1,311,891 | ||||||
CCG Receivables Trust, Series 2015-1, Class A1 (a) | 2,100,000 | 2,100,176 | ||||||
CCG Receivables Truste, Series 2013-1, Class A2 (a) | 83,490 | 83,527 | ||||||
CIT Equipment Collateral, Series 2014-VT1, Class A2 (a) | 1,400,000 | 1,400,297 | ||||||
Citi Held For Asset Issuance, Series 2015-PM1, Class A (a) | 198,244 | 198,182 | ||||||
ColumbusNova CLO Ltd., | 584,301 | 583,243 | ||||||
Consumer Credit Origination Loan Trust, Series 2015-1, Class A (a) | 161,800 | 162,811 | ||||||
DB Master Finance LLC, | 398,000 | 401,483 | ||||||
Diamond Resorts Owner Trust, Series 2013-1, Class A (a) | 1,046,761 | 1,049,658 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) | 418,485 | 421,103 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) | 244,798 | 247,093 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) | 1,275,450 | 1,318,161 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) | $ | 395,833 | $ | 392,564 | ||||
Drug Royalty Corp., Inc., Series 2014-1, Class A1 FRN (a) | 606,673 | 614,241 | ||||||
Dryden Senior Loan Fund, Series 2015-38A, Class X FRN (a) | 430,000 | 429,996 | ||||||
Dryden XI-Leveraged Loan CDO, Series 2006-11A, Class A1 FRN (a) | 309,702 | 307,288 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B (a) | 424,551 | 423,356 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF4, Class M1 FRN | 150,875 | 150,473 | ||||||
FNA Trust, Series 2014-1A, Class A (a) | 828,870 | 826,668 | ||||||
Global Container Assets Ltd., Series 2015-1A, Class A1 (a) | 341,667 | 339,634 | ||||||
Global Container Assets Ltd., Series 2013-1A, Class A1 (a) | 691,487 | 693,183 | ||||||
Global Container Assets Ltd., Series 2013-1A, Class A2 (a) | 750,000 | 760,165 | ||||||
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) | 347,795 | 347,791 | ||||||
HFG Healthco-4 LLC, Series 2011-1A, Class A FRN (a) | 375,000 | 377,541 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) | 506,405 | 503,971 | ||||||
Icon Brand Holdings LLC, | 267,569 | 271,406 | ||||||
ING Investment Management CLO V Ltd., Series 2007-5A, | 464,665 | 461,172 | ||||||
Leaf Receivables Funding 10 LLC, Series 2015-1, Class A1 (a) | 1,404,818 | 1,404,820 | ||||||
Macquarie Equipment Funding Trust, Series 2014-A, Class A2 (a) | 572,715 | 572,919 | ||||||
Macquarie Equipment Funding Trust, Series 2012-A, Class B (a) | 800,000 | 803,016 |
Principal Amount | Value | |||||||
Madison Park Funding XVIII Ltd., Series 2015-18A, Class X FRN (a) | $ | 430,000 | $ | 429,998 | ||||
Miramax LLC, Series 2014-1A, Class A2 (a) | 748,254 | 751,397 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, | 552,276 | 547,458 | ||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) | 184,949 | 185,013 | ||||||
Navitas Equipment Receivables LLC, Series 2015-1, Class A1 (a) | 807,759 | 807,671 | ||||||
Navitas Equipment Receivables LLC, Series 2013-1, Class A (a) | 211,676 | 211,731 | ||||||
New York City Tax Lien, Series 2014-A, Class A (a) | 97,829 | 97,780 | ||||||
Ocwen Master Advance Receivables Trust, Series 15-1, Class AT1 (a) | 230,000 | 230,000 | ||||||
OneMain Financial Issuance Trust, Series 2014-1A, Class A (a) | 260,000 | 260,304 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 180,000 | 181,359 | ||||||
PFS Financing Corp., Series 2013-AA, Class A FRN (a) | 2,100,000 | 2,099,523 | ||||||
PFS Financing Corp., Series 2014-AA, Class A FRN (a) | 1,490,000 | 1,484,799 | ||||||
PFS Financing Corp., Series 2014-BA, Class A FRN (a) | 1,000,000 | 993,995 | ||||||
RAAC, Series 2006-RP2, | 300,031 | 295,137 | ||||||
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (a) | 715,138 | 723,237 | ||||||
Sierra Receivables Funding Co. LLC, Series 2011-2A, Class A (a) | 259,108 | 260,872 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A (a) | 167,824 | 167,066 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class B (a) | $ | 316,763 | $ | 318,265 | ||||
Sonic Capital LLC, Series 2011-1A, Class A2 (a) | 440,114 | 462,669 | ||||||
Springleaf Funding Trust, Series 2013-AA, Class A (a) | 117,024 | 117,097 | ||||||
Structured Asset Securities Corp, Series 2006-OPT1, Class A4 FRN | 181,792 | 181,547 | ||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A (a) | 613,181 | 614,088 | ||||||
TAL Advantage LLC, Series 2006-1A FRN (a) | 1,248,334 | 1,247,114 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (a) | 329,839 | 328,166 | ||||||
Trade MAPS 1 Ltd., Series 2013-1A, Class A FRN (a) | 1,620,000 | 1,620,523 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1B FRN (a) | 357,482 | 369,994 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) | 408,551 | 433,595 | ||||||
Westgate Resorts LLC, Series 2014-1A, Class A (a) | 429,179 | 427,770 | ||||||
Westgate Resorts LLC, Series 2015-1A, Class A (a) | 556,536 | 558,281 | ||||||
Westgate Resorts LLC, Series 2012-2A, Class A (a) | 405,001 | 405,401 | ||||||
|
| |||||||
48,881,060 | ||||||||
|
| |||||||
Student Loans ABS — 11.1% | ||||||||
Academic Loan Funding Trust, | 2,559,733 | 2,544,365 | ||||||
Access Group, Inc., Series 2006-1, Class A2 FRN | 578,432 | 573,200 | ||||||
Access Group, Inc., Series 2007-A, Class A2 FRN | 8,103 | 8,095 | ||||||
Access Group, Inc., Series 2005-2, Class A3 FRN | 377,897 | 374,537 |
Principal Amount | Value | |||||||
Access Group, Inc., Series 2005-B, Class A2 FRN | $ | 97,374 | $ | 97,191 | ||||
Access Group, Inc., Series 2004-A, Class A2 FRN | 246,174 | 244,611 | ||||||
Access Group, Inc., Series 2003-A, Class A3 FRN | 222,040 | 200,100 | ||||||
CIT Education Loan Trust, | 1,487,773 | 1,473,408 | ||||||
College Loan Corp Trust I, | 626,478 | 540,792 | ||||||
College Loan Corp. Trust, | 2,375,000 | 2,356,604 | ||||||
Collegiate Funding Services Education Loan Trust, Series 2004-A, | 434,579 | 431,405 | ||||||
DRB Prime Student Loan Trust, Series 2015-A, Class A3 | 353,800 | 356,612 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) | 460,000 | 459,949 | ||||||
Edsouth Indenture No 9 LLC, Series 2015-1, Class A FRN (a) | 748,290 | 733,217 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A5 FRN | 650,000 | 635,073 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A6 FRN | 350,000 | 344,995 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A4 FRN | 1,150,000 | 1,147,682 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN | 150,000 | 139,887 | ||||||
GCO Education Loan Funding Trust, Series 2007-1A, Class A5L FRN (a) | 75,708 | 75,271 | ||||||
GCO Education Loan Funding Trust, Series 2006-2A, Class A2L FRN (a) | 98,419 | 98,321 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1, | 533,813 | 531,010 |
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 | $ | 279,038 | $ | 278,430 | ||||
KeyCorp Student Loan Trust, Series 2004-A, Class 2A2 FRN | 1,036,641 | 1,031,345 | ||||||
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4 FRN | 1,500,000 | 1,440,777 | ||||||
KeyCorp Student Loan Trust, Series 2000-A, Class A2 FRN | 358,118 | 337,330 | ||||||
National Collegiate Student Loan Trust, Series 2007-1, Class A2 FRN | 293,555 | 291,629 | ||||||
National Collegiate Student Loan Trust, Series 2006-3, Class A3 FRN | 527,719 | 522,857 | ||||||
National Collegiate Student Loan Trust, Series 2006-1, Class A3 FRN | 241,532 | 241,276 | ||||||
National Collegiate Student Loan Trust, Series 2005-3, Class A3 FRN | 105,031 | 104,963 | ||||||
National Collegiate Student Loan Trust, Series 2005-1, Class A4 FRN | 441,902 | 434,126 | ||||||
National Collegiate Student Loan Trust, Series 2004-1, Class A2 FRN | 232,795 | 231,727 | ||||||
Navient Private Education Loan Trust, Series 2014-AA, Class A1 FRN (a) | 646,414 | 645,269 | ||||||
Navient Private Education Loan Trust, Series 2015-AA, Class A1 FRN (a) | 930,944 | 927,910 | ||||||
Navient Private Education Loan Trust, Series 2015-BA, Class A1 FRN (a) | 534,343 | 533,644 | ||||||
Navient Private Education Loan Trust, Series 2015-AA, Class A2B FRN (a) | 670,000 | 669,324 | ||||||
Nelnet Student Loan Trust, | 485,333 | 429,652 | ||||||
Nelnet Student Loan Trust, Series 2010-4A, Class A FRN (a) | 105,720 | 104,972 | ||||||
Nelnet Student Loan Trust, Series 2014-2A, Class B FRN (a) | 295,000 | 254,874 | ||||||
Nelnet Student Loan Trust, | 1,175,000 | 1,179,398 |
Principal Amount | Value | |||||||
Pennsylvania Higher Education Assistance Agency, Series 2004-1, Class A2 FRN | $ | 450,000 | $ | 444,869 | ||||
SLC Student Loan Trust, Series 2006-A, Class A5 FRN | 1,252,196 | 1,243,669 | ||||||
SLM Student Loan Trust, Series 2007-2, Class A4 FRN | 400,000 | 373,117 | ||||||
SLM Student Loan Trust, Series 2006-3, Class A5 FRN | 380,000 | 363,462 | ||||||
SLM Student Loan Trust, Series 2006-1, Class A5 FRN | 370,000 | 356,607 | ||||||
SLM Student Loan Trust, Series 2007-5, Class A6 FRN | 460,000 | 399,352 | ||||||
SLM Student Loan Trust, Series 2005-5, Class A4 | 500,000 | 465,715 | ||||||
SLM Student Loan Trust, Series 2006-2, Class B FRN | 467,604 | 387,841 | ||||||
SLM Student Loan Trust, Series 2003-14, Class A6 FRN | 300,000 | 287,559 | ||||||
SLM Student Loan Trust, Series 2005-8, Class B FRN | 466,293 | 393,935 | ||||||
SLM Student Loan Trust, Series 2004-10, Class B FRN | 462,874 | 391,981 | ||||||
SLM Student Loan Trust, Series 2008-7, Class A2 FRN | 20,644 | 20,639 | ||||||
SLM Student Loan Trust, Series 2014-A, Class A1 FRN (a) | 834,761 | 832,348 | ||||||
SLM Student Loan Trust, Series 2012-E, Class A1 FRN (a) | 160,185 | 160,092 | ||||||
SLM Student Loan Trust, Series 2003-11, Class B FRN | 430,382 | 374,676 | ||||||
SLM Student Loan Trust, Series 2012-B, Class A1 FRN (a) | 189,865 | 189,904 | ||||||
SLM Student Loan Trust, Series 2012-C, Class A1 FRN (a) | 102,675 | 102,818 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2005-6, Class A5B FRN | $ | 680,217 | $ | 683,618 | ||||
SLM Student Loan Trust, Series 2003-5, Class A9 FRN | 600,000 | 589,775 | ||||||
SLM Student Loan Trust, Series 2012-A, Class A1 FRN (a) | 143,477 | 144,113 | ||||||
SLM Student Loan Trust, Series 2003-2, Class A7 FRN | 900,000 | 885,541 | ||||||
SLM Student Loan Trust, Series 2008-5, Class A4 FRN | 340,000 | 341,725 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7 FRN | 500,000 | 495,406 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A11 FRN | 400,000 | 396,353 | ||||||
SMB Private Education Loan Trust, Series 2014-A, Class A1 FRN (a) | 669,984 | 668,151 | ||||||
Social Professional Loan Program LLC, Series 2015-A, Class A1 FRN (a) | 425,904 | 424,832 | ||||||
Social Professional Loan Program LLC, Series 2014-B, Class A1 FRN (a) | 729,217 | 728,959 | ||||||
Social Professional Loan Program LLC, Series 2014-A, Class A1 FRN (a) | 923,309 | 932,252 | ||||||
South Carolina Student Loan Corp., Series 2005-1, Class A2 FRN | 68,307 | 67,526 | ||||||
|
| |||||||
36,172,663 | ||||||||
|
| |||||||
WL Collateral CMO — 0.6% | ||||||||
Connecticut Avenue Securities, Series 2015-C02, Class 1M1 FRN | 699,402 | 698,111 | ||||||
Connecticut Avenue Securities, Series 2015-C03, Class 1M1 | 830,230 | 831,038 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-CF1, Class M1 FRN (a) | 233,167 | 225,525 | ||||||
Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1 | 346,461 | 344,892 | ||||||
|
| |||||||
2,099,566 | ||||||||
|
|
Principal Amount | Value | |||||||
WL Collateral PAC — 0.0% | ||||||||
Structured Asset Securities Corp., Series 2007-BC4, Class A3 FRN | $ | 84,133 | $ | 83,558 | ||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $153,217,609) | 152,591,700 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.1% | ||||||||
Pass-Through Securities — 0.1% | ||||||||
Government National Mortgage Association II | 198,387 | 205,982 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $210,601) | 205,982 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 96.9% | ||||||||
U.S. Treasury Bonds & Notes — 96.9% | ||||||||
U.S. Treasury Inflation Index | 7,712,358 | 7,684,239 | ||||||
U.S. Treasury Inflation Index (d) (e) (f) | 17,902,163 | 17,881,414 | ||||||
U.S. Treasury Inflation Index (e) | 17,732,085 | 17,671,601 | ||||||
U.S. Treasury Inflation Index (e) | 14,369,310 | 14,276,700 | ||||||
U.S. Treasury Inflation Index (e) | 13,791,944 | 13,439,781 | ||||||
U.S. Treasury Inflation Index (e) | 14,098,377 | 13,747,934 | ||||||
U.S. Treasury Inflation Index (e) | 14,578,413 | 14,054,888 | ||||||
U.S. Treasury Inflation Index (e) | 14,196,896 | 13,545,472 | ||||||
U.S. Treasury Inflation Index (e) | 14,257,540 | 13,665,524 | ||||||
U.S. Treasury Inflation Index (e) | 14,254,589 | 14,007,543 | ||||||
U.S. Treasury Inflation Index | 6,943,953 | 6,764,118 | ||||||
U.S. Treasury Inflation Index (e) | 13,463,659 | 13,652,460 | ||||||
U.S. Treasury Inflation Index (e) | 14,314,226 | 14,245,074 | ||||||
U.S. Treasury Inflation Index (e) | 5,293,953 | 4,459,329 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
U.S. Treasury Inflation Index (e) | $ | 6,833,420 | $ | 5,980,486 | ||||
U.S. Treasury Inflation Index (e) | 5,645,028 | 4,895,374 | ||||||
U.S. Treasury Inflation Index (e) | 12,649,797 | 13,145,252 | ||||||
U.S. Treasury Inflation Index (e) | 11,134,604 | 11,689,308 | ||||||
U.S. Treasury Inflation Index (e) | 5,334,390 | 5,546,934 | ||||||
U.S. Treasury Inflation Index (e) | 7,361,145 | 7,724,028 | ||||||
U.S. Treasury Inflation Index (e) | 7,874,560 | 7,989,702 | ||||||
U.S. Treasury Inflation Index (e) | 4,556,720 | 4,717,449 | ||||||
U.S. Treasury Inflation Index (e) | 5,821,210 | 6,434,486 | ||||||
U.S. Treasury Inflation Index (e) | 5,968,625 | 6,374,229 | ||||||
U.S. Treasury Inflation Index (e) | 7,346,786 | 8,242,176 | ||||||
U.S. Treasury Inflation Index (e) | 4,929,813 | 5,251,532 | ||||||
U.S. Treasury Inflation Index (e) | 3,500,187 | 4,126,028 | ||||||
U.S. Treasury Inflation Index (e) | 3,678,041 | 4,360,395 | ||||||
U.S. Treasury Inflation Index (e) | 9,850,180 | 11,335,400 | ||||||
U.S. Treasury Inflation Index (e) | 5,970,354 | 6,986,633 | ||||||
U.S. Treasury Inflation Index (e) | 5,124,338 | 6,147,401 | ||||||
U.S. Treasury Inflation Index (e) | 2,144,525 | 2,938,782 | ||||||
U.S. Treasury Inflation Index (e) | 3,902,803 | 5,172,128 | ||||||
U.S. Treasury Inflation Index (e) | 5,806,878 | 8,005,629 | ||||||
|
| |||||||
316,159,429 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $319,738,075) | 316,159,429 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $489,807,197) | 485,368,745 | |||||||
|
|
Notional Amount | Value | |||||||
PURCHASED OPTIONS — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Diversified Financial — 0.1% | ||||||||
USD Call CNH Put, Expires 7/27/16, Strike 6.65 (OTC - JP Morgan Chase Bank) | $ | 5,700,000 | $ | 110,152 | ||||
USD Put CNH Call, Expires 5/16/16, Strike 6.65 (OTC - HSBC Bank PLC) | 11,000,000 | 166,376 | ||||||
|
| |||||||
276,528 | ||||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $114,463) | 276,528 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $489,921,660) | 485,645,273 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 31.5% | ||||||||
Commercial Paper — 31.4% | ||||||||
Agrium, Inc. | $ | 5,000,000 | 4,996,486 | |||||
Ameren Corp. | 2,200,000 | 2,199,328 | ||||||
Aon Corp. (a) | 5,000,000 | 4,996,696 | ||||||
Campbell Soup Co. (a) | 5,000,000 | 4,997,472 | ||||||
Canadian Natural Resources Ltd. (a) | 5,000,000 | 4,999,007 | ||||||
Celgene Corp. (a) | 5,000,000 | 4,996,172 | ||||||
CenterPoint Energy, Inc. (a) | 5,000,000 | 4,997,433 | ||||||
Enbridge (US), Inc. (a) | 5,000,000 | 4,999,562 | ||||||
Enterprise Products Operating LP (a) | 5,000,000 | 4,999,689 | ||||||
ERAC USA Finance LLC (a) | 5,200,000 | 5,198,570 | ||||||
Experian Finance PLC (a) | 5,000,000 | 4,998,575 | ||||||
FMC Technologies, Inc. (a) | 4,500,000 | 4,497,319 | ||||||
Holcim US Finance SARL & Cie (a) | 4,300,000 | 4,300,000 | ||||||
Hyundai Capital America (a) | 5,000,000 | 4,999,050 | ||||||
Ingerosoll-Rand (a) | 5,000,000 | 4,999,678 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Monsanto Co. (a) | $ | 5,000,000 | $ | 4,996,167 | ||||
National Grid USA (a) | 5,000,000 | 4,999,625 | ||||||
ONEOK Partners LP (a) | 1,800,000 | 1,800,000 | ||||||
ONEOK Partners LP (a) | 1,000,000 | 1,000,000 | ||||||
Tate & Lyle International Finance PLC (a) | 4,000,000 | 3,998,057 | ||||||
Thomson Reuters Corp. (a) | 5,000,000 | 4,999,466 | ||||||
Vodafone Group PLC (a) | 4,500,000 | 4,480,220 | ||||||
WPP CP LLC (a) | 5,000,000 | 4,998,875 | ||||||
|
| |||||||
102,447,447 | ||||||||
|
| |||||||
Repurchase Agreement — 0.1% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated | 368,396 | 368,396 | ||||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 5,406 | 5,406 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $102,821,249) | 102,821,249 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 180.3% (Cost $592,742,909) (h) | 588,466,522 | |||||||
Other Assets/(Liabilities) — (80.3)% | (262,051,606 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 326,414,916 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
CDO | Collateralized Debt Obligation |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CNH | Offshore Chinese Yuan |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
PAC | Planned Amortization Class |
USD | U.S. Dollar |
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, 2015, these securities amounted to a value of $206,596,081 or 63.29% of net assets. |
(b) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(c) | Restricted security. Certain securities are restricted as to resale. At September 30, 2015, these securities amounted to a value of $341,827 or 0.10% 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 held as collateral for open futures contracts. (Note 2). |
(e) | All or a portion of this security is held as collateral for open reverse repurchase agreements. (Note 2). |
(f) | All or a portion of this security is held as collateral for open swap agreements. (Note 2). |
(g) | Maturity value of $368,396. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 10/31/21, and an aggregate market value, including accrued interest, of $379,713. |
(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, 2015
Number of Shares | Value | |||||||
EQUITIES — 0.7% | ||||||||
PREFERRED STOCK — 0.7% | ||||||||
Consumer, Non-cyclical — 0.2% | ||||||||
Pharmaceuticals — 0.2% | ||||||||
Allergan PLC 5.500% | 3,045 | $ | 2,872,836 | |||||
|
| |||||||
Energy — 0.3% | ||||||||
Oil & Gas — 0.3% | ||||||||
Anadarko Petroleum Corp. 7.500% | 76,700 | 2,870,881 | ||||||
Southwestern Energy Co. 6.250% | 38,550 | 1,198,134 | ||||||
|
| |||||||
4,069,015 | ||||||||
|
| |||||||
Financial — 0.2% | ||||||||
Insurance — 0.2% | ||||||||
The Allstate Corp. 5.100% | 130,000 | 3,299,400 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $12,096,289) | 10,241,251 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $12,096,289) | 10,241,251 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 100.0% | ||||||||
CORPORATE DEBT — 50.1% | ||||||||
Advertising — 0.1% | ||||||||
WPP Finance 2010 | $ | 635,000 | 694,275 | |||||
WPP Finance 2010 | 1,338,000 | 1,402,239 | ||||||
|
| |||||||
2,096,514 | ||||||||
|
| |||||||
Aerospace & Defense — 0.2% | ||||||||
Exelis, Inc. | 2,465,000 | 2,518,471 | ||||||
United Technologies Corp. | 465,000 | 572,802 | ||||||
|
| |||||||
3,091,273 | ||||||||
|
| |||||||
Agriculture — 0.8% | ||||||||
Altria Group, Inc. | 775,000 | 716,409 | ||||||
Bunge Ltd. Finance Corp. | 1,785,000 | 1,818,201 | ||||||
Imperial Tobacco Finance PLC (a) | 2,745,000 | 2,761,311 | ||||||
Imperial Tobacco Finance PLC (a) | 3,495,000 | 3,538,537 | ||||||
Philip Morris International, Inc. | 225,000 | 280,418 | ||||||
Reynolds American, Inc. | 1,350,000 | 1,364,522 |
Principal Amount | Value | |||||||
Reynolds American, Inc. | $ | 980,000 | $ | 1,007,962 | ||||
Reynolds American, Inc. | 890,000 | 990,187 | ||||||
|
| |||||||
12,477,547 | ||||||||
|
| |||||||
Airlines — 0.3% | ||||||||
American Airlines Pass-Through Trust, Series 2014-1, Class A | 708,605 | 704,176 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 300,479 | 300,479 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | 2,525,000 | 2,543,937 | ||||||
United Air Lines, Inc. (b) | 147,674 | 39,872 | ||||||
United Airlines Pass-Through Trust, Series 2014-1, Class A | 895,000 | 915,138 | ||||||
|
| |||||||
4,503,602 | ||||||||
|
| |||||||
Auto Manufacturers — 0.5% | ||||||||
General Motors Co. | 1,725,000 | 1,618,814 | ||||||
General Motors Financial Co., Inc. | 2,435,000 | 2,402,203 | ||||||
General Motors Financial Co., Inc. | 3,040,000 | 2,940,936 | ||||||
Hyundai Capital America (a) | 1,150,000 | 1,156,028 | ||||||
|
| |||||||
8,117,981 | ||||||||
|
| |||||||
Automotive & Parts — 0.0% | ||||||||
Lear Corp. | 625,000 | 612,500 | ||||||
|
| |||||||
Banks — 5.0% | ||||||||
Associated Banc-Corp. | 3,075,000 | 3,117,343 | ||||||
Associated Banc-Corp. | 4,885,000 | 4,965,910 | ||||||
Associated Banc-Corp. | 2,000,000 | 2,030,500 | ||||||
Bank of America Corp. | 8,590,000 | 8,356,653 | ||||||
Bank of America Corp. | 2,525,000 | 2,599,000 | ||||||
Bank of America Corp. | 1,150,000 | 1,254,773 | ||||||
Bank of America Corp. | 1,555,000 | 1,680,868 | ||||||
Barclays PLC | 1,585,000 | 1,535,916 |
The accompanying notes are an integral part of the financial statements.
85
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Compass Bank | $ | 3,535,000 | $ | 3,295,327 | ||||
Credit Agricole SA (a) | 2,640,000 | 2,678,053 | ||||||
Credit Suisse AG | 2,035,000 | 2,255,836 | ||||||
Discover Bank | 1,920,000 | 1,908,653 | ||||||
Export-Import Bank of Korea | 1,000,000 | 1,031,642 | ||||||
First Horizon National Corp. | 3,666,000 | 3,697,528 | ||||||
FirstMerit Corp. | 645,000 | 663,248 | ||||||
ICICI Bank Ltd. (a) | 1,800,000 | 1,888,051 | ||||||
ICICI Bank Ltd. (a) | 1,300,000 | 1,342,650 | ||||||
Intesa Sanpaolo SpA VRN (a) | 2,000,000 | 1,950,000 | ||||||
Itau Unibanco Holding SA (a) | 5,860,000 | 5,489,062 | ||||||
JP Morgan Chase & Co. | 1,710,000 | 1,693,659 | ||||||
Morgan Stanley | 1,305,000 | 1,256,817 | ||||||
Morgan Stanley | 750,000 | 799,070 | ||||||
MUFG Union Bank NA | 550,000 | 559,176 | ||||||
Regions Bank | 3,710,000 | 3,724,851 | ||||||
Regions Financial Corp. | 895,000 | 1,003,439 | ||||||
Santander Holdings USA, Inc. | 2,470,000 | 2,425,132 | ||||||
Skandinaviska Enskilda Banken AB (a) | 760,000 | 772,160 | ||||||
State Street Corp. | 2,465,000 | 2,489,877 | ||||||
SVB Financial Group | 4,285,000 | 4,179,148 | ||||||
SVB Financial Group | 515,000 | 574,057 | ||||||
Valley National Bancorp | 1,710,000 | 1,830,765 | ||||||
Wachovia Bank NA | 690,000 | 899,841 | ||||||
Wells Fargo & Co. | 4,325,000 | 4,407,785 | ||||||
Wells Fargo & Co. | 345,000 | 378,603 | ||||||
|
| |||||||
78,735,393 | ||||||||
|
|
Principal Amount | Value | |||||||
Beverages — 0.0% | ||||||||
Anheuser-Busch Cos, Inc. | $ | 119,000 | $ | 147,450 | ||||
|
| |||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc. | 1,600,000 | 1,644,395 | ||||||
|
| |||||||
Building Materials — 0.9% | ||||||||
CRH America, Inc. (a) | 2,325,000 | 2,328,615 | ||||||
CRH America, Inc. | 1,730,000 | 2,012,051 | ||||||
Lafarge SA | 1,305,000 | 1,346,884 | ||||||
Martin Marietta Material, Inc. FRN | 1,540,000 | 1,528,441 | ||||||
Masco Corp. | 4,145,000 | 4,196,812 | ||||||
Owens Corning, Inc. | 1,365,000 | 1,355,991 | ||||||
Owens Corning, Inc. | 1,245,000 | 1,480,415 | ||||||
|
| |||||||
14,249,209 | ||||||||
|
| |||||||
Chemicals — 1.9% | ||||||||
Ashland, Inc. | 10,540,000 | 9,868,075 | ||||||
Ashland, Inc. | 3,378,000 | 3,141,540 | ||||||
Cabot Corp. | 2,440,000 | 2,525,461 | ||||||
Cytec Industries, Inc. | 225,000 | 249,585 | ||||||
The Dow Chemical Co. | 375,000 | 453,325 | ||||||
Ecolab, Inc. | 650,000 | 703,381 | ||||||
Incitec Pivot Finance LLC (a) | 880,000 | 963,039 | ||||||
Incitec Pivot Ltd. (a) | 2,642,000 | 2,654,095 | ||||||
Methanex Corp. | 550,000 | 585,633 | ||||||
Rockwood Specialties Group, Inc. | 4,785,000 | 4,952,882 | ||||||
RPM International, Inc. | 800,000 | 895,806 | ||||||
RPM International, Inc. | 1,375,000 | 1,508,500 | ||||||
Valspar Corp. | 650,000 | 752,686 | ||||||
|
| |||||||
29,254,008 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
86
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Commercial Services — 0.8% | ||||||||
The ADT Corp. | $ | 2,015,000 | $ | 1,984,775 | ||||
Cardtronics, Inc., Convertible | 1,400,000 | 1,296,750 | ||||||
ERAC USA Finance LLC (a) | 455,000 | 465,358 | ||||||
ERAC USA Finance LLC (a) | 355,000 | 425,665 | ||||||
Leidos Holdings, Inc. | 6,280,000 | 6,247,174 | ||||||
The Western Union Co. | 1,405,000 | 1,466,230 | ||||||
|
| |||||||
11,885,952 | ||||||||
|
| |||||||
Computers — 1.0% | ||||||||
Hewlett Packard Enterprise Co. (a) | 3,750,000 | 3,748,950 | ||||||
Hewlett Packard Enterprise Co. (a) | 4,555,000 | 4,542,474 | ||||||
Hewlett Packard Enterprise Co. (a) | 4,050,000 | 4,047,246 | ||||||
SanDisk Corp., Convertible | 2,874,000 | 2,782,391 | ||||||
|
| |||||||
15,121,061 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.0% | ||||||||
The Procter & Gamble Co. | 270,000 | 339,717 | ||||||
|
| |||||||
Distribution & Wholesale — 0.2% | ||||||||
Arrow Electronics, Inc. | 135,000 | 138,046 | ||||||
Ingram Micro, Inc. | 3,265,000 | 3,368,651 | ||||||
|
| |||||||
3,506,697 | ||||||||
|
| |||||||
Diversified Financial — 5.5% | ||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust | 5,300,000 | 5,293,375 | ||||||
Affiliated Managers Group, Inc. | 2,320,000 | 2,232,053 | ||||||
Affiliated Managers Group, Inc. | 1,470,000 | 1,494,859 | ||||||
Air Lease Corp. | 2,505,000 | 2,536,312 | ||||||
Air Lease Corp. | 1,825,000 | 1,847,813 | ||||||
Air Lease Corp. STEP | 600,000 | 626,250 | ||||||
Ally Financial, Inc. | 2,715,000 | 2,670,881 | ||||||
American Express Co. VRN | 200,000 | 202,250 |
Principal Amount | Value | |||||||
Ares Finance Co. LLC (a) | $ | 2,380,000 | $ | 2,313,891 | ||||
The Bear Stearns Cos., Inc. | 1,520,000 | 1,701,705 | ||||||
Citigroup, Inc. | 13,185,000 | 12,813,328 | ||||||
Citigroup, Inc. | 800,000 | 930,333 | ||||||
Citigroup, Inc. | 225,000 | 323,572 | ||||||
Citigroup, Inc. | 688,000 | 830,662 | ||||||
Eaton Vance Corp. | 707,000 | 719,620 | ||||||
Eaton Vance Corp. | 91,000 | 99,456 | ||||||
General Electric Capital Corp. | 600,000 | 686,631 | ||||||
General Electric Capital Corp. | 1,495,000 | 2,093,173 | ||||||
The Goldman Sachs Group, Inc. | 900,000 | 1,003,935 | ||||||
The Goldman Sachs Group, Inc. | 3,540,000 | 3,717,818 | ||||||
The Goldman Sachs Group, Inc. | 1,600,000 | 1,836,302 | ||||||
The Goldman Sachs Group, Inc. | 420,000 | 462,566 | ||||||
The Goldman Sachs Group, Inc. | 440,000 | 530,570 | ||||||
The Goldman Sachs Group, Inc. | 550,000 | 629,991 | ||||||
The Goldman Sachs Group, Inc. | 565,000 | 673,999 | ||||||
Hyundai Capital America (a) | 995,000 | 995,000 | ||||||
Hyundai Capital America (a) | 910,000 | 925,020 | ||||||
Hyundai Capital America (a) | 1,605,000 | 1,660,511 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 7,240,000 | 7,262,589 | ||||||
International Lease Finance Corp. | 2,065,000 | 2,059,838 | ||||||
International Lease Finance Corp. | 6,722,000 | 6,822,830 | ||||||
Janus Capital Group, Inc. | 2,440,000 | 2,502,064 | ||||||
JP Morgan Chase & Co. | 1,500,000 | 1,618,454 | ||||||
Lazard Group LLC | 4,165,000 | 4,411,780 |
The accompanying notes are an integral part of the financial statements.
87
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Lazard Group LLC | $ | 601,000 | $ | 649,410 | ||||
Legg Mason, Inc. | 1,126,000 | 1,165,393 | ||||||
Merrill Lynch & Co., Inc. | 555,000 | 758,857 | ||||||
Morgan Stanley | 850,000 | 863,935 | ||||||
Morgan Stanley | 905,000 | 909,657 | ||||||
Morgan Stanley | 1,526,000 | 1,602,819 | ||||||
Morgan Stanley | 1,415,000 | 1,580,774 | ||||||
Morgan Stanley | 225,000 | 256,607 | ||||||
Stifel Financial Corp. | 995,000 | 994,711 | ||||||
|
| |||||||
85,311,594 | ||||||||
|
| |||||||
Electric — 3.0% | ||||||||
Appalachian Power Co. | 2,645,000 | 2,618,648 | ||||||
Berkshire Hathaway Energy | 1,525,000 | 1,799,361 | ||||||
CMS Energy Corp. | 1,875,000 | 2,024,372 | ||||||
Commonwealth Edison Co. | 2,225,000 | 2,035,797 | ||||||
Duke Energy Progress, Inc. | 37,000 | 45,849 | ||||||
Entergy Louisiana LLC | 1,095,000 | 1,106,113 | ||||||
Florida Power & Light Co. | 950,000 | 1,051,184 | ||||||
IPALCO Enterprises, Inc. (a) | 5,935,000 | 5,742,113 | ||||||
Kansas City Power & Light Co. | 250,000 | 272,686 | ||||||
Kansas Gas & Electric Co. | 879,110 | 887,901 | ||||||
LG&E and KU Energy LLC | 1,900,000 | 2,072,841 | ||||||
Metropolitan Edison Co. (a) | 1,505,000 | 1,533,491 | ||||||
National Fuel Gas Co. | 985,000 | 928,707 | ||||||
Nevada Power Co. Series N | 1,000,000 | 1,273,961 | ||||||
Niagara Mohawk Power Corp. (a) | 1,560,000 | 1,516,704 | ||||||
Oncor Electric Delivery Co. | 75,000 | 85,136 |
Principal Amount | Value | |||||||
Oncor Electric Delivery Co. | $ | 130,000 | $ | 177,504 | ||||
Pacific Gas & Electric Co. | 800,000 | 950,775 | ||||||
Pennsylvania Electric Co. (a) | 2,090,000 | 2,115,995 | ||||||
PPL Capital Funding, Inc. | 400,000 | 400,038 | ||||||
PPL Capital Funding, Inc. | 1,320,000 | 1,380,438 | ||||||
Progress Energy, Inc. | 505,000 | 640,350 | ||||||
Puget Energy, Inc. (a) | 2,590,000 | 2,555,975 | ||||||
Puget Energy, Inc. | 1,985,000 | 2,313,660 | ||||||
Puget Sound Energy, Inc. | 4,650,000 | 4,755,020 | ||||||
Southern California Edison Co. | 820,000 | 1,019,655 | ||||||
State Grid Overseas Investment Ltd. (a) | 1,470,000 | 1,461,937 | ||||||
Transelec SA (a) | 1,250,000 | 1,281,601 | ||||||
Tri-State Generation & Transmission Association, Series 2003, Class A (a) | 507,874 | 538,473 | ||||||
Virginia Electric and Power Co. | 925,000 | 1,196,847 | ||||||
Wisconsin Public Service Corp. | 1,405,000 | 1,501,726 | ||||||
Xcel Energy, Inc. | 250,000 | 258,349 | ||||||
|
| |||||||
47,543,207 | ||||||||
|
| |||||||
Electronics — 0.4% | ||||||||
Amphenol Corp. | 1,445,000 | 1,460,109 | ||||||
Arrow Electronics, Inc. | 1,865,000 | 1,843,034 | ||||||
Arrow Electronics, Inc. | 750,000 | 822,782 | ||||||
Avnet, Inc. | 944,000 | 984,409 | ||||||
Tech Data Corp. | 1,345,000 | 1,379,333 | ||||||
|
| |||||||
6,489,667 | ||||||||
|
| |||||||
Environmental Controls — 0.3% | ||||||||
Republic Services, Inc. | 3,740,000 | 3,637,984 | ||||||
Republic Services, Inc. | 40,000 | 44,117 |
The accompanying notes are an integral part of the financial statements.
88
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Republic Services, Inc. | $ | 795,000 | $ | 891,969 | ||||
|
| |||||||
4,574,070 | ||||||||
|
| |||||||
Foods — 0.6% | ||||||||
ConAgra Foods, Inc. | 850,000 | 929,252 | ||||||
ConAgra Foods, Inc. | 500,000 | 548,701 | ||||||
ConAgra Foods, Inc. | 755,000 | 868,364 | ||||||
General Mills, Inc. | 65,000 | 72,721 | ||||||
JBS Investments GmbH (a) | 3,288,000 | 3,370,200 | ||||||
Kraft Foods, Inc. | 381,000 | 466,580 | ||||||
Tyson Foods, Inc. | 485,000 | 488,656 | ||||||
Tyson Foods, Inc. | 745,000 | 759,221 | ||||||
Tyson Foods, Inc. | 1,675,000 | 1,720,972 | ||||||
WM Wrigley Jr. Co. (a) | 530,000 | 539,327 | ||||||
|
| |||||||
9,763,994 | ||||||||
|
| |||||||
Forest Products & Paper — 0.3% | ||||||||
Domtar Corp. | 94,000 | 100,662 | ||||||
Domtar Corp. | 55,000 | 62,642 | ||||||
International Paper Co. | 700,000 | 756,003 | ||||||
International Paper Co. | 820,000 | 1,003,564 | ||||||
International Paper Co. | 290,000 | 357,274 | ||||||
Sappi Papier Holding GmbH (a) | 1,830,000 | 1,921,500 | ||||||
|
| |||||||
4,201,645 | ||||||||
|
| |||||||
Gas — 0.2% | ||||||||
Boston Gas Co. (a) | 700,000 | 716,687 | ||||||
The Laclede Group, Inc. | 2,000,000 | 2,037,112 | ||||||
|
| |||||||
2,753,799 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.1% | ||||||||
Kennametal, Inc. | 1,200,000 | 1,203,644 | ||||||
|
| |||||||
Health Care – Products — 0.6% | ||||||||
Boston Scientific Corp. | 950,000 | 1,065,420 |
Principal Amount | Value | |||||||
Johnson & Johnson | $ | 245,000 | $ | 314,540 | ||||
Zimmer Biomet Holdings, Inc. | 3,395,000 | 3,324,459 | ||||||
Zimmer Biomet Holdings, Inc. | 4,280,000 | 3,956,513 | ||||||
|
| |||||||
8,660,932 | ||||||||
|
| |||||||
Health Care – Services — 0.4% | ||||||||
Anthem, Inc., Convertible | 500,000 | 941,875 | ||||||
Cigna Corp. | 650,000 | 725,884 | ||||||
Howard Hughes Medical Institute | 1,025,000 | 1,072,870 | ||||||
Kaiser Foundation Hospitals | 600,000 | 618,186 | ||||||
UnitedHealth Group, Inc. | 1,775,000 | 2,363,592 | ||||||
|
| |||||||
5,722,407 | ||||||||
|
| |||||||
Holding Company – Diversified — 0.1% | ||||||||
Hutchison Whampoa International Ltd. (a) | 1,220,000 | 1,370,536 | ||||||
|
| |||||||
Home Builders — 0.2% | ||||||||
Lennar Corp. | 3,767,000 | 3,799,020 | ||||||
|
| |||||||
Home Furnishing — 0.0% | ||||||||
Whirlpool Corp. | 295,000 | 300,343 | ||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Rubbermaid, Inc. | 1,250,000 | 1,251,968 | ||||||
|
| |||||||
Insurance — 3.1% | ||||||||
The Allstate Corp. VRN | 2,270,000 | 2,350,245 | ||||||
Arch Capital Group US, Inc. | 1,150,000 | 1,186,778 | ||||||
AXIS Specialty Finance PLC | 660,000 | 662,944 | ||||||
Brown & Brown, Inc. | 2,040,000 | 2,056,901 | ||||||
The Chubb Corp. VRN | 916,000 | 903,405 | ||||||
CNA Financial Corp. | 1,250,000 | 1,258,380 | ||||||
CNA Financial Corp. | 1,000,000 | 1,184,156 | ||||||
CNO Financial Group, Inc. | 1,763,000 | 1,798,260 | ||||||
CNO Financial Group, Inc. | 2,104,000 | 2,135,560 |
The accompanying notes are an integral part of the financial statements.
89
Table of Contents
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Five Corners Funding Trust (a) | $ | 1,465,000 | $ | 1,532,273 | ||||
The Hartford Financial Services Group, Inc. VRN | 2,070,000 | 2,287,350 | ||||||
Liberty Mutual Group, Inc. (a) | 706,000 | 730,164 | ||||||
Marsh & McLennan Cos., Inc. | 900,000 | 1,046,627 | ||||||
MetLife Capital Trust IV (a) | 2,695,000 | 3,301,375 | ||||||
Principal Financial Group, Inc. | 620,000 | 756,690 | ||||||
Prudential Financial, Inc. VRN | 2,380,000 | 2,337,605 | ||||||
Prudential Financial, Inc. VRN | 1,800,000 | 1,786,500 | ||||||
Prudential Financial, Inc. VRN | 1,845,000 | 1,904,040 | ||||||
Prudential Financial, Inc. VRN | 1,930,000 | 2,215,158 | ||||||
QBE Capital Funding III Ltd. VRN (a) | 1,425,000 | 1,588,875 | ||||||
QBE Insurance Group Ltd. (a) | 900,000 | 906,066 | ||||||
Reinsurance Group of America, Inc. | 1,270,000 | 1,368,644 | ||||||
Reinsurance Group of America, Inc. | 1,775,000 | 1,948,194 | ||||||
Reinsurance Group of America, Inc. | 1,675,000 | 1,914,806 | ||||||
USF&G Capital I (a) | 1,015,000 | 1,475,066 | ||||||
Voya Financial, Inc. | 900,000 | 1,025,079 | ||||||
Voya Financial, Inc. VRN | 1,510,000 | 1,522,080 | ||||||
Willis Group Holdings PLC | 530,000 | 536,501 | ||||||
Willis Group Holdings PLC | 1,825,000 | 2,041,445 | ||||||
Willis North America, Inc. | 706,000 | 806,937 | ||||||
XLIT Ltd. | 1,275,000 | 1,275,919 | ||||||
|
| |||||||
47,844,023 | ||||||||
|
| |||||||
Internet — 1.0% | ||||||||
Baidu, Inc. | 1,965,000 | 2,002,924 | ||||||
Expedia, Inc. | 6,190,000 | 6,211,325 |
Principal Amount | Value | |||||||
Expedia, Inc. | $ | 3,420,000 | $ | 3,859,935 | ||||
LinkedIn Corp., Convertible (a) | 1,490,000 | 1,466,719 | ||||||
Tencent Holdings Ltd. (a) | 1,655,000 | 1,642,589 | ||||||
|
| |||||||
15,183,492 | ||||||||
|
| |||||||
Investment Companies — 0.4% | ||||||||
Ares Capital Corp. | 3,635,000 | 3,742,825 | ||||||
FS Investment Corp. | 2,720,000 | 2,756,587 | ||||||
|
| |||||||
6,499,412 | ||||||||
|
| |||||||
Iron & Steel — 1.0% | ||||||||
Allegheny Technologies, Inc. | 710,000 | 749,050 | ||||||
ArcelorMittal | 2,375,000 | 2,149,612 | ||||||
ArcelorMittal STEP | 245,000 | 242,550 | ||||||
ArcelorMittal | 1,700,000 | 1,536,375 | ||||||
ArcelorMittal | 279,000 | 273,420 | ||||||
Commercial Metals Co. | 855,000 | 880,650 | ||||||
Glencore Funding LLC (a) | 4,475,000 | 3,580,000 | ||||||
Glencore Funding LLC (a) | 180,000 | 141,638 | ||||||
Glencore Funding LLC (a) | 435,000 | 326,250 | ||||||
Reliance Steel & Aluminum Co. | 1,125,000 | 1,073,797 | ||||||
Reliance Steel & Aluminum Co. | 2,562,000 | 2,660,406 | ||||||
Reliance Steel & Aluminum Co. | 1,536,000 | 1,675,048 | ||||||
|
| |||||||
15,288,796 | ||||||||
|
| |||||||
Leisure Time — 0.1% | ||||||||
Carnival Corp. | 1,100,000 | 1,105,081 | ||||||
|
| |||||||
Lodging — 0.4% | ||||||||
Choice Hotels International, Inc. | 1,500,000 | 1,606,875 | ||||||
Marriott International, Inc. | 1,440,000 | 1,492,713 | ||||||
Marriott International, Inc. | 425,000 | 427,201 | ||||||
Marriott International, Inc. | 2,003,000 | 2,072,953 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Starwood Hotels & Resorts Worldwide, Inc. | $ | 305,000 | $ | 338,202 | ||||
Wyndham Worldwide Corp. | 9,000 | 9,437 | ||||||
|
| |||||||
5,947,381 | ||||||||
|
| |||||||
Machinery – Diversified — 0.4% | ||||||||
CNH Industrial Capital LLC | 725,000 | 711,406 | ||||||
CNH Industrial Capital LLC | 1,595,000 | 1,519,237 | ||||||
CNH Industrial Capital LLC | 902,000 | 876,636 | ||||||
CNH Industrial Capital LLC | 1,705,000 | 1,736,969 | ||||||
Xylem, Inc. | 585,000 | 641,132 | ||||||
|
| |||||||
5,485,380 | ||||||||
|
| |||||||
Manufacturing — 0.6% | ||||||||
Harsco Corp | 7,308,000 | 7,304,346 | ||||||
Ingersoll-Rand Global Holding Co. Ltd. | 960,000 | 1,081,977 | ||||||
SPX FLOW, Inc. | 1,370,000 | 1,438,500 | ||||||
|
| |||||||
9,824,823 | ||||||||
|
| |||||||
Media — 0.7% | ||||||||
21st Century Fox America, Co. | 525,000 | 641,540 | ||||||
CBS Corp. | 970,000 | 1,259,931 | ||||||
CCO Safari II LLC (a) | 2,005,000 | 1,990,231 | ||||||
CCO Safari II LLC (a) | 2,005,000 | 1,995,382 | ||||||
CCO Safari II LLC (a) | 1,655,000 | 1,669,647 | ||||||
NBCUniversal Media LLC | 100,000 | 124,897 | ||||||
Time Warner Cable, Inc. | 655,000 | 655,155 | ||||||
Time Warner Cable, Inc. | 235,000 | 273,839 | ||||||
Time Warner Cable, Inc. | 365,000 | 428,642 | ||||||
Time Warner, Inc. | 900,000 | 982,784 | ||||||
Time Warner, Inc. | 950,000 | 1,073,130 | ||||||
Time Warner, Inc. | 15,000 | 17,276 | ||||||
|
| |||||||
11,112,454 | ||||||||
|
|
Principal Amount | Value | |||||||
Mining — 0.7% | ||||||||
Freeport-McMoRan, Inc. | $ | 810,000 | $ | 708,750 | ||||
Freeport-McMoRan, Inc. | 5,310,000 | 4,141,800 | ||||||
Freeport-McMoRan, Inc. | 1,210,000 | 840,950 | ||||||
Glencore Canada Corp. | 1,230,000 | 1,147,922 | ||||||
Glencore Finance Canada. STEP (a) | 1,700,000 | 1,698,300 | ||||||
Glencore Finance Canada. (a) | 1,023,000 | 971,850 | ||||||
Vale Overseas Ltd. | 1,626,000 | 1,655,041 | ||||||
Vale Overseas Ltd. | 490,000 | 378,804 | ||||||
|
| |||||||
11,543,417 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.2% | ||||||||
Pitney Bowes, Inc. | 1,875,000 | 1,889,769 | ||||||
Pitney Bowes, Inc. | 1,140,000 | 1,152,252 | ||||||
Pitney Bowes, Inc. | 275,000 | 292,758 | ||||||
Pitney Bowes, Inc. | 188,000 | 202,273 | ||||||
|
| |||||||
3,537,052 | ||||||||
|
| |||||||
Office Furnishings — 0.0% | ||||||||
Steelcase, Inc. | 100,000 | 111,532 | ||||||
|
| |||||||
Oil & Gas — 3.4% | ||||||||
Anadarko Petroleum Corp. | 402,000 | 442,257 | ||||||
Chesapeake Energy Corp., Convertible | 360,000 | 255,600 | ||||||
Chesapeake Energy Corp., Convertible | 3,530,000 | 3,035,800 | ||||||
Chesapeake Energy Corp. | 3,350,000 | 3,283,670 | ||||||
Chesapeake Energy Corp. | 1,600,000 | 1,444,000 | ||||||
Devon Energy Corp. | 1,145,000 | 1,106,258 | ||||||
Devon Energy Corp. | 660,000 | 738,864 | ||||||
Ensco PLC | 2,845,000 | 2,165,258 | ||||||
Helmerich & Payne International Drilling Co. | 1,415,000 | 1,408,620 |
The accompanying notes are an integral part of the financial statements.
91
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Newfield Exploration Co. | $ | 5,195,000 | $ | 4,753,425 | ||||
Pemex Project Funding Master Trust | 202,000 | 184,325 | ||||||
Petrobras Global Finance BV | 1,480,000 | 1,420,800 | ||||||
Petrobras Global Finance BV | 4,695,000 | 4,143,337 | ||||||
Petrobras International Finance Co. | 1,275,000 | 1,252,688 | ||||||
Petroleos Mexicanos | 395,000 | 386,606 | ||||||
Petroleos Mexicanos | 1,690,000 | 1,776,950 | ||||||
Petroleos Mexicanos | 640,000 | 574,976 | ||||||
Pioneer Natural Resources Co. | 1,370,000 | 1,416,998 | ||||||
Pride International, Inc. | 2,000,000 | 1,903,034 | ||||||
Rowan Cos., Inc. | 2,127,000 | 1,558,106 | ||||||
Rowan Cos., Inc. | 4,661,000 | 3,473,722 | ||||||
Rowan Cos., Inc. | 1,400,000 | 1,372,885 | ||||||
Southwestern Energy Co. | 2,450,000 | 2,436,006 | ||||||
Southwestern Energy Co. | 1,470,000 | 1,313,802 | ||||||
Transocean, Inc. STEP | 1,500,000 | 1,481,250 | ||||||
Transocean, Inc. | 2,813,000 | 2,573,895 | ||||||
Whiting Petroleum Corp., Convertible (a) | 2,165,000 | 1,763,122 | ||||||
WPX Energy, Inc. | 5,495,000 | 5,027,925 | ||||||
|
| |||||||
52,694,179 | ||||||||
|
| |||||||
Oil & Gas Services — 1.0% | ||||||||
Cameron International Corp. | 185,000 | 204,179 | ||||||
Hornbeck Offshore Services, Inc., Convertible | 2,850,000 | 2,114,344 | ||||||
SEACOR Holdings, Inc., Convertible | 970,000 | 771,150 | ||||||
SESI LLC | 725,000 | 722,281 | ||||||
Superior Energy Services, Inc. | 5,789,000 | 5,680,456 |
Principal Amount | Value | |||||||
Weatherford International Ltd. | $ | 1,000,000 | $ | 808,800 | ||||
Weatherford International Ltd. | 3,169,000 | 2,761,676 | ||||||
Weatherford International Ltd. | 1,685,000 | 1,171,431 | ||||||
Weatherford International Ltd. | 725,000 | 733,847 | ||||||
|
| |||||||
14,968,164 | ||||||||
|
| |||||||
Packaging & Containers — 0.0% | ||||||||
Brambles USA Inc., | 685,000 | 757,059 | ||||||
|
| |||||||
Pharmaceuticals — 2.1% | ||||||||
AbbVie, Inc. | 4,810,000 | 4,783,430 | ||||||
AbbVie, Inc. | 2,980,000 | 2,939,076 | ||||||
AbbVie, Inc. | 750,000 | 685,325 | ||||||
AbbVie, Inc. | 4,655,000 | 4,516,453 | ||||||
Actavis Funding SCS | 2,210,000 | 2,211,936 | ||||||
Actavis Funding SCS | 3,065,000 | 2,960,910 | ||||||
Actavis Funding SCS | 1,395,000 | 1,266,596 | ||||||
Baxalta, Inc. (a) | 805,000 | 812,745 | ||||||
Baxalta, Inc. (a) | 2,145,000 | 2,148,325 | ||||||
Baxalta, Inc. (a) | 1,070,000 | 1,080,000 | ||||||
Cardinal Health, Inc. | 3,080,000 | 3,128,513 | ||||||
McKesson Corp. | 660,000 | 658,749 | ||||||
McKesson Corp. | 675,000 | 676,417 | ||||||
McKesson Corp. | 550,000 | 564,012 | ||||||
McKesson Corp. | 850,000 | 943,845 | ||||||
McKesson Corp. | 500,000 | 508,653 | ||||||
McKesson Corp. | 800,000 | 944,494 | ||||||
Merck Sharp & Dohme Corp. | 255,000 | 314,728 | ||||||
Pfizer, Inc. | 970,000 | 1,333,044 | ||||||
|
| |||||||
32,477,251 | ||||||||
|
|
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 | |||||||
Pipelines — 3.3% | ||||||||
Alliance Pipeline LP (a) | $ | 569,445 | $ | 620,692 | ||||
Boardwalk Pipelines LLC | 914,000 | 940,766 | ||||||
Boardwalk Pipelines LP | 2,670,000 | 2,760,695 | ||||||
CenterPoint Energy Resources Corp. | 650,000 | 696,249 | ||||||
CenterPoint Energy Resources Corp. | 645,000 | 745,350 | ||||||
Colonial Pipeline Co. (a) | 3,400,000 | 3,449,164 | ||||||
Energy Transfer Partners LP FRN | 2,000,000 | 1,460,000 | ||||||
Energy Transfer Partners LP | 3,070,000 | 2,713,063 | ||||||
Energy Transfer Partners LP | 1,360,000 | 1,375,660 | ||||||
Energy Transfer Partners LP | 3,845,000 | 3,537,731 | ||||||
Energy Transfer Partners LP | 1,775,000 | 1,433,788 | ||||||
Enterprise Products Operating Co. | 2,530,000 | 2,390,718 | ||||||
Enterprise Products Operating Co. | 630,000 | 649,017 | ||||||
Enterprise Products Operating LLC | 600,000 | 604,085 | ||||||
Kinder Morgan Energy Partners LP | 2,900,000 | 2,908,216 | ||||||
Kinder Morgan Energy Partners LP | 571,000 | 546,102 | ||||||
Kinder Morgan Energy Partners LP | 65,000 | 64,410 | ||||||
Kinder Morgan Finance Co. LLC (a) | 3,900,000 | 4,127,218 | ||||||
Kinder Morgan, Inc. | 2,970,000 | 2,668,097 | ||||||
Magellan Midstream Partners LP | 2,305,000 | 2,186,518 | ||||||
Magellan Midstream Partners LP | 1,125,000 | 1,282,691 | ||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 2,265,000 | 2,078,591 | ||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 5,725,000 | 5,238,375 | ||||||
Phillips 66 Partners LP | 869,000 | 796,986 | ||||||
Williams Partners LP | 2,045,000 | 2,179,817 |
Principal Amount | Value | |||||||
Williams Partners LP/ACMP Finance Corp. | $ | 4,270,000 | $ | 3,949,750 | ||||
|
| |||||||
51,403,749 | ||||||||
|
| |||||||
Real Estate — 0.1% | ||||||||
AMB Property LP | 1,050,000 | 1,101,716 | ||||||
Post Apartment Homes LP | 600,000 | 589,605 | ||||||
|
| |||||||
1,691,321 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.6% | ||||||||
American Tower Corp. | 1,245,000 | 1,281,572 | ||||||
American Tower Corp. | 3,025,000 | 3,038,658 | ||||||
American Tower Corp. | 1,900,000 | 1,998,713 | ||||||
Boston Properties LP | 840,000 | 894,658 | ||||||
Brandywine Operating Partners LP | 1,100,000 | 1,163,695 | ||||||
DDR Corp. | 1,400,000 | 1,481,532 | ||||||
DDR Corp. | 1,600,000 | 1,954,534 | ||||||
Duke Realty LP | 1,975,000 | 2,392,772 | ||||||
ERP Operating LP | 600,000 | 653,938 | ||||||
Federal Realty Investment Trust | 455,000 | 520,678 | ||||||
HCP, Inc. | 1,415,000 | 1,410,117 | ||||||
Highwoods Realty LP | 2,600,000 | 2,767,450 | ||||||
Host Hotels & Resorts LP | 752,000 | 741,289 | ||||||
Liberty Property LP | 1,315,000 | 1,283,970 | ||||||
ProLogis LP | 610,000 | 621,491 | ||||||
Simon Property Group LP | 225,000 | 255,325 | ||||||
Vereit Operating Partnership LP | 1,530,000 | 1,499,400 | ||||||
Vereit Operating Partnership LP | 765,000 | 729,619 | ||||||
Weingarten Realty Investors | 580,000 | 575,159 | ||||||
|
| |||||||
25,264,570 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
93
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Retail — 1.8% | ||||||||
AutoNation, Inc. | $ | 895,000 | $ | 912,198 | ||||
Bed Bath & Beyond, Inc. | 915,000 | 866,630 | ||||||
CVS Health Corp. | 895,000 | 1,084,119 | ||||||
CVS Pass-Through Trust (a) | 2,182,337 | 2,504,827 | ||||||
Dollar General Corp. | 4,455,000 | 4,245,374 | ||||||
El Puerto de Liverpool SAB de CV (a) | 2,975,000 | 2,900,625 | ||||||
GNC Holdings, Inc., Convertible (a) | 450,000 | 415,125 | ||||||
The Home Depot, Inc. | 800,000 | 1,007,772 | ||||||
Macy’s Retail Holdings, Inc. | 860,000 | 944,396 | ||||||
O’Reilly Automotive, Inc. | 759,000 | 776,975 | ||||||
O’Reilly Automotive, Inc. | 875,000 | 966,834 | ||||||
QVC, Inc. | 1,075,000 | 1,072,586 | ||||||
QVC, Inc. | 1,140,000 | 1,108,150 | ||||||
QVC, Inc. | 1,225,000 | 1,181,122 | ||||||
QVC, Inc. | 750,000 | 771,009 | ||||||
Tiffany & Co. | 1,140,000 | 1,101,736 | ||||||
Wal-Mart Stores, Inc. | 2,085,000 | 2,517,329 | ||||||
Walgreens Boots Alliance, Inc. | 750,000 | 760,122 | ||||||
Walgreens Boots Alliance, Inc. | 3,480,000 | 3,461,392 | ||||||
|
| |||||||
28,598,321 | ||||||||
|
| |||||||
Savings & Loans — 0.4% | ||||||||
Glencore Funding LLC (a) | 1,593,000 | 1,513,350 | ||||||
Glencore Funding LLC (a) | 1,841,000 | 1,569,452 | ||||||
Glencore Funding LLC (a) | 1,040,000 | 873,600 | ||||||
Nationwide Building Society (a) | 2,665,000 | 2,669,840 | ||||||
|
| |||||||
6,626,242 | ||||||||
|
| |||||||
Semiconductors — 0.9% | ||||||||
Applied Materials, Inc. | 1,500,000 | 1,669,510 |
Principal Amount | Value | |||||||
Intel Corp., Convertible | $ | 700,000 | $ | 1,056,125 | ||||
Lam Research Corp. | 2,460,000 | 2,411,285 | ||||||
Lam Research Corp. | 2,210,000 | 2,141,649 | ||||||
Microchip Technology, Inc., Convertible (a) | 2,274,000 | 2,175,934 | ||||||
Micron Technology, Inc., Convertible | 1,315,000 | 2,011,950 | ||||||
Micron Technology, Inc., Convertible | 566,000 | 475,794 | ||||||
ON Semiconductor Corp., Convertible (a) | 1,240,000 | 1,153,975 | ||||||
QUALCOMM, Inc. | 1,248,000 | 1,178,456 | ||||||
|
| |||||||
14,274,678 | ||||||||
|
| |||||||
Software — 0.4% | ||||||||
Broadridge Financial Solutions, Inc. | 745,000 | 779,540 | ||||||
CA, Inc. | 835,000 | 848,956 | ||||||
CA, Inc. | 1,476,000 | 1,616,019 | ||||||
Citrix Systems, Inc., Convertible | 2,340,000 | 2,467,238 | ||||||
|
| |||||||
5,711,753 | ||||||||
|
| |||||||
Telecommunications — 1.5% | ||||||||
America Movil SAB de CV | 730,000 | 797,379 | ||||||
America Movil SAB de CV | 760,000 | 835,270 | ||||||
AT&T, Inc. | 1,970,000 | 1,805,105 | ||||||
AT&T, Inc. | 1,005,000 | 1,136,232 | ||||||
British Telecom PLC | 1,050,000 | 1,565,730 | ||||||
CenturyLink, Inc. | 760,000 | 756,200 | ||||||
Cisco Systems, Inc. | 485,000 | 565,463 | ||||||
Crown Castle Towers LLC (a) | 940,000 | 1,059,312 | ||||||
Deutsche Telekom International Finance BV | 290,000 | 414,606 | ||||||
Embarq Corp. | 561,000 | 576,186 | ||||||
Embarq Corp. | 200,000 | 206,312 |
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 | |||||||
Rogers Communications, Inc. | $ | 160,000 | $ | 205,501 | ||||
Sprint Communications, Inc. (a) | 2,925,000 | 3,069,203 | ||||||
Telefonica Emisiones SAU | 650,000 | 726,285 | ||||||
Verizon Communications, Inc. | 1,866,000 | 1,871,536 | ||||||
Verizon Communications, Inc. | 1,845,000 | 1,814,023 | ||||||
Verizon Communications, Inc. | 1,366,000 | 1,280,916 | ||||||
Verizon Communications, Inc. | 1,222,000 | 1,112,196 | ||||||
Verizon Communications, Inc. | 1,495,000 | 1,651,512 | ||||||
Verizon Communications, Inc. | 1,218,000 | 1,438,999 | ||||||
|
| |||||||
22,887,966 | ||||||||
|
| |||||||
Transportation — 0.6% | ||||||||
Asciano Finance (a) | 845,000 | 887,005 | ||||||
Asciano Finance (a) | 1,650,000 | 1,749,279 | ||||||
Autoridad del Canal de Panama (a) (c) | 1,340,000 | 1,327,060 | ||||||
Burlington Northern Santa Fe LLC | 1,053,000 | 1,303,021 | ||||||
CSX Corp. | 733,000 | 925,851 | ||||||
Norfolk Southern Corp. | 19,000 | 19,126 | ||||||
Norfolk Southern Corp. | 500,000 | 558,928 | ||||||
Ryder System, Inc. | 480,000 | 481,155 | ||||||
Ryder System, Inc. | 1,215,000 | 1,210,869 | ||||||
Union Pacific Corp. | 700,000 | 754,108 | ||||||
|
| |||||||
9,216,402 | ||||||||
|
| |||||||
Trucking & Leasing — 0.8% | ||||||||
Aviation Capital Group Corp. (a) | 6,665,000 | 6,658,935 | ||||||
GATX Corp. | 1,175,000 | 1,176,059 | ||||||
GATX Corp. | 735,000 | 745,194 | ||||||
GATX Corp. | 1,200,000 | 1,282,538 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 2,025,000 | 2,015,260 |
Principal Amount | Value | |||||||
TTX Co. (a) | $ | 727,000 | $ | 770,794 | ||||
|
| |||||||
12,648,780 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $784,700,190) | 781,433,403 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 1.1% | ||||||||
JobsOhio Beverage System | 5,550,000 | 5,887,884 | ||||||
New York City Municipal Water Finance Authority BAB | 390,000 | 498,420 | ||||||
State of California | 895,000 | 918,735 | ||||||
State of California BAB | 505,000 | 727,402 | ||||||
State of California BAB | 3,925,000 | 5,744,198 | ||||||
State of Illinois | 2,910,000 | 3,034,956 | ||||||
|
| |||||||
16,811,595 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $16,303,837) | 16,811,595 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 21.0% | ||||||||
Auto Floor Plan ABS — 0.1% | ||||||||
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A FRN (a) | 1,630,000 | 1,629,999 | ||||||
|
| |||||||
Automobile ABS — 0.7% | ||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A (a) | 1,600,000 | 1,615,286 | ||||||
Capital Automotive REIT, Series 2014-1A, Class A (a) | 1,100,000 | 1,122,421 | ||||||
Capital Automotive REIT, Series 2012-1A, Class A (a) | 1,772,010 | 1,837,674 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 1,357,989 | 1,354,211 | ||||||
CPS Auto Trust, Series 2014-A, Class A (a) | 775,611 | 775,242 | ||||||
CPS Auto Trust, Series 2011-B, Class A (a) | 216,924 | 217,626 |
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 | |||||||
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) | $ | 1,465,028 | $ | 1,465,676 | ||||
GO Financial Auto Securitization Trust, Series 2015-1, Class A (a) | 912,836 | 912,370 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-S2, Class R1 (a) | 949,656 | 949,656 | ||||||
|
| |||||||
10,250,162 | ||||||||
|
| |||||||
Commercial MBS — 5.6% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4 VRN | 1,941,504 | 2,066,304 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM VRN | 1,445,000 | 1,572,810 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class A4 | 2,699,349 | 2,786,169 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class AM | 1,295,000 | 1,346,545 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class A4 VRN | 718,149 | 750,487 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM VRN | 2,765,000 | 2,903,304 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4 VRN | 1,000,000 | 1,057,778 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 | 2,150,000 | 2,266,454 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AM VRN | 1,170,000 | 1,254,772 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW12, Class AM VRN | 2,375,000 | 2,427,552 |
Principal Amount | Value | |||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class AM VRN | $ | 1,660,000 | $ | 1,784,704 | ||||
COMM 2015-CCRE23 Mortgage Trust, Series 2015-CR23, Class B VRN | 1,200,000 | 1,201,748 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5 | 2,176,000 | 2,342,945 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2015-CR23, Class C VRN | 1,050,000 | 1,008,084 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class AM VRN | 1,320,000 | 1,400,536 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, CMO, VRN | 873,058 | 886,422 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4 VRN | 3,693,000 | 3,907,276 | ||||||
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (a) | 1,100,000 | 1,176,049 | ||||||
DBRR Trust, Series 2013-EZ3, Class A VRN (a) | 1,271,134 | 1,271,134 | ||||||
DBUBS Mortgage Trust, Series 2011-LC2A, Class A2 (a) | 1,745,857 | 1,765,471 | ||||||
DBUBS Mortgage Trust, Series 2011-LC3A, Class A2 | 1,480,038 | 1,497,467 | ||||||
DBUBS Mortgage Trust, Series 2011-LC1A, Class A1 (a) | 414,852 | 416,746 | ||||||
DBUBS Mortgage Trust, Series 2011-LC1A, Class B VRN (a) | 860,000 | 974,160 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM VRN | 3,600,000 | 3,694,000 | ||||||
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4 VRN | 3,592,209 | 3,640,171 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (a) | $ | 800,000 | $ | 896,909 | ||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2011-C4, Class A2 (a) | 444,119 | 447,477 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4 | 2,858,697 | 2,946,037 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class AM | 1,675,000 | 1,737,561 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4 VRN | 244,920 | 246,115 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4 VRN | 1,201,339 | 1,223,999 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2006-3, Class AM VRN | 1,315,000 | 1,359,912 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM VRN | 1,800,000 | 1,930,181 | ||||||
Morgan Stanley Capital I, | 825,000 | 907,739 | ||||||
Morgan Stanley Capital I, Series 2006-IQ12, Class A4 | 1,033,262 | 1,065,999 | ||||||
Morgan Stanley Capital I, Series 2006-IQ12, Class AM | 1,525,000 | 1,584,459 | ||||||
Morgan Stanley Capital I, Series 2007-IQ14, Class A2 | 756,996 | 758,926 | ||||||
Morgan Stanley Capital I, Series 2008-T29, Class A4 VRN | 1,221,484 | 1,331,389 | ||||||
STRIPs Ltd., Series 2012-1A, Class A (a) | 575,491 | 569,859 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ VRN | 1,014,365 | 1,016,906 | ||||||
VFC LLC, (Acquired 7/9/14, Cost $1,500,000) Series 2014-2, Class A (a) (d) | 520,886 | 520,972 |
Principal Amount | Value | |||||||
VFC LLC, Series 2015-3, Class A, (Acquired 3/25/15, Cost $1,716,775) (a) (d) | $ | 1,022,959 | $ | 1,021,822 | ||||
VNO Mortgage Trust, | 1,610,000 | 1,716,544 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM VRN | 2,220,000 | 2,228,461 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 4,525,000 | 4,685,697 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM VRN | 2,450,000 | 2,450,472 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class AM VRN | 1,530,000 | 1,608,685 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class AM VRN | 1,250,000 | 1,274,257 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4 VRN | 2,080,590 | 2,175,043 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM VRN | 1,775,000 | 1,891,930 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class AM VRN | 1,345,000 | 1,382,311 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (a) | 260,766 | 270,695 | ||||||
Wells Fargo Reremic Trust, Series 2012-IO, Class A (a) | 366,022 | 366,022 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A2 (a) | 1,712,758 | 1,727,947 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A2 (a) | 1,008,539 | 1,010,668 | ||||||
|
| |||||||
87,754,082 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Home Equity ABS — 1.6% | ||||||||
Aames Mortgage Investment Trust, Series 2004-1, Class M5 FRN | $ | 2,263,933 | $ | 2,239,832 | ||||
ACE Securities Corp., | 480,200 | 477,475 | ||||||
Asset-Backed Funding Certificates, Series 2005-WMC1, Class M1 FRN | 230,744 | 229,644 | ||||||
Bayview Financial Mortgage Pass-Through Trust, Series 2005-B, Class M1 FRN | 933,125 | 922,743 | ||||||
Citigroup Mortgage Loan Trust, Series 2005-OPT4, Class M2 FRN | 445,277 | 436,337 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-3, Class MV2 FRN | 251,677 | 251,180 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A FRN | 254,614 | 249,012 | ||||||
Countrywide Partnership Trust, Series 2004-EC1, Class M1 FRN | 773,329 | 658,537 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1 FRN | 1,231,976 | 1,212,030 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF7, Class M1 FRN | 961,942 | 957,069 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF2, Class M3 FRN | 1,124,224 | 1,113,233 | ||||||
Fremont Home Loan Trust, | 456,007 | 444,808 | ||||||
GSAMP Trust, Series 2005-HE5, Class M1 FRN | 857,275 | 847,418 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1 FRN | 405,883 | 400,514 | ||||||
Home Equity Asset Trust, | 329,860 | 326,537 | ||||||
Lake Country Mortgage Loan Trust, Series 2005-HE1, Class M1 FRN (a) | 123,587 | 123,348 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2 FRN | 1,166,520 | 1,148,816 |
Principal Amount | Value | |||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2 FRN | $ | 1,912,609 | $ | 1,882,278 | ||||
MASTR Asset-Backed Securities Trust, Series 2005-WMC1, Class M3 FRN | 2,070,000 | 2,035,656 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M1 FRN (a) | 1,205,922 | 1,192,773 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M2 FRN (a) | 1,300,000 | 1,168,509 | ||||||
Morgan Stanley Capital, Inc., Series 2005-WMC6, Class M2 FRN | 1,091,616 | 1,095,812 | ||||||
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6 STEP | 249 | 256 | ||||||
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D FRN | 1,989,249 | 1,979,343 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A FRN | 642,795 | 639,859 | ||||||
Park Place Securities, Inc., Series 2005-WCW3, Class A2C FRN | 370,821 | 368,763 | ||||||
Park Place Securities, Inc., Series 2005-WHQ1, Class M2 FRN | 386,230 | 385,522 | ||||||
Residential Asset Mortgage Products, Inc., Series 2005-EFC5, Class M1 FRN | 1,339,698 | 1,332,851 | ||||||
Structured Asset Investment Loan Trust, Series 2005-7, Class A5 FRN | 366,836 | 365,826 | ||||||
|
| |||||||
24,485,981 | ||||||||
|
| |||||||
Other ABS — 9.2% | ||||||||
321 Henderson Receivables I LLC, Series 2007-1A, Class A1 FRN (a) | 891,285 | 849,665 | ||||||
321 Henderson Receivables I LLC, Series 2015-1A, Class A (a) | 640,423 | 637,967 | ||||||
AIMCO CLO Ltd., Series 2014-AA, Class A FRN (a) | 2,500,000 | 2,487,497 | ||||||
ALM XIV Ltd., Series 2014-14A, Class A1 FRN (a) | 4,835,000 | 4,807,465 |
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 (a) | $ | 1,304,534 | $ | 1,300,047 | ||||
Apidos CLO XV, Series 2013-15A, Class A1 FRN (a) | 1,000,000 | 991,235 | ||||||
Applebee’s/IHOP Funding LLC, Series 2014-1, Class A2 (a) | 1,580,000 | 1,616,541 | ||||||
ARL Second LLC, Series 2014-1A, Class A1 (a) | 1,131,633 | 1,143,807 | ||||||
Ascentium Equipment Receivables LLC, Series 2014-1A, Class A2 (a) | 424,613 | 424,974 | ||||||
Atlas Senior Loan Fund V Ltd., Series 2014-1A, Class A FRN (a) | 1,000,000 | 995,504 | ||||||
Avery Point CLO Ltd., Series 2014-5A, Class A FRN (a) | 2,500,000 | 2,487,707 | ||||||
Avery Point III CLO Ltd., | 1,400,000 | 1,390,763 | ||||||
Avery Point VI CLO Ltd., | 4,225,000 | 4,191,830 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (a) | 581,829 | 582,097 | ||||||
Birchwood Park CLO Ltd., | 2,415,000 | 2,399,138 | ||||||
Blue Hill CLO Ltd., Series 2013-1A, Class A FRN (a) | 1,400,000 | 1,391,363 | ||||||
BlueMountain CLO Ltd., | 1,100,000 | 1,085,634 | ||||||
BlueMountain CLO Ltd., | 725,000 | 720,547 | ||||||
BlueMountain CLO Ltd., | 2,855,000 | 2,833,810 | ||||||
CAN Capital Funding LLC, Series 2014-1A, Class A (a) | 1,700,000 | 1,707,970 | ||||||
Carlyle Global Market Strategies, Series 2012-4A, Class A FRN (a) | 1,435,000 | 1,429,418 | ||||||
Carlyle Global Market Strategies, Series 2014-1A, Class A FRN (a) | 3,765,000 | 3,752,617 |
Principal Amount | Value | |||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) | $ | 1,746,219 | $ | 1,749,188 | ||||
Citi Held For Asset Issuance, Series 2015-PM1, Class A (a) | 948,126 | 947,829 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) | 1,044,313 | 1,077,926 | ||||||
CLI Funding V LLC, Series 2014-1A, Class A (a) | 1,669,914 | 1,695,765 | ||||||
Consumers Securitization Funding LLC, Series 2014-A, Class A2 | 1,300,000 | 1,354,288 | ||||||
Cronos Containers Program I Ltd., Series 2014-2A, Class A (a) | 998,148 | 1,010,160 | ||||||
DB Master Finance LLC, | 1,791,000 | 1,806,671 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) | 804,856 | 810,160 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) | 1,049,134 | 1,058,970 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) | 3,169,300 | 3,275,429 | ||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A2 (a) | 693,341 | 703,317 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (a) | 530,385 | 551,160 | ||||||
Dryden XXXI Senior Loan Fund, Series 2014-31A, Class A FRN (a) | 3,530,000 | 3,499,653 | ||||||
Eaton Vance CLO, Series 2014-1A, Class A FRN (a) | 3,300,000 | 3,279,038 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) | 778,429 | 780,218 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A | 865,000 | 882,464 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (a) | 3,098,494 | 3,135,992 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Galaxy XX CLO Ltd., | $ | 3,170,000 | $ | 3,158,655 | ||||
Global Container Assets Ltd., Series 2013-1A, Class A1 (a) | 926,098 | 928,371 | ||||||
Global Container Assets Ltd., Series 2015-1A, Class A2 (a) | 1,485,520 | 1,507,075 | ||||||
Global SC Finance II SRL, Series 2014-1A, Class A1 (a) | 441,667 | 445,032 | ||||||
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) | 680,468 | 680,461 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A FRN (a) | 4,060,000 | 3,999,510 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2014-8A, Class A FRN (a) | 2,670,000 | 2,657,197 | ||||||
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) | 1,000,000 | 1,001,250 | ||||||
HFG Healthco-4 LLC, | 2,125,000 | 2,139,397 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) | 727,331 | 734,515 | ||||||
Icon Brand Holdings LLC, Series 2012-1A, Class A (a) | 1,916,208 | 1,943,686 | ||||||
ING Investment Management CLO Ltd., Series 2013-3A, Class A1 FRN (a) | 2,025,000 | 2,005,200 | ||||||
J.G. Wentworth XXXV LLC, Series 2015-2A, Class A (a) | 800,000 | 812,912 | ||||||
LCM Ltd., Series 10AR, Class AR FRN (a) | 3,243,243 | 3,233,552 | ||||||
LCM Ltd., Series 16A, Class A FRN (a) | 3,200,000 | 3,185,754 | ||||||
Madison Park Funding XII Ltd., Series 2014-12A, Class A FRN (a) | 3,200,000 | 3,186,992 | ||||||
Madison Park Funding XIV Ltd., Series 2014-14A, Class A2 FRN (a) | 2,585,000 | 2,569,188 | ||||||
Marriott Vacation Club Owner Trust, Series 2012-1A, Class A (a) | 916,573 | 928,238 |
Principal Amount | Value | |||||||
Miramax LLC, Series 2014-1A, Class A2 (a) | $ | 1,670,136 | $ | 1,677,152 | ||||
MVW Owner Trust, Series 2015-1A, Class A (a) | 1,952,054 | 1,966,973 | ||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) | 880,710 | 881,014 | ||||||
Nomad CLO Ltd., Series 2013-1A, Class A1 FRN (a) | 2,575,000 | 2,545,848 | ||||||
Oak Hill Credit Partners VIII Ltd., Series 2013-8A, Class A FRN (a) | 2,410,000 | 2,376,159 | ||||||
OHA Loan Funding Ltd., Series 2013-1A, Class A FRN (a) | 1,930,000 | 1,909,401 | ||||||
OnDeck Asset Securitization Trust, Series 2014-1A, Class A (a) | 1,400,000 | 1,401,866 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) | 592,370 | 603,804 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 800,000 | 806,040 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class A FRN (a) | 700,000 | 692,912 | ||||||
Race Point VIII CLO Ltd., Series 2012-7A, Class A FRN (a) | 1,300,000 | 1,292,615 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-1A, Class A (a) | 869,874 | 869,729 | ||||||
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (a) | 251,623 | 254,472 | ||||||
Sierra Receivables Funding Co. LLC, Series 2011-1A, Class A (a) | 507,611 | 509,838 | ||||||
Sonic Capital LLC, Series 2011-1A, Class A2 (a) | 1,404,560 | 1,476,543 | ||||||
Spirit Master Funding LLC, Series 2014-4A, Class A1 (a) | 1,100,000 | 1,109,002 | ||||||
SpringCastle America Funding LLC, Series 2014-AA, Class A (a) | 2,609,039 | 2,612,301 | ||||||
Springleaf Funding Trust, Series 2013-AA, Class A (a) | 585,121 | 585,487 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Store Master Funding I LLC, Series 2015-1A, Class A1 (a) | $ | 558,833 | $ | 563,458 | ||||
Store Master Funding I LLC, Series 2015-1A, Class A2 (a) | 329,313 | 334,375 | ||||||
Structured Receivables Finance LLC, Series 2010-B, Class A (a) | 507,845 | 535,372 | ||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A (a) | 1,471,634 | 1,473,812 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class A FRN (a) | 3,100,000 | 3,081,239 | ||||||
Textainer Marine Containers III Ltd., Series 2014-1A, Class A (a) | 517,750 | 523,842 | ||||||
Trinity Rail Leasing 2012 LLC, Series 2013-1A, Class A (a) | 850,904 | 872,917 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) | 893,704 | 948,489 | ||||||
Wendys Funding LLC, | 3,600,000 | 3,640,500 | ||||||
Wendys Funding LLC, | 2,935,000 | 2,988,197 | ||||||
Wendys Funding LLC, | 3,200,000 | 3,266,000 | ||||||
Westgate Resorts LLC, | 214,857 | 215,069 | ||||||
|
| |||||||
143,977,235 | ||||||||
|
| |||||||
Student Loans ABS — 3.2% | ||||||||
Access Group, Inc., Series 2007-A, Class A2 FRN | 37,140 | 37,103 | ||||||
Access Group, Inc., Series 2005-2, Class A3 FRN | 878,487 | 870,677 | ||||||
Access Group, Inc., Series 2003-A, Class A3 FRN | 860,404 | 775,387 | ||||||
College Loan Corp. Trust, | 875,000 | 735,000 | ||||||
College Loan Corp. Trust I, | 950,000 | 924,606 |
Principal Amount | Value | |||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A1 (a) | $ | 600,000 | $ | 600,000 | ||||
Education Funding Capital Trust I, Series 2004-1, Class A4 FRN 6/15/43 | 2,600,000 | 2,594,758 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A5 FRN | 2,475,000 | 2,418,164 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A6 FRN | 1,700,000 | 1,675,690 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN | 700,000 | 652,808 | ||||||
Education Loan Asset-Backed Trust I, Series 2003-1, Class A2 FRN (a) | 1,300,000 | 1,212,682 | ||||||
Education Loan Asset-Backed Trust I, Series 2003-2, Class 2A1 FRN (a) | 1,950,000 | 1,830,161 | ||||||
GCO Education Loan Funding Trust, Series 2006-2A, Class A2L FRN (a) | 48,922 | 48,873 | ||||||
Higher Education Funding I, | 600,000 | 518,282 | ||||||
Higher Education Funding I, | 600,000 | 483,922 | ||||||
National Collegiate Student Loan Trust, Series 2006-3, Class A3 FRN | 2,261,654 | 2,240,815 | ||||||
National Collegiate Student Loan Trust, Series 2005-1, Class A4 FRN | 1,262,576 | 1,240,359 | ||||||
Navient Student Loan Trust, | 1,200,000 | 1,060,817 | ||||||
Nelnet Student Loan Trust, | 1,440,000 | 1,372,230 | ||||||
Nelnet Student Loan Trust, | 1,200,000 | 1,094,695 | ||||||
Nelnet Student Loan Trust, | 1,130,000 | 1,025,288 | ||||||
Nelnet Student Loan Trust, | 1,100,000 | 927,740 | ||||||
Nelnet Student Loan Trust, | 850,000 | 777,509 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Nelnet Student Loan Trust, | $ | 2,220,000 | $ | 2,228,310 | ||||
SLC Private Student Loan Trust, | 1,700,000 | 1,508,082 | ||||||
SLC Student Loan Trust, | 923,278 | 916,991 | ||||||
SLC Student Loan Trust, | 697,000 | 669,245 | ||||||
SLM Student Loan Trust, | 450,000 | 445,865 | ||||||
SLM Student Loan Trust, | 1,800,000 | 1,734,845 | ||||||
SLM Student Loan Trust, | 2,300,000 | 2,142,290 | ||||||
SLM Student Loan Trust, | 2,600,000 | 1,899,917 | ||||||
SLM Student Loan Trust, | 2,260,815 | 1,909,987 | ||||||
SLM Student Loan Trust, | 1,200,000 | 1,176,067 | ||||||
SLM Student Loan Trust, | 1,700,000 | 1,657,014 | ||||||
SLM Student Loan Trust, | 600,000 | 590,361 | ||||||
SLM Student Loan Trust, | 1,970,000 | 1,783,764 | ||||||
SLM Student Loan Trust, | 1,300,000 | 1,306,594 | ||||||
SLM Student Loan Trust, | 1,900,000 | 1,882,678 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class A2 FRN | 2,030,000 | 1,944,262 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class B FRN | 1,300,000 | 1,134,554 | ||||||
|
| |||||||
50,048,392 | ||||||||
|
|
Principal Amount | Value | |||||||
WL Collateral CMO — 0.6% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7 FRN | $ | 387,532 | $ | 371,905 | ||||
Connecticut Avenue Securities, Series 2015-C03, Class 1M1 | 3,755,803 | 3,759,459 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1 FRN | 93,254 | 90,584 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1 FRN | 34,172 | 31,907 | ||||||
GS Mortgage Securities Corp., Series 2014-4R, Class AS FRN (a) | 1,907,195 | 1,837,500 | ||||||
GSR Mortgage Loan Trust, | 82,150 | 78,256 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A FRN | 283,232 | 234,295 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2 FRN | 262,850 | 258,706 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA FRN | 44,188 | 41,841 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA FRN | 14,953 | 14,648 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A FRN | 1,057 | 1,074 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A FRN | 197,714 | 197,963 | ||||||
Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1 | 1,636,065 | 1,628,654 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, Class A FRN | 444,492 | 432,468 | ||||||
|
| |||||||
8,979,260 | ||||||||
|
| |||||||
WL Collateral PAC — 0.0% | ||||||||
Structured Asset Securities Corp., Series 2007-BC4, Class A3 FRN | 450,519 | 447,439 |
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 | |||||||
Structured Asset Securities Corp., Series 2002-11A, Class 2A1 FRN | $ | 124,636 | $ | 119,392 | ||||
|
| |||||||
566,831 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $328,264,732) | 327,691,942 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.8% | ||||||||
Export-Import Bank of Korea | 705,000 | 701,796 | ||||||
Peruvian Government International Bond | 560,000 | 642,600 | ||||||
Poland Government International Bond | 1,260,000 | 1,458,652 | ||||||
Province of Quebec Canada | 540,000 | 799,775 | ||||||
Republic of Brazil International Bond | 700,000 | 680,750 | ||||||
Republic of Brazil International Bond | 1,825,000 | 1,478,250 | ||||||
Republic of Turkey International Bond | 534,000 | 444,555 | ||||||
Republic of Turkey International Bond | 935,000 | 1,009,052 | ||||||
United Mexican States | 3,050,000 | 2,783,125 | ||||||
United Mexican States | 1,110,000 | 1,221,000 | ||||||
United Mexican States | 950,000 | 1,135,250 | ||||||
|
| |||||||
12,354,805 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $12,694,257) | 12,354,805 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 25.9% | ||||||||
Collateralized Mortgage Obligations — 2.0% | ||||||||
Federal Home Loan Mortgage Corp. | 5,708,559 | 5,933,296 | ||||||
Series 4290, Class CA | 3,151,622 | 3,334,980 | ||||||
Series 2617, Class Z | 2,772,490 | 3,096,344 | ||||||
Series 2693, Class Z | 4,707,812 | 5,288,369 | ||||||
Series 3423, Class PB | 825,000 | 943,420 |
Principal Amount | Value | |||||||
Series 2178, Class PB | $ | 367,663 | $ | 423,349 | ||||
Federal National Mortgage Association | 1,886,998 | 2,023,104 | ||||||
Series 2014-48, Class AB | 4,493,055 | 4,807,124 | ||||||
Series 2007-32, Class Z | 1,486,812 | 1,662,650 | ||||||
Series 2010-60, Class HJ | 1,083,642 | 1,205,109 | ||||||
Series 1989-20, Class A | 17,970 | 17,974 | ||||||
Federal National Mortgage Association REMIC, Series 2007-B2, Class ZA | 1,399,274 | 1,536,925 | ||||||
U.S. Department of Veteran Affairs, Series 1992-1, Class 2Z 7.750% 5/15/22 | 328,144 | 369,911 | ||||||
|
| |||||||
30,642,555 | ||||||||
|
| |||||||
Pass-Through Securities — 23.9% | ||||||||
Federal Home Loan Mortgage Corp. | 503,750 | 538,639 | ||||||
Pool #E84025 6.000% | 4,838 | 4,901 | ||||||
Pool #G11431 6.000% | 2,907 | 3,003 | ||||||
Pool #G11122 6.500% | 3,280 | 3,310 | ||||||
Pool #E84450 6.500% | 2,611 | 2,653 | ||||||
Pool #E84660 6.500% | 620 | 633 | ||||||
Pool #C00836 7.000% | 15,638 | 18,361 | ||||||
Pool #C49314 7.000% | 7,460 | 8,812 | ||||||
Pool #C51422 7.000% | 1,989 | 2,354 | ||||||
Pool #C53034 7.000% | 14,087 | 16,606 | ||||||
Pool #G01311 7.000% | 84,659 | 99,676 | ||||||
Pool #G01317 7.000% | 56,731 | 66,817 | ||||||
Pool #G00143 7.500% | 867 | 989 | ||||||
Pool #C55867 7.500% | 37,170 | 43,726 | ||||||
Pool #C41497 7.500% | 188 | 227 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Pool #C43962 7.500% | $ | 5,635 | $ | 6,719 | ||||
Pool #C44509 7.500% | 14,905 | 17,963 | ||||||
Pool #C44830 7.500% | 26 | 32 | ||||||
Pool #C45235 7.500% | 17,760 | 21,212 | ||||||
Pool #C46038 7.500% | 1,085 | 1,298 | ||||||
Pool #C01116 7.500% | 1,970 | 2,367 | ||||||
Pool #C46309 7.500% | 567 | 683 | ||||||
Pool #C46560 7.500% | 622 | 733 | ||||||
Pool #C46810 7.500% | 676 | 814 | ||||||
Pool #C47060 7.500% | 1,676 | 2,012 | ||||||
Pool #C47063 7.500% | 3,264 | 3,912 | ||||||
Pool #555481 8.250% | 4,292 | 4,497 | ||||||
Pool #G00653 8.500% | 24,420 | 29,019 | ||||||
Pool #554904 9.000% | 58 | 60 | ||||||
Federal Home Loan Mortgage Corp. TBA | 24,825,000 | 26,423,109 | ||||||
Federal National Mortgage Association | 414,622 | 441,759 | ||||||
Pool #725692 2.362% | 517,563 | 549,620 | ||||||
Pool #888586 2.411% | 925,440 | 985,354 | ||||||
Pool #890564 3.000% | 4,500,432 | 4,593,957 | ||||||
Pool #AR8708 3.500% | 1,740,317 | 1,820,331 | ||||||
Pool #AT4050 3.500% | 2,264,720 | 2,368,845 | ||||||
Pool #MA1463 3.500% | 5,563,536 | 5,819,328 | ||||||
Pool #AB6261 4.000% | 11,321,245 | 12,203,948 | ||||||
Pool #675713 5.000% | 5,261 | 5,475 |
Principal Amount | Value | |||||||
Pool #545636 6.500% | $ | 20,236 | $ | 20,830 | ||||
Pool #254379 7.000% | 53,994 | 63,844 | ||||||
Pool #252717 7.500% | 3,176 | 3,784 | ||||||
Pool #535996 7.500% | 12,809 | 15,345 | ||||||
Pool #254009 7.500% | 28,411 | 34,083 | ||||||
Pool #253394 8.000% | 15,144 | 16,731 | ||||||
Pool #323992 8.000% | 2,524 | 3,060 | ||||||
Pool #525725 8.000% | 5,112 | 6,121 | ||||||
Pool #253266 8.000% | 5,792 | 7,044 | ||||||
Pool #537433 8.000% | 2,623 | 3,210 | ||||||
Pool #253347 8.000% | 8,499 | 10,360 | ||||||
Pool #544976 8.000% | 474 | 575 | ||||||
Pool #535428 8.000% | 8,192 | 9,965 | ||||||
Pool #543290 8.000% | 61 | 74 | ||||||
Pool #547786 8.000% | 2,426 | 2,906 | ||||||
Pool #550767 8.000% | 7,211 | 8,741 | ||||||
Pool #553061 8.000% | 13,179 | 15,914 | ||||||
Pool #253481 8.000% | 7,044 | 8,584 | ||||||
Pool #535533 8.000% | 7,223 | 8,793 | ||||||
Pool #560741 8.000% | 2,932 | 3,589 | ||||||
Pool #253644 8.000% | 3,404 | 3,896 | ||||||
Pool #581170 8.000% | 1,556 | 1,879 | ||||||
Pool #583916 8.000% | 2,062 | 2,534 | ||||||
Pool #593848 8.000% | 997 | 1,216 | ||||||
Pool #190317 8.000% | 42,349 | 51,487 | ||||||
Pool #545240 8.000% | 4,598 | 5,605 |
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 | |||||||
Pool #541202 8.500% | $ | 62,990 | $ | 73,046 | ||||
Federal National Mortgage Association TBA | 32,975,000 | 32,305,195 | ||||||
Pool #9768 3.000% | 68,556,000 | 69,466,506 | ||||||
Pool #17115 3.500% | 12,550,000 | 13,089,258 | ||||||
Pool #18388 4.000% | 4,900,000 | 5,226,156 | ||||||
Government National Mortgage Association | 6,522,651 | 6,844,962 | ||||||
Pool #784026 3.500% | 3,699,024 | 3,882,530 | ||||||
Pool #404246 6.500% | 437 | 507 | ||||||
Pool #781038 6.500% | 89,287 | 104,121 | ||||||
Pool #781468 6.500% | 5,849 | 6,879 | ||||||
Pool #781496 6.500% | 29,994 | 35,145 | ||||||
Pool #363066 7.000% | 6,685 | 7,633 | ||||||
Pool #352049 7.000% | 3,151 | 3,586 | ||||||
Pool #354674 7.000% | 5,496 | 6,217 | ||||||
Pool #358555 7.000% | 2,926 | 3,316 | ||||||
Pool #345964 7.000% | 1,763 | 1,989 | ||||||
Pool #380866 7.000% | 1,165 | 1,322 | ||||||
Pool #781124 7.000% | 10,296 | 12,168 | ||||||
Pool #781319 7.000% | 205,000 | 244,337 | ||||||
Pool #565982 7.000% | 15,578 | 18,536 | ||||||
Pool #581417 7.000% | 74,601 | 88,467 | ||||||
Pool #588012 7.000% | 19,936 | 23,694 | ||||||
Pool #591581 7.000% | 10,786 | 12,834 | ||||||
Pool #190766 7.500% | 5,098 | 5,267 |
Principal Amount | Value | |||||||
Pool #187548 7.500% | $ | 2,289 | $ | 2,391 | ||||
Pool #203940 7.500% | 7,696 | 7,988 | ||||||
Pool #201622 7.500% | 7,433 | 7,765 | ||||||
Pool #192796 7.500% | 1,710 | 1,790 | ||||||
Pool #357262 7.500% | 2,721 | 3,129 | ||||||
Pool #441009 8.000% | 1,094 | 1,302 | ||||||
Pool #522777 8.000% | 6,242 | 7,577 | ||||||
Pool #434719 8.000% | 99 | 122 | ||||||
Pool #523043 8.000% | 325 | 394 | ||||||
Pool #529134 8.000% | 1,852 | 2,265 | ||||||
Pool #477036 8.000% | 744 | 910 | ||||||
Pool #503157 8.000% | 25,848 | 31,148 | ||||||
Pool #528714 8.000% | 1,952 | 2,390 | ||||||
Pool #544640 8.000% | 23,310 | 28,618 | ||||||
Pool #531298 8.500% | 1,978 | 2,447 | ||||||
Government National Mortgage Association II | 1,619,757 | 1,683,716 | ||||||
Pool #82462 2.500% | 1,261,177 | 1,309,458 | ||||||
Government National Mortgage Association II TBA | ||||||||
Pool #548 3.000% | 77,875,000 | 79,456,836 | ||||||
Pool #1635 3.500% | 23,075,000 | 24,171,063 | ||||||
Pool #1367 4.000% | 22,625,000 | 24,099,159 | ||||||
Pool #1523 4.500% | 50,975,000 | 54,766,266 | ||||||
|
| |||||||
373,474,329 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $401,555,951) | 404,116,884 | |||||||
|
|
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 OBLIGATIONS — 1.1% | ||||||||
U.S. Treasury Bonds & Notes — 1.1% | ||||||||
U.S. Treasury Bond (e) (f) | $ | 3,979,000 | $ | 3,881,316 | ||||
U.S. Treasury Bond (e) | 12,600,000 | 12,869,296 | ||||||
|
| |||||||
16,750,612 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $15,809,346) | 16,750,612 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $1,559,328,313) | 1,559,159,241 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,571,424,602) | 1,569,400,492 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 21.7% | ||||||||
Commercial Paper — 21.6% | ||||||||
Agrium, Inc. | 5,000,000 | 4,996,486 | ||||||
Agrium, Inc. | 15,000,000 | 14,961,042 | ||||||
Airgas, Inc. (a) | 7,000,000 | 6,998,110 | ||||||
Aon Corp. (a) | 13,000,000 | 12,999,350 | ||||||
Aon Corp. (a) | 10,000,000 | 9,997,258 | ||||||
Aon Corp. (a) | 7,000,000 | 6,995,374 | ||||||
Becton Dickinson & Co. (a) | 20,000,000 | 19,993,056 | ||||||
Bell Canada (a) | 7,750,000 | 7,749,537 | ||||||
CBS Corp. (a) | 4,700,000 | 4,698,694 | ||||||
Celgene Corp. (a) | 10,000,000 | 9,997,572 | ||||||
Celgene Corp. (a) | 7,500,000 | 7,494,258 | ||||||
CenterPoint Energy, Inc. (a) | 5,000,000 | 4,998,375 | ||||||
Commonwealth Edison Co. (a) | 10,000,000 | 9,996,945 | ||||||
EnCana Corp. (a) | 9,000,000 | 9,000,000 | ||||||
EnCana Corp. (a) | 5,290,000 | 5,289,618 | ||||||
EnCana Corp. (a) | 7,500,000 | 7,500,000 | ||||||
EnCana Corp. (a) | 6,000,000 | 5,999,558 |
Principal Amount | Value | |||||||
ERAC USA Finance LLC (a) | $ | 5,000,000 | $ | 4,998,778 | ||||
ERAC USA Finance LLC (a) | 18,000,000 | 17,995,050 | ||||||
Eversource Energy (a) | 7,500,000 | 7,499,052 | ||||||
Experian Finance PLC (a) | 5,000,000 | 4,998,575 | ||||||
FMC Technologies, Inc. (a) | 3,425,000 | 3,425,000 | ||||||
FMC Technologies, Inc. (a) | 4,250,000 | 4,247,468 | ||||||
Holcim US Finance SARL & Cie (a) | 10,000,000 | 9,997,667 | ||||||
Holcim US Finance SARL & Cie (a) | 2,600,000 | 2,599,133 | ||||||
Holcim US Finance SARL & Cie (a) | 5,000,000 | 4,995,500 | ||||||
Hyundai Capital America (a) | 7,000,000 | 6,996,728 | ||||||
Hyundai Capital America (a) | 3,500,000 | 3,498,351 | ||||||
Hyundai Capital America (a) | 10,000,000 | 9,998,100 | ||||||
Nabors Industries, Inc. (a) | 10,000,000 | 9,999,883 | ||||||
Nabors Industries, Inc. (a) | 6,750,000 | 6,749,528 | ||||||
National Grid USA (a) | 7,500,000 | 7,499,438 | ||||||
Sempra Energy Holding (a) | 5,000,000 | 4,998,411 | ||||||
Spectra Energy Capital LLC (a) | 5,000,000 | 4,999,283 | ||||||
Tate & Lyle International Finance PLC (a) | 8,500,000 | 8,495,870 | ||||||
Thomson Reuters Corp. (a) | 5,000,000 | 4,999,467 | ||||||
Thomson Reuters Corp. (a) | 15,000,000 | 14,988,833 | ||||||
TransCanada American (a) | 7,500,000 | 7,498,219 | ||||||
Virginia Electric and Power Co. | 8,000,000 | 7,995,604 | ||||||
Volvo Group Treasury National (a) | 7,500,000 | 7,497,900 | ||||||
WPP CP LLC (a) | 7,000,000 | 6,998,145 | ||||||
WPP CP LLC (a) | 12,850,000 | 12,847,109 | ||||||
|
| |||||||
336,482,325 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Time Deposits — 0.1% | ||||||||
Euro Time Deposit | $ | 1,159,338 | $ | 1,159,338 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $337,641,663) | 337,641,663 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 122.4% (Cost $1,909,066,265) (g) | 1,907,042,155 | |||||||
Other Assets/(Liabilities) — (22.4)% | (348,527,083 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,558,515,072 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
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, 2015, these securities amounted to a value of $635,374,520 or 40.77% 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, 2015, these securities amounted to a value of $39,872 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, 2015, these securities amounted to a value of $1,542,794 or 0.10% 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. |
Country weightings, as a percentage of net assets, is as follows:
United States | 87.3 | % | ||
Cayman Islands | 5.6 | % | ||
United Kingdom | 1.0 | % | ||
Mexico | 0.9 | % | ||
Canada | 0.7 | % | ||
Ireland | 0.6 | % | ||
Luxembourg | 0.6 | % | ||
Brazil | 0.5 | % | ||
Switzerland | 0.5 | % | ||
Australia | 0.5 | % | ||
Bermuda | 0.4 | % | ||
Netherlands | 0.4 | % | ||
Austria | 0.3 | % | ||
France | 0.3 | % | ||
Panama | 0.2 | % | ||
Italy | 0.1 | % | ||
India | 0.1 | % | ||
Republic of Korea | 0.1 | % | ||
British Virgin Islands | 0.1 | % | ||
Poland | 0.1 | % | ||
Turkey | 0.1 | % | ||
Hong Kong | 0.1 | % | ||
United Arab Emirates | 0.1 | % | ||
Chile | 0.1 | % | ||
Sweden | 0.0 | % | ||
Spain | 0.0 | % | ||
Peru | 0.0 | % | ||
Barbados | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 100.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.7 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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, 2015
Number of Shares | Value | |||||||
EQUITIES — 0.6% | ||||||||
COMMON STOCK — 0.0% | ||||||||
Basic Materials — 0.0% | ||||||||
Forest Products & Paper — 0.0% | ||||||||
The Newark Group, Inc. (a) (b) | 26,904 | $ | 24,752 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $22,685) | 24,752 | |||||||
|
| |||||||
PREFERRED STOCK — 0.6% | ||||||||
Consumer, Non-cyclical — 0.2% | ||||||||
Pharmaceuticals — 0.2% | ||||||||
Allergan PLC 5.500% | 315 | 297,190 | ||||||
|
| |||||||
Energy — 0.3% | ||||||||
Oil & Gas — 0.3% | ||||||||
Southwestern Energy Co. 6.250% | 5,000 | 155,400 | ||||||
Anadarko Petroleum Corp. 7.500% | 8,300 | 310,669 | ||||||
|
| |||||||
466,069 | ||||||||
|
| |||||||
Financial — 0.1% | ||||||||
Insurance — 0.1% | ||||||||
The Allstate Corp. 5.100% | 10,000 | 253,800 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $1,234,072) | 1,017,059 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $1,256,757) | 1,041,811 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 95.4% | ||||||||
CORPORATE DEBT — 43.2% | ||||||||
Advertising — 0.2% | ||||||||
Omnicom Group, Inc. | $ | 150,000 | 151,774 | |||||
WPP Finance 2010 | 225,000 | 235,803 | ||||||
|
| |||||||
387,577 | ||||||||
|
| |||||||
Aerospace & Defense — 0.7% | ||||||||
Harris Corp. | 90,000 | 89,053 | ||||||
Harris Corp. | 50,000 | 48,952 | ||||||
Moog, Inc. (c) | 600,000 | 600,000 | ||||||
Orbital ATK, Inc. | 435,000 | 440,438 | ||||||
United Technologies Corp. | 105,000 | 129,342 | ||||||
|
| |||||||
1,307,785 | ||||||||
|
|
Principal Amount | Value | |||||||
Agriculture — 0.6% | ||||||||
Altria Group, Inc. | $ | 110,000 | $ | 107,473 | ||||
Altria Group, Inc. | 50,000 | 46,220 | ||||||
Bunge Ltd. Finance Corp. | 65,000 | 66,209 | ||||||
Imperial Tobacco Finance PLC (c) | 510,000 | 514,830 | ||||||
Reynolds American, Inc. | 200,000 | 209,271 | ||||||
Reynolds American, Inc. | 150,000 | 166,885 | ||||||
|
| |||||||
1,110,888 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
American Airlines Pass Through Trust, Series 2014-1, Class A | 63,095 | 62,701 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 23,847 | 23,847 | ||||||
United Airlines Pass-Through Trust, Series 2014-1, Class A | 60,000 | 61,350 | ||||||
|
| |||||||
147,898 | ||||||||
|
| |||||||
Auto Manufacturers — 0.6% | ||||||||
Ford Motor Co. | 100,000 | 111,505 | ||||||
Ford Motor Co. | 200,000 | 248,442 | ||||||
General Motors Co. | 225,000 | 211,150 | ||||||
General Motors Financial Co., Inc. | 200,000 | 193,483 | ||||||
Hyundai Capital America (c) | 145,000 | 144,920 | ||||||
Hyundai Capital America (c) | 80,000 | 80,419 | ||||||
|
| |||||||
989,919 | ||||||||
|
| |||||||
Automotive & Parts — 0.4% | ||||||||
Cooper Tire & Rubber Co. | 280,000 | 310,800 | ||||||
International Automotive Components Group SA (c) | 9,000 | 9,135 | ||||||
Meritor, Inc. | 185,000 | 185,925 | ||||||
Meritor, Inc., Convertible STEP | 115,000 | 155,969 | ||||||
|
| |||||||
661,829 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
108
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Banks — 3.9% | ||||||||
Associated Banc-Corp. | $ | 310,000 | $ | 314,269 | ||||
Associated Banc-Corp. | 495,000 | 503,199 | ||||||
Bank of America Corp. | 165,000 | 167,177 | ||||||
Bank of America Corp. | 315,000 | 306,443 | ||||||
Bank of America Corp. | 165,000 | 169,836 | ||||||
Bank of America Corp. | 30,000 | 32,733 | ||||||
Bank of America Corp. | 55,000 | 64,313 | ||||||
Bank of America Corp. | 850,000 | 1,000,389 | ||||||
Barclays PLC | 200,000 | 193,806 | ||||||
Compass Bank | 250,000 | 233,050 | ||||||
Credit Suisse AG | 130,000 | 144,107 | ||||||
Discover Bank | 600,000 | 695,624 | ||||||
First Horizon National Corp. | 274,000 | 276,356 | ||||||
FirstMerit Corp. | 35,000 | 35,990 | ||||||
The Goldman Sachs Group, Inc. | 290,000 | 284,652 | ||||||
The Goldman Sachs Group, Inc. VRN | 240,000 | 234,450 | ||||||
HSBC Holdings PLC | 125,000 | 146,426 | ||||||
ICICI Bank Ltd. (c) | 275,000 | 284,022 | ||||||
Itau Unibanco Holding SA (c) | 200,000 | 187,340 | ||||||
JP Morgan Chase & Co. | 140,000 | 138,662 | ||||||
JP Morgan Chase & Co. | 270,000 | 270,810 | ||||||
Morgan Stanley | 200,000 | 192,616 | ||||||
Santander Holdings USA, Inc. | 250,000 | 245,459 | ||||||
SVB Financial Group | 295,000 | 287,713 | ||||||
SVB Financial Group | 35,000 | 39,014 | ||||||
Valley National Bancorp | 110,000 | 117,769 |
Principal Amount | Value | |||||||
Wells Fargo & Co. | $ | 280,000 | $ | 285,359 | ||||
Wells Fargo & Co. | 25,000 | 27,435 | ||||||
|
| |||||||
6,879,019 | ||||||||
|
| |||||||
Beverages — 0.5% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 250,000 | 351,650 | ||||||
Constellation Brands, Inc. | 97,000 | 96,636 | ||||||
Fomento Economico Mexicano SAB de CV | 35,000 | 32,742 | ||||||
JB y Co. SA de CV (c) | 350,000 | 335,990 | ||||||
|
| |||||||
817,018 | ||||||||
|
| |||||||
Biotechnology — 0.4% | ||||||||
Amgen, Inc. | 175,000 | 179,856 | ||||||
Celgene Corp. | 420,000 | 426,339 | ||||||
Gilead Sciences, Inc. | 95,000 | 95,438 | ||||||
|
| |||||||
701,633 | ||||||||
|
| |||||||
Building Materials — 0.3% | ||||||||
CRH America, Inc. (c) | 200,000 | 200,311 | ||||||
CRH America, Inc. | 95,000 | 110,488 | ||||||
Owens Corning, Inc. | 140,000 | 139,076 | ||||||
|
| |||||||
449,875 | ||||||||
|
| |||||||
Chemicals — 1.6% | ||||||||
Ashland, Inc. | 210,000 | 211,575 | ||||||
CF Industries, Inc. | 28,000 | 26,650 | ||||||
The Chemours Co. (c) | 578,000 | 380,035 | ||||||
Cytec Industries, Inc. | 30,000 | 29,305 | ||||||
Cytec Industries, Inc. | 88,000 | 97,616 | ||||||
The Dow Chemical Co. | 100,000 | 120,887 | ||||||
Hercules, Inc., Convertible | 150,000 | 131,531 | ||||||
Incitec Pivot Finance LLC (c) | 50,000 | 54,718 | ||||||
Incitec Pivot Ltd. (c) | 475,000 | 477,174 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
LYB International Finance BV | $ | 250,000 | $ | 248,816 | ||||
Methanex Corp. | 40,000 | 42,591 | ||||||
RPM International, Inc. | 650,000 | 727,843 | ||||||
RPM International, Inc. | 75,000 | 82,282 | ||||||
Tronox Finance LLC | 122,000 | 77,470 | ||||||
Valspar Corp. | 150,000 | 173,697 | ||||||
|
| |||||||
2,882,190 | ||||||||
|
| |||||||
Commercial Services — 1.1% | ||||||||
The ADT Corp. | 750,000 | 773,438 | ||||||
Cardtronics, Inc., Convertible | 100,000 | 92,625 | ||||||
ERAC USA Finance LLC (c) | 25,000 | 25,569 | ||||||
ERAC USA Finance LLC (c) | 75,000 | 74,901 | ||||||
ERAC USA Finance LLC (c) | 50,000 | 62,177 | ||||||
Leidos Holdings, Inc. | 350,000 | 348,171 | ||||||
McGraw Hill Financial, Inc. (c) | 240,000 | 244,197 | ||||||
McGraw Hill Financial, Inc. (c) | 160,000 | 159,249 | ||||||
The Western Union Co. | 80,000 | 83,486 | ||||||
|
| |||||||
1,863,813 | ||||||||
|
| |||||||
Computers — 0.2% | ||||||||
Hewlett-Packard Co. (c) | 170,000 | 169,953 | ||||||
SanDisk Corp., Convertible | 243,000 | 235,254 | ||||||
|
| |||||||
405,207 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.2% | ||||||||
Arrow Electronics, Inc. | 45,000 | 45,508 | ||||||
Arrow Electronics, Inc. | 45,000 | 46,016 | ||||||
Ingram Micro, Inc. | 335,000 | 345,635 | ||||||
|
| |||||||
437,159 | ||||||||
|
| |||||||
Diversified Financial — 4.0% | ||||||||
Affiliated Managers Group, Inc. | 245,000 | 249,143 |
Principal Amount | Value | |||||||
Air Lease Corp. | $ | 450,000 | $ | 449,406 | ||||
Air Lease Corp. | 175,000 | 177,187 | ||||||
Air Lease Corp. | 125,000 | 126,563 | ||||||
Air Lease Corp. | 40,000 | 41,750 | ||||||
Ally Financial, Inc. | 495,000 | 488,812 | ||||||
American Express Co. VRN | 5,000 | 5,056 | ||||||
Ares Finance Co. LLC (c) | 225,000 | 218,750 | ||||||
Citigroup, Inc. | 440,000 | 427,597 | ||||||
Citigroup, Inc. | 75,000 | 87,219 | ||||||
Citigroup, Inc. | 76,000 | 91,759 | ||||||
Eaton Vance Corp. | 43,000 | 43,768 | ||||||
Eaton Vance Corp. | 25,000 | 27,323 | ||||||
Ford Motor Credit Co. LLC | 200,000 | 203,170 | ||||||
General Electric Capital Corp. | 250,000 | 350,029 | ||||||
The Goldman Sachs Group, Inc. | 130,000 | 130,178 | ||||||
The Goldman Sachs Group, Inc. | 375,000 | 427,117 | ||||||
The Goldman Sachs Group, Inc. | 35,000 | 42,204 | ||||||
The Goldman Sachs Group, Inc. | 40,000 | 45,818 | ||||||
The Goldman Sachs Group, Inc. | 40,000 | 47,717 | ||||||
Guanay Finance Ltd. (c) | 250,000 | 246,562 | ||||||
Hyundai Capital America (c) | 80,000 | 80,000 | ||||||
Hyundai Capital America (c) | 60,000 | 60,990 | ||||||
IntercontinentalExchange Group, Inc. | 125,000 | 130,165 | ||||||
International Lease Finance Corp. | 341,000 | 358,561 | ||||||
JP Morgan Chase & Co. | 175,000 | 188,820 | ||||||
Lazard Group LLC | 915,000 | 969,215 |
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 | |||||||
Lazard Group LLC | $ | 24,000 | $ | 25,933 | ||||
Legg Mason, Inc. | 125,000 | 129,373 | ||||||
Merrill Lynch & Co., Inc. | 125,000 | 170,914 | ||||||
Morgan Stanley | 200,000 | 203,279 | ||||||
Morgan Stanley | 80,000 | 80,412 | ||||||
Morgan Stanley | 60,000 | 68,429 | ||||||
Morgan Stanley | 600,000 | 668,120 | ||||||
Stifel Financial Corp. | 70,000 | 69,980 | ||||||
|
| |||||||
7,131,319 | ||||||||
|
| |||||||
Electric — 1.4% | ||||||||
Appalachian Power Co. | 120,000 | 118,804 | ||||||
Berkshire Hathaway Energy | 120,000 | 141,589 | ||||||
Elwood Energy LLC | 270,484 | 298,884 | ||||||
Entergy Louisiana LLC | 110,000 | 111,116 | ||||||
IPALCO Enterprises, Inc. (c) | 290,000 | 280,575 | ||||||
LG&E and KU Energy LLC | 250,000 | 272,742 | ||||||
Metropolitan Edison Co. (c) | 105,000 | 106,988 | ||||||
National Fuel Gas Co. | 55,000 | 51,857 | ||||||
NiSource Finance Corp. | 90,000 | 93,092 | ||||||
Pennsylvania Electric Co. (c) | 150,000 | 151,866 | ||||||
PPL Capital Funding, Inc. 5.000% 3/15/44 | 90,000 | 94,121 | ||||||
Puget Energy, Inc. (c) | 100,000 | 98,686 | ||||||
Puget Sound Energy, Inc. 4.300% 5/20/45 | 210,000 | 214,743 | ||||||
Southern California Edison Co. | 60,000 | 74,609 | ||||||
Tri-State Generation & Transmission Association, Series 2003, Class A (c) | 38,015 | 40,305 | ||||||
Tri-State Generation & Transmission Association, Series 2003, Class B (c) | 185,000 | 238,663 | ||||||
|
| |||||||
2,388,640 | ||||||||
|
|
Principal Amount | Value | |||||||
Electrical Components & Equipment — 0.2% | ||||||||
Legrand France SA | $ | 250,000 | $ | 343,018 | ||||
|
| |||||||
Electronics — 0.2% | ||||||||
Agilent Technologies, Inc. | 73,000 | 73,801 | ||||||
Amphenol Corp. | 100,000 | 101,046 | ||||||
Avnet, Inc. | 67,000 | 69,868 | ||||||
Jabil Circuit, Inc. | 45,000 | 50,287 | ||||||
PerkinElmer, Inc. | 125,000 | 134,509 | ||||||
|
| |||||||
429,511 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
Odebrecht Offshore Drilling Finance Ltd. (c) | 420,390 | 105,518 | ||||||
Zachry Holdings, Inc. (c) | 56,000 | 55,300 | ||||||
|
| |||||||
160,818 | ||||||||
|
| |||||||
Foods — 0.6% | ||||||||
ConAgra Foods, Inc. | 275,000 | 300,640 | ||||||
ConAgra Foods, Inc. | 30,000 | 32,922 | ||||||
Kraft Heinz Foods, Co. (c) | 280,000 | 281,835 | ||||||
Tyson Foods, Inc. | 45,000 | 45,339 | ||||||
Tyson Foods, Inc. | 90,000 | 91,675 | ||||||
Tyson Foods, Inc. | 150,000 | 158,966 | ||||||
Tyson Foods, Inc. | 65,000 | 66,241 | ||||||
Tyson Foods, Inc. STEP | 95,000 | 97,607 | ||||||
WM Wrigley Jr. Co. (c) | 35,000 | 35,616 | ||||||
|
| |||||||
1,110,841 | ||||||||
|
| |||||||
Forest Products & Paper — 0.2% | ||||||||
Celulosa Arauco y Constitucion SA | 200,000 | 203,158 | ||||||
International Paper Co. | 75,000 | 81,000 | ||||||
International Paper Co. | 110,000 | 135,518 | ||||||
|
| |||||||
419,676 | ||||||||
|
|
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 | |||||||
Health Care – Products — 0.5% | ||||||||
St. Jude Medical, Inc. | $ | 280,000 | $ | 281,622 | ||||
Wright Medical Group, Inc., Convertible (c) | 400,000 | 380,500 | ||||||
Zimmer Biomet Holdings, Inc. | 260,000 | 254,598 | ||||||
|
| |||||||
916,720 | ||||||||
|
| |||||||
Health Care – Services — 0.2% | ||||||||
Anthem, Inc., Convertible | 50,000 | 94,188 | ||||||
Kaiser Foundation Hospitals | 65,000 | 66,970 | ||||||
UnitedHealth Group, Inc. | 85,000 | 80,084 | ||||||
UnitedHealth Group, Inc. | 75,000 | 99,870 | ||||||
|
| |||||||
341,112 | ||||||||
|
| |||||||
Holding Company – Diversified — 0.2% | ||||||||
Horizon Pharma Investment Ltd., Convertible (c) | 275,000 | 266,406 | ||||||
|
| |||||||
Home Furnishing — 0.0% | ||||||||
Whirlpool Corp. | 50,000 | 50,221 | ||||||
Whirlpool Corp. | 20,000 | 20,362 | ||||||
|
| |||||||
70,583 | ||||||||
|
| |||||||
Household Products — 0.2% | ||||||||
Avery Dennison Corp. | 30,000 | 29,278 | ||||||
Jarden Corp., Convertible | 185,000 | 248,247 | ||||||
|
| |||||||
277,525 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Toro Co. | 170,000 | 223,936 | ||||||
|
| |||||||
Insurance — 3.0% | ||||||||
The Allstate Corp. | 50,000 | 58,476 | ||||||
The Allstate Corp. VRN | 790,000 | 817,927 | ||||||
Arch Capital Group US, Inc. | 80,000 | 82,558 | ||||||
AXIS Specialty Finance PLC | 45,000 | 45,201 | ||||||
Brown & Brown, Inc. | 190,000 | 191,574 | ||||||
The Chubb Corp. VRN | 749,000 | 738,701 |
Principal Amount | Value | |||||||
CNA Financial Corp. | $ | 85,000 | $ | 85,570 | ||||
Five Corners Funding Trust (c) | 100,000 | 104,592 | ||||||
Liberty Mutual Group, Inc. (c) | 43,000 | 44,472 | ||||||
Marsh & McLennan Companies, Inc. | 80,000 | 80,442 | ||||||
Marsh & McLennan Cos., Inc. | 150,000 | 174,438 | ||||||
MetLife Capital Trust IV (c) | 150,000 | 183,750 | ||||||
The Progressive Corp. VRN | 155,000 | 156,550 | ||||||
Prudential Financial, Inc. VRN | 135,000 | 132,595 | ||||||
Prudential Financial, Inc. VRN | 110,000 | 113,520 | ||||||
Prudential Financial, Inc. | 125,000 | 149,900 | ||||||
Prudential Financial, Inc. VRN | 715,000 | 820,641 | ||||||
QBE Capital Funding III Ltd. VRN (c) | 313,000 | 348,995 | ||||||
Reinsurance Group of America, Inc. | 95,000 | 102,379 | ||||||
Reinsurance Group of America, Inc. | 95,000 | 104,270 | ||||||
USF&G Capital I (c) | 95,000 | 138,060 | ||||||
Voya Financial, Inc. | 100,000 | 113,898 | ||||||
Voya Financial, Inc. VRN | 255,000 | 257,040 | ||||||
Willis Group Holdings PLC | 20,000 | 20,245 | ||||||
Willis North America, Inc. | 43,000 | 49,148 | ||||||
XLIT Ltd. | 75,000 | 75,054 | ||||||
XLIT Ltd. | 200,000 | 188,241 | ||||||
|
| |||||||
5,378,237 | ||||||||
|
| |||||||
Internet — 0.8% | ||||||||
Baidu, Inc. | 200,000 | 199,798 | ||||||
Expedia, Inc. | 320,000 | 361,163 | ||||||
FireEye, Inc., Convertible (c) | 650,000 | 574,844 | ||||||
LinkedIn Corp., Convertible (c) | 150,000 | 147,656 |
The accompanying notes are an integral part of the financial statements.
112
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Tencent Holdings Ltd. (c) | $ | 200,000 | $ | 192,572 | ||||
|
| |||||||
1,476,033 | ||||||||
|
| |||||||
Investment Companies — 0.2% | ||||||||
Ares Capital Corp. | 205,000 | 211,081 | ||||||
FS Investment Corp. | 200,000 | 202,690 | ||||||
|
| |||||||
413,771 | ||||||||
|
| |||||||
Iron & Steel — 0.4% | ||||||||
AK Steel Corp., Convertible | 96,000 | 66,480 | ||||||
Gerdau Trade, Inc. (c) | 90,000 | 71,550 | ||||||
Glencore Funding LLC (c) | 155,000 | 119,737 | ||||||
Reliance Steel & Aluminum Co. | 65,000 | 62,042 | ||||||
Reliance Steel & Aluminum Co. | 395,000 | 410,172 | ||||||
|
| |||||||
729,981 | ||||||||
|
| |||||||
Leisure Time — 0.0% | ||||||||
Carnival Corp. | 50,000 | 50,231 | ||||||
|
| |||||||
Lodging — 0.5% | ||||||||
Hyatt Hotels Corp. | 40,000 | 38,997 | ||||||
Marriott International, Inc. | 95,000 | 98,478 | ||||||
Wyndham Worldwide Corp. | 60,000 | 60,731 | ||||||
Wyndham Worldwide Corp. | 650,000 | 706,406 | ||||||
Wyndham Worldwide Corp. | 2,000 | 2,097 | ||||||
|
| |||||||
906,709 | ||||||||
|
| |||||||
Machinery – Diversified — 0.2% | ||||||||
The Manitowoc Co., Inc. | 175,000 | 182,875 | ||||||
Roper Technologies, Inc. | 100,000 | 98,634 | ||||||
Xylem, Inc. | 100,000 | 109,595 | ||||||
|
| |||||||
391,104 | ||||||||
|
| |||||||
Manufacturing — 0.4% | ||||||||
Carlisle Cos., Inc. | 85,000 | 85,194 | ||||||
Harsco Corp | 257,000 | 256,872 |
Principal Amount | Value | |||||||
JB Poindexter & Co., Inc. (c) | $ | 200,000 | $ | 210,500 | ||||
Textron, Inc. | 120,000 | 123,488 | ||||||
|
| |||||||
676,054 | ||||||||
|
| |||||||
Media — 2.5% | ||||||||
21st Century Fox America, Inc. | 125,000 | 152,748 | ||||||
CBS Corp. | 100,000 | 129,890 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 600,000 | 573,000 | ||||||
CCO Safari II LLC (c) | 340,000 | 340,179 | ||||||
Discovery Communications LLC | 200,000 | 172,511 | ||||||
DISH DBS Corp. | 1,000,000 | 849,375 | ||||||
Globo Comunicacao e Participacoes SA (c) | 200,000 | 193,000 | ||||||
Sirius XM Radio, Inc. (c) | 1,000,000 | 955,000 | ||||||
TEGNA, Inc. | 500,000 | 510,000 | ||||||
Time Warner Cable, Inc. | 420,000 | 332,062 | ||||||
Time Warner Cable, Inc. | 240,000 | 214,947 | ||||||
|
| |||||||
4,422,712 | ||||||||
|
| |||||||
Mining — 1.0% | ||||||||
Detour Gold Corp., Convertible | 105,000 | 101,259 | ||||||
Freeport-McMoRan, Inc. | 45,000 | 39,375 | ||||||
Freeport-McMoRan, Inc. | 325,000 | 253,500 | ||||||
Freeport-McMoRan, Inc. | 70,000 | 48,650 | ||||||
Newcrest Finance Property Ltd. (c) | 200,000 | 188,423 | ||||||
Teck Resources Ltd. | 200,000 | 111,000 | ||||||
Vale Overseas Ltd. | 865,000 | 880,449 | ||||||
Vale Overseas Ltd. | 85,000 | 65,711 | ||||||
|
| |||||||
1,688,367 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 130,000 | 131,024 |
The accompanying notes are an integral part of the financial statements.
113
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pitney Bowes, Inc. | $ | 10,000 | $ | 10,646 | ||||
Pitney Bowes, Inc. | 14,000 | 15,063 | ||||||
|
| |||||||
156,733 | ||||||||
|
| |||||||
Oil & Gas — 4.4% | ||||||||
American Energy-Permian Basin LLC (c) | 400,000 | 100,000 | ||||||
Anadarko Petroleum Corp. | 300,000 | 330,043 | ||||||
California Resources Corp. | 115,000 | 68,497 | ||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. | 300,000 | 270,000 | ||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. | 1,250,000 | 1,162,500 | ||||||
Chesapeake Energy Corp., Convertible | 80,000 | 56,800 | ||||||
Chesapeake Energy Corp., Convertible | 780,000 | 670,800 | ||||||
Chesapeake Energy Corp. | 750,000 | 489,375 | ||||||
Citgo Holding, Inc. (c) | 500,000 | 488,750 | ||||||
Ecopetrol SA | 15,000 | 15,150 | ||||||
Ensco PLC | 75,000 | 57,081 | ||||||
Helmerich & Payne International Drilling Co. | 35,000 | 34,842 | ||||||
Jupiter Resources, Inc. (c) | 124,000 | 69,750 | ||||||
KazMunayGas National Co. JSC (c) | 90,000 | 75,600 | ||||||
Newfield Exploration Co. | 1,000,000 | 915,000 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. | 555,000 | 567,765 | ||||||
Pemex Project Funding Master Trust | 51,000 | 46,537 | ||||||
Petrobras Global Finance BV | 40,000 | 28,900 | ||||||
Petrobras Global Finance BV | 355,000 | 313,287 | ||||||
Petrobras International Finance Co. | 220,000 | 216,150 | ||||||
Petroleos Mexicanos | 25,000 | 24,469 |
Principal Amount | Value | |||||||
Petroleos Mexicanos | $ | 375,000 | $ | 394,294 | ||||
Petroleos Mexicanos Co. | 35,000 | 31,444 | ||||||
Phillips 66 | 75,000 | 78,586 | ||||||
Phillips 66 | 225,000 | 219,026 | ||||||
Phillips 66 | 75,000 | 81,178 | ||||||
Rowan Cos., Inc. | 175,000 | 130,423 | ||||||
Rowan Cos., Inc. | 210,000 | 205,933 | ||||||
Shell International Finance BV | 110,000 | 125,582 | ||||||
Southwestern Energy Co. | 170,000 | 153,782 | ||||||
Southwestern Energy Co. | 130,000 | 116,187 | ||||||
Talisman Energy, Inc. | 100,000 | 77,251 | ||||||
Whiting Petroleum Corp., Convertible (c) | 240,000 | 195,450 | ||||||
|
| |||||||
7,810,432 | ||||||||
|
| |||||||
Oil & Gas Services — 0.3% | ||||||||
Hornbeck Offshore Services, Inc., Convertible | 235,000 | 174,340 | ||||||
SEACOR Holdings, Inc., Convertible | 80,000 | 63,600 | ||||||
Weatherford International Ltd. | 100,000 | 80,880 | ||||||
Weatherford International Ltd. | 155,000 | 107,758 | ||||||
Weatherford International Ltd. | 25,000 | 25,305 | ||||||
|
| |||||||
451,883 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% | ||||||||
Brambles USA Inc., Series A (c) | 35,000 | 38,682 | ||||||
Sonoco Products Co. | 100,000 | 106,599 | ||||||
|
| |||||||
145,281 | ||||||||
|
| |||||||
Pharmaceuticals — 1.1% | ||||||||
AbbVie, Inc. | 160,000 | 157,803 | ||||||
AbbVie, Inc. | 50,000 | 45,688 | ||||||
AbbVie, Inc. | 210,000 | 202,714 |
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 | |||||||
Actavis Funding SCS | $ | 370,000 | $ | 365,759 | ||||
AstraZeneca PLC | 250,000 | 323,139 | ||||||
Baxalta, Inc. (c) | 40,000 | 40,385 | ||||||
Baxalta, Inc. (c) | 80,000 | 80,124 | ||||||
McKesson Corp. | 40,000 | 39,924 | ||||||
McKesson Corp. | 45,000 | 45,094 | ||||||
McKesson Corp. | 75,000 | 76,911 | ||||||
McKesson Corp. | 70,000 | 71,211 | ||||||
Pernix Therapeutics Holdings, Inc., Convertible (c) | 250,000 | 174,063 | ||||||
Valeant Pharmaceuticals International (c) | 200,000 | 204,000 | ||||||
VRX Escrow Corp. (c) | 113,000 | 107,633 | ||||||
|
| |||||||
1,934,448 | ||||||||
|
| |||||||
Pipelines — 1.6% | ||||||||
CenterPoint Energy Resources Corp. | 175,000 | 187,452 | ||||||
CenterPoint Energy Resources Corp. | 150,000 | 173,337 | ||||||
Energy Transfer Equity LP | 100,000 | 99,500 | ||||||
Energy Transfer Partners LP | 60,000 | 60,691 | ||||||
Energy Transfer Partners LP | 200,000 | 184,017 | ||||||
Enterprise Products Operating LP | 135,000 | 139,075 | ||||||
Kinder Morgan Energy Partners LP | 85,000 | 81,294 | ||||||
Kinder Morgan Energy Partners LP | 15,000 | 14,864 | ||||||
Kinder Morgan, Inc. | 250,000 | 245,457 | ||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 1,000,000 | 919,800 | ||||||
MPLX LP | 650,000 | 596,220 | ||||||
ONEOK Partners LP | 100,000 | 89,982 | ||||||
The Williams Cos., Inc. | 45,000 | 34,896 | ||||||
|
| |||||||
2,826,585 | ||||||||
|
|
Principal Amount | Value | |||||||
Real Estate — 0.1% | ||||||||
AMB Property LP | $ | 225,000 | $ | 236,082 | ||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.4% | ||||||||
American Tower Corp. | 80,000 | 82,350 | ||||||
American Tower Corp. | 225,000 | 226,016 | ||||||
Brandywine Operating Partners LP | 300,000 | 317,371 | ||||||
DCT Industrial Operating Partnership LP | 60,000 | 62,024 | ||||||
DDR Corp. | 275,000 | 291,015 | ||||||
DDR Corp. | 95,000 | 98,356 | ||||||
Digital Delta Holdings LLC (c) (d) | 140,000 | 140,530 | ||||||
Digital Realty Trust LP | 240,000 | 239,734 | ||||||
Duke Realty LP | 125,000 | 151,441 | ||||||
Federal Realty Investment Trust | 25,000 | 28,609 | ||||||
HCP, Inc. | 95,000 | 94,672 | ||||||
Highwoods Realty LP | 110,000 | 123,909 | ||||||
Host Hotels & Resorts LP | 160,000 | 157,721 | ||||||
Liberty Property LP | 50,000 | 48,644 | ||||||
ProLogis LP | 35,000 | 35,659 | ||||||
ProLogis LP | 165,000 | 167,254 | ||||||
Vereit Operating Partnership LP | 105,000 | 102,900 | ||||||
Vereit Operating Partnership LP | 50,000 | 47,688 | ||||||
Vereit Operating Partnership LP | 65,000 | 62,400 | ||||||
|
| |||||||
2,478,293 | ||||||||
|
| |||||||
Retail — 2.0% | ||||||||
Bed Bath & Beyond, Inc. | 30,000 | 30,266 | ||||||
Bed Bath & Beyond, Inc. | 75,000 | 71,035 | ||||||
CVS Health Corp. | 380,000 | 392,473 | ||||||
CVS Health Corp. | 25,000 | 30,283 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
CVS Pass-Through Trust (c) | $ | 227,327 | $ | 260,920 | ||||
CVS Pass-Through Trust (c) | 17,454 | 21,601 | ||||||
Dollar Tree Inc (c) | 1,000,000 | 1,037,500 | ||||||
El Puerto de Liverpool SAB de CV (c) | 280,000 | 273,000 | ||||||
GNC Holdings, Inc., Convertible (c) | 45,000 | 41,513 | ||||||
The Home Depot, Inc. | 100,000 | 125,971 | ||||||
O’Reilly Automotive, Inc. | 46,000 | 47,089 | ||||||
O’Reilly Automotive, Inc. | 225,000 | 248,614 | ||||||
Tiffany & Co. | 105,000 | 101,476 | ||||||
Wal-Mart Stores, Inc. | 205,000 | 247,507 | ||||||
Walgreens Boots Alliance, Inc. | 185,000 | 187,497 | ||||||
Walgreens Boots Alliance, Inc. | 245,000 | 243,690 | ||||||
Walgreens Boots Alliance, Inc. | 95,000 | 91,069 | ||||||
|
| |||||||
3,451,504 | ||||||||
|
| |||||||
Savings & Loans — 0.2% | ||||||||
Glencore Funding LLC (c) | 160,000 | 152,000 | ||||||
Glencore Funding LLC (c) | 114,000 | 97,185 | ||||||
Glencore Funding LLC (c) | 65,000 | 54,600 | ||||||
|
| |||||||
303,785 | ||||||||
|
| |||||||
Semiconductors — 0.7% | ||||||||
Intel Corp., Convertible | 45,000 | 67,894 | ||||||
KLA-Tencor Corp. | 230,000 | 229,835 | ||||||
Lam Research Corp. | 145,000 | 140,515 | ||||||
Microchip Technology, Inc., Convertible (c) | 225,000 | 215,297 | ||||||
Micron Technology, Inc., Convertible | 170,000 | 281,987 | ||||||
NXP BV/NXP Funding LLC (c) | 110,000 | 110,275 | ||||||
ON Semiconductor Corp., Convertible (c) | 120,000 | 111,675 | ||||||
|
| |||||||
1,157,478 | ||||||||
|
|
Principal Amount | Value | |||||||
Software — 0.8% | ||||||||
Audatex North America, Inc. (c) | $ | 1,000,000 | $ | 1,005,000 | ||||
Broadridge Financial Solutions, Inc. | 45,000 | 47,086 | ||||||
Citrix Systems, Inc., Convertible | 160,000 | 168,700 | ||||||
Oracle Corp. | 250,000 | 278,348 | ||||||
|
| |||||||
1,499,134 | ||||||||
|
| |||||||
Telecommunications — 1.7% | ||||||||
AT&T, Inc. | 270,000 | 257,714 | ||||||
AT&T, Inc. | 175,000 | 197,851 | ||||||
Embarq Corp. | 210,000 | 215,685 | ||||||
Embarq Corp. | 45,000 | 46,420 | ||||||
Frontier Communications Corp. (c) | 128,000 | 125,440 | ||||||
Gogo, Inc., Convertible (c) | 210,000 | 187,688 | ||||||
Motorola Solutions, Inc. | 90,000 | 81,109 | ||||||
Sprint Capital Corp. | 100,000 | 88,000 | ||||||
Sprint Corp. | 250,000 | 202,344 | ||||||
Telefonaktiebolaget LM Ericsson | 225,000 | 235,052 | ||||||
Telefonica Emisiones SAU | 275,000 | 277,866 | ||||||
Verizon Communications, Inc. | 115,000 | 115,341 | ||||||
Verizon Communications, Inc. | 240,000 | 235,970 | ||||||
Verizon Communications, Inc. | 77,000 | 70,081 | ||||||
Verizon Communications, Inc. | 95,000 | 104,946 | ||||||
Verizon Communications, Inc. | 79,000 | 93,334 | ||||||
Verizon Global Funding Corp. | 300,000 | 400,777 | ||||||
|
| |||||||
2,935,618 | ||||||||
|
| |||||||
Transportation — 0.5% | ||||||||
Asciano Finance (c) | 45,000 | 47,237 | ||||||
Burlington Northern Santa Fe LLC | 160,000 | 197,990 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Con-way, Inc. | $ | 30,000 | $ | 31,053 | ||||
Norfolk Southern Corp. | 125,000 | 139,732 | ||||||
Ryder System, Inc. | 30,000 | 30,072 | ||||||
Watco Cos. LLC/Watco Finance Corp. (c) | 500,000 | 495,000 | ||||||
|
| |||||||
941,084 | ||||||||
|
| |||||||
Trucking & Leasing — 0.5% | ||||||||
Aviation Capital Group Corp. (c) | 280,000 | 279,745 | ||||||
GATX Corp. | 90,000 | 91,406 | ||||||
GATX Corp. | 125,000 | 133,598 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (c) | 145,000 | 144,302 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (c) | 320,000 | 312,750 | ||||||
|
| |||||||
961,801 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $78,665,053) | 76,545,255 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.4% | ||||||||
State of California | 225,000 | 230,967 | ||||||
State of California BAB | 125,000 | 180,050 | ||||||
State of California BAB | 150,000 | 219,524 | ||||||
|
| |||||||
630,541 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $579,836) | 630,541 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 21.0% | ||||||||
Auto Floor Plan ABS — 0.2% | ||||||||
Capital Automotive REIT, | 209,000 | 221,480 | ||||||
NCF Dealer Floorplan Master Trust, | 110,000 | 110,000 | ||||||
|
| |||||||
331,480 | ||||||||
|
| |||||||
Automobile ABS — 0.6% | ||||||||
American Credit Acceptance Receivables Trust, Series 2013-1, Class A (c) | 20,128 | 20,139 |
Principal Amount | Value | |||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A (c) | $ | 120,000 | $ | 121,146 | ||||
Capital Automotive REIT, | 100,000 | 102,038 | ||||||
CFC LLC, Series 2014-2A, Class A (c) | 87,424 | 87,181 | ||||||
CPS Auto Trust, Series 2014-A, Class A (c) | 52,515 | 52,490 | ||||||
CPS Auto Trust, Series 2014-C, Class A (c) | 160,904 | 160,837 | ||||||
Exeter Automobile Receivables Trust, Series 2014-3A, Class A (c) | 83,969 | 83,903 | ||||||
GLS Auto Receivables Trust, Series 2015-1A, Class A (c) | 146,503 | 146,568 | ||||||
GO Financial Auto Securitization Trust, Series 2015-1, Class A (c) | 95,087 | 95,039 | ||||||
Oscar US Funding Trust, Series 2014-1A, Class A2 (c) | 174,000 | 174,150 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-S2, Class R1 (c) | 98,923 | 98,923 | ||||||
|
| |||||||
1,142,414 | ||||||||
|
| |||||||
Commercial MBS — 4.5% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A4 VRN | 251,826 | 262,576 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM VRN | 95,000 | 101,526 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4 VRN | 349,286 | 376,973 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM VRN | 100,000 | 108,845 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM VRN | 190,000 | 199,504 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4 VRN | 635,000 | 671,689 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 | $ | 155,000 | $ | 163,395 | ||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AM VRN | 110,000 | 117,970 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM VRN | 200,000 | 213,307 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, | 115,000 | 123,639 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5 | 152,000 | 163,662 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class AM | 100,000 | 107,227 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A4 VRN | 110,000 | 120,934 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2015-CR23, Class C VRN | 110,000 | 105,609 | ||||||
DBCCRE Mortgage Trust, | 100,000 | 106,914 | ||||||
DBRR Trust, Series 2013-EZ3, Class A VRN (c) | 84,742 | 84,742 | ||||||
DBUBS Mortgage Trust, | 143,815 | 144,472 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM VRN | 365,000 | 374,530 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4 | 290,634 | 299,514 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class AM | 240,000 | 248,964 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2006-3, Class AM VRN | 140,000 | 144,782 |
Principal Amount | Value | |||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM VRN | $ | 115,000 | $ | 123,317 | ||||
Morgan Stanley Capital I, Series 2006-IQ12, Class AM | 110,000 | 114,289 | ||||||
Morgan Stanley Capital I, | 170,000 | 175,150 | ||||||
Morgan Stanley Capital I, Series 2007-IQ14, Class A2 | 56,503 | 56,647 | ||||||
Morgan Stanley Capital I, Series 2006-HQ8, Class AM VRN | 125,000 | 125,869 | ||||||
STRIPs Ltd., Series 2012-1A, Class A (c) | 42,055 | 41,644 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ VRN | 66,516 | 66,682 | ||||||
VFC LLC, Series 2014-2, Class A, (Acquired 7/9/14, Cost $250,000) (c) (e) | 86,814 | 86,829 | ||||||
VFC LLC, Series 2015-3, Class A, (Acquired 3/25/15, Cost $249,531) (c) (e) | 148,686 | 148,521 | ||||||
VNO Mortgage Trust, Series 2013-PENN, Class A (c) | 110,000 | 117,279 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class AM | 321,000 | 332,689 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM VRN | 150,000 | 150,572 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 535,000 | 553,999 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM VRN | 185,000 | 185,036 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class AM VRN | 110,000 | 115,657 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4 VRN | 95,880 | 100,232 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM VRN | 500,000 | 532,938 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class C VRN | 140,000 | 130,825 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Wells Fargo Reremic Trust, | $ | 36,240 | $ | 36,240 | ||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B | 110,000 | 116,360 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class C VRN | 100,000 | 105,878 | ||||||
WF-RBS Commercial Mortgage Trust, | 170,000 | 189,167 | ||||||
WF-RBS Commercial Mortgage Trust, | 115,000 | 123,880 | ||||||
|
| |||||||
7,970,474 | ||||||||
|
| |||||||
Home Equity ABS — 1.8% | ||||||||
Accredited Mortgage Loan Trust, | 120,000 | 117,993 | ||||||
ACE Securities Corp., Series 2005-HE5, | 268,671 | 266,632 | ||||||
ACE Securities Corp., Series 2005-RM1, | 140,449 | 140,474 | ||||||
Asset-Backed Securities Corporation Home Equity, | 133,684 | 132,904 | ||||||
Bear Stearns Asset Backed Securities I Trust, Series 2006-HE3, Class A2 FRN | 48,817 | 48,530 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE12, | 393,162 | 381,688 | ||||||
Conseco Finance Corp., Series 2002-A, Class M1 FRN | 93,570 | 93,645 | ||||||
Countrywide Partnership Trust, | 193,391 | 164,684 | ||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A FRN (c) | 194,162 | 190,183 | ||||||
JP Morgan Mortgage Acquisition Corp., | 109,361 | 107,567 | ||||||
MASTR Asset Backed Securities Trust, | 99,504 | 91,191 |
Principal Amount | Value | |||||||
MASTR Asset-Backed Securities Trust, | $ | 120,000 | $ | 118,009 | ||||
Merrill Lynch Mortgage Synthetic, | 257,185 | 254,381 | ||||||
Merrill Lynch Mortgage Synthetic, | 525,000 | 471,898 | ||||||
New Century Home Equity Loan Trust, | 11 | 12 | ||||||
NovaStar Mortgage Funding Trust, | 205,556 | 204,532 | ||||||
Option One Mortgage Loan Trust, | 187,414 | 185,847 | ||||||
Option One Mortgage Loan Trust, | 76,012 | 75,187 | ||||||
Residential Asset Securities Corp., | 68,107 | 67,422 | ||||||
Security National Mortgage Loan Trust, | 52,317 | 52,249 | ||||||
|
| |||||||
3,165,028 | ||||||||
|
| |||||||
Other ABS — 10.2% | ||||||||
321 Henderson Receivables I LLC, | 98,527 | 98,149 | ||||||
Aames Mortgage Investment Trust, | 144,660 | 143,120 | ||||||
ALM VIII Ltd., Series 2013-8A, Class A1A FRN (c) | 460,000 | 457,467 | ||||||
Alterna Funding I LLC, Series 2014-1A, | 88,946 | 88,640 | ||||||
Apidos CLO XVII, Series 2014-17A, | 250,000 | 248,932 | ||||||
Applebee’s/IHOP Funding LLC, | 230,000 | 235,319 | ||||||
ARL First LLC, Series 2012-1A, | 140,710 | 141,684 | ||||||
Ascentium Equipment Receivables LLC, | 120,000 | 120,207 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Avery Point CLO Ltd., Series 2014-5A, Class A FRN (c) | $ | 250,000 | $ | 248,771 | ||||
Avery Point III CLO Ltd., Series 2013-3A, Class A FRN (c) | 250,000 | 248,350 | ||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class A FRN (c) | 445,000 | 441,506 | ||||||
Birchwood Park CLO Ltd., Series 2014-1A, Class A FRN (c) | 250,000 | 248,358 | ||||||
Blue Hill CLO Ltd., Series 2013-1A, Class A FRN (c) | 250,000 | 248,458 | ||||||
BlueMountain CLO Ltd., Series 2015-2A, Class A1 FRN (c) | 305,000 | 302,736 | ||||||
CAN Capital Funding LLC, Series 2014-1A, Class A (c) | 160,000 | 160,750 | ||||||
Carlyle Global Market Strategies, Series 2012-4A, Class A FRN (c) | 430,000 | 428,327 | ||||||
Carlyle Global Market Strategies, | 265,000 | 264,128 | ||||||
Carlyle Global Market Strategies CLO Ltd., | 600,000 | 597,005 | ||||||
Citi Held For Asset Issuance, | 112,051 | 112,016 | ||||||
Citigroup Mortgage Loan Trust, | 82,369 | 81,929 | ||||||
Citigroup Mortgage Loan Trust, Inc., | 158,148 | 153,359 | ||||||
Citigroup Mortgage Loan Trust, Inc., | 245 | 245 | ||||||
CKE Restaurant Holdings, Inc., | 110,688 | 114,250 | ||||||
CLI Funding V LLC, Series 2014-2A, Class A (c) | 90,833 | 92,150 | ||||||
Consumer Credit Origination Loan Trust, | 161,800 | 162,811 | ||||||
Countrywide Asset-Backed Certificates, | 54,572 | 53,372 |
Principal Amount | Value | |||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2006-RP2, Class A3 FRN (c) | $ | 251,876 | $ | 247,502 | ||||
DB Master Finance LLC, Series 2015-1A, Class A2I (c) | 199,000 | 200,741 | ||||||
Diamond Resorts Owner Trust, | 89,974 | 90,537 | ||||||
Diamond Resorts Owner Trust, | 122,399 | 123,547 | ||||||
Domino’s Pizza Master Issuer LLC, | 357,513 | 369,484 | ||||||
Dong Fang Container Finance II SPV Ltd., | 231,948 | 228,091 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (c) | 75,769 | 78,737 | ||||||
Dryden XXXI Senior Loan Fund, | 370,000 | 366,819 | ||||||
Eaton Vance CLO, Series 2014-1A, Class A FRN (c) | 500,000 | 496,824 | ||||||
Element Rail Leasing II LLC, | 92,670 | 92,883 | ||||||
Element Rail Leasing II LLC, | 160,000 | 161,983 | ||||||
Fairway Outdoor Funding LLC, | 215,747 | 218,358 | ||||||
First Franklin Mortgage Loan Trust, | 69,260 | 68,909 | ||||||
Fremont Home Loan Trust, Series 2005-E, | 80,001 | 78,037 | ||||||
Fremont Home Loan Trust, | 151,372 | 145,507 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class A FRN (c) | 340,000 | 338,783 | ||||||
Global Container Assets Ltd., | 102,900 | 103,152 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
GoldenTree Loan Opportunities VII Ltd., | $ | 365,000 | $ | 359,562 | ||||
GoldenTree Loan Opportunities VII Ltd., | 550,000 | 547,363 | ||||||
Hercules Capital Funding Trust, Series 2014-1A, Class A (c) | 250,000 | 250,312 | ||||||
HFG Healthco-4 LLC, Series 2011-1A, Class A FRN (c) | 250,000 | 251,694 | ||||||
Hilton Grand Vacations Trust, | 101,281 | 100,794 | ||||||
Hilton Grand Vacations Trust, | 128,662 | 129,932 | ||||||
Icon Brand Holdings LLC, Series 2012-1A, | 82,329 | 83,510 | ||||||
Icon Brand Holdings LLC, Series 2013-1A, | 68,135 | 69,267 | ||||||
ING Investment Management CLO Ltd., | 250,000 | 247,556 | ||||||
J.G. Wentworth XXXV LLC, | 90,000 | 91,453 | ||||||
JP Morgan Mortgage Acquisition Trust, | 150,000 | 142,764 | ||||||
LCM Ltd., Series 16A, Class A FRN (c) | 250,000 | 248,887 | ||||||
Long Beach Mortgage Loan Trust, | 207,075 | 203,932 | ||||||
Madison Park Funding XII Ltd., | 250,000 | 248,984 | ||||||
Madison Park Funding XIV Ltd., | 280,000 | 278,287 | ||||||
Merrill Lynch Mortgage Investors, Inc., | 90,491 | 89,797 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (c) | 248,040 | 249,082 | ||||||
Morgan Stanley Capital, Inc., | 58,109 | 58,332 |
Principal Amount | Value | |||||||
MVW Owner Trust, Series 2013-1A, Class A (c) | $ | 99,968 | $ | 100,300 | ||||
Nations Equipment Finance Funding II LLC, | 110,089 | 110,127 | ||||||
New York City Tax Lien, Series 2014-A, Class A (c) | 31,127 | 31,112 | ||||||
Nomad CLO Ltd., Series 2013-1A, | 250,000 | 247,170 | ||||||
Oak Hill Credit Partners VIII Ltd., | 225,000 | 221,841 | ||||||
Ocwen Master Advance Receivables Trust, | 120,000 | 120,000 | ||||||
OHA Loan Funding Ltd., Series 2013-1A, Class A FRN (c) | 200,000 | 197,865 | ||||||
OnDeck Asset Securitization Trust, | 130,000 | 130,173 | ||||||
OneMain Financial Issuance Trust, | 120,000 | 120,220 | ||||||
Orange Lake Timeshare Trust, | 69,691 | 71,036 | ||||||
Ownit Mortgage Loan Trust, Series 2005-2, | 103,700 | 102,634 | ||||||
Oxford Finance Funding Trust, | 80,000 | 80,604 | ||||||
Park Place Securities Inc, | 105,000 | 103,317 | ||||||
Park Place Securities, Inc., | 39,202 | 39,023 | ||||||
Park Place Securities, Inc., | 100,000 | 91,556 | ||||||
Popular ABS Mortgage Pass-Through Trust, | 138,969 | 132,765 | ||||||
RAAC, Series 2006-RP2, Class A FRN (c) | 117,085 | 115,175 | ||||||
Race Point VIII CLO Ltd., | 250,000 | 247,469 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Race Point VIII CLO Ltd., Series 2012-7A, Class A FRN (c) | $ | 100,000 | $ | 99,432 | ||||
Seneca Park CLO Ltd., Series 2014-1A, Class A FRN (c) | 250,000 | 248,673 | ||||||
Sierra Receivables Funding Co. LLC, | 17,658 | 17,858 | ||||||
Sierra Timeshare Receivables Funding LLC, | 158,382 | 159,133 | ||||||
Sonic Capital LLC, Series 2011-1A, Class A2 (c) | 171,155 | 179,927 | ||||||
Specialty Underwriting & Residential Finance Trust, Series 2005-AB2, Class M1 FRN | 60,000 | 58,829 | ||||||
Spirit Master Funding LLC, Series 2014-4A, Class A1 (c) | 110,000 | 110,900 | ||||||
SpringCastle America Funding LLC, | 240,834 | 241,136 | ||||||
Springleaf Funding Trust, Series 2013-AA, Class A (c) | 64,813 | 64,854 | ||||||
Store Master Funding I LLC, | 99,792 | 100,618 | ||||||
STORE Master Funding LLC, | 116,685 | 119,567 | ||||||
Structured Asset Securities Corp., | 15,024 | 14,921 | ||||||
Symphony CLO XV Ltd., | 300,000 | 298,184 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (c) | 178,113 | 177,210 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (c) | 51,069 | 54,199 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2I (c) | 375,000 | 379,219 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2II (c) | 330,000 | 335,981 |
Principal Amount | Value | |||||||
Wendys Funding LLC, Series 2015-1A, Class A23 (c) | $ | 350,000 | $ | 357,219 | ||||
Westgate Resorts LLC, Series 2014-1A, Class A (c) | 193,131 | 192,496 | ||||||
|
| |||||||
18,026,184 | ||||||||
|
| |||||||
Student Loans ABS — 3.2% | ||||||||
Access Group, Inc., Series 2006-1, Class B FRN | 435,223 | 382,672 | ||||||
Access Group, Inc., Series 2003-A, Class A3 FRN | 55,510 | 50,025 | ||||||
Access Group, Inc., Series 2015-1, Class B FRN (c) | 130,000 | 109,766 | ||||||
College Loan Corp. Trust I, | 150,000 | 138,600 | ||||||
College Loan Corp. Trust I, | 100,000 | 97,576 | ||||||
College Loan Corp. Trust I, | 200,000 | 195,605 | ||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B (c) | 264,510 | 258,461 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A5 FRN | 350,000 | 341,963 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A6 FRN | 200,000 | 197,140 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A4 FRN | 100,000 | 99,798 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN | 200,000 | 186,517 | ||||||
KeyCorp Student Loan Trust, Series 2004-A, Class 2A2 FRN | 39,687 | 39,484 | ||||||
KeyCorp Student Loan Trust, | 100,000 | 96,193 | ||||||
KeyCorp Student Loan Trust, Series 1999-B, Class CTFS FRN | 94,644 | 88,382 | ||||||
National Collegiate Student Loan Trust, Series 2005-3, Class A3 FRN | 3,685 | 3,683 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
National Collegiate Student Loan Trust, Series 2004-1, Class A2 FRN | $ | 82,571 | $ | 82,192 | ||||
Nelnet Student Loan Trust, Series 2006-3, Class B FRN | 231,467 | 204,911 | ||||||
Nelnet Student Loan Trust, | 200,000 | 170,173 | ||||||
Nelnet Student Loan Trust, | 150,000 | 132,190 | ||||||
Nelnet Student Loan Trust, Series 2005-4, Class A4R2 FRN | 150,000 | 140,012 | ||||||
Nelnet Student Loan Trust, | 100,000 | 86,398 | ||||||
Nelnet Student Loan Trust, | 240,000 | 207,160 | ||||||
Nelnet Student Loan Trust, | 100,000 | 91,225 | ||||||
Pennsylvania Higher Education, | 130,000 | 106,600 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class C FRN | 190,000 | 168,550 | ||||||
SLM Student Loan Trust, Series 2007-2, Class A4 FRN | 200,000 | 186,558 | ||||||
SLM Student Loan Trust, Series 2005-3, Class B FRN | 190,827 | 158,501 | ||||||
SLM Student Loan Trust, Series 2005-9, Class B FRN | 140,890 | 117,142 | ||||||
SLM Student Loan Trust, Series 2008-7, Class A4 FRN | 300,000 | 292,414 | ||||||
SLM Student Loan Trust, Series 2013-2, Class B FRN | 110,000 | 99,601 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A11 FRN | 200,000 | 198,177 | ||||||
SLM Student Loan Trust, Series 2013-1, Class B, ABS, FRN FRN | 381,000 | 343,316 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7 FRN | 50,000 | 49,541 |
Principal Amount | Value | |||||||
Social Professional Loan Program LLC, Series 2014-A, Class A2 (c) | $ | 107,751 | $ | 110,257 | ||||
South Carolina Student Loan Corp., Series 2014-1, Class B FRN | 400,000 | 349,093 | ||||||
|
| |||||||
5,579,876 | ||||||||
|
| |||||||
WL Collateral CMO — 0.5% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7 FRN | 61,981 | 59,481 | ||||||
Connecticut Avenue Securities, Series 2015-C03, Class 1M1 | 415,115 | 415,519 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1 FRN | 11,670 | 11,336 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1 FRN | 4,448 | 4,153 | ||||||
GS Mortgage Securities Corp., Series 2014-4R, Class AS FRN (c) | 177,749 | 171,253 | ||||||
GSR Mortgage Loan Trust, | 12,029 | 11,459 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A FRN | 44,210 | 36,572 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2 FRN | 80,562 | 79,292 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA FRN | 4,926 | 4,664 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA FRN | 2,795 | 2,738 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A FRN | 131 | 133 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A FRN | 22,253 | 22,281 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, | 57,179 | 55,632 | ||||||
|
| |||||||
874,513 | ||||||||
|
|
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 | |||||||
WL Collateral PAC — 0.0% | ||||||||
Structured Asset Securities Corp., Series 2002-11A, Class 2A1 FRN | $ | 15,518 | $ | 14,865 | ||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $37,015,082) | 37,104,834 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.8% | ||||||||
Brazilian Government International Bond | 100,000 | 97,250 | ||||||
Brazilian Government International Bond | 235,000 | 190,350 | ||||||
Province of Quebec Canada | 192,000 | 195,638 | ||||||
Province of Quebec Canada | 125,000 | 185,133 | ||||||
Republic of Turkey International Bond | 236,000 | 196,470 | ||||||
Republic of Turkey International Bond | 100,000 | 107,920 | ||||||
United Mexican States | 375,000 | 448,125 | ||||||
|
| |||||||
1,420,886 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,513,335) | 1,420,886 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 24.9% | ||||||||
Collateralized Mortgage Obligations — 1.3% | ||||||||
Federal Home Loan Mortgage Corp. | 416,741 | 433,147 | ||||||
Series 4290, Class CA | 217,955 | 230,635 | ||||||
Series 2617, Class Z | 201,829 | 225,404 | ||||||
Series 2693, Class Z | 347,773 | 390,659 | ||||||
Series 3423, Class PB | 90,000 | 102,919 | ||||||
Series 2178, Class PB | 19,982 | 23,008 | ||||||
Federal National Mortgage Association | 135,587 | 145,367 | ||||||
Series 2014-48, Class AB | 328,655 | 351,628 | ||||||
Series 2007-32, Class Z | 158,431 | 177,168 | ||||||
Series 2010-60, Class HJ | 79,680 | 88,611 |
Principal Amount | Value | |||||||
Federal National Mortgage Association | $ | 101,397 | $ | 111,371 | ||||
U.S. Department of Veteran Affairs, | 11,913 | 13,429 | ||||||
|
| |||||||
2,293,346 | ||||||||
|
| |||||||
Pass-Through Securities — 23.6% | ||||||||
Federal Home Loan Mortgage Corp. | 30,866 | 32,226 | ||||||
Pool #B16010 5.000% | 671 | 707 | ||||||
Pool #B17058 5.000% | 1,100 | 1,169 | ||||||
Pool #B18677 5.000% | 1,317 | 1,392 | ||||||
Pool #E89199 6.000% | 1,354 | 1,398 | ||||||
Pool #G11431 6.000% | 219 | 226 | ||||||
Pool #G01311 7.000% | 1,786 | 2,102 | ||||||
Pool #C80207 7.500% | 2,092 | 2,410 | ||||||
Pool #C00530 7.500% | 1,589 | 1,883 | ||||||
Pool #C00563 7.500% | 5,122 | 6,082 | ||||||
Pool #C00612 7.500% | 325 | 386 | ||||||
Pool #C55867 7.500% | 5,612 | 6,602 | ||||||
Federal Home Loan Mortgage Corp. TBA | 2,750,000 | 2,927,031 | ||||||
Federal National Mortgage Association | 134,658 | 142,999 | ||||||
Pool #888586 2.411% | 280,192 | 298,332 | ||||||
Pool #AR3007 3.000% | 286,519 | 291,130 | ||||||
Pool #890564 3.000% | 311,404 | 317,876 | ||||||
Pool #AR3816 3.500% | 109,527 | 114,562 | ||||||
Pool #AB8527 3.500% | 669,242 | 700,011 | ||||||
Pool #AR8708 3.500% | 98,309 | 102,829 |
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 | |||||||
Pool #AT4050 3.500% | $ | 128,025 | $ | 133,911 | ||||
Pool #MA1437 3.500% | 107,186 | 112,115 | ||||||
Pool #MA1463 3.500% | 321,488 | 336,269 | ||||||
Pool #AX0120 4.000% | 295,404 | 316,313 | ||||||
Pool #AB6261 4.000% | 1,168,195 | 1,259,278 | ||||||
Pool #735010 5.000% | 128,697 | 135,466 | ||||||
Pool #253880 6.500% | 348 | 353 | ||||||
Pool #575579 7.500% | 9,187 | 10,995 | ||||||
Pool #535996 7.500% | 1,772 | 2,123 | ||||||
Federal National Mortgage Association TBA | 3,425,000 | 3,355,430 | ||||||
Pool #9768 3.000% | 7,500,000 | 7,599,609 | ||||||
Pool #17115 3.500% | 1,050,000 | 1,095,117 | ||||||
Pool #18388 4.000% | 675,000 | 719,930 | ||||||
Government National Mortgage Association | 463,609 | 486,517 | ||||||
Pool #784026 3.500% | 498,118 | 522,829 | ||||||
Pool #579140 6.500% | 1,040 | 1,214 | ||||||
Pool #587280 6.500% | 1,331 | 1,548 | ||||||
Pool #550659 6.500% | 124,257 | 144,863 | ||||||
Pool #538689 6.500% | 20,239 | 23,658 | ||||||
Pool #780651 7.000% | 2,126 | 2,483 | ||||||
Pool #462384 7.000% | 1,101 | 1,226 | ||||||
Pool #482668 7.000% | 1,640 | 1,920 | ||||||
Pool #506804 7.000% | 7,703 | 8,976 | ||||||
Pool #506914 7.000% | 28,819 | 33,640 |
Principal Amount | Value | |||||||
Pool #581417 7.000% | $ | 4,539 | $ | 5,382 | ||||
Pool #591581 7.000% | 926 | 1,102 | ||||||
Pool #423836 8.000% | 1,239 | 1,472 | ||||||
Pool #444619 8.000% | 9,455 | 11,221 | ||||||
Government National Mortgage Association II | 95,592 | 99,367 | ||||||
Pool #82462 2.500% | 70,853 | 73,565 | ||||||
Government National Mortgage Association II TBA | 8,550,000 | 8,723,672 | ||||||
Pool #1635 3.500% | 2,650,000 | 2,775,875 | ||||||
Pool #1367 4.000% | 2,500,000 | 2,662,891 | ||||||
Pool #1523 4.500% | 5,675,000 | 6,097,078 | ||||||
|
| |||||||
41,708,761 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $43,690,151) | 44,002,107 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 5.1% | ||||||||
U.S. Treasury Bonds & Notes — 5.1% | ||||||||
U.S. Treasury Bond | 3,795,000 | 3,876,109 | ||||||
U.S. Treasury Bond | 365,000 | 411,870 | ||||||
U.S. Treasury Note | 200,000 | 200,799 | ||||||
U.S. Treasury Note | 3,880,000 | 3,890,571 | ||||||
U.S. Treasury Note | 360,000 | 363,829 | ||||||
U.S. Treasury Note | 370,000 | 372,276 | ||||||
|
| |||||||
9,115,454 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,172,486) | 9,115,454 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $170,635,943) | 168,819,077 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Notional Amount | Value | |||||||
PURCHASED OPTIONS — 0.4% | ||||||||
Financial — 0.4% | ||||||||
Diversified Financial — 0.4% | ||||||||
USD Call CNH Put, Expires 7/27/16, Strike 6.65 (OTC — JP Morgan Chase Bank) | $ | 28,000,000 | $ | 541,100 | ||||
USD Call CNH Put, Expires 5/16/16, Strike 6.65 (OTC — HSBC Bank PLC) | 13,000,000 | 196,625 | ||||||
|
| |||||||
737,725 | ||||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $348,974) | 737,725 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $172,241,674) | 170,598,613 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 23.0% | ||||||||
Commercial Paper — 21.3% | ||||||||
Aon Corp. (c) | 3,000,000 | 2,999,177 | ||||||
Canadian Natural Resources Ltd. (c) | 4,000,000 | 3,999,627 | ||||||
EnCana Corp. (c) | 4,000,000 | 3,999,705 | ||||||
ERAC USA Finance LLC (c) | 4,000,000 | 3,999,022 | ||||||
FMC Technologies, Inc. (c) | 3,500,000 | 3,500,000 | ||||||
FMC Technologies, Inc. (c) | 1,000,000 | 999,404 | ||||||
Holcim US Finance SARL & Cie (c) | 2,774,000 | 2,773,122 | ||||||
Nabors Industries, Inc. (c) | 3,250,000 | 3,249,772 | ||||||
Nordstrom, Inc. (c) | 2,250,000 | 2,250,000 | ||||||
Sempra Energy Holding (c) | 3,500,000 | 3,499,417 | ||||||
Southern Power Co. (c) | 3,000,000 | 2,999,840 | ||||||
Tate & Lyle International Finance PLC (c) | 3,500,000 | 3,498,300 | ||||||
|
| |||||||
37,767,386 | ||||||||
|
|
Principal Amount | Value | |||||||
Time Deposits — 1.7% | ||||||||
Euro Time Deposit | $ | 2,990,109 | $ | 2,990,109 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $40,757,495) | 40,757,495 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 119.4% (Cost $212,999,169) (f) | 211,356,108 | |||||||
Other Assets/(Liabilities) — (19.4)% | (34,270,656 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 177,085,452 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CNH | Offshore Chinese Yuan |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
PAC | Planned Amortization Class |
STEP | Step Up Bond |
TBA | To Be Announced |
USD | U.S. Dollar |
VRN | Variable Rate Note |
WL | Whole Loan |
(a) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2015, these securities amounted to a value of $24,752 or 0.01% of net assets. |
(b) | Non-income producing security. |
(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, 2015, these securities amounted to a value of $76,665,233 or 43.29% 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, 2015, these securities amounted to a value of $235,350 or 0.13% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(f) | 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 (Continued)
Country weightings, as a percentage of net assets, is as follows:
United States | 84.7 | % | ||
Cayman Islands | 6.0 | % | ||
United Kingdom | 1.0 | % | ||
Mexico | 0.8 | % | ||
Canada | 0.5 | % | ||
Netherlands | 0.5 | % | ||
Australia | 0.4 | % | ||
Brazil | 0.4 | % | ||
Bermuda | 0.3 | % | ||
Switzerland | 0.3 | % | ||
Luxembourg | 0.2 | % | ||
France | 0.2 | % | ||
Ireland | 0.2 | % | ||
Turkey | 0.2 | % | ||
United Arab Emirates | 0.2 | % | ||
Spain | 0.2 | % | ||
Sweden | 0.1 | % | ||
United States Virgin Islands | 0.1 | % | ||
Chile | 0.1 | % | ||
Kazakhstan | 0.0 | % | ||
Panama | 0.0 | % | ||
Colombia | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 96.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.6 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
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, 2015
Number of Shares | Value | |||||||
EQUITIES — 0.1% | ||||||||
COMMON STOCK — 0.1% | ||||||||
Basic Materials — 0.1% | ||||||||
Forest Products & Paper — 0.1% | ||||||||
The Newark Group, Inc. (a) (b) | 329,969 | $ | 303,571 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $290,644) | 303,571 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $290,644) | 303,571 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 88.4% | ||||||||
BANK LOANS — 2.6% | ||||||||
Oil & Gas — 1.7% | ||||||||
Caelus Energy Alaska O3 LLC, 2nd Lien Term Loan | $ | 5,254,429 | 3,704,371 | |||||
Fieldwood Energy LLC, 2nd Lien Term Loan | 3,510,223 | 965,313 | ||||||
|
| |||||||
4,669,684 | ||||||||
|
| |||||||
Pharmaceuticals — 0.9% | ||||||||
Synarc-Biocore Holdings LLC, 2nd Lien Term Loan | 2,448,101 | 2,252,253 | ||||||
|
| |||||||
TOTAL BANK LOANS (Cost $10,204,776) | 6,921,937 | |||||||
|
| |||||||
CORPORATE DEBT — 85.8% | ||||||||
Aerospace & Defense — 1.3% | ||||||||
Moog, Inc. (c) | 948,000 | 948,000 | ||||||
TransDigm, Inc. | 2,035,000 | 1,912,595 | ||||||
TransDigm, Inc. (c) | 606,000 | 569,640 | ||||||
|
| |||||||
3,430,235 | ||||||||
|
| |||||||
Agriculture — 1.4% | ||||||||
Pinnacle Operating Corp. (c) | 3,873,000 | 3,756,810 | ||||||
|
| |||||||
Airlines — 0.7% | ||||||||
Allegiant Travel Co. | 2,020,000 | 2,023,788 | ||||||
|
| |||||||
Apparel — 0.5% | ||||||||
Perry Ellis International, Inc. | 1,386,000 | 1,399,860 | ||||||
|
|
Principal Amount | Value | |||||||
Auto Manufacturers — 1.4% | ||||||||
Allied Specialty Vehicles, Inc. (c) | $ | 3,600,000 | $ | 3,744,000 | ||||
|
| |||||||
Automotive & Parts — 2.9% | ||||||||
Accuride Corp. | 2,790,000 | 2,803,950 | ||||||
Cooper Tire & Rubber Co. | 760,000 | 843,600 | ||||||
Dana Holding Corp. | 1,012,000 | 974,050 | ||||||
International Automotive Components Group SA (c) | 3,268,000 | 3,317,020 | ||||||
|
| |||||||
7,938,620 | ||||||||
|
| |||||||
Banks — 0.9% | ||||||||
Ally Financial, Inc. | 2,175,000 | 2,519,607 | ||||||
|
| |||||||
Building Materials — 1.0% | ||||||||
Headwaters, Inc. | 2,500,000 | 2,575,000 | ||||||
|
| |||||||
Chemicals — 2.0% | ||||||||
A Schulman, Inc. (c) | 1,122,000 | 1,057,485 | ||||||
The Chemours Co. (c) | 859,000 | 564,792 | ||||||
Omnova Solutions, Inc. STEP | 1,960,000 | 1,940,400 | ||||||
TPC Group, Inc. (c) | 2,144,000 | 1,833,120 | ||||||
|
| |||||||
5,395,797 | ||||||||
|
| |||||||
Coal — 0.5% | ||||||||
Murray Energy Corp. (c) | 2,650,000 | 1,391,250 | ||||||
|
| |||||||
Commercial Services — 5.0% | ||||||||
CEB, Inc. (c) | 1,169,000 | 1,166,078 | ||||||
Multi-Color Corp. (c) | 1,276,000 | 1,304,710 | ||||||
Mustang Merger Corp. (c) | 7,420,000 | 7,698,250 | ||||||
StoneMor Partners LP/Cornerstone Family Services of WV | 3,245,000 | 3,334,237 | ||||||
|
| |||||||
13,503,275 | ||||||||
|
| |||||||
Diversified Financial — 2.2% | ||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust | 919,000 | 917,851 |
The accompanying notes are an integral part of the financial statements.
128
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MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust | $ | 1,019,000 | $ | 1,015,179 | ||||
Aircastle Ltd. | 802,000 | 810,020 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 2,000,000 | 2,012,500 | ||||||
National Financial Partners Corp. (c) | 1,192,000 | 1,150,280 | ||||||
|
| |||||||
5,905,830 | ||||||||
|
| |||||||
Electric — 0.4% | ||||||||
Dynegy, Inc. | 1,130,000 | 1,141,300 | ||||||
|
| |||||||
Electrical Components & Equipment — 0.6% | ||||||||
International Wire Group Holdings, Inc. (c) | 1,700,000 | 1,717,000 | ||||||
|
| |||||||
Energy – Alternate Sources — 0.4% | ||||||||
TerraForm Power Operating LLC (c) | 1,125,000 | 992,813 | ||||||
|
| |||||||
Engineering & Construction — 0.8% | ||||||||
Zachry Holdings, Inc. (c) | 2,189,000 | 2,161,638 | ||||||
|
| |||||||
Foods — 1.8% | ||||||||
Dean Foods Co. (c) | 1,173,000 | 1,190,595 | ||||||
Kraft Heinz Foods Co. (c) | 1,219,000 | 1,300,917 | ||||||
Post Holdings, Inc. (c) | 1,392,000 | 1,426,800 | ||||||
Post Holdings, Inc. (c) | 911,000 | 938,330 | ||||||
|
| |||||||
4,856,642 | ||||||||
|
| |||||||
Forest Products & Paper — 2.1% | ||||||||
Appvion, Inc. (c) | 3,622,000 | 1,811,000 | ||||||
Xerium Technologies, Inc. | 3,926,000 | 3,984,890 | ||||||
|
| |||||||
5,795,890 | ||||||||
|
| |||||||
Gas — 0.5% | ||||||||
LBC Tank Terminals Holding Netherlands BV (c) | 1,188,000 | 1,232,550 | ||||||
|
| |||||||
Health Care – Products — 2.1% | ||||||||
Alere, Inc. (c) | 2,100,000 | 2,131,500 | ||||||
Alere, Inc. | 2,065,000 | 2,095,975 |
Principal Amount | Value | |||||||
Hill-Rom Holdings, Inc. (c) | $ | 688,000 | $ | 689,720 | ||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (c) | 704,000 | 627,440 | ||||||
|
| |||||||
5,544,635 | ||||||||
|
| |||||||
Health Care – Services — 5.8% | ||||||||
DaVita HealthCare Partners, Inc. | 2,760,000 | 2,649,600 | ||||||
Fresenius Medical Care US Finance II, Inc. (c) | 1,074,000 | 1,060,575 | ||||||
HCA, Inc. | 1,159,000 | 1,183,629 | ||||||
HCA, Inc. | 1,150,000 | 1,138,500 | ||||||
HealthSouth Corp. | 715,000 | 706,063 | ||||||
HealthSouth Corp. (c) | 2,421,000 | 2,390,737 | ||||||
HealthSouth Corp. (c) | 736,000 | 713,920 | ||||||
Kindred Healthcare, Inc. (c) | 2,112,000 | 2,288,880 | ||||||
Tenet Healthcare Corp. | 1,261,000 | 1,251,542 | ||||||
Tenet Healthcare Corp. | 2,050,000 | 2,178,945 | ||||||
|
| |||||||
15,562,391 | ||||||||
|
| |||||||
Holding Company – Diversified — 0.6% | ||||||||
Carlson Travel Holdings, Inc. (c) | 1,755,000 | 1,759,388 | ||||||
|
| |||||||
Home Builders — 3.6% | ||||||||
Brookfield Residential Properties, Inc. (c) | 897,000 | 845,423 | ||||||
Brookfield Residential Properties, Inc. (c) | 2,230,000 | 2,202,125 | ||||||
Lennar Corp. | 1,151,000 | 1,160,783 | ||||||
Lennar Corp. | 1,991,000 | 1,901,405 | ||||||
William Lyon Homes, Inc. (c) | 1,286,000 | 1,321,365 | ||||||
William Lyon Homes, Inc. | 2,238,000 | 2,400,255 | ||||||
|
| |||||||
9,831,356 | ||||||||
|
| |||||||
Insurance — 0.8% | ||||||||
CNO Financial Group, Inc. | 338,000 | 344,760 |
The accompanying notes are an integral part of the financial statements.
129
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MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CNO Financial Group, Inc. | $ | 362,000 | $ | 367,430 | ||||
Onex York Acquisition Corp. (c) | 1,602,000 | 1,361,700 | ||||||
|
| |||||||
2,073,890 | ||||||||
|
| |||||||
Leisure Time — 2.8% | ||||||||
Brunswick Corp. (c) | 910,000 | 903,175 | ||||||
Brunswick Corp. | 3,993,000 | 4,252,545 | ||||||
Brunswick Corp. | 650,000 | 705,250 | ||||||
Carlson Wagonlit BV (c) | 1,646,000 | 1,695,380 | ||||||
|
| |||||||
7,556,350 | ||||||||
|
| |||||||
Lodging — 1.1% | ||||||||
Interval Acquisition Corp. (c) | 2,917,000 | 2,873,245 | ||||||
|
| |||||||
Machinery – Diversified — 0.3% | ||||||||
Zebra Technologies Corp. (c) | 859,000 | 914,835 | ||||||
|
| |||||||
Manufacturing — 2.7% | ||||||||
CTP Transportation Products LLC/CTP Finance, Inc. (c) | 1,385,000 | 1,471,563 | ||||||
EnPro Industries, Inc. | 1,895,000 | 1,909,212 | ||||||
JB Poindexter & Co., Inc. (c) | 3,805,000 | 4,004,762 | ||||||
|
| |||||||
7,385,537 | ||||||||
|
| |||||||
Media — 6.9% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 1,438,000 | 1,373,290 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (c) | 1,649,000 | 1,529,447 | ||||||
DISH DBS Corp. | 1,853,000 | 1,573,892 | ||||||
Entercom Radio LLC | 1,805,000 | 1,890,737 | ||||||
Harron Communications LP/Harron Finance Corp. (c) | 2,150,000 | 2,284,375 | ||||||
Midcontinent Communications & Midcontinent Finance Corp. (c) | 1,624,000 | 1,617,910 | ||||||
Numericable-SFR SAS (c) | 770,000 | 742,088 | ||||||
Numericable-SFR SAS (c) | 385,000 | 370,563 |
Principal Amount | Value | |||||||
RCN Telecom Services LLC/RCN Capital Corp. (c) | $ | 3,253,000 | $ | 3,358,722 | ||||
Sirius XM Radio, Inc. (c) | 3,951,000 | 3,773,205 | ||||||
|
| |||||||
18,514,229 | ||||||||
|
| |||||||
Mining — 0.3% | ||||||||
Hecla Mining Co. | 1,086,000 | 874,230 | ||||||
|
| |||||||
Oil & Gas — 7.8% | ||||||||
Baytex Energy Corp. (c) | 2,380,000 | 1,880,200 | ||||||
California Resources Corp. | 1,700,000 | 1,012,562 | ||||||
Citgo Holding, Inc. (c) | 2,314,000 | 2,261,935 | ||||||
Eclipse Resources Corp. (c) | 1,415,000 | 1,139,075 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co. (c) | 1,280,000 | 1,088,000 | ||||||
Kosmos Energy Ltd. (c) | 2,390,000 | 2,031,500 | ||||||
Magnum Hunter Resources Corp. | 3,475,000 | 1,563,750 | ||||||
Millennium Offshore Services Superholdings LLC (c) | 2,159,000 | 1,841,016 | ||||||
Newfield Exploration Co. | 850,000 | 777,750 | ||||||
Seventy Seven Energy, Inc. | 2,807,000 | 1,094,730 | ||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. | 680,000 | 584,800 | ||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. | 1,180,000 | 1,132,800 | ||||||
Sunoco LP/Sunoco Finance Corp. (c) | 2,750,000 | 2,708,750 | ||||||
Tullow Oil PLC (c) | 2,660,000 | 1,862,000 | ||||||
|
| |||||||
20,978,868 | ||||||||
|
| |||||||
Packaging & Containers — 2.4% | ||||||||
Berry Plastics Escrow LLC/Berry Plastics Escrow Corp. (c) (d) | 769,000 | 770,923 | ||||||
Coveris Holdings SA (c) | 2,555,000 | 2,420,862 | ||||||
Owens-Brockway Glass Container, Inc. (c) | 949,000 | 954,931 |
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 | |||||||
Sealed Air Corp. (c) | $ | 2,334,000 | $ | 2,339,835 | ||||
|
| |||||||
6,486,551 | ||||||||
|
| |||||||
Pharmaceuticals — 0.3% | ||||||||
Capsugel SA (c) | 705,000 | 705,000 | ||||||
|
| |||||||
Pipelines — 0.8% | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 2,125,000 | 1,870,000 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 200,000 | 187,700 | ||||||
|
| |||||||
2,057,700 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.5% | ||||||||
RHP Hotel Properties LP/RHP Finance Corp. | 1,426,000 | 1,418,870 | ||||||
|
| |||||||
Retail — 2.7% | ||||||||
Carrols Restaurant Group, Inc. | 1,402,000 | 1,475,605 | ||||||
Family Tree Escrow LLC (c) | 827,000 | 848,006 | ||||||
Family Tree Escrow LLC (c) | 3,383,000 | 3,509,862 | ||||||
Rite Aid Corp. (c) | 1,334,000 | 1,323,995 | ||||||
|
| |||||||
7,157,468 | ||||||||
|
| |||||||
Savings & Loans — 1.2% | ||||||||
Consolidated Energy Finance SA (c) | 3,360,000 | 3,175,200 | ||||||
|
| |||||||
Semiconductors — 0.9% | ||||||||
Micron Technology, Inc. | 2,800,000 | 2,569,000 | ||||||
|
| |||||||
Software — 2.1% | ||||||||
Audatex North America, Inc. (c) | 5,000,000 | 5,025,000 | ||||||
MSCI, Inc. (c) | 709,000 | 714,317 | ||||||
|
| |||||||
5,739,317 | ||||||||
|
| |||||||
Telecommunications — 8.3% | ||||||||
Altice Financing SA (c) | 1,485,000 | 1,433,782 | ||||||
Altice Finco SA (c) | 1,094,000 | 1,042,035 | ||||||
Altice SA (c) | 1,955,000 | 1,779,050 | ||||||
CommScope Technologies Finance LLC (c) | 1,441,000 | 1,382,467 |
Principal Amount | Value | |||||||
CPI International, Inc. STEP | $ | 2,778,000 | $ | 2,771,055 | ||||
DigitalGlobe, Inc. (c) | 1,050,000 | 994,875 | ||||||
Frontier Communications Corp. (c) | 931,000 | 912,380 | ||||||
Frontier Communications Corp. (c) | 2,639,000 | 2,573,025 | ||||||
GCI, Inc. | 5,000,000 | 5,025,000 | ||||||
Sprint Corp. | 1,460,000 | 1,195,375 | ||||||
Sprint Corp. | 1,580,000 | 1,278,813 | ||||||
West Corp. (c) | 2,175,000 | 2,009,156 | ||||||
|
| |||||||
22,397,013 | ||||||||
|
| |||||||
Transportation — 5.4% | ||||||||
OPE KAG Finance Sub, Inc. (c) | 5,839,000 | 5,926,585 | ||||||
Topaz Marine SA (c) | 2,838,000 | 2,508,082 | ||||||
Watco Cos. LLC/Watco Finance Corp. (c) | 2,730,000 | 2,702,700 | ||||||
XPO Logistics, Inc. (c) | 2,700,000 | 2,283,188 | ||||||
XPO Logistics, Inc. (c) | 1,163,000 | 1,133,925 | ||||||
|
| |||||||
14,554,480 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $243,381,249) | 231,611,458 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $253,586,025) | 238,533,395 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $253,876,669) | 238,836,966 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 9.9% | ||||||||
Commercial Paper — 9.3% | ||||||||
EnCana Corp. (c) | 5,000,000 | 5,000,000 | ||||||
Eversource Energy (c) | 5,000,000 | 4,999,367 | ||||||
Nabors Industries, Inc. (c) | 5,000,000 | 4,999,709 | ||||||
Plains All American Pipeline LP (c) | 5,000,000 | 4,999,736 | ||||||
Spectra Energy Capital LLC (c) | 5,000,000 | 4,999,283 | ||||||
|
| |||||||
24,998,095 | ||||||||
|
|
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 | |||||||
Time Deposits — 0.6% | ||||||||
Euro Time Deposit | $ | 1,790,430 | $ | 1,790,430 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $26,788,525) | 26,788,525 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 98.4% (Cost $280,665,194) (e) | 265,625,491 | |||||||
Other Assets/(Liabilities) — 1.6% | 4,188,164 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 269,813,655 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
STEP | Step Up Bond |
(a) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2015, these securities amounted to a value of $303,571 or 0.11% of net assets. |
(b) | Non-income producing security. |
(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, 2015, these securities amounted to a value of $172,484,873 or 63.93% of net assets. |
(d) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 75.7 | % | ||
Luxembourg | 6.3 | % | ||
Canada | 1.8 | % | ||
Netherlands | 1.1 | % | ||
Bermuda | 1.1 | % | ||
Ireland | 0.7 | % | ||
United Kingdom | 0.7 | % | ||
Marshall Islands | 0.7 | % | ||
France | 0.4 | % | ||
|
| |||
Total Long-Term Investments | 88.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 11.5 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Balanced Fund – Portfolio of Investments
September 30, 2015
Number of Shares | Value | |||||||
EQUITIES — 52.8% | ||||||||
COMMON STOCK — 52.5% | ||||||||
Basic Materials — 1.3% | ||||||||
Chemicals — 1.0% | ||||||||
Airgas, Inc. | 3 | $ | 268 | |||||
CF Industries Holdings, Inc. | 5,425 | 243,582 | ||||||
The Dow Chemical Co. | 4,293 | 182,024 | ||||||
E.I. du Pont de Nemours & Co. | 2,231 | 107,534 | ||||||
Eastman Chemical Co. | 3,394 | 219,660 | ||||||
Ecolab, Inc. | 4 | 439 | ||||||
International Flavors & Fragrances, Inc. | 113 | 11,668 | ||||||
LyondellBasell Industries NV Class A | 2,660 | 221,738 | ||||||
Monsanto Co. | 49 | 4,182 | ||||||
The Mosaic Co. | 3,500 | 108,885 | ||||||
PPG Industries, Inc. | 8 | 702 | ||||||
Praxair, Inc. | 4 | 407 | ||||||
The Sherwin-Williams Co. | 57 | 12,698 | ||||||
Sigma-Aldrich Corp. | 179 | 24,867 | ||||||
|
| |||||||
1,138,654 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% | ||||||||
International Paper Co. | 4,207 | 158,982 | ||||||
|
| |||||||
Iron & Steel — 0.2% | ||||||||
Nucor Corp. | 4,361 | 163,756 | ||||||
|
| |||||||
Mining — 0.0% | ||||||||
Alcoa, Inc. | 46 | 444 | ||||||
Freeport-McMoRan, Inc. | 48 | 465 | ||||||
Newmont Mining Corp. | 1,684 | 27,062 | ||||||
Vulcan Materials Co. | 98 | 8,742 | ||||||
|
| |||||||
36,713 | ||||||||
|
| |||||||
1,498,105 | ||||||||
|
| |||||||
Communications — 6.9% | ||||||||
Advertising — 0.2% | ||||||||
The Interpublic Group of Companies, Inc. | 9,833 | 188,105 | ||||||
Omnicom Group, Inc. | 798 | 52,588 | ||||||
|
| |||||||
240,693 | ||||||||
|
| |||||||
Internet — 3.0% | ||||||||
Akamai Technologies, Inc. (a) | 10 | 691 | ||||||
Alphabet, Inc. Class A (a) | 1,024 | 653,691 | ||||||
Alphabet, Inc. Class C (a) | 1,066 | 648,576 | ||||||
Amazon.com, Inc. (a) | 1,906 | 975,662 | ||||||
eBay, Inc. (a) | 4,365 | 106,680 | ||||||
Expedia, Inc. | 2,213 | 260,426 | ||||||
F5 Networks, Inc. (a) | 2,430 | 281,394 | ||||||
Liberty Ventures Series A (a) | 600 | 24,210 | ||||||
Netflix, Inc. (a) | 1,192 | 123,086 | ||||||
New Media Investment Group, Inc. | 1,200 | 18,552 | ||||||
The Priceline Group, Inc. (a) | 164 | 202,845 |
Number of Shares | Value | |||||||
Symantec Corp. | 4,979 | $ | 96,941 | |||||
TripAdvisor, Inc. (a) | 43 | 2,710 | ||||||
VeriSign, Inc. (a) | 2,489 | 175,624 | ||||||
Yahoo!, Inc. (a) | 34 | 983 | ||||||
|
| |||||||
3,572,071 | ||||||||
|
| |||||||
Media — 1.6% | ||||||||
Cablevision Systems Corp. Class A | 7,300 | 237,031 | ||||||
CBS Corp. Class B | 70 | 2,793 | ||||||
Comcast Corp. Class A | 581 | 33,047 | ||||||
Discovery Communications, Inc. Series A (a) | 1,100 | 28,633 | ||||||
Discovery Communications, Inc. Series C (a) | 1,200 | 29,148 | ||||||
The McGraw Hill Financial, Inc. | 89 | 7,698 | ||||||
News Corp. Class A | 30 | 379 | ||||||
Scripps Networks Interactive Class A | 5,524 | 271,726 | ||||||
Starz Class A (a) | 8,050 | 300,587 | ||||||
TEGNA, Inc. | 507 | 11,352 | ||||||
Time Warner Cable, Inc. | 8 | 1,435 | ||||||
Time Warner, Inc. | 3,288 | 226,050 | ||||||
Twenty-First Century Fox Class A | 2,921 | 78,809 | ||||||
Viacom, Inc. Class B | 2,690 | 116,073 | ||||||
The Walt Disney Co. | 5,132 | 524,490 | ||||||
|
| |||||||
1,869,251 | ||||||||
|
| |||||||
Telecommunications — 2.1% | ||||||||
AT&T, Inc. | 13,830 | 450,581 | ||||||
CenturyLink, Inc. | 1,554 | 39,037 | ||||||
Cisco Systems, Inc. | 24,224 | 635,880 | ||||||
Corning, Inc. | 7,074 | 121,107 | ||||||
Frontier Communications Corp. | 170 | 808 | ||||||
Harris Corp. | 754 | 55,155 | ||||||
Juniper Networks, Inc. | 8,248 | 212,056 | ||||||
Motorola Solutions, Inc. | 3,134 | 214,303 | ||||||
QUALCOMM, Inc. | 688 | 36,966 | ||||||
Verizon Communications, Inc. | 17,332 | 754,115 | ||||||
|
| |||||||
2,520,008 | ||||||||
|
| |||||||
8,202,023 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.1% | ||||||||
Airlines — 0.4% | ||||||||
American Airlines Group, Inc. | 4,800 | 186,384 | ||||||
Delta Air Lines, Inc. | 5,000 | 224,350 | ||||||
Southwest Airlines Co. | 3,066 | 116,631 | ||||||
|
| |||||||
527,365 | ||||||||
|
| |||||||
Apparel — 0.4% | ||||||||
Michael Kors Holdings Ltd. (a) | 3,100 | 130,944 | ||||||
Nike, Inc. Class B | 2,842 | 349,481 | ||||||
VF Corp. | 500 | 34,105 | ||||||
|
| |||||||
514,530 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
133
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Auto Manufacturers — 0.5% | ||||||||
Ford Motor Co. | 18,462 | $ | 250,529 | |||||
General Motors Co. | 6,400 | 192,128 | ||||||
Paccar, Inc. | 2,734 | 142,633 | ||||||
|
| |||||||
585,290 | ||||||||
|
| |||||||
Automotive & Parts — 0.3% | ||||||||
Allison Transmission Holdings, Inc. | 3,400 | 90,746 | ||||||
Delphi Automotive PLC | 1,000 | 76,040 | ||||||
The Goodyear Tire & Rubber Co. | 6,361 | 186,568 | ||||||
Johnson Controls, Inc. | 5 | 207 | ||||||
|
| |||||||
353,561 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.1% | ||||||||
Fastenal Co. | 70 | 2,563 | ||||||
Fossil Group, Inc. (a) | 30 | 1,676 | ||||||
Genuine Parts Co. | 536 | 44,429 | ||||||
W.W. Grainger, Inc. | 4 | 860 | ||||||
WESCO International, Inc. (a) | 350 | 16,265 | ||||||
|
| |||||||
65,793 | ||||||||
|
| |||||||
Home Builders — 0.0% | ||||||||
D.R. Horton, Inc. | 59 | 1,732 | ||||||
PulteGroup, Inc. | 74 | 1,397 | ||||||
|
| |||||||
3,129 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Harman International Industries, Inc. | 124 | 11,903 | ||||||
Whirlpool Corp. | 324 | 47,712 | ||||||
|
| |||||||
59,615 | ||||||||
|
| |||||||
Housewares — 0.0% | ||||||||
Newell Rubbermaid, Inc. | 1,083 | 43,006 | ||||||
|
| |||||||
Leisure Time — 0.2% | ||||||||
Carnival Corp. | 2,373 | 117,938 | ||||||
Harley-Davidson, Inc. | 8 | 439 | ||||||
Jarden Corp. (a) | 900 | 43,992 | ||||||
Royal Caribbean Cruises Ltd. | 500 | 44,545 | ||||||
|
| |||||||
206,914 | ||||||||
|
| |||||||
Lodging — 0.3% | ||||||||
Marriott International, Inc. Class A | 313 | 21,346 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,360 | 90,413 | ||||||
Wyndham Worldwide Corp. | 3,122 | 224,472 | ||||||
Wynn Resorts Ltd. | 9 | 478 | ||||||
|
| |||||||
336,709 | ||||||||
|
| |||||||
Retail — 3.7% | ||||||||
AutoNation, Inc. (a) | 320 | 18,618 | ||||||
AutoZone, Inc. (a) | 96 | 69,488 | ||||||
Bed Bath & Beyond, Inc. (a) | 2,573 | 146,712 | ||||||
Best Buy Co., Inc. | 5,708 | 211,881 | ||||||
CarMax, Inc. (a) | 2,300 | 136,436 | ||||||
Coach, Inc. | 3,184 | 92,113 | ||||||
Costco Wholesale Corp. | 48 | 6,939 |
Number of Shares | Value | |||||||
CVS Health Corp. | 3,693 | $ | 356,301 | |||||
Darden Restaurants, Inc. | 4,073 | 279,163 | ||||||
Dollar General Corp. | 600 | 43,464 | ||||||
Dollar Tree, Inc. (a) | 71 | 4,733 | ||||||
GameStop Corp. Class A | 5,261 | 216,806 | ||||||
The Gap, Inc. | 1,005 | 28,642 | ||||||
The Home Depot, Inc. | 5,190 | 599,393 | ||||||
Kohl’s Corp. | 1,561 | 72,290 | ||||||
L Brands, Inc. | 400 | 36,052 | ||||||
Lowe’s Cos., Inc. | 3,729 | 257,003 | ||||||
Macy’s, Inc. | 4,040 | 207,333 | ||||||
McDonald’s Corp. | 475 | 46,802 | ||||||
Nordstrom, Inc. | 11 | 789 | ||||||
O’Reilly Automotive, Inc. (a) | 344 | 86,000 | ||||||
PVH Corp. | 2,350 | 239,559 | ||||||
Ross Stores, Inc. | 1,392 | 67,470 | ||||||
Staples, Inc. | 19,983 | 234,400 | ||||||
Starbucks Corp. | 4,590 | 260,896 | ||||||
Target Corp. | 2,867 | 225,518 | ||||||
Tiffany & Co. | 11 | 849 | ||||||
The TJX Cos., Inc. | 1,140 | 81,419 | ||||||
Urban Outfitters, Inc. (a) | 60 | 1,763 | ||||||
Vista Outdoor, Inc. (a) | 3,600 | 159,948 | ||||||
Wal-Mart Stores, Inc. | 53 | 3,436 | ||||||
Walgreens Boots Alliance, Inc. | 3,206 | 266,419 | ||||||
Yum! Brands, Inc. | 136 | 10,873 | ||||||
|
| |||||||
4,469,508 | ||||||||
|
| |||||||
Textiles — 0.0% | ||||||||
Cintas Corp. | 449 | 38,502 | ||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 747 | 53,888 | ||||||
Mattel, Inc. | 61 | 1,285 | ||||||
|
| |||||||
55,173 | ||||||||
|
| |||||||
7,259,095 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 13.0% | ||||||||
Agriculture — 0.7% | ||||||||
Altria Group, Inc. | 3,541 | 192,630 | ||||||
Archer-Daniels-Midland Co. | 4,826 | 200,038 | ||||||
Philip Morris International, Inc. | 2,696 | 213,874 | ||||||
Reynolds American, Inc. | 4,482 | 198,418 | ||||||
|
| |||||||
804,960 | ||||||||
|
| |||||||
Beverages — 1.0% | ||||||||
Brown-Forman Corp. Class B | 1 | 97 | ||||||
The Coca-Cola Co. | 4,224 | 169,467 | ||||||
Coca-Cola Enterprises, Inc. | 4,985 | 241,025 | ||||||
Constellation Brands, Inc. Class A | 22 | 2,755 | ||||||
Dr. Pepper Snapple Group, Inc. | 1,210 | 95,650 | ||||||
Keurig Green Mountain, Inc. | 40 | 2,086 | ||||||
Molson Coors Brewing Co. Class B | 436 | 36,197 | ||||||
Monster Beverage Corp. (a) | 250 | 33,785 | ||||||
PepsiCo, Inc. | 6,692 | 631,055 | ||||||
|
| |||||||
1,212,117 | ||||||||
|
|
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 | |||||||
Biotechnology — 1.7% | ||||||||
Amgen, Inc. | 5,375 | $ | 743,470 | |||||
Biogen, Inc. (a) | 4 | 1,167 | ||||||
Celgene Corp. (a) | 2,568 | 277,781 | ||||||
Gilead Sciences, Inc. | 9,822 | 964,422 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 10 | 4,652 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 100 | 10,414 | ||||||
|
| |||||||
2,001,906 | ||||||||
|
| |||||||
Commercial Services — 1.4% | ||||||||
The ADT Corp. | 850 | 25,415 | ||||||
Automatic Data Processing, Inc. | 621 | 49,904 | ||||||
Equifax, Inc. | 1,236 | 120,114 | ||||||
H&R Block, Inc. | 3,442 | 124,600 | ||||||
MasterCard, Inc. Class A | 50 | 4,506 | ||||||
McKesson Corp. | 1,211 | 224,071 | ||||||
Moody’s Corp. | 325 | 31,915 | ||||||
Paychex, Inc. | 813 | 38,723 | ||||||
PayPal Holdings, Inc. (a) | 4,665 | 144,802 | ||||||
Quanta Services, Inc. (a) | 24 | 581 | ||||||
Robert Half International, Inc. | 335 | 17,139 | ||||||
Sotheby’s | 1,200 | 38,376 | ||||||
Total System Services, Inc. | 2,721 | 123,615 | ||||||
United Rentals, Inc. (a) | 500 | 30,025 | ||||||
Visa, Inc. Class A | 6,460 | 450,004 | ||||||
Western Union Co. | 13,407 | 246,152 | ||||||
|
| |||||||
1,669,942 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.3% | ||||||||
Colgate-Palmolive Co. | 806 | 51,149 | ||||||
Coty, Inc. Class A | 1,900 | 51,414 | ||||||
The Estee Lauder Cos., Inc. Class A | 796 | 64,221 | ||||||
The Procter & Gamble Co. | 2,233 | 160,642 | ||||||
|
| |||||||
327,426 | ||||||||
|
| |||||||
Foods — 1.4% | ||||||||
Campbell Soup Co. | 165 | 8,362 | ||||||
ConAgra Foods, Inc. | 2,234 | 90,499 | ||||||
General Mills, Inc. | 494 | 27,728 | ||||||
The Hershey Co. | 419 | 38,498 | ||||||
Hormel Foods Corp. | 1,694 | 107,247 | ||||||
The J.M. Smucker Co. | 934 | 106,560 | ||||||
Kellogg Co. | 135 | 8,984 | ||||||
The Kraft Heinz Co. | 5,873 | 414,517 | ||||||
The Kroger Co. | 4,368 | 157,554 | ||||||
McCormick & Co., Inc. | 73 | 5,999 | ||||||
Mondelez International, Inc. Class A | 9,821 | 411,205 | ||||||
Sysco Corp. | 566 | 22,057 | ||||||
Tyson Foods, Inc. Class A | 720 | 31,032 | ||||||
The WhiteWave Foods Co. (a) | 8,050 | 323,208 | ||||||
Whole Foods Market, Inc. | 72 | 2,279 | ||||||
|
| |||||||
1,755,729 | ||||||||
|
| |||||||
Health Care – Products — 1.2% | ||||||||
Baxter International, Inc. | 322 | 10,578 |
Number of Shares | Value | |||||||
Becton, Dickinson & Co. | 171 | $ | 22,685 | |||||
Boston Scientific Corp. (a) | 1,021 | 16,754 | ||||||
C.R. Bard, Inc. | 894 | 166,561 | ||||||
Edwards Lifesciences Corp. (a) | 270 | 38,386 | ||||||
Halyard Health, Inc. (a) | 4,900 | 139,356 | ||||||
Intuitive Surgical, Inc. (a) | 14 | 6,434 | ||||||
Johnson & Johnson | 4,259 | 397,578 | ||||||
Medtronic PLC | 6,016 | 402,711 | ||||||
St. Jude Medical, Inc. | 698 | 44,037 | ||||||
Stryker Corp. | 1,069 | 100,593 | ||||||
Varian Medical Systems, Inc. (a) | 674 | 49,728 | ||||||
West Pharmaceutical Services, Inc. | 900 | 48,708 | ||||||
Zimmer Biomet Holdings, Inc. | 364 | 34,190 | ||||||
|
| |||||||
1,478,299 | ||||||||
|
| |||||||
Health Care – Services — 1.3% | ||||||||
Aetna, Inc. | 1,692 | 185,122 | ||||||
Anthem, Inc. | 1,728 | 241,920 | ||||||
Cigna Corp. | 1,429 | 192,944 | ||||||
DaVita HealthCare Partners, Inc. (a) | 46 | 3,327 | ||||||
HCA Holdings, Inc. (a) | 1,100 | 85,096 | ||||||
Humana, Inc. | 225 | 40,275 | ||||||
Laboratory Corporation of America Holdings (a) | 301 | 32,649 | ||||||
Quest Diagnostics, Inc. | 635 | 39,033 | ||||||
Tenet Healthcare Corp. (a) | 29 | 1,071 | ||||||
Thermo Fisher Scientific, Inc. | 898 | 109,807 | ||||||
UnitedHealth Group, Inc. | 3,661 | 424,713 | ||||||
Universal Health Services, Inc. Class B | 1,690 | 210,929 | ||||||
|
| |||||||
1,566,886 | ||||||||
|
| |||||||
Household Products — 0.2% | ||||||||
Avery Dennison Corp. | 1,582 | 89,494 | ||||||
The Clorox Co. | 1,237 | 142,910 | ||||||
Kimberly-Clark Corp. | 100 | 10,904 | ||||||
|
| |||||||
243,308 | ||||||||
|
| |||||||
Pharmaceuticals — 3.8% | ||||||||
Abbott Laboratories | 7,004 | 281,701 | ||||||
AbbVie, Inc. | 5,204 | 283,150 | ||||||
Allergan PLC (a) | 659 | 179,123 | ||||||
AmerisourceBergen Corp. | 1,830 | 173,832 | ||||||
Baxalta, Inc. | 5,722 | 180,300 | ||||||
Bristol-Myers Squibb Co. | 612 | 36,230 | ||||||
Cardinal Health, Inc. | 1,755 | 134,819 | ||||||
DENTSPLY International, Inc. | 161 | 8,142 | ||||||
Eli Lilly & Co. | 4,007 | 335,346 | ||||||
Endo International PLC (a) | 3,300 | 228,624 | ||||||
Express Scripts Holding Co. (a) | 3,045 | 246,523 | ||||||
Mallinckrodt PLC (a) | 3,570 | 228,266 | ||||||
Mead Johnson Nutrition Co. | 624 | 43,930 | ||||||
Merck & Co., Inc. | 12,429 | 613,868 | ||||||
Mylan NV (a) | 2,359 | 94,973 |
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 | |||||||
Patterson Cos., Inc. | 61 | $ | 2,638 | |||||
Perrigo Co. PLC | 190 | 29,881 | ||||||
Pfizer, Inc. | 28,522 | 895,876 | ||||||
Valeant Pharmaceuticals International, Inc. (a) | 640 | 114,163 | ||||||
Zoetis, Inc. | 10,560 | 434,861 | ||||||
|
| |||||||
4,546,246 | ||||||||
|
| |||||||
15,606,819 | ||||||||
|
| |||||||
Diversified — 0.0% | ||||||||
Holding Company – Diversified — 0.0% | ||||||||
Leucadia National Corp. | 2,236 | 45,301 | ||||||
|
| |||||||
Energy — 2.9% | ||||||||
Coal — 0.0% | ||||||||
CONSOL Energy, Inc. | 57 | 559 | ||||||
|
| |||||||
Energy – Alternate Sources — 0.2% | ||||||||
First Solar, Inc. (a) | 4,400 | 188,100 | ||||||
|
| |||||||
Oil & Gas — 2.3% | ||||||||
Anadarko Petroleum Corp. | 97 | 5,858 | ||||||
Apache Corp. | 98 | 3,838 | ||||||
Cabot Oil & Gas Corp. | 92 | 2,011 | ||||||
Chesapeake Energy Corp. | 2,398 | 17,577 | ||||||
Chevron Corp. | 70 | 5,522 | ||||||
ConocoPhillips | 10 | 480 | ||||||
Devon Energy Corp. | 17 | 631 | ||||||
Diamond Offshore Drilling, Inc. | 185 | 3,200 | ||||||
Ensco PLC Class A | 15,100 | 212,608 | ||||||
EOG Resources, Inc. | 92 | 6,698 | ||||||
EQT Corp. | 29 | 1,878 | ||||||
Exxon Mobil Corp. | 11,949 | 888,408 | ||||||
Helmerich & Payne, Inc. | 40 | 1,890 | ||||||
Hess Corp. | 1,347 | 67,431 | ||||||
Marathon Oil Corp. | 85 | 1,309 | ||||||
Marathon Petroleum Corp. | 6,264 | 290,211 | ||||||
Murphy Oil Corp. | 1,422 | 34,412 | ||||||
Murphy USA, Inc. (a) | 3,726 | 204,744 | ||||||
Noble Energy, Inc. | 66 | 1,992 | ||||||
Occidental Petroleum Corp. | 30 | 1,984 | ||||||
Phillips 66 | 4,805 | 369,216 | ||||||
Pioneer Natural Resources Co. | 3 | 365 | ||||||
Range Resources Corp. | 99 | 3,180 | ||||||
Tesoro Corp. | 2,726 | 265,076 | ||||||
Valero Energy Corp. | 5,410 | 325,141 | ||||||
|
| |||||||
2,715,660 | ||||||||
|
| |||||||
Oil & Gas Services — 0.4% | ||||||||
Baker Hughes, Inc. | 374 | 19,463 | ||||||
Cameron International Corp. (a) | 537 | 32,929 | ||||||
FMC Technologies, Inc. (a) | 72 | 2,232 | ||||||
Halliburton Co. | 71 | 2,510 | ||||||
National Oilwell Varco, Inc. | 1,009 | 37,989 | ||||||
Schlumberger Ltd. | 2,245 | 154,837 |
Number of Shares | Value | |||||||
Transocean Ltd. | 19,700 | $ | 254,524 | |||||
|
| |||||||
504,484 | ||||||||
|
| |||||||
Pipelines — 0.0% | ||||||||
Columbia Pipeline Group, Inc. | 172 | 3,146 | ||||||
Kinder Morgan, Inc. | 60 | 1,661 | ||||||
Spectra Energy Corp. | 71 | 1,865 | ||||||
The Williams Cos., Inc. | 33 | 1,216 | ||||||
|
| |||||||
7,888 | ||||||||
|
| |||||||
3,416,691 | ||||||||
|
| |||||||
Financial — 8.3% | ||||||||
Banks — 2.7% | ||||||||
Bank of America Corp. | 59,842 | 932,338 | ||||||
The Bank of New York Mellon Corp. | 5,995 | 234,704 | ||||||
BB&T Corp. | 2,712 | 96,547 | ||||||
Capital One Financial Corp. | 75 | 5,439 | ||||||
Comerica, Inc. | 124 | 5,096 | ||||||
Fifth Third Bancorp | 3,421 | 64,691 | ||||||
Huntington Bancshares, Inc. | 21,110 | 223,766 | ||||||
KeyCorp | 3,472 | 45,171 | ||||||
M&T Bank Corp. | 281 | 34,268 | ||||||
Northern Trust Corp. | 1,061 | 72,318 | ||||||
PNC Financial Services Group, Inc. | 2,445 | 218,094 | ||||||
Regions Financial Corp. | 6,343 | 57,151 | ||||||
State Street Corp. | 385 | 25,876 | ||||||
SunTrust Banks, Inc. | 5,800 | 221,792 | ||||||
U.S. Bancorp | 3,029 | 124,219 | ||||||
Wells Fargo & Co. | 16,164 | 830,021 | ||||||
Zions Bancorp | 49 | 1,350 | ||||||
|
| |||||||
3,192,841 | ||||||||
|
| |||||||
Diversified Financial — 2.3% | ||||||||
American Express Co. | 1,888 | 139,957 | ||||||
Ameriprise Financial, Inc. | 205 | 22,372 | ||||||
BlackRock, Inc. | 60 | 17,848 | ||||||
The Charles Schwab Corp. | 1,122 | 32,044 | ||||||
Citigroup, Inc. | 14,984 | 743,356 | ||||||
CME Group, Inc. | 555 | 51,471 | ||||||
Discover Financial Services | 1,595 | 82,924 | ||||||
E*TRADE Financial Corp. (a) | 293 | 7,715 | ||||||
Franklin Resources, Inc. | 1,548 | 57,679 | ||||||
The Goldman Sachs Group, Inc. | 448 | 77,845 | ||||||
Intercontinental Exchange, Inc. | 152 | 35,719 | ||||||
Invesco Ltd. | 2,123 | 66,301 | ||||||
JP Morgan Chase & Co. | 15,065 | 918,513 | ||||||
Legg Mason, Inc. | 1,297 | 53,968 | ||||||
Morgan Stanley | 8,996 | 283,374 | ||||||
The Nasdaq, Inc. | 3,022 | 161,163 | ||||||
Navient Corp. | 3,818 | 42,914 | ||||||
T. Rowe Price Group, Inc. | 86 | 5,977 | ||||||
|
| |||||||
2,801,140 | ||||||||
|
|
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 | |||||||
Diversified Financial Services — 0.1% | ||||||||
Blackhawk Network Holdings, Inc. (a) | 1,400 | $ | 59,346 | |||||
|
| |||||||
Insurance — 2.5% | ||||||||
ACE Ltd. | 1,530 | 158,202 | ||||||
Aflac, Inc. | 2,145 | 124,689 | ||||||
The Allstate Corp. | 586 | 34,129 | ||||||
American International Group, Inc. | 8,311 | 472,231 | ||||||
Aon PLC | 706 | 62,559 | ||||||
Assurant, Inc. | 3,610 | 285,226 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 1,653 | 215,551 | ||||||
The Chubb Corp. | 1,964 | 240,884 | ||||||
Cincinnati Financial Corp. | 3,624 | 194,971 | ||||||
Genworth Financial, Inc. Class A (a) | 55 | 254 | ||||||
The Hartford Financial Services Group, Inc. | 5,690 | 260,488 | ||||||
Lincoln National Corp. | 958 | 45,467 | ||||||
Loews Corp. | 34 | 1,229 | ||||||
Marsh & McLennan Cos., Inc. | 1,230 | 64,231 | ||||||
MetLife, Inc. | 3,729 | 175,822 | ||||||
Principal Financial Group, Inc. | 1,735 | 82,135 | ||||||
The Progressive Corp. | 1,634 | 50,066 | ||||||
Prudential Financial, Inc. | 3,335 | 254,160 | ||||||
Torchmark Corp. | 580 | 32,712 | ||||||
The Travelers Cos., Inc. | 2,103 | 209,311 | ||||||
Unum Group | 835 | 26,787 | ||||||
XL Group PLC | 897 | 32,579 | ||||||
|
| |||||||
3,023,683 | ||||||||
|
| |||||||
Real Estate — 0.0% | ||||||||
CBRE Group, Inc. (a) | 1,198 | 38,336 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.7% | ||||||||
American Tower Corp. | 198 | 17,420 | ||||||
Apartment Investment & Management Co. Class A | 164 | 6,071 | ||||||
AvalonBay Communities, Inc. | 424 | 74,124 | ||||||
Boston Properties, Inc. | 7 | 829 | ||||||
Communications Sales & Leasing, Inc. (a) | 950 | 17,005 | ||||||
Crown Castle International Corp. | 1,400 | 110,418 | ||||||
Equity Residential | 901 | 67,683 | ||||||
Essex Property Trust, Inc. | 300 | 67,026 | ||||||
General Growth Properties, Inc. | 3,900 | 101,283 | ||||||
HCP, Inc. | 976 | 36,356 | ||||||
Host Hotels & Resorts, Inc. | 930 | 14,703 | ||||||
Iron Mountain, Inc. | 73 | 2,265 | ||||||
Kimco Realty Corp. | 1,410 | 34,447 | ||||||
The Macerich Co. | 400 | 30,728 | ||||||
Mack-Cali Realty Corp. | 1,250 | 23,600 | ||||||
Plum Creek Timber Co., Inc. | 73 | 2,884 | ||||||
Prologis, Inc. | 1,616 | 62,863 | ||||||
Public Storage | 27 | 5,714 | ||||||
Simon Property Group, Inc. | 704 | 129,339 | ||||||
Ventas, Inc. | 36 | 2,018 |
Number of Shares | Value | |||||||
Vornado Realty Trust | 165 | $ | 14,919 | |||||
Welltower, Inc. | 274 | 18,555 | ||||||
Weyerhaeuser Co. | 77 | 2,105 | ||||||
|
| |||||||
842,355 | ||||||||
|
| |||||||
Savings & Loans — 0.0% | ||||||||
Hudson City Bancorp, Inc. | 35 | 356 | ||||||
People’s United Financial, Inc. | 1,059 | 16,658 | ||||||
|
| |||||||
17,014 | ||||||||
|
| |||||||
9,974,715 | ||||||||
|
| |||||||
Industrial — 5.9% | ||||||||
Aerospace & Defense — 0.9% | ||||||||
The Boeing Co. | 2,966 | 388,398 | ||||||
General Dynamics Corp. | 2,018 | 278,383 | ||||||
KLX, Inc. (a) | 2,500 | 89,350 | ||||||
L-3 Communications Holdings, Inc. | 214 | 22,367 | ||||||
Lockheed Martin Corp. | 421 | 87,277 | ||||||
Northrop Grumman Corp. | 1,223 | 202,957 | ||||||
Raytheon Co. | 16 | 1,748 | ||||||
Rockwell Collins, Inc. | 457 | 37,401 | ||||||
United Technologies Corp. | 202 | 17,976 | ||||||
|
| |||||||
1,125,857 | ||||||||
|
| |||||||
Airlines — 0.2% | ||||||||
United Continental Holdings, Inc. (a) | 5,200 | 275,860 | ||||||
|
| |||||||
Building Materials — 0.2% | ||||||||
Masco Corp. | 7,494 | 188,699 | ||||||
|
| |||||||
Electrical Components & Equipment — 0.0% | ||||||||
Emerson Electric Co. | 743 | 32,818 | ||||||
|
| |||||||
Electronics — 0.8% | ||||||||
Agilent Technologies, Inc. | 3,273 | 112,362 | ||||||
Allegion PLC | 4,200 | 242,172 | ||||||
Amphenol Corp. Class A | 72 | 3,669 | ||||||
FLIR Systems, Inc. | 35 | 980 | ||||||
Keysight Technologies, Inc. (a) | 3,200 | 98,688 | ||||||
Kimball Electronics, Inc. (a) | 11,200 | 133,616 | ||||||
Knowles Corp. (a) | 11,600 | 213,788 | ||||||
PerkinElmer, Inc. | 24 | 1,103 | ||||||
TE Connectivity Ltd. | 100 | 5,989 | ||||||
Tyco International PLC | 1,200 | 40,152 | ||||||
Waters Corp. (a) | 1,030 | 121,756 | ||||||
|
| |||||||
974,275 | ||||||||
|
| |||||||
Engineering & Construction — 0.2% | ||||||||
Fluor Corp. | 347 | 14,696 | ||||||
Jacobs Engineering Group, Inc. (a) | 5,624 | 210,506 | ||||||
|
| |||||||
225,202 | ||||||||
|
| |||||||
Environmental Controls — 0.0% | ||||||||
Republic Services, Inc. | 87 | 3,584 | ||||||
Stericycle, Inc. (a) | 87 | 12,120 | ||||||
Waste Management, Inc. | 645 | 32,128 | ||||||
|
| |||||||
47,832 | ||||||||
|
|
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 | |||||||
Hand & Machine Tools — 0.0% | ||||||||
Snap-on, Inc. | 85 | $ | 12,830 | |||||
Stanley Black & Decker, Inc. | 252 | �� | 24,439 | |||||
|
| |||||||
37,269 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.1% | ||||||||
Caterpillar, Inc. | 1,150 | 75,164 | ||||||
Hyster-Yale Materials Handling, Inc. | 700 | 40,481 | ||||||
Ingersoll-Rand PLC | 200 | 10,154 | ||||||
|
| |||||||
125,799 | ||||||||
|
| |||||||
Machinery – Diversified — 0.4% | ||||||||
AGCO Corp. | 2,200 | 102,586 | ||||||
Cummins, Inc. | 803 | 87,190 | ||||||
Deere & Co. | 1,781 | 131,794 | ||||||
Flowserve Corp. | 91 | 3,744 | ||||||
Rockwell Automation, Inc. | 946 | 95,990 | ||||||
Roper Technologies, Inc. | 434 | 68,008 | ||||||
Xylem, Inc. | 701 | 23,028 | ||||||
|
| |||||||
512,340 | ||||||||
|
| |||||||
Manufacturing — 2.0% | ||||||||
3M Co. | 325 | 46,075 | ||||||
Danaher Corp. | 2,372 | 202,118 | ||||||
Dover Corp. | 3,103 | 177,429 | ||||||
Eaton Corp. PLC | 482 | 24,727 | ||||||
General Electric Co. | 55,086 | 1,389,269 | ||||||
Honeywell International, Inc. | 75 | 7,102 | ||||||
Illinois Tool Works, Inc. | 1,360 | 111,942 | ||||||
Leggett & Platt, Inc. | 1,595 | 65,794 | ||||||
Parker Hannifin Corp. | 190 | 18,487 | ||||||
Pentair PLC | 3,119 | 159,194 | ||||||
Textron, Inc. | 3,585 | 134,939 | ||||||
|
| |||||||
2,337,076 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.0% | ||||||||
Precision Castparts Corp. | 9 | 2,067 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.1% | ||||||||
Hexcel Corp. | 2,100 | 94,206 | ||||||
|
| |||||||
Packaging & Containers — 0.4% | ||||||||
Ball Corp. | 220 | 13,684 | ||||||
Owens-Illinois, Inc. (a) | 322 | 6,672 | ||||||
Sealed Air Corp. | 5,747 | 269,419 | ||||||
WestRock Co. | 3,405 | 175,153 | ||||||
|
| |||||||
464,928 | ||||||||
|
| |||||||
Transportation — 0.6% | ||||||||
American ExpressNorfolk Southern Corp. | 83 | 6,341 | ||||||
C.H. Robinson Worldwide, Inc. | 1,654 | 112,108 | ||||||
CSX Corp. | 1,673 | 45,004 | ||||||
Expeditors International of Washington, Inc. | 1,984 | 93,347 | ||||||
FedEx Corp. | 6 | 864 | ||||||
Ryder System, Inc. | 274 | 20,287 |
Number of Shares | Value | |||||||
Union Pacific Corp. | 90 | $ | 7,957 | |||||
United Parcel Service, Inc. Class B | 3,685 | 363,673 | ||||||
|
| |||||||
649,581 | ||||||||
|
| |||||||
7,093,809 | ||||||||
|
| |||||||
Technology — 6.7% | ||||||||
Computers — 3.9% | ||||||||
Accenture PLC Class A | 2,570 | 252,528 | ||||||
Apple, Inc. | 22,006 | 2,427,262 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 1,818 | 113,825 | ||||||
Computer Sciences Corp. | 4,775 | 293,090 | ||||||
EMC Corp. | 8,253 | 199,393 | ||||||
Hewlett-Packard Co. | 8,363 | 214,176 | ||||||
International Business Machines Corp. | 3,550 | 514,644 | ||||||
NetApp, Inc. | 6,109 | 180,826 | ||||||
SanDisk Corp. | 3,610 | 196,131 | ||||||
Science Applications International Corp. | 1,000 | 40,210 | ||||||
Seagate Technology PLC | 4,400 | 197,120 | ||||||
Teradata Corp. (a) | 398 | 11,526 | ||||||
Western Digital Corp. | 441 | 35,033 | ||||||
|
| |||||||
4,675,764 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.0% | ||||||||
Pitney Bowes, Inc. | 799 | 15,860 | ||||||
Xerox Corp. | 3,573 | 34,765 | ||||||
|
| |||||||
50,625 | ||||||||
|
| |||||||
Semiconductors — 0.8% | ||||||||
Altera Corp. | 297 | 14,874 | ||||||
Analog Devices, Inc. | 1,459 | 82,302 | ||||||
Applied Materials, Inc. | 567 | 8,329 | ||||||
Avago Technologies Ltd. | 1,600 | 200,016 | ||||||
Broadcom Corp. Class A | 24 | 1,234 | ||||||
Intel Corp. | 6,211 | 187,200 | ||||||
KLA-Tencor Corp. | 398 | 19,900 | ||||||
Lam Research Corp. | 663 | 43,314 | ||||||
Linear Technology Corp. | 381 | 15,373 | ||||||
Microchip Technology, Inc. | 1,024 | 44,124 | ||||||
Micron Technology, Inc. (a) | 5,533 | 82,884 | ||||||
NVIDIA Corp. | 1,285 | 31,675 | ||||||
Skyworks Solutions, Inc. | 690 | 58,105 | ||||||
Texas Instruments, Inc. | 845 | 41,845 | ||||||
Xilinx, Inc. | 1,561 | 66,187 | ||||||
|
| |||||||
897,362 | ||||||||
|
| |||||||
Software — 2.0% | ||||||||
Adobe Systems, Inc. (a) | 1,405 | 115,519 | ||||||
Autodesk, Inc. (a) | 47 | 2,075 | ||||||
CA, Inc. | 3,685 | 100,600 | ||||||
CDK Global, Inc. | 7,350 | 351,183 | ||||||
Citrix Systems, Inc. (a) | 2,645 | 183,246 | ||||||
The Dun & Bradstreet Corp. | 49 | 5,145 |
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 | |||||||
Electronic Arts, Inc. (a) | 1,086 | $ | 73,576 | |||||
Fidelity National Information Services, Inc. | 360 | 24,149 | ||||||
Fiserv, Inc. (a) | 994 | 86,090 | ||||||
Intuit, Inc. | 959 | 85,111 | ||||||
Microsoft Corp. | 14,441 | 639,159 | ||||||
Oracle Corp. | 11,588 | 418,559 | ||||||
Red Hat, Inc. (a) | 2,624 | 188,613 | ||||||
Salesforce.com, Inc. (a) | 1,980 | 137,471 | ||||||
|
| |||||||
2,410,496 | ||||||||
|
| |||||||
8,034,247 | ||||||||
|
| |||||||
Utilities — 1.4% | ||||||||
Electric — 1.4% | ||||||||
The AES Corp. | 18,777 | 183,827 | ||||||
Ameren Corp. | 972 | 41,086 | ||||||
American Electric Power Co., Inc. | 1,696 | 96,435 | ||||||
CenterPoint Energy, Inc. | 1,535 | 27,691 | ||||||
CMS Energy Corp. | 1,110 | 39,205 | ||||||
Consolidated Edison, Inc. | 909 | 60,767 | ||||||
Dominion Resources, Inc. | 362 | 25,478 | ||||||
DTE Energy Co. | 612 | 49,186 | ||||||
Duke Energy Corp. | 486 | 34,963 | ||||||
Edison International | 1,534 | 96,749 | ||||||
Entergy Corp. | 1,111 | 72,326 | ||||||
Eversource Energy | 622 | 31,486 | ||||||
Exelon Corp. | 6,023 | 178,883 | ||||||
FirstEnergy Corp. | 4,166 | 130,437 | ||||||
NextEra Energy, Inc. | 1,636 | 159,592 | ||||||
NRG Energy, Inc. | 20 | 297 | ||||||
Pepco Holdings, Inc. | 98 | 2,374 | ||||||
PG&E Corp. | 323 | 17,054 | ||||||
Pinnacle West Capital Corp. | 250 | 16,035 | ||||||
PPL Corp. | 3,384 | 111,300 | ||||||
Public Service Enterprise Group, Inc. | 3,609 | 152,155 | ||||||
SCANA Corp. | 772 | 43,433 | ||||||
The Southern Co. | 734 | 32,810 | ||||||
TECO Energy, Inc. | 98 | 2,574 | ||||||
WEC Energy Group, Inc. | 364 | 19,008 | ||||||
Xcel Energy, Inc. | 1,145 | 40,544 | ||||||
|
| |||||||
1,665,695 | ||||||||
|
| |||||||
Gas — 0.0% | ||||||||
AGL Resources, Inc. | 516 | 31,497 | ||||||
NiSource, Inc. | 172 | 3,190 | ||||||
Sempra Energy | 72 | 6,964 | ||||||
|
| |||||||
41,651 | ||||||||
|
| |||||||
1,707,346 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $65,869,797) | 62,838,151 | |||||||
|
|
Number of Shares | Value | |||||||
PREFERRED STOCK — 0.3% | ||||||||
Consumer, Non-cyclical — 0.1% | ||||||||
Pharmaceuticals — 0.1% | ||||||||
Allergan PLC 5.500% | 105 | $ | 99,063 | |||||
|
| |||||||
Energy — 0.1% | ||||||||
Anadarko Petroleum Corp. 7.500% | 2,600 | 97,318 | ||||||
Southwestern Energy Co. 6.250% | 1,200 | 37,296 | ||||||
|
| |||||||
134,614 | ||||||||
|
| |||||||
Financial — 0.1% | ||||||||
Insurance — 0.1% | ||||||||
The Allstate Corp. 5.100% | 5,000 | 126,900 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $421,316) | 360,577 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $66,291,113) | 63,198,728 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 34.4% | ||||||||
CORPORATE DEBT — 16.5% | ||||||||
Advertising — 0.0% | ||||||||
WPP Finance 2010 | $ | 20,000 | 21,866 | |||||
|
| |||||||
Aerospace & Defense — 0.0% | ||||||||
United Technologies Corp. | 15,000 | 18,477 | ||||||
|
| |||||||
Agriculture — 0.2% | ||||||||
Altria Group, Inc. | 20,000 | 18,488 | ||||||
Bunge Ltd. Finance Corp. | 45,000 | 45,837 | ||||||
Philip Morris International, Inc. | 5,000 | 6,232 | ||||||
Reynolds American, Inc. | 45,000 | 45,484 | ||||||
Reynolds American, Inc. | 30,000 | 30,856 | ||||||
Reynolds American, Inc. | 30,000 | 33,377 | ||||||
|
| |||||||
180,274 | ||||||||
|
| |||||||
Airlines — 0.1% | ||||||||
American Airlines Pass-Through Trust, Series 2014-1, Class A | 24,267 | 24,116 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 14,309 | 14,309 |
The accompanying notes are an integral part of the financial statements.
139
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | $ | 85,000 | $ | 85,637 | ||||
United Airlines Pass-Through Trust, Series 2014-1, Class A | 30,000 | 30,675 | ||||||
|
| |||||||
154,737 | ||||||||
|
| |||||||
Auto Manufacturers — 0.2% | ||||||||
General Motors Co. | 60,000 | 56,307 | ||||||
General Motors Financial Co., Inc. | 80,000 | 78,922 | ||||||
General Motors Financial Co., Inc. | 100,000 | 96,741 | ||||||
Hyundai Capital America (b) | 40,000 | 40,210 | ||||||
|
| |||||||
272,180 | ||||||||
|
| |||||||
Banks — 1.3% | ||||||||
Associated Banc-Corp. | 110,000 | 111,515 | ||||||
Bank of America Corp. | 75,000 | 77,198 | ||||||
Bank of America Corp. | 60,000 | 65,466 | ||||||
Bank of America Corp. | 40,000 | 46,773 | ||||||
Credit Suisse AG | 70,000 | 77,596 | ||||||
Discover Bank | 45,000 | 44,734 | ||||||
FirstMerit Corp. | 15,000 | 15,424 | ||||||
ICICI Bank Ltd. (b) | 59,000 | 60,936 | ||||||
Intesa Sanpaolo SpA VRN (b) | 200,000 | 195,000 | ||||||
Itau Unibanco Holding SA (b) | 200,000 | 187,340 | ||||||
JP Morgan Chase & Co. | 10,000 | 9,773 | ||||||
JP Morgan Chase & Co. | 50,000 | 49,522 | ||||||
Morgan Stanley | 40,000 | 38,523 | ||||||
Regions Financial Corp. | 30,000 | 33,635 | ||||||
Santander Holdings USA, Inc. | 85,000 | 83,456 | ||||||
State Street Corp. | 85,000 | 85,858 | ||||||
SVB Financial Group | 135,000 | 131,665 |
Principal Amount | Value | |||||||
SVB Financial Group | $ | 15,000 | $ | 16,720 | ||||
Valley National Bancorp | 50,000 | 53,531 | ||||||
Wells Fargo & Co. | 145,000 | 147,776 | ||||||
|
| |||||||
1,532,441 | ||||||||
|
| |||||||
Biotechnology — 0.0% | ||||||||
Amgen, Inc. | 45,000 | 46,249 | ||||||
|
| |||||||
Building Materials — 0.3% | ||||||||
CRH America, Inc. | 50,000 | 58,152 | ||||||
Lafarge SA | 45,000 | 46,444 | ||||||
Martin Marietta Material, Inc. FRN | 50,000 | 49,625 | ||||||
Masco Corp. | 140,000 | 141,750 | ||||||
Owens Corning, Inc. | 50,000 | 49,670 | ||||||
Owens Corning, Inc. | 3,000 | 3,201 | ||||||
Owens Corning, Inc. | 10,000 | 11,891 | ||||||
|
| |||||||
360,733 | ||||||||
|
| |||||||
Chemicals — 0.4% | ||||||||
Ashland, Inc. | 105,000 | 97,650 | ||||||
Cytec Industries, Inc. | 7,000 | 7,765 | ||||||
The Dow Chemical Co. | 15,000 | 18,133 | ||||||
E.I. du Pont de Nemours & Co. | 5,000 | 5,567 | ||||||
Ecolab, Inc. | 15,000 | 16,232 | ||||||
Incitec Pivot Finance LLC (b) | 25,000 | 27,359 | ||||||
Methanex Corp. | 5,000 | 5,324 | ||||||
Rockwood Specialties Group, Inc. | 155,000 | 160,438 | ||||||
RPM International, Inc. | 50,000 | 48,671 | ||||||
RPM International, Inc. | 50,000 | 55,988 | ||||||
RPM International, Inc. | 20,000 | 21,942 | ||||||
Valspar Corp. | 25,000 | 28,949 | ||||||
|
| |||||||
494,018 | ||||||||
|
|
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 | |||||||
Commercial Services — 0.1% | ||||||||
The ADT Corp. | $ | 65,000 | $ | 64,025 | ||||
Cardtronics, Inc., Convertible | 50,000 | 46,313 | ||||||
ERAC USA Finance LLC (b) | 15,000 | 15,341 | ||||||
ERAC USA Finance LLC (b) | 35,000 | 41,967 | ||||||
|
| |||||||
167,646 | ||||||||
|
| |||||||
Computers — 0.1% | ||||||||
SanDisk Corp., Convertible | 91,000 | 88,099 | ||||||
|
| |||||||
Cosmetics & Personal Care — 0.0% | ||||||||
The Procter & Gamble Co. | 10,000 | 12,582 | ||||||
|
| |||||||
Distribution & Wholesale — 0.0% | ||||||||
Arrow Electronics, Inc. | 10,000 | 10,226 | ||||||
|
| |||||||
Diversified Financial — 2.1% | ||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust | 180,000 | 179,775 | ||||||
Affiliated Managers Group, Inc. | 70,000 | 67,346 | ||||||
Affiliated Managers Group, Inc. | 51,000 | 51,862 | ||||||
Air Lease Corp. | 90,000 | 91,125 | ||||||
Air Lease Corp. | 60,000 | 60,750 | ||||||
Air Lease Corp. STEP | 15,000 | 15,656 | ||||||
Ally Financial, Inc. | 90,000 | 88,538 | ||||||
Ares Finance Co. LLC (b) | 85,000 | 82,639 | ||||||
Citigroup, Inc. | 455,000 | 442,174 | ||||||
Citigroup, Inc. | 50,000 | 55,808 | ||||||
Citigroup, Inc. | 20,000 | 23,258 | ||||||
Citigroup, Inc. | 15,000 | 21,571 | ||||||
Citigroup, Inc. | 30,000 | 36,221 | ||||||
Eaton Vance Corp. | 21,000 | 21,375 | ||||||
Eaton Vance Corp. | 4,000 | 4,372 | ||||||
General Electric Capital Corp. | 30,000 | 34,697 |
Principal Amount | Value | |||||||
General Electric Capital Corp. | $ | 55,000 | $ | 77,006 | ||||
The Goldman Sachs Group, Inc. | 45,000 | 50,197 | ||||||
The Goldman Sachs Group, Inc. | 35,000 | 36,758 | ||||||
The Goldman Sachs Group, Inc. | 40,000 | 45,908 | ||||||
The Goldman Sachs Group, Inc. | 20,000 | 22,027 | ||||||
The Goldman Sachs Group, Inc. | 20,000 | 22,909 | ||||||
HSBC Finance Corp. | 30,000 | 35,101 | ||||||
Hyundai Capital America (b) | 30,000 | 30,000 | ||||||
Hyundai Capital America (b) | 30,000 | 30,495 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 235,000 | 235,733 | ||||||
International Lease Finance Corp. | 55,000 | 54,863 | ||||||
International Lease Finance Corp. STEP | 20,000 | 21,500 | ||||||
Janus Capital Group, Inc. | 80,000 | 82,035 | ||||||
JP Morgan Chase & Co. | 40,000 | 43,159 | ||||||
JP Morgan Chase & Co. | 70,000 | 77,092 | ||||||
JP Morgan Chase & Co. | 95,000 | 108,720 | ||||||
Lazard Group LLC | 13,000 | 14,047 | ||||||
Legg Mason, Inc. | 35,000 | 36,224 | ||||||
Merrill Lynch & Co., Inc. | 20,000 | 27,346 | ||||||
Morgan Stanley | 30,000 | 30,492 | ||||||
Morgan Stanley | 30,000 | 30,154 | ||||||
Morgan Stanley | 60,000 | 63,020 | ||||||
Morgan Stanley | 50,000 | 55,858 | ||||||
Morgan Stanley | 20,000 | 22,810 | ||||||
Stifel Financial Corp. | 30,000 | 29,991 | ||||||
|
| |||||||
2,560,612 | ||||||||
|
|
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 | |||||||
Electric — 1.1% | ||||||||
Appalachian Power Co. | $ | 90,000 | $ | 89,103 | ||||
Commonwealth Edison Co. | 75,000 | 68,622 | ||||||
Entergy Louisiana LLC | 40,000 | 40,406 | ||||||
Florida Power & Light Co. | 25,000 | 27,663 | ||||||
IPALCO Enterprises, Inc. (b) | 200,000 | 193,500 | ||||||
Kansas Gas & Electric Co. | 43,044 | 43,474 | ||||||
LG&E and KU Energy LLC | 60,000 | 65,458 | ||||||
Metropolitan Edison Co. (b) | 50,000 | 50,947 | ||||||
National Fuel Gas Co. | 20,000 | 18,857 | ||||||
Nevada Power Co. Series N | 20,000 | 25,479 | ||||||
Niagara Mohawk Power Corp. (b) | 35,000 | 34,029 | ||||||
NiSource Finance Corp. | 40,000 | 46,388 | ||||||
Oncor Electric Delivery Co. | 5,000 | 5,676 | ||||||
Oncor Electric Delivery Co. | 15,000 | 20,481 | ||||||
Pacific Gas & Electric Co. | 25,000 | 29,712 | ||||||
Pennsylvania Electric Co. (b) | 70,000 | 70,871 | ||||||
PPL Capital Funding, Inc. | 15,000 | 15,001 | ||||||
PPL Capital Funding, Inc. | 45,000 | 47,060 | ||||||
Progress Energy, Inc. | 5,000 | 6,340 | ||||||
Puget Energy, Inc. (b) | 85,000 | 83,883 | ||||||
Puget Energy, Inc. | 59,000 | 68,769 | ||||||
Southern California Edison Co. | 20,000 | 24,870 | ||||||
State Grid Overseas Investment Ltd. (b) | 45,000 | 44,753 | ||||||
Transelec SA (b) | 25,000 | 25,632 | ||||||
Tri-State Generation & Transmission Association, Series 2003, Class A (b) | 30,412 | 32,244 |
Principal Amount | Value | |||||||
Virginia Electric and Power Co. | $ | 30,000 | $ | 38,817 | ||||
Wisconsin Public Service Corp. | 50,000 | 53,442 | ||||||
|
| |||||||
1,271,477 | ||||||||
|
| |||||||
Electronics — 0.1% | ||||||||
Amphenol Corp. | 50,000 | 50,523 | ||||||
Amphenol Corp. | 20,000 | 20,609 | ||||||
Arrow Electronics, Inc. | 60,000 | 59,293 | ||||||
Avnet, Inc. | 23,000 | 23,985 | ||||||
|
| |||||||
154,410 | ||||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Republic Services, Inc. | 125,000 | 121,590 | ||||||
Republic Services, Inc. | 30,000 | 31,480 | ||||||
Republic Services, Inc. | 5,000 | 5,610 | ||||||
|
| |||||||
158,680 | ||||||||
|
| |||||||
Foods — 0.2% | ||||||||
ConAgra Foods, Inc. | 30,000 | 32,797 | ||||||
ConAgra Foods, Inc. | 15,000 | 16,461 | ||||||
ConAgra Foods, Inc. | 32,000 | 36,805 | ||||||
Kraft Foods, Inc. | 14,000 | 17,145 | ||||||
Tyson Foods, Inc. | 15,000 | 15,113 | ||||||
Tyson Foods, Inc. | 25,000 | 25,477 | ||||||
Tyson Foods, Inc. | 45,000 | 46,235 | ||||||
WM Wrigley Jr. Co. (b) | 15,000 | 15,264 | ||||||
|
| |||||||
205,297 | ||||||||
|
| |||||||
Forest Products & Paper — 0.3% | ||||||||
International Paper Co. | 20,000 | 21,600 | ||||||
International Paper Co. | 25,000 | 30,596 | ||||||
International Paper Co. | 15,000 | 18,480 | ||||||
Sappi Papier Holding GmbH (b) | 255,000 | 267,750 | ||||||
|
| |||||||
338,426 | ||||||||
|
|
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 | |||||||
Gas — 0.0% | ||||||||
Boston Gas Co. (b) | $ | 10,000 | $ | 10,238 | ||||
|
| |||||||
Health Care – Products — 0.1% | ||||||||
Boston Scientific Corp. | 35,000 | 39,252 | ||||||
Johnson & Johnson | 10,000 | 12,838 | ||||||
Zimmer Biomet Holdings, Inc. | 115,000 | 112,611 | ||||||
|
| |||||||
164,701 | ||||||||
|
| |||||||
Health Care – Services — 0.1% | ||||||||
Cigna Corp. | 20,000 | 22,335 | ||||||
Howard Hughes Medical Institute | 35,000 | 36,634 | ||||||
Kaiser Foundation Hospitals | 15,000 | 15,455 | ||||||
UnitedHealth Group, Inc. | 45,000 | 59,922 | ||||||
|
| |||||||
134,346 | ||||||||
|
| |||||||
Holding Company – Diversified — 0.1% | ||||||||
Hutchison Whampoa International Ltd. (b) | 45,000 | 50,553 | ||||||
|
| |||||||
Home Builders — 0.2% | ||||||||
Lennar Corp. | 275,000 | 282,391 | ||||||
|
| |||||||
Home Furnishing — 0.0% | ||||||||
Whirlpool Corp. | 10,000 | 10,181 | ||||||
|
| |||||||
Housewares — 0.0% | ||||||||
Newell Rubbermaid, Inc. | 15,000 | 15,024 | ||||||
|
| |||||||
Insurance — 1.1% | ||||||||
The Allstate Corp. VRN | 70,000 | 72,475 | ||||||
AXIS Specialty Finance PLC | 20,000 | 20,089 | ||||||
Brown & Brown, Inc. | 70,000 | 70,580 | ||||||
The Chubb Corp. VRN | 31,000 | 30,574 | ||||||
CNA Financial Corp. | 40,000 | 40,268 | ||||||
CNA Financial Corp. | 40,000 | 47,366 | ||||||
CNO Financial Group, Inc. | 60,000 | 61,200 | ||||||
CNO Financial Group, Inc. | 72,000 | 73,080 |
Principal Amount | Value | |||||||
The Hartford Financial Services Group, Inc. VRN | $ | 60,000 | $ | 66,300 | ||||
Liberty Mutual Group, Inc. (b) | 21,000 | 21,719 | ||||||
Marsh & McLennan Cos., Inc. | 45,000 | 49,635 | ||||||
MetLife Capital Trust IV (b) | 70,000 | 85,750 | ||||||
MetLife, Inc. Series A | 10,000 | 11,392 | ||||||
Principal Financial Group, Inc. | 30,000 | 36,614 | ||||||
Prudential Financial, Inc. VRN | 65,000 | 63,842 | ||||||
Prudential Financial, Inc. VRN | 60,000 | 59,550 | ||||||
Prudential Financial, Inc. VRN | 45,000 | 46,440 | ||||||
Prudential Financial, Inc. VRN | 55,000 | 63,126 | ||||||
QBE Insurance Group Ltd. (b) | 25,000 | 25,169 | ||||||
Reinsurance Group of America, Inc. | 55,000 | 59,272 | ||||||
Reinsurance Group of America, Inc. | 40,000 | 43,903 | ||||||
Reinsurance Group of America, Inc. | 45,000 | 51,443 | ||||||
USF&G Capital I (b) | 35,000 | 50,864 | ||||||
Voya Financial, Inc. | 30,000 | 34,169 | ||||||
Voya Financial, Inc. VRN | 45,000 | 45,360 | ||||||
Willis Group Holdings PLC | 5,000 | 5,061 | ||||||
Willis Group Holdings PLC | 55,000 | 61,523 | ||||||
Willis North America, Inc. | 21,000 | 24,002 | ||||||
XLIT Ltd. | 40,000 | 40,029 | ||||||
|
| |||||||
1,360,795 | ||||||||
|
| |||||||
Internet — 0.2% | ||||||||
Expedia, Inc. | 90,000 | 101,577 | ||||||
LinkedIn Corp., Convertible (b) | 55,000 | 54,141 | ||||||
Tencent Holdings Ltd. (b) | 55,000 | 54,587 | ||||||
|
| |||||||
210,305 | ||||||||
|
|
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 | |||||||
Investment Companies — 0.2% | ||||||||
Ares Capital Corp. | $ | 130,000 | $ | 133,856 | ||||
FS Investment Corp. | 90,000 | 91,211 | ||||||
|
| |||||||
225,067 | ||||||||
|
| |||||||
Iron & Steel — 0.4% | ||||||||
Allegheny Technologies, Inc. | 25,000 | 26,375 | ||||||
ArcelorMittal | 80,000 | 72,408 | ||||||
ArcelorMittal | 60,000 | 54,225 | ||||||
ArcelorMittal | 11,000 | 10,780 | ||||||
Commercial Metals Co. | 30,000 | 30,900 | ||||||
Glencore Funding LLC (b) | 150,000 | 120,000 | ||||||
Glencore Funding LLC (b) | 5,000 | 3,750 | ||||||
Reliance Steel & Aluminum Co. | 30,000 | 28,635 | ||||||
Reliance Steel & Aluminum Co. | 55,000 | 57,112 | ||||||
Reliance Steel & Aluminum Co. | 55,000 | 59,979 | ||||||
|
| |||||||
464,164 | ||||||||
|
| |||||||
Leisure Time — 0.1% | ||||||||
Carnival Corp. | 50,000 | 50,231 | ||||||
|
| |||||||
Lodging — 0.1% | ||||||||
Choice Hotels International, Inc. | 55,000 | 58,919 | ||||||
Marriott International, Inc. | 50,000 | 51,830 | ||||||
Marriott International, Inc. | 15,000 | 15,078 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 5,000 | 5,544 | ||||||
|
| |||||||
131,371 | ||||||||
|
| |||||||
Machinery – Diversified — 0.2% | ||||||||
CNH Industrial Capital LLC | 25,000 | 24,531 | ||||||
CNH Industrial Capital LLC | 50,000 | 47,625 | ||||||
CNH Industrial Capital LLC | 25,000 | 24,297 | ||||||
CNH Industrial Capital LLC | 70,000 | 69,825 |
Principal Amount | Value | |||||||
CNH Industrial Capital LLC | $ | 45,000 | $ | 45,844 | ||||
Xylem, Inc. | 20,000 | 21,919 | ||||||
|
| |||||||
234,041 | ||||||||
|
| |||||||
Manufacturing — 0.4% | ||||||||
Eaton Corp. | 25,000 | 24,972 | ||||||
General Electric Co. | 50,000 | 49,327 | ||||||
Harsco Corp | 246,000 | 245,877 | ||||||
Ingersoll-Rand Global Holding Co. Ltd. | 40,000 | 45,082 | ||||||
SPX FLOW, Inc. | 45,000 | 47,250 | ||||||
Tyco Electronics Group SA | 40,000 | 43,832 | ||||||
|
| |||||||
456,340 | ||||||||
|
| |||||||
Media — 0.3% | ||||||||
21st Century Fox America, Co. | 25,000 | 30,549 | ||||||
CBS Corp. | 40,000 | 51,956 | ||||||
CCO Safari II LLC (b) | 65,000 | 64,521 | ||||||
CCO Safari II LLC (b) | 65,000 | 64,688 | ||||||
NBCUniversal Media LLC | 5,000 | 6,245 | ||||||
Time Warner Cable, Inc. | 25,000 | 25,006 | ||||||
Time Warner Cable, Inc. | 10,000 | 11,653 | ||||||
Time Warner Cable, Inc. | 10,000 | 11,744 | ||||||
Time Warner, Inc. | 35,000 | 38,219 | ||||||
Time Warner, Inc. | 25,000 | 28,240 | ||||||
Time Warner, Inc. | 5,000 | 5,759 | ||||||
|
| |||||||
338,580 | ||||||||
|
| |||||||
Mining — 0.4% | ||||||||
Freeport-McMoRan, Inc. | 20,000 | 17,500 | ||||||
Freeport-McMoRan, Inc. | 190,000 | 148,200 | ||||||
Freeport-McMoRan, Inc. | 30,000 | 20,850 |
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 | |||||||
Glencore Finance Canada. STEP (b) | $ | 50,000 | $ | 49,950 | ||||
Glencore Finance Canada. (b) | 45,000 | 42,750 | ||||||
Rio Tinto Finance USA Ltd. | 50,000 | 61,168 | ||||||
Vale Overseas Ltd. | 65,000 | 66,161 | ||||||
Vale Overseas Ltd. | 15,000 | 11,596 | ||||||
|
| |||||||
418,175 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 65,000 | 65,512 | ||||||
Pitney Bowes, Inc. | 25,000 | 25,269 | ||||||
Pitney Bowes, Inc. | 5,000 | 5,323 | ||||||
Pitney Bowes, Inc. | 6,000 | 6,455 | ||||||
|
| |||||||
102,559 | ||||||||
|
| |||||||
Office Furnishings — 0.1% | ||||||||
Steelcase, Inc. | 50,000 | 55,766 | ||||||
|
| |||||||
Oil & Gas — 1.2% | ||||||||
Anadarko Petroleum Corp. | 13,000 | 14,302 | ||||||
Chesapeake Energy Corp., Convertible | 10,000 | 7,100 | ||||||
Chesapeake Energy Corp., Convertible | 90,000 | 77,400 | ||||||
Chesapeake Energy Corp. | 175,000 | 171,535 | ||||||
Devon Energy Corp. | 40,000 | 38,647 | ||||||
Ensco PLC | 95,000 | 72,302 | ||||||
Helmerich & Payne International Drilling Co. | 45,000 | 44,797 | ||||||
Pemex Project Funding Master Trust | 5,000 | 4,563 | ||||||
Petrobras Global Finance BV | 35,000 | 33,600 | ||||||
Petrobras International Finance Co. | 59,000 | 57,967 | ||||||
Petroleos Mexicanos | 10,000 | 9,788 | ||||||
Petroleos Mexicanos | 60,000 | 63,087 | ||||||
Petroleos Mexicanos | 15,000 | 13,476 |
Principal Amount | Value | |||||||
Pioneer Natural Resources Co. | $ | 50,000 | $ | 51,715 | ||||
Pioneer Natural Resources Co. | 50,000 | 57,493 | ||||||
Rowan Cos., Inc. | 105,000 | 76,916 | ||||||
Rowan Cos., Inc. | 134,000 | 99,867 | ||||||
Rowan Cos., Inc. | 40,000 | 39,225 | ||||||
Southwestern Energy Co. | 85,000 | 84,514 | ||||||
Southwestern Energy Co. | 50,000 | 44,687 | ||||||
Transocean, Inc. STEP | 40,000 | 39,500 | ||||||
Transocean, Inc. | 96,000 | 87,840 | ||||||
Whiting Petroleum Corp., Convertible (b) | 75,000 | 61,078 | ||||||
WPX Energy, Inc. | 185,000 | 169,275 | ||||||
|
| |||||||
1,420,674 | ||||||||
|
| |||||||
Oil & Gas Services — 0.4% | ||||||||
Hornbeck Offshore Services, Inc., Convertible | 95,000 | 70,478 | ||||||
SEACOR Holdings, Inc., Convertible | 32,000 | 25,440 | ||||||
SESI LLC | 25,000 | 24,906 | ||||||
Superior Energy Services, Inc. | 187,000 | 183,494 | ||||||
Weatherford International Ltd. | 25,000 | 20,220 | ||||||
Weatherford International Ltd. | 138,000 | 120,262 | ||||||
Weatherford International Ltd. | 45,000 | 31,285 | ||||||
|
| |||||||
476,085 | ||||||||
|
| |||||||
Packaging & Containers — 0.0% | ||||||||
Brambles USA Inc., Series A (b) | 15,000 | 16,578 | ||||||
|
| |||||||
Pharmaceuticals — 0.6% | ||||||||
AbbVie, Inc. | 100,000 | 98,627 | ||||||
Actavis Funding SCS | 75,000 | 75,066 | ||||||
Actavis Funding SCS | 105,000 | 101,434 | ||||||
Actavis Funding SCS | 45,000 | 40,858 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Baxalta, Inc. (b) | $ | 25,000 | $ | 25,241 | ||||
Baxalta, Inc. (b) | 70,000 | 70,108 | ||||||
Baxalta, Inc. (b) | 35,000 | 35,327 | ||||||
Cardinal Health, Inc. | 105,000 | 106,654 | ||||||
McKesson Corp. | 20,000 | 19,962 | ||||||
McKesson Corp. | 20,000 | 20,042 | ||||||
McKesson Corp. | 15,000 | 15,382 | ||||||
McKesson Corp. | 30,000 | 33,312 | ||||||
McKesson Corp. | 10,000 | 10,173 | ||||||
McKesson Corp. | 30,000 | 35,419 | ||||||
Merck Sharp & Dohme Corp. | 10,000 | 12,342 | ||||||
Pfizer, Inc. | 35,000 | 48,099 | ||||||
|
| |||||||
748,046 | ||||||||
|
| |||||||
Pipelines — 1.1% | ||||||||
Boardwalk Pipelines LLC | 40,000 | 41,171 | ||||||
Boardwalk Pipelines LP | 95,000 | 98,227 | ||||||
CenterPoint Energy Resources Corp. | 25,000 | 26,779 | ||||||
CenterPoint Energy Resources Corp. | 20,000 | 23,112 | ||||||
Energy Transfer Partners LP FRN | 50,000 | 36,500 | ||||||
Energy Transfer Partners LP | 105,000 | 92,792 | ||||||
Energy Transfer Partners LP | 45,000 | 45,518 | ||||||
Energy Transfer Partners LP | 60,000 | 48,466 | ||||||
Enterprise Products Operating Co. | 85,000 | 80,321 | ||||||
Enterprise Products Operating LLC | 25,000 | 25,170 | ||||||
Kinder Morgan Energy Partners LP | 25,000 | 25,071 | ||||||
Kinder Morgan Energy Partners LP | 25,000 | 26,152 | ||||||
Kinder Morgan Energy Partners LP | 25,000 | 23,910 |
Principal Amount | Value | |||||||
Kinder Morgan Energy Partners LP | $ | 5,000 | $ | 4,955 | ||||
Kinder Morgan Finance Co. LLC (b) | 35,000 | 37,039 | ||||||
Kinder Morgan, Inc. | 105,000 | 94,327 | ||||||
Magellan Midstream Partners LP | 110,000 | 104,346 | ||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 80,000 | 73,416 | ||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. | 135,000 | 123,525 | ||||||
Phillips 66 Partners LP | 2,000 | 1,834 | ||||||
Southern Natural Gas Co. LLC (b) | 55,000 | 57,926 | ||||||
Williams Partners LP | 75,000 | 79,944 | ||||||
Williams Partners LP/ACMP Finance Corp. | 145,000 | 134,125 | ||||||
|
| |||||||
1,304,626 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.5% | ||||||||
American Tower Corp. | 40,000 | 41,175 | ||||||
American Tower Corp. | 100,000 | 100,452 | ||||||
American Tower Corp. | 60,000 | 63,117 | ||||||
Boston Properties LP | 20,000 | 20,957 | ||||||
Boston Properties LP | 30,000 | 31,952 | ||||||
Brandywine Operating Partners LP | 40,000 | 42,316 | ||||||
DDR Corp. | 15,000 | 15,874 | ||||||
Duke Realty LP | 50,000 | 60,577 | ||||||
ERP Operating LP | 15,000 | 16,348 | ||||||
Federal Realty Investment Trust | 10,000 | 11,443 | ||||||
HCP, Inc. | 35,000 | 34,879 | ||||||
Host Hotels & Resorts LP | 25,000 | 24,644 | ||||||
Liberty Property LP | 45,000 | 43,938 | ||||||
ProLogis LP | 15,000 | 15,283 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Vereit Operating Partnership LP | $ | 55,000 | $ | 53,900 | ||||
Vereit Operating Partnership LP | 25,000 | 23,844 | ||||||
Weingarten Realty Investors | 15,000 | 14,875 | ||||||
|
| |||||||
615,574 | ||||||||
|
| |||||||
Retail — 0.6% | ||||||||
Bed Bath & Beyond, Inc. | 35,000 | 33,150 | ||||||
CVS Health Corp. | 10,000 | 12,113 | ||||||
CVS Pass-Through Trust (b) | 54,558 | 62,621 | ||||||
Dollar General Corp. | 140,000 | 133,412 | ||||||
GNC Holdings, Inc., Convertible (b) | 15,000 | 13,838 | ||||||
The Home Depot, Inc. | 30,000 | 37,792 | ||||||
O’Reilly Automotive, Inc. | 23,000 | 23,545 | ||||||
O’Reilly Automotive, Inc. | 40,000 | 44,198 | ||||||
QVC, Inc. | 35,000 | 34,921 | ||||||
QVC, Inc. | 25,000 | 24,302 | ||||||
QVC, Inc. | 45,000 | 43,388 | ||||||
QVC, Inc. | 10,000 | 10,280 | ||||||
Tiffany & Co. | 40,000 | 38,657 | ||||||
Wal-Mart Stores, Inc. | 40,000 | 48,340 | ||||||
Walgreens Boots Alliance, Inc. | 25,000 | 25,337 | ||||||
Walgreens Boots Alliance, Inc. | 125,000 | 124,332 | ||||||
|
| |||||||
710,226 | ||||||||
|
| |||||||
Savings & Loans — 0.1% | ||||||||
Glencore Funding LLC (b) | 33,000 | 31,350 | ||||||
Glencore Funding LLC (b) | 55,000 | 46,888 | ||||||
Glencore Funding LLC (b) | 30,000 | 25,200 | ||||||
|
| |||||||
103,438 | ||||||||
|
| |||||||
Semiconductors — 0.3% | ||||||||
Lam Research Corp. | 75,000 | 72,680 |
Principal Amount | Value | |||||||
Microchip Technology, Inc., Convertible (b) | $ | 78,000 | $ | 74,636 | ||||
Micron Technology, Inc., Convertible | 32,000 | 48,960 | ||||||
Micron Technology, Inc., Convertible | 69,000 | 58,003 | ||||||
ON Semiconductor Corp., Convertible (b) | 30,000 | 27,919 | ||||||
QUALCOMM, Inc. | 42,000 | 39,660 | ||||||
|
| |||||||
321,858 | ||||||||
|
| |||||||
Software — 0.1% | ||||||||
Broadridge Financial Solutions, Inc. | 25,000 | 26,159 | ||||||
CA, Inc. | 25,000 | 25,418 | ||||||
CA, Inc. | 28,000 | 30,656 | ||||||
Citrix Systems, Inc., Convertible | 80,000 | 84,350 | ||||||
|
| |||||||
166,583 | ||||||||
|
| |||||||
Telecommunications — 0.6% | ||||||||
America Movil SAB de CV | 25,000 | 27,308 | ||||||
America Movil SAB de CV | 30,000 | 32,971 | ||||||
AT&T, Inc. | 65,000 | 59,559 | ||||||
British Telecom PLC | 15,000 | 22,368 | ||||||
CenturyLink, Inc. | 30,000 | 29,850 | ||||||
CenturyLink, Inc. | 10,000 | 7,575 | ||||||
Cisco Systems, Inc. | 10,000 | 11,659 | ||||||
Deutsche Telekom International Finance BV | 15,000 | 21,445 | ||||||
Embarq Corp. | 30,000 | 30,812 | ||||||
Rogers Communications, Inc. | 5,000 | 6,422 | ||||||
Sprint Communications, Inc. (b) | 95,000 | 99,683 | ||||||
Telefonica Emisiones SAU | 30,000 | 33,521 | ||||||
Verizon Communications, Inc. | 57,000 | 57,169 | ||||||
Verizon Communications, Inc. | 65,000 | 63,909 | ||||||
Verizon Communications, Inc. | 55,000 | 51,574 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Verizon Communications, Inc. | $ | 41,000 | $ | 37,316 | ||||
Verizon Communications, Inc. | 50,000 | 55,234 | ||||||
Verizon Communications, Inc. | 42,000 | 49,621 | ||||||
|
| |||||||
697,996 | ||||||||
|
| |||||||
Transportation — 0.2% | ||||||||
Asciano Finance (b) | 20,000 | 20,994 | ||||||
Asciano Finance (b) | 55,000 | 58,309 | ||||||
Canadian National Railway Co. | 20,000 | 26,321 | ||||||
CSX Corp. | 10,000 | 12,631 | ||||||
Norfolk Southern Corp. | 20,000 | 22,357 | ||||||
Ryder System, Inc. | 15,000 | 15,036 | ||||||
Ryder System, Inc. | 40,000 | 39,864 | ||||||
Union Pacific Corp. | 25,000 | 26,933 | ||||||
|
| |||||||
222,445 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
GATX Corp. | 30,000 | 30,027 | ||||||
GATX Corp. | 20,000 | 20,277 | ||||||
GATX Corp. | 30,000 | 32,064 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (b) | 65,000 | 64,687 | ||||||
|
| |||||||
147,055 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $19,841,979) | 19,714,442 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.6% | ||||||||
JobsOhio Beverage System Series B | 150,000 | 159,132 | ||||||
San Diego County Regional Airport Authority | 200,000 | 218,200 | ||||||
State of California | 35,000 | 35,928 | ||||||
State of California BAB | 25,000 | 36,010 | ||||||
State of California BAB | 85,000 | 124,397 |
Principal Amount | Value | |||||||
State of Illinois | $ | 100,000 | $ | 104,294 | ||||
|
| |||||||
677,961 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $648,840) | 677,961 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.8% | ||||||||
Auto Floor Plan ABS — 0.0% | ||||||||
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A FRN (b) | 50,000 | 50,000 | ||||||
|
| |||||||
Automobile ABS — 0.2% | ||||||||
Capital Automotive REIT, Series 2011-1A, Class A (b) | 95,083 | 102,489 | ||||||
CPS Auto Trust, Series 2012-D, Class A (b) | 25,204 | 25,278 | ||||||
Flagship Credit Auto Trust, Series 2013-1, Class A (b) | 9,009 | 9,013 | ||||||
Flagship Credit Auto Trust, Series 2013-2, Class A (b) | 22,062 | 22,124 | ||||||
GLS Auto Receivables Trust, | 45,782 | 45,803 | ||||||
GO Financial Auto Securitization Trust, Series 2015-1, Class A (b) | 30,428 | 30,412 | ||||||
|
| |||||||
235,119 | ||||||||
|
| |||||||
Commercial MBS — 2.1% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4 VRN | 52,191 | 55,546 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM VRN | 45,000 | 48,091 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4 VRN | 59,537 | 64,257 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM VRN | 50,000 | 54,422 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class A4 | 72,563 | 74,897 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class AM | 50,000 | 51,990 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, | $ | 105,000 | $ | 110,252 | ||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, | 40,000 | 42,311 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, | 120,000 | 127,984 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2013-GAM, Class A1 (b) | 99,894 | 99,102 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2012-CR4, Class B (b) | 35,000 | 35,955 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2015-CR23, | 35,000 | 33,603 | ||||||
Commercial Mortgage Pass Through Certificates, Series 2007-C9, | 50,000 | 53,051 | ||||||
DBCCRE Mortgage Trust, | 100,000 | 106,913 | ||||||
DBRR Trust, Series 2013-EZ3, | 58,443 | 58,443 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM VRN | 100,000 | 102,611 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4 | 95,290 | 98,201 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM VRN | 65,000 | 68,030 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM VRN | 60,000 | 64,339 | ||||||
Morgan Stanley Capital I, Series 2011-C2, Class B VRN (b) | 100,000 | 110,029 | ||||||
Morgan Stanley Capital I, Series 2006-IQ12, Class AM | 40,000 | 41,560 |
Principal Amount | Value | |||||||
Morgan Stanley Capital I, | $ | 60,000 | $ | 62,900 | ||||
Morgan Stanley Capital I, | 30,425 | 30,502 | ||||||
Morgan Stanley Capital I, | 60,000 | 60,417 | ||||||
Morgan Stanley Capital I, | 31,092 | 33,890 | ||||||
STRIPs Ltd., Series 2012-1A, Class A (b) | 22,134 | 21,918 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ VRN | 33,258 | 33,341 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class AM | 70,000 | 72,549 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM VRN | 70,000 | 70,267 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 150,000 | 155,327 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM VRN | 105,000 | 105,020 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4 VRN | 33,558 | 35,081 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM VRN | 50,000 | 53,294 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (b) | 40,118 | 41,646 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A2 (b) | 82,330 | 82,504 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B | 40,000 | 42,313 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class B (b) | 50,000 | 54,135 | ||||||
|
| |||||||
2,456,691 | ||||||||
|
| |||||||
Home Equity ABS — 0.6% | ||||||||
ACE Securities Corp., Series 2005-AG1, Class A1B1 FRN | 36,689 | 36,481 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
ACE Securities Corp., Series 2005-HE7, Class A2D FRN | $ | 25,122 | $ | 24,777 | ||||
Asset-Backed Funding Certificates, Series 2005-WMC1, Class M1 FRN | 8,450 | 8,409 | ||||||
Asset-Backed Securities Corp. Trust, Series 2005-HE2, Class M1 FRN | 3,369 | 3,367 | ||||||
Bayview Financial Mortgage Pass-Through Trust, Series 2005-B, Class M1 FRN | 21,088 | 20,853 | ||||||
Citigroup Mortgage Loan Trust, Series 2005-OPT4, Class M2 FRN | 14,136 | 13,852 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-3, Class MV2 FRN | 7,809 | 7,793 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A FRN | 8,868 | 8,673 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1 FRN | 33,885 | 33,337 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF7, Class M1 FRN | 31,936 | 31,775 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3 FRN | 16,000 | 15,607 | ||||||
GSAMP Trust, Series 2005-AHL, | 16,235 | 16,021 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A3 FRN | 13,744 | 13,606 | ||||||
JP Morgan Mortgage Acquisition Corp., Series 2005-FLD1, Class M2 FRN | 4,679 | 4,675 | ||||||
Lake Country Mortgage Loan Trust, Series 2005-HE1, Class M1 FRN (b) | 2,852 | 2,847 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2 FRN | 41,415 | 40,786 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2 FRN | 59,768 | 58,821 | ||||||
MASTR Asset-Backed Securities Trust, Series 2005-WMC1, Class M3 FRN | 75,000 | 73,756 | ||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M1 FRN (b) | 45,472 | 44,976 |
Principal Amount | Value | |||||||
Merrill Lynch Mortgage Synthetic, Series 2005-ACR1, Class M2 FRN (b) | $ | 100,000 | $ | 89,885 | ||||
Morgan Stanley Capital, Inc., Series 2005-WMC6, Class M2 FRN | 22,829 | 22,916 | ||||||
Morgan Stanley Home Equity Loan Trust, Series 2005-3, Class M1 FRN | 15,510 | 15,503 | ||||||
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D FRN | 66,308 | 65,978 | ||||||
Park Place Securities, Inc., | 19,601 | 19,511 | ||||||
Park Place Securities, Inc., Series 2005-WCW3, Class A2C FRN | 13,403 | 13,329 | ||||||
Park Place Securities, Inc., | 13,794 | 13,769 | ||||||
Security National Mortgage Loan Trust, Series 2006-3A, Class A1 FRN (b) | 27,414 | 27,378 | ||||||
Structured Asset Investment Loan Trust, Series 2005-7, Class A5 FRN | 9,213 | 9,188 | ||||||
|
| |||||||
737,869 | ||||||||
|
| |||||||
Other ABS — 3.5% | ||||||||
321 Henderson Receivables I LLC, Series 2015-1A, Class A (b) | 49,263 | 49,074 | ||||||
ALM XIV Ltd., Series 2014-14A, | 250,000 | 248,576 | ||||||
Alterna Funding I LLC, Series 2014-1A, Class NOTE (b) | 59,297 | 59,093 | ||||||
Applebee’s/IHOP Funding LLC, Series 2014-1, Class A2 (b) | 90,000 | 92,081 | ||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class A FRN (b) | 250,000 | 248,037 | ||||||
BCC Funding VIII LLC, Series 2014-1A, Class A (b) | 37,781 | 37,798 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (b) | 87,311 | 87,459 | ||||||
Citi Held For Asset Issuance, | 86,193 | 86,166 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Citigroup Mortgage Loan Trust, Series 2006-SHL1, Class A1 FRN (b) | $ | 44,479 | $ | 44,242 | ||||
CKE Restaurant Holdings, Inc., | 48,125 | 49,674 | ||||||
CLI Funding V LLC, Series 2014-1A, Class A (b) | 86,749 | 88,092 | ||||||
DB Master Finance LLC, Series 2015-1A, Class A2I (b) | 59,700 | 60,222 | ||||||
Diamond Resorts Owner Trust, | 61,912 | 62,320 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (b) | 96,625 | 99,861 | ||||||
Dryden XXXI Senior Loan Fund, Series 2014-31A, Class A FRN (b) | 250,000 | 247,851 | ||||||
Eaton Vance CLO, Series 2014-1A, | 250,000 | 248,412 | ||||||
Element Rail Leasing II LLC, | 92,670 | 92,883 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (b) | 91,807 | 92,918 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF4, Class M1 FRN | 18,161 | 18,113 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A FRN (b) | 250,000 | 246,275 | ||||||
Hilton Grand Vacations Trust, | 52,515 | 53,034 | ||||||
Icon Brand Holdings LLC, Series 2012-1A, Class A (b) | 41,165 | 41,755 | ||||||
Icon Brand Holdings LLC, Series 2013-1A, Class A (b) | 42,584 | 43,292 | ||||||
LCM Ltd., Series 16A, Class A FRN (b) | 250,000 | 248,887 | ||||||
Madison Park Funding XII Ltd., Series 2014-12A, Class A FRN (b) | 250,000 | 248,984 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (b) | 82,680 | 83,027 |
Principal Amount | Value | |||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4 FRN | $ | 82,467 | $ | 81,747 | ||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (b) | 44,036 | 44,051 | ||||||
Oak Hill Credit Partners VIII Ltd., Series 2013-8A, Class A FRN (b) | 200,000 | 197,192 | ||||||
SBA Tower Trust, Series 2014-1A, Class C STEP (b) | 100,000 | 100,319 | ||||||
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (b) | 17,658 | 17,858 | ||||||
Sierra Receivables Funding Co. LLC, Series 2011-1A, Class A (b) | 12,547 | 12,602 | ||||||
Sonic Capital LLC, Series 2011-1A, Class A2 (b) | 54,335 | 57,120 | ||||||
Specialty Underwriting & Residential Finance Trust, Series 2005-AB2, Class M1 FRN | 40,000 | 39,219 | ||||||
Springleaf Funding Trust, Series 2013-AA, Class A (b) | 36,007 | 36,030 | ||||||
Store Master Funding I LLC, | 99,792 | 100,618 | ||||||
SVO VOI Mortgage LLC, | 49,054 | 49,127 | ||||||
TAL Advantage LLC, | 23,333 | 23,311 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (b) | 51,069 | 54,199 | ||||||
Welk Resorts LLC, Series 2015-AA, Class A (b) | 46,998 | 47,399 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2I (b) | 120,000 | 121,350 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2II (b) | 100,000 | 101,813 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A23 (b) | 75,000 | 76,547 | ||||||
|
| |||||||
4,138,628 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Student Loans ABS — 1.2% | ||||||||
Access Group, Inc., Series 2007-A, Class A2 FRN | $ | 2,701 | $ | 2,698 | ||||
Access Group, Inc., Series 2003-A, Class A3 FRN | 27,755 | 25,013 | ||||||
Access Group, Inc., Series 2015-1, Class B FRN (b) | 100,000 | 84,435 | ||||||
College Loan Corp. Trust, Series 2007-1, Class B2 FRN | 35,000 | 29,400 | ||||||
College Loan Corp. Trust I, Series 2002-1, Class A5 FRN (b) | 50,000 | 46,200 | ||||||
College Loan Corp. Trust I, Series 2002-2, Class A29 FRN (b) | 50,000 | 48,663 | ||||||
College Loan Corp. Trust I, Series 2003-1, Class A6 FRN (b) | 100,000 | 97,803 | ||||||
EdLinc Student Loan Funding Trust, Series 2012-1, Class B FRN (b) | 65,000 | 73,338 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A6 FRN | 50,000 | 49,285 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class A4 FRN | 50,000 | 49,899 | ||||||
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN | 50,000 | 46,629 | ||||||
Education Loan Asset-Backed Trust I, Series 2003-2, Class 2A1 FRN (b) | 50,000 | 46,927 | ||||||
Goal Capital Funding Trust, Series 2007-1, Class C1 FRN | 13,532 | 13,531 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1 FRN | 94,480 | 93,984 | ||||||
KeyCorp Student Loan Trust, | 40,371 | 40,165 | ||||||
National Collegiate Student Loan Trust, Series 2007-1, Class A2 FRN | 49,755 | 49,429 | ||||||
National Collegiate Student Loan Trust, Series 2006-3, Class A3 FRN | 82,927 | 82,163 |
Principal Amount | Value | |||||||
National Collegiate Student Loan Trust, Series 2005-1, Class A4 FRN | $ | 42,086 | $ | 41,345 | ||||
Navient Student Loan Trust, | 40,000 | 35,361 | ||||||
Nelnet Student Loan Trust, Series 2008-3, | 100,000 | 100,374 | ||||||
Securitized Asset Backed Receivables LLC, Series 2005-HE1, | 42,927 | 42,630 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class C FRN | 100,000 | 88,711 | ||||||
SLM Student Loan Trust, Series 2006-10, Class B FRN | 81,554 | 66,191 | ||||||
SLM Student Loan Trust, Series 2004-6, Class B FRN | 100,000 | 99,904 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A9 FRN | 50,000 | 49,148 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7 FRN | 50,000 | 49,541 | ||||||
|
| |||||||
1,452,767 | ||||||||
|
| |||||||
WL Collateral CMO — 0.2% | ||||||||
Connecticut Avenue Securities, Series 2015-C03, Class 1M1 | 128,488 | 128,613 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1 FRN | 5,835 | 5,668 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1 FRN | 2,062 | 1,925 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1 FRN | 5,098 | 4,856 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A FRN | 20,095 | 16,623 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2 FRN | 9,558 | 9,408 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA FRN | 2,687 | 2,544 |
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 | |||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA FRN | $ | 1,597 | $ | 1,564 | ||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A FRN | 75 | 76 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A FRN | 12,308 | 12,324 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, | 27,470 | 26,727 | ||||||
|
| |||||||
210,328 | ||||||||
|
| |||||||
WL Collateral PAC — 0.0% | ||||||||
Structured Asset Securities Corp., Series 2007-BC4, Class A3 FRN | 15,024 | 14,921 | ||||||
Structured Asset Securities Corp., Series 2002-11A, Class 2A1 FRN | 7,553 | 7,235 | ||||||
|
| |||||||
22,156 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $9,310,728) | 9,303,558 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.3% | ||||||||
Colombia Government International Bond | 40,000 | 45,300 | ||||||
Export-Import Bank of Korea | 10,000 | 9,955 | ||||||
Peruvian Government International Bond | 20,000 | 22,950 | ||||||
Poland Government International Bond | 50,000 | 57,883 | ||||||
Province of Quebec Canada | 20,000 | 29,621 | ||||||
Republic of Brazil International Bond | 65,000 | 52,650 | ||||||
Republic of Turkey International Bond | 19,000 | 15,818 | ||||||
United Mexican States | 91,000 | 83,037 | ||||||
United Mexican States | 35,000 | 38,500 | ||||||
United Mexican States | 35,000 | 41,825 | ||||||
|
| |||||||
397,539 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $408,598) | 397,539 | |||||||
|
|
Principal Amount | Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 9.0% | ||||||||
Collateralized Mortgage Obligations — 0.9% | ||||||||
Federal Home Loan Mortgage Corp. | $ | 192,644 | $ | 200,228 | ||||
Series 4290, Class CA | 108,977 | 115,318 | ||||||
Series 2617, Class Z | 92,062 | 102,816 | ||||||
Series 2693, Class Z | 161,006 | 180,861 | ||||||
Series 3423, Class PB | 30,000 | 34,306 | ||||||
Federal National Mortgage Association | 61,233 | 65,650 | ||||||
Series 2014-48, Class AB | 151,354 | 161,934 | ||||||
Series 2007-32, Class Z | 54,841 | 61,327 | ||||||
Series 2010-60, Class HJ | 31,872 | 35,444 | ||||||
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA | 47,318 | 51,973 | ||||||
U.S. Department of Veteran Affairs Series 1992-1, Class 2Z | 37,904 | 42,729 | ||||||
|
| |||||||
1,052,586 | ||||||||
|
| |||||||
Pass-Through Securities — 8.1% | ||||||||
Federal Home Loan Mortgage Corp. | 16,196 | 17,848 | ||||||
Pool #E85389 6.000% | 1,945 | 1,987 | ||||||
Pool #G11431 6.000% | 787 | 813 | ||||||
Pool #E85015 6.500% | 592 | 605 | ||||||
Pool #G00729 8.000% | 19,510 | 23,466 | ||||||
Pool #554904 9.000% | 39 | 41 | ||||||
Federal Home Loan Mortgage Corp. TBA | 675,000 | 718,453 | ||||||
Federal National Mortgage Association | 19,803 | 21,029 | ||||||
Pool #888586 2.411% | 34,097 | 36,304 |
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 | |||||||
Pool #890564 3.000% | $ | 162,101 | $ | 165,469 | ||||
Pool #AB8527 3.500% | 96,864 | 101,317 | ||||||
Pool #AR8708 3.500% | 49,155 | 51,415 | ||||||
Pool #AT4050 3.500% | 61,805 | 64,647 | ||||||
Pool #MA1463 3.500% | 160,744 | 168,135 | ||||||
Pool #AB6261 4.000% | 409,893 | 441,852 | ||||||
Pool #564594 7.000% | 7,895 | 9,228 | ||||||
Pool #253795 7.000% | 7,150 | 8,420 | ||||||
Pool #507061 7.500% | 814 | 969 | ||||||
Pool #531196 7.500% | 947 | 1,136 | ||||||
Pool #527761 7.500% | 1,748 | 2,014 | ||||||
Pool #534119 7.500% | 245 | 294 | ||||||
Pool #534420 7.500% | 663 | 796 | ||||||
Pool #253183 7.500% | 2,772 | 3,314 | ||||||
Pool #253265 7.500% | 1,983 | 2,352 | ||||||
Pool #535248 8.000% | 183 | 222 | ||||||
Pool #539460 8.000% | 1,229 | 1,506 | ||||||
Pool #546988 8.000% | 187 | 188 | ||||||
Pool #190317 8.000% | 2,146 | 2,609 | ||||||
Federal National Mortgage Association TBA | 875,000 | 857,227 | ||||||
Pool #9768 3.000% | 1,634,000 | 1,655,701 | ||||||
Pool #17115 3.500% | 225,000 | 234,668 | ||||||
Pool #18388 4.000% | 25,000 | 26,664 | ||||||
Government National Mortgage Association | 224,919 | 236,033 | ||||||
Pool #784026 3.500% | 59,774 | 62,739 |
Principal Amount | Value | |||||||
Pool #351528 7.000% | $ | 3,884 | $ | 4,133 | ||||
Pool #352049 7.000% | 1,056 | 1,202 | ||||||
Pool #588012 7.000% | 3,371 | 4,006 | ||||||
Pool #591581 7.000% | 2,911 | 3,464 | ||||||
Pool #189371 7.500% | 492 | 507 | ||||||
Government National Mortgage Association II | 31,864 | 33,122 | ||||||
Pool #82462 2.500% | 28,341 | 29,426 | ||||||
Government National Mortgage Association II TBA | 600,000 | 628,500 | ||||||
Pool #1367 4.000% | 600,000 | 639,094 | ||||||
Pool #1523 4.500% | 1,375,000 | 1,477,266 | ||||||
Government National Mortgage Association TBA | 1,925,000 | 1,964,102 | ||||||
|
| |||||||
9,704,283 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $10,682,173) | 10,756,869 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.2% | ||||||||
U.S. Treasury Bonds & Notes — 0.2% | ||||||||
U.S. Treasury Bond | 130,000 | 132,779 | ||||||
U.S. Treasury Bond | 20,000 | 22,568 | ||||||
U.S. Treasury Note (d) | 120,000 | 120,091 | ||||||
|
| |||||||
275,438 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $274,420) | 275,438 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $41,166,738) | 41,125,807 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
154
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 8.3% | ||||||||
Diversified Financial — 8.3% | ||||||||
iShares China Large-Cap ETF | 1,300 | $ | 46,111 | |||||
iShares MSCI Australia Index Fund | 2,900 | 51,968 | ||||||
iShares MSCI EAFE Index Fund | 73,430 | 4,209,007 | ||||||
iShares MSCI France Index Fund | 5,200 | 125,164 | ||||||
iShares MSCI Germany Index Fund | 4,500 | 111,330 | ||||||
iShares MSCI Hong Kong Index Fund | 2,000 | 38,240 | ||||||
iShares MSCI Italy Capped Index Fund | 700 | 10,024 | ||||||
iShares MSCI Japan Index Fund | 24,700 | 282,321 | ||||||
iShares MSCI Netherlands Investable Market Index Fund | 3,500 | 81,900 | ||||||
iShares MSCI South Africa ETF | 600 | 32,208 | ||||||
iShares MSCI Spain Index Fund | 1,500 | 44,490 | ||||||
iShares MSCI Sweden Index Fund | 2,000 | 58,060 | ||||||
iShares MSCI Switzerland Capped Index Fund | 5,400 | 165,186 | ||||||
iShares MSCI United Kingdom ETF | 10,800 | 177,012 | ||||||
Vanguard FTSE Developed Markets ETF | 74,840 | 2,667,298 | ||||||
Vanguard MSCI Emerging Markets ETF | 55,800 | 1,846,422 | ||||||
|
| |||||||
9,946,741 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $10,807,926) | 9,946,741 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Cyclical — 0.0% | ||||||||
Auto Manufacturers — 0.0% | ||||||||
Safeway Casa Ley Contingent Value (a) (e) | 3,821 | 3,859 | ||||||
Safeway PDC LLC Contingent Value (a) (e) | 3,821 | 191 | ||||||
|
| |||||||
4,050 | ||||||||
|
| |||||||
TOTAL RIGHTS (Cost $4,050) | 4,050 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $118,269,827) | 114,275,326 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 12.2% | ||||||||
Commercial Paper — 10.8% | ||||||||
Amphenol Corp. (b) | $ | 519,000 | 519,001 | |||||
Bell Canada (b) | 750,000 | 749,822 |
Principal Amount | Value | |||||||
CBS Corp. (b) | $ | 547,000 | $ | 546,848 | ||||
Commonwealth Edison Co. (b) | 780,000 | 779,762 | ||||||
EnCana Corp. (b) | 750,000 | 750,000 | ||||||
EnCana Corp. (b) | 589,000 | 588,956 | ||||||
Equifax, Inc. (b) | 767,000 | 766,966 | ||||||
ERAC USA Finance LLC (b) | 574,000 | 573,860 | ||||||
Eversource Energy (b) | 600,000 | 599,924 | ||||||
FMC Technologies, Inc. (b) | 750,000 | 750,000 | ||||||
Hyundai Capital America (b) | 600,000 | 599,954 | ||||||
Mohawk Industries, Inc. (b) | 465,000 | 464,995 | ||||||
Nabors Industries, Inc. (b) | 581,000 | 580,993 | ||||||
Nabors Industries, Inc. (b) | 1,000,000 | 999,942 | ||||||
Ryder System, Inc. | 1,000,000 | 999,800 | ||||||
Spectra Energy Capital LLC (b) | 1,000,000 | 999,860 | ||||||
Volvo Group Treasury National (b) | 758,000 | 757,788 | ||||||
WPP CP LLC (b) | 834,000 | 833,779 | ||||||
|
| |||||||
12,862,250 | ||||||||
|
| |||||||
Repurchase Agreement — 1.4% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/15, 0.010%, due 10/01/15 (f) | 1,729,175 | 1,729,175 | ||||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 237 | 237 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $14,591,662) | 14,591,662 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 107.7% (Cost $132,861,489) (g) | 128,866,988 | |||||||
Other Assets/(Liabilities) — (7.7)% | (9,164,758 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 119,702,230 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
155
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
ABS | Asset-Backed Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
ETF | Exchange-Traded Fund |
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) | 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, 2015, these securities amounted to a value of $20,378,477 or 17.02% of net assets. |
(c) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(d) | A portion of this security is held as collateral for open futures contracts. (Note 2). |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2015, these securities amounted to a value of $4,050 or 0.00% of net assets. |
(f) | Maturity value of $1,729,176. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 10/31/21, and an aggregate market value, including accrued interest, of $1,765,150. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
156
Table of Contents
MassMutual Premier Value Fund – Portfolio of Investments
September 30, 2015
Number of Shares | Value | |||||||
EQUITIES — 98.7% | ||||||||
COMMON STOCK — 98.7% | ||||||||
Basic Materials — 1.4% | ||||||||
Chemicals — 1.0% | ||||||||
Eastman Chemical Co. | 5,460 | $ | 353,370 | |||||
LyondellBasell Industries NV Class A | 3,758 | 313,267 | ||||||
|
| |||||||
666,637 | ||||||||
|
| |||||||
Foods — 0.4% | ||||||||
BHP Billiton Ltd. Sponsored ADR (Australia) (a) | 7,460 | 235,885 | ||||||
|
| |||||||
902,522 | ||||||||
|
| |||||||
Communications — 5.4% | ||||||||
Internet — 1.0% | ||||||||
Alphabet, Inc. Class A (b) | 1,020 | 651,137 | ||||||
|
| |||||||
Media — 2.8% | ||||||||
CBS Corp. Class B | 5,570 | 222,243 | ||||||
DISH Network Corp. Class A (b) | 11,720 | 683,745 | ||||||
The Walt Disney Co. | 8,940 | 913,668 | ||||||
|
| |||||||
1,819,656 | ||||||||
|
| |||||||
Telecommunications — 1.6% | ||||||||
T-Mobile US, Inc. (b) | 9,380 | 373,418 | ||||||
Verizon Communications, Inc. | 15,885 | 691,156 | ||||||
|
| |||||||
1,064,574 | ||||||||
|
| |||||||
3,535,367 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.3% | ||||||||
Airlines — 0.6% | ||||||||
Delta Air Lines, Inc. | 8,279 | 371,479 | ||||||
|
| |||||||
Auto Manufacturers — 0.8% | ||||||||
Ford Motor Co. | 40,760 | 553,113 | ||||||
|
| |||||||
Automotive & Parts — 1.5% | ||||||||
Johnson Controls, Inc. | 23,020 | 952,107 | ||||||
|
| |||||||
Entertainment — 0.7% | ||||||||
Cinemark Holdings, Inc. | 14,168 | 460,318 | ||||||
|
| |||||||
Home Builders — 0.5% | ||||||||
Lennar Corp. Class A | 7,410 | 356,643 | ||||||
|
| |||||||
Home Furnishing — 0.3% | ||||||||
Whirlpool Corp. | 1,230 | 181,130 | ||||||
|
| |||||||
Household Products — 1.3% | ||||||||
Reckitt Benckiser Group PLC Sponsored ADR (United Kingdom) | 46,611 | 850,651 | ||||||
|
| |||||||
Housewares — 0.3% | ||||||||
Newell Rubbermaid, Inc. | 4,815 | 191,204 | ||||||
|
| |||||||
Leisure Time — 1.7% | ||||||||
Carnival Corp. | 22,040 | 1,095,388 | ||||||
|
| |||||||
Retail — 3.6% | ||||||||
Costco Wholesale Corp. | 3,526 | 509,754 |
Number of Shares | Value | |||||||
Kohl’s Corp. | 19,210 | $ | 889,615 | |||||
Wal-Mart Stores, Inc. | 6,080 | 394,227 | ||||||
Walgreens Boots Alliance, Inc. | 6,750 | 560,925 | ||||||
|
| |||||||
2,354,521 | ||||||||
|
| |||||||
7,366,554 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 21.1% | ||||||||
Agriculture — 1.3% | ||||||||
Philip Morris International, Inc. | 4,920 | 390,304 | ||||||
Reynolds American, Inc. | 9,640 | 426,763 | ||||||
|
| |||||||
817,067 | ||||||||
|
| |||||||
Beverages — 2.1% | ||||||||
The Coca-Cola Co. | 12,040 | 483,045 | ||||||
PepsiCo, Inc. | 9,077 | 855,961 | ||||||
|
| |||||||
1,339,006 | ||||||||
|
| |||||||
Biotechnology — 1.3% | ||||||||
Amgen, Inc. | 3,674 | 508,188 | ||||||
Gilead Sciences, Inc. | 3,750 | 368,212 | ||||||
|
| |||||||
876,400 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.6% | ||||||||
The Procter & Gamble Co. | 5,180 | 372,649 | ||||||
|
| |||||||
Foods — 0.9% | ||||||||
The Kraft Heinz Co. | 8,700 | 614,046 | ||||||
|
| |||||||
Health Care – Products — 0.3% | ||||||||
Baxter International, Inc. | 6,812 | 223,774 | ||||||
|
| |||||||
Health Care – Services — 3.9% | ||||||||
HCA Holdings, Inc. (b) | 6,240 | 482,726 | ||||||
Thermo Fisher Scientific, Inc. | 4,430 | 541,701 | ||||||
UnitedHealth Group, Inc. | 13,320 | 1,545,253 | ||||||
|
| |||||||
2,569,680 | ||||||||
|
| |||||||
Pharmaceuticals — 10.7% | ||||||||
Baxalta, Inc. | 9,262 | 291,846 | ||||||
Cardinal Health, Inc. | 16,380 | 1,258,312 | ||||||
Eli Lilly & Co. | 12,610 | 1,055,331 | ||||||
Merck & Co., Inc. | 11,091 | 547,784 | ||||||
Pfizer, Inc. | 57,020 | 1,790,998 | ||||||
Quintiles Transnational Holdings, Inc. (b) | 6,240 | 434,117 | ||||||
Roche Holding AG Sponsored ADR (Switzerland) | 13,494 | 444,627 | ||||||
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel) | 21,410 | 1,208,809 | ||||||
|
| |||||||
7,031,824 | ||||||||
|
| |||||||
13,844,446 | ||||||||
|
| |||||||
Energy — 9.9% | ||||||||
Oil & Gas — 8.0% | ||||||||
Anadarko Petroleum Corp. | 13,650 | 824,323 | ||||||
Apache Corp. | 7,130 | 279,211 |
The accompanying notes are an integral part of the financial statements.
157
Table of Contents
MassMutual Premier Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
BP PLC Sponsored ADR | 23,500 | $ | 718,160 | |||||
Chesapeake Energy Corp. (a) | 43,430 | 318,342 | ||||||
ConocoPhillips | 13,120 | 629,235 | ||||||
Occidental Petroleum Corp. | 6,565 | 434,275 | ||||||
Phillips 66 | 6,440 | 494,850 | ||||||
Suncor Energy, Inc. | 57,030 | 1,523,842 | ||||||
|
| |||||||
5,222,238 | ||||||||
|
| |||||||
Oil & Gas Services — 1.0% | ||||||||
Schlumberger Ltd. | 8,958 | 617,833 | ||||||
|
| |||||||
Pipelines — 0.9% | ||||||||
Enbridge, Inc. | 16,460 | 611,160 | ||||||
|
| |||||||
6,451,231 | ||||||||
|
| |||||||
Financial — 22.9% | ||||||||
Banks — 4.2% | ||||||||
Bank of America Corp. | 54,380 | 847,240 | ||||||
Capital One Financial Corp. | 7,298 | 529,251 | ||||||
Intesa Sanpaolo SpA Sponsored ADR (Italy) | 19,800 | 421,146 | ||||||
State Street Corp. | 2,300 | 154,583 | ||||||
Zions Bancorp | 29,917 | 823,914 | ||||||
|
| |||||||
2,776,134 | ||||||||
|
| |||||||
Diversified Financial — 13.0% | ||||||||
Ally Financial, Inc. (b) | 68,160 | 1,389,101 | ||||||
Citigroup, Inc. | 45,980 | 2,281,068 | ||||||
The Goldman Sachs Group, Inc. | 6,008 | 1,043,950 | ||||||
Invesco Ltd. | 7,733 | 241,502 | ||||||
JP Morgan Chase & Co. | 33,570 | 2,046,763 | ||||||
Morgan Stanley | 35,517 | 1,118,785 | ||||||
T. Rowe Price Group, Inc. | 5,119 | 355,770 | ||||||
|
| |||||||
8,476,939 | ||||||||
|
| |||||||
Insurance — 4.2% | ||||||||
American International Group, Inc. | 30,380 | 1,726,192 | ||||||
Aon PLC | 8,348 | 739,716 | ||||||
Genworth Financial, Inc. Class A (b) | 58,790 | 271,610 | ||||||
|
| |||||||
2,737,518 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.5% | ||||||||
Equity Residential | 5,635 | 423,301 | ||||||
Public Storage | 2,647 | 560,185 | ||||||
|
| |||||||
983,486 | ||||||||
|
| |||||||
14,974,077 | ||||||||
|
| |||||||
Industrial — 11.1% | ||||||||
Aerospace & Defense — 1.1% | ||||||||
Lockheed Martin Corp. | 3,590 | 744,243 | ||||||
|
| |||||||
Building Materials — 0.8% | ||||||||
Louisiana-Pacific Corp. (b) | 38,920 | 554,221 | ||||||
|
| |||||||
Electronics — 1.6% | ||||||||
TE Connectivity Ltd. | 16,963 | 1,015,914 | ||||||
|
|
Number of Shares | Value | |||||||
Environmental Controls — 1.0% | ||||||||
Waste Management, Inc. | 13,643 | $ | 679,558 | |||||
|
| |||||||
Machinery – Construction & Mining — 0.7% | ||||||||
Caterpillar, Inc. | 6,914 | 451,899 | ||||||
|
| |||||||
Manufacturing — 3.8% | ||||||||
Danaher Corp. | 16,105 | 1,372,307 | ||||||
Eaton Corp. PLC | 15,820 | 811,566 | ||||||
Parker Hannifin Corp. | 3,294 | 320,506 | ||||||
|
| |||||||
2,504,379 | ||||||||
|
| |||||||
Transportation — 2.1% | ||||||||
CSX Corp. | 28,420 | 764,498 | ||||||
FedEx Corp. | 4,060 | 584,559 | ||||||
|
| |||||||
1,349,057 | ||||||||
|
| |||||||
7,299,271 | ||||||||
|
| |||||||
Technology — 11.3% | ||||||||
Computers — 3.6% | ||||||||
Apple, Inc. | 4,464 | 492,379 | ||||||
International Business Machines Corp. | 4,130 | 598,726 | ||||||
SanDisk Corp. | 7,476 | 406,171 | ||||||
Synopsys, Inc. (b) | 13,479 | 622,461 | ||||||
Western Digital Corp. | 3,364 | 267,236 | ||||||
|
| |||||||
2,386,973 | ||||||||
|
| |||||||
Internet — 0.7% | ||||||||
Check Point Software Technologies Ltd. (b) | 6,182 | 490,418 | ||||||
|
| |||||||
Semiconductors — 4.4% | ||||||||
Broadcom Corp. Class A | 23,122 | 1,189,164 | ||||||
Intel Corp. | 27,593 | 831,653 | ||||||
Micron Technology, Inc. (b) | 27,815 | 416,669 | ||||||
Texas Instruments, Inc. | 8,450 | 418,444 | ||||||
|
| |||||||
2,855,930 | ||||||||
|
| |||||||
Software — 2.6% | ||||||||
Microsoft Corp. | 23,298 | 1,031,170 | ||||||
Oracle Corp. | 18,411 | 665,005 | ||||||
|
| |||||||
1,696,175 | ||||||||
|
| |||||||
7,429,496 | ||||||||
|
| |||||||
Utilities — 4.3% | ||||||||
Electric — 4.3% | ||||||||
Edison International | 26,383 | 1,663,976 | ||||||
NextEra Energy, Inc. | 3,990 | 389,224 | ||||||
PG&E Corp. | 7,360 | 388,608 | ||||||
WEC Energy Group, Inc. | 7,690 | 401,572 | ||||||
|
| |||||||
2,843,380 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $64,423,026) | 64,646,344 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $64,423,026) | 64,646,344 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
158
Table of Contents
MassMutual Premier Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 0.9% | ||||||||
Diversified Financial — 0.9% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 562,475 | $ | 562,475 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $562,475) | 562,475 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $64,985,501) | 65,208,819 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.1% | ||||||||
Repurchase Agreement — 1.1% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/15, 0.010%, due 10/01/15 (d) | $ | 703,966 | 703,966 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $703,966) | 703,966 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.7% (Cost $65,689,467) (e) | 65,912,785 | |||||||
Other Assets/(Liabilities) — (0.7)% | (448,509 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 65,464,276 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
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, 2015, was $548,667 or 0.84% 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). |
(b) | Non-income producing security. |
(c) | Represents investment of security lending collateral. (Note 2). |
(d) | Maturity value of $703,966. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 1/31/22, and an aggregate market value, including accrued interest, of $722,700. |
(e) | 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 Disciplined Value Fund – Portfolio of Investments
September 30, 2015
Number of Shares | Value | |||||||
EQUITIES — 99.4% | ||||||||
COMMON STOCK — 99.4% | ||||||||
Basic Materials — 2.0% | ||||||||
Chemicals — 1.4% | ||||||||
Albemarle Corp. | 2,400 | $ | 105,840 | |||||
Ashland, Inc. | 3,850 | 387,386 | ||||||
Cabot Corp. | 5,600 | 176,736 | ||||||
Celanese Corp. Series A | 5,300 | 313,601 | ||||||
The Chemours Co. | 19,236 | 124,457 | ||||||
Cytec Industries, Inc. | 80 | 5,908 | ||||||
The Dow Chemical Co. | 32,910 | 1,395,384 | ||||||
Eastman Chemical Co. | 9,800 | 634,256 | ||||||
EI du Pont de Nemours & Co. | 2,200 | 106,040 | ||||||
Huntsman Corp. | 29,700 | 287,793 | ||||||
The Mosaic Co. | 11,600 | 360,876 | ||||||
Sigma-Aldrich Corp. | 1,230 | 170,872 | ||||||
Westlake Chemical Corp. | 60 | 3,113 | ||||||
|
| |||||||
4,072,262 | ||||||||
|
| |||||||
Forest Products & Paper — 0.3% | ||||||||
Domtar Corp. | 13,200 | 471,900 | ||||||
International Paper Co. | 8,000 | 302,320 | ||||||
|
| |||||||
774,220 | ||||||||
|
| |||||||
Iron & Steel — 0.2% | ||||||||
Nucor Corp. | 14,900 | 559,495 | ||||||
Steel Dynamics, Inc. | 8,800 | 151,184 | ||||||
United States Steel Corp. | 90 | 938 | ||||||
|
| |||||||
711,617 | ||||||||
|
| |||||||
Mining — 0.1% | ||||||||
Freeport-McMoRan, Inc. | 31 | 300 | ||||||
Newmont Mining Corp. | 2,400 | 38,568 | ||||||
Royal Gold, Inc. | 300 | 14,094 | ||||||
Vulcan Materials Co. | 2,500 | 223,000 | ||||||
|
| |||||||
275,962 | ||||||||
|
| |||||||
5,834,061 | ||||||||
|
| |||||||
Communications — 7.3% | ||||||||
Internet — 0.3% | ||||||||
Liberty Interactive Corp. Class A (a) | 14,400 | 377,712 | ||||||
Symantec Corp. | 19,900 | 387,453 | ||||||
|
| |||||||
765,165 | ||||||||
|
| |||||||
Media — 1.4% | ||||||||
Cablevision Systems Corp. Class A | 35,200 | 1,142,944 | ||||||
Comcast Corp. Class A | 6,300 | 358,344 | ||||||
DISH Network Corp. Class A (a) | 11,600 | 676,744 | ||||||
Gannett Co., Inc. | 9,277 | 136,650 | ||||||
Graham Holdings Co. Class B | 856 | 493,912 | ||||||
John Wiley & Sons, Inc. Class A | 1,400 | 70,042 | ||||||
Liberty Broadband Corp. Class A (a) | 87 | 4,475 | ||||||
Liberty Media Corp. Class A (a) | 350 | 12,502 | ||||||
News Corp. Class A | 2,300 | 29,026 |
Number of Shares | Value | |||||||
TEGNA, Inc. | 18,555 | $ | 415,447 | |||||
Thomson Reuters Corp. | 5,300 | 213,378 | ||||||
Time Warner, Inc. | 5,190 | 356,813 | ||||||
Tribune Media Co. | 2,900 | 103,240 | ||||||
Twenty-First Century Fox Class A | 6,500 | 175,370 | ||||||
|
| |||||||
4,188,887 | ||||||||
|
| |||||||
Telecommunications — 5.6% | ||||||||
AT&T, Inc. | 183,314 | 5,972,370 | ||||||
CenturyLink, Inc. | 23,407 | 587,984 | ||||||
Cisco Systems, Inc. | 204,300 | 5,362,875 | ||||||
CommScope Holding Co., Inc. (a) | 26,900 | 807,807 | ||||||
Corning, Inc. | 43,200 | 739,584 | ||||||
EchoStar Corp. Class A (a) | 1,300 | 55,939 | ||||||
Frontier Communications Corp. | 26,189 | 124,398 | ||||||
Harris Corp. | 338 | 24,725 | ||||||
Juniper Networks, Inc. | 31,000 | 797,010 | ||||||
Level 3 Communications, Inc. (a) | 8,700 | 380,103 | ||||||
QUALCOMM, Inc. | 10,100 | 542,673 | ||||||
T-Mobile US, Inc. (a) | 5,250 | 209,002 | ||||||
Telephone & Data Systems, Inc. | 17,818 | 444,737 | ||||||
Verizon Communications, Inc. | 11,300 | 491,663 | ||||||
|
| |||||||
16,540,870 | ||||||||
|
| |||||||
21,494,922 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.7% | ||||||||
Airlines — 0.5% | ||||||||
Copa Holdings SA Class A | 2,100 | 88,053 | ||||||
JetBlue Airways Corp. (a) | 55,100 | 1,419,927 | ||||||
|
| |||||||
1,507,980 | ||||||||
|
| |||||||
Auto Manufacturers — 1.5% | ||||||||
Ford Motor Co. | 158,800 | 2,154,916 | ||||||
General Motors Co. | 56,000 | 1,681,120 | ||||||
Paccar, Inc. | 9,200 | 479,964 | ||||||
|
| |||||||
4,316,000 | ||||||||
|
| |||||||
Automotive & Parts — 0.5% | ||||||||
Allison Transmission Holdings, Inc. | 6,500 | 173,485 | ||||||
The Goodyear Tire & Rubber Co. | 26,900 | 788,977 | ||||||
Johnson Controls, Inc. | 400 | 16,544 | ||||||
Lear Corp. | 4,210 | 457,964 | ||||||
|
| |||||||
1,436,970 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.0% | ||||||||
Genuine Parts Co. | 200 | 16,578 | ||||||
WESCO International, Inc. (a) | 1,200 | 55,764 | ||||||
|
| |||||||
72,342 | ||||||||
|
| |||||||
Entertainment — 0.0% | ||||||||
Gaming and Leisure Properties, Inc. | 76 | 2,257 | ||||||
|
| |||||||
Home Builders — 0.2% | ||||||||
Lennar Corp. | 9,800 | 388,080 | ||||||
Lennar Corp. Class A | 2,600 | 125,138 | ||||||
|
| |||||||
513,218 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
160
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Home Furnishing — 0.1% | ||||||||
Whirlpool Corp. | 2,850 | $ | 419,691 | |||||
|
| |||||||
Housewares — 0.0% | ||||||||
Newell Rubbermaid, Inc. | 900 | 35,739 | ||||||
|
| |||||||
Leisure Time — 0.3% | ||||||||
Carnival Corp. | 11,600 | 576,520 | ||||||
Royal Caribbean Cruises Ltd. | 4,300 | 383,087 | ||||||
|
| |||||||
959,607 | ||||||||
|
| |||||||
Lodging — 0.0% | ||||||||
Hyatt Hotels Corp. Class A (a) | 100 | 4,710 | ||||||
MGM Resorts International (a) | 2,300 | 42,435 | ||||||
|
| |||||||
47,145 | ||||||||
|
| |||||||
Retail — 3.5% | ||||||||
Best Buy Co., Inc. | 15,900 | 590,208 | ||||||
Coach, Inc. | 15,200 | 439,736 | ||||||
CST Brands, Inc. | 200 | 6,732 | ||||||
CVS Health Corp. | 2,580 | 248,918 | ||||||
Darden Restaurants, Inc. | 15,300 | 1,048,662 | ||||||
Dick’s Sporting Goods, Inc. | 2,800 | 138,908 | ||||||
Dillard’s, Inc. Class A | 1,620 | 141,572 | ||||||
DSW, Inc. Class A | 5,000 | 126,550 | ||||||
Foot Locker, Inc. | 6,200 | 446,214 | ||||||
GameStop Corp. Class A | 24,300 | 1,001,403 | ||||||
J.C. Penney Co., Inc. (a) | 5,500 | 51,095 | ||||||
Kohl’s Corp. | 9,600 | 444,576 | ||||||
Macy’s, Inc. | 3,244 | 166,482 | ||||||
Nu Skin Enterprises, Inc. Class A | 13,200 | 544,896 | ||||||
Office Depot, Inc. (a) | 34,000 | 218,280 | ||||||
PVH Corp. | 7,670 | 781,880 | ||||||
Rite Aid Corp. (a) | 18,700 | 113,509 | ||||||
Staples, Inc. | 28,400 | 333,132 | ||||||
Target Corp. | 21,200 | 1,667,592 | ||||||
Wal-Mart Stores, Inc. | 2,900 | 188,036 | ||||||
Walgreens Boots Alliance, Inc. | 16,000 | 1,329,600 | ||||||
World Fuel Services Corp. | 3,500 | 125,300 | ||||||
|
| |||||||
10,153,281 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 2,000 | 144,280 | ||||||
|
| |||||||
19,608,510 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 18.4% | ||||||||
Agriculture — 1.1% | ||||||||
Altria Group, Inc. | 7,300 | 397,120 | ||||||
Archer-Daniels-Midland Co. | 27,400 | 1,135,730 | ||||||
Bunge Ltd. | 8,300 | 608,390 | ||||||
Philip Morris International, Inc. | 12,700 | 1,007,491 | ||||||
|
| |||||||
3,148,731 | ||||||||
|
| |||||||
Beverages — 0.0% | ||||||||
Molson Coors Brewing Co. Class B | 260 | 21,585 | ||||||
|
|
Number of Shares | Value | |||||||
Biotechnology — 0.3% | ||||||||
Bio-Rad Laboratories, Inc. Class A (a) | 5,840 | $ | 784,370 | |||||
|
| |||||||
Commercial Services — 1.3% | ||||||||
Aaron’s, Inc. | 27,000 | 974,970 | ||||||
The ADT Corp. | 4,600 | 137,540 | ||||||
Automatic Data Processing, Inc. | 4,100 | 329,476 | ||||||
Booz Allen Hamilton Holding Corp. | 6,100 | 159,881 | ||||||
CoreLogic, Inc. (a) | 10,200 | 379,746 | ||||||
Corrections Corporation of America | 705 | 20,826 | ||||||
Donnelley (R.R.) & Sons Co. | 8,900 | 129,584 | ||||||
KAR Auction Services, Inc. | 12,200 | 433,100 | ||||||
Macquarie Infrastructure Corp. | 4,500 | 335,970 | ||||||
Manpower, Inc. | 6,700 | 548,663 | ||||||
Paychex, Inc. | 300 | 14,289 | ||||||
Towers Watson & Co. Class A | 4,090 | 480,084 | ||||||
|
| |||||||
3,944,129 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.5% | ||||||||
Avon Products, Inc. | 8,800 | 28,600 | ||||||
Colgate-Palmolive Co. | 2,600 | 164,996 | ||||||
Edgewell Personal Care Co. | 4,180 | 341,088 | ||||||
The Procter & Gamble Co. | 52,610 | 3,784,763 | ||||||
|
| |||||||
4,319,447 | ||||||||
|
| |||||||
Foods — 1.8% | ||||||||
ConAgra Foods, Inc. | 6,200 | 251,162 | ||||||
Ingredion, Inc. | 2,970 | 259,311 | ||||||
The J.M. Smucker Co. | 1,820 | 207,644 | ||||||
Mondelez International, Inc. Class A | 70,350 | 2,945,554 | ||||||
Pilgrim’s Pride Corp. | 29,600 | 615,088 | ||||||
Pinnacle Foods, Inc. | 21,900 | 917,172 | ||||||
Sysco Corp. | 3,300 | 128,601 | ||||||
Tyson Foods, Inc. Class A | 2,200 | 94,820 | ||||||
|
| |||||||
5,419,352 | ||||||||
|
| |||||||
Health Care – Products — 3.5% | ||||||||
Alere, Inc. (a) | 5,700 | 274,455 | ||||||
Boston Scientific Corp. (a) | 35,500 | 582,555 | ||||||
Johnson & Johnson | 52,190 | 4,871,937 | ||||||
Medtronic PLC | 42,169 | 2,822,793 | ||||||
QIAGEN NV (a) | 6,700 | 172,860 | ||||||
St. Jude Medical, Inc. | 7,900 | 498,411 | ||||||
Stryker Corp. | 7,600 | 715,160 | ||||||
Zimmer Biomet Holdings, Inc. | 5,070 | 476,225 | ||||||
|
| |||||||
10,414,396 | ||||||||
|
| |||||||
Health Care – Services — 1.9% | ||||||||
Aetna, Inc. | 8,701 | 951,976 | ||||||
Anthem, Inc. | 7,650 | 1,071,000 | ||||||
Community Health Systems, Inc. (a) | 14,600 | 624,442 | ||||||
DaVita HealthCare Partners, Inc. (a) | 2,500 | 180,825 | ||||||
HCA Holdings, Inc. (a) | 5,100 | 394,536 | ||||||
Health Net, Inc. (a) | 11,600 | 698,552 |
The accompanying notes are an integral part of the financial statements.
161
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Laboratory Corporation of America Holdings (a) | 1,890 | $ | 205,008 | |||||
LifePoint Health, Inc. (a) | 1,600 | 113,440 | ||||||
MEDNAX, Inc. (a) | 3,100 | 238,049 | ||||||
Quest Diagnostics, Inc. | 7,100 | 436,437 | ||||||
Thermo Fisher Scientific, Inc. | 1,390 | 169,969 | ||||||
UnitedHealth Group, Inc. | 2,850 | 330,629 | ||||||
Universal Health Services, Inc. Class B | 2,190 | 273,334 | ||||||
|
| |||||||
5,688,197 | ||||||||
|
| |||||||
Household Products — 0.5% | ||||||||
Avery Dennison Corp. | 10,200 | 577,014 | ||||||
The Clorox Co. | 4,440 | 512,953 | ||||||
Kimberly-Clark Corp. | 2,860 | 311,855 | ||||||
|
| |||||||
1,401,822 | ||||||||
|
| |||||||
Pharmaceuticals — 6.5% | ||||||||
Abbott Laboratories | 53,100 | 2,135,682 | ||||||
Allergan PLC (a) | 3,730 | 1,013,851 | ||||||
Cardinal Health, Inc. | 2,700 | 207,414 | ||||||
DENTSPLY International, Inc. | 100 | 5,057 | ||||||
Endo International PLC (a) | 9,900 | 685,872 | ||||||
Express Scripts Holding Co. (a) | 5,800 | 469,568 | ||||||
Herbalife Ltd. (a) | 9,000 | 490,500 | ||||||
Mallinckrodt PLC (a) | 7,860 | 502,569 | ||||||
Merck & Co., Inc. | 111,528 | 5,508,368 | ||||||
Mylan NV (a) | 13,900 | 559,614 | ||||||
Perrigo Co. PLC | 1,750 | 275,223 | ||||||
Pfizer, Inc. | 226,113 | 7,102,209 | ||||||
VCA, Inc. (a) | 3,300 | 173,745 | ||||||
VWR Corp. (a) | 300 | 7,707 | ||||||
|
| |||||||
19,137,379 | ||||||||
|
| |||||||
54,279,408 | ||||||||
|
| |||||||
Diversified — 0.1% | ||||||||
Holding Company – Diversified — 0.1% | ||||||||
Leucadia National Corp. | 7,800 | 158,028 | ||||||
|
| |||||||
Energy — 9.7% | ||||||||
Energy – Alternate Sources — 0.2% | ||||||||
First Solar, Inc. (a) | 15,500 | 662,625 | ||||||
|
| |||||||
Oil & Gas — 8.3% | ||||||||
Anadarko Petroleum Corp. | 80 | 4,831 | ||||||
Apache Corp. | 28 | 1,096 | ||||||
California Resources Corp. | 92 | 239 | ||||||
Chevron Corp. | 29,785 | 2,349,441 | ||||||
ConocoPhillips | 48 | 2,302 | ||||||
CVR Energy, Inc. | 21,800 | 894,890 | ||||||
Denbury Resources, Inc. | 14 | 34 | ||||||
Devon Energy Corp. | 6,450 | 239,231 | ||||||
Diamond Offshore Drilling, Inc. | 3,800 | 65,740 | ||||||
Ensco PLC Class A | 28,100 | 395,648 | ||||||
Exxon Mobil Corp. | 138,390 | 10,289,297 | ||||||
Hess Corp. | 4,700 | 235,282 |
Number of Shares | Value | |||||||
Marathon Petroleum Corp. | 37,940 | $ | 1,757,760 | |||||
Murphy Oil Corp. | 6,100 | 147,620 | ||||||
Nabors Industries Ltd. | 5,100 | 48,195 | ||||||
Noble Corp. PLC | 65,200 | 711,332 | ||||||
Noble Energy, Inc. | 80 | 2,414 | ||||||
Occidental Petroleum Corp. | 30 | 1,985 | ||||||
PBF Energy, Inc. Class A | 28,500 | 804,555 | ||||||
Phillips 66 | 21,400 | 1,644,376 | ||||||
Questar Corp. | 6,100 | 118,401 | ||||||
Rowan Cos. PLC Class A | 41,000 | 662,150 | ||||||
Seadrill Ltd. | 71,700 | 423,030 | ||||||
Tesoro Corp. | 14,700 | 1,429,428 | ||||||
Valero Energy Corp. | 38,064 | 2,287,646 | ||||||
WPX Energy, Inc. (a) | 66 | 437 | ||||||
|
| |||||||
24,517,360 | ||||||||
|
| |||||||
Oil & Gas Services — 1.0% | ||||||||
Baker Hughes, Inc. | 3 | 156 | ||||||
Cameron International Corp. (a) | 4,800 | 294,336 | ||||||
Frank’s International NV | 28,900 | 443,037 | ||||||
HollyFrontier Corp. | 14,500 | 708,180 | ||||||
National Oilwell Varco, Inc. | 7,400 | 278,610 | ||||||
NOW, Inc. (a) | 75 | 1,110 | ||||||
Schlumberger Ltd. | 15,900 | 1,096,623 | ||||||
Superior Energy Services, Inc. | 9,400 | 118,722 | ||||||
|
| |||||||
2,940,774 | ||||||||
|
| |||||||
Pipelines — 0.2% | ||||||||
Kinder Morgan, Inc. | 16,500 | 456,720 | ||||||
National Fuel Gas Co. | 1,150 | 57,477 | ||||||
Spectra Energy Corp. | 3,000 | 78,810 | ||||||
|
| |||||||
593,007 | ||||||||
|
| |||||||
28,713,766 | ||||||||
|
| |||||||
Financial — 31.1% | ||||||||
Banks — 9.0% | ||||||||
Associated Banc-Corp. | 7,350 | 132,079 | ||||||
Bank of America Corp. | 441,973 | 6,885,939 | ||||||
Bank of Hawaii Corp. | 920 | 58,411 | ||||||
The Bank of New York Mellon Corp. | 44,550 | 1,744,132 | ||||||
BB&T Corp. | 16,119 | 573,836 | ||||||
BOK Financial Corp. | 700 | 45,297 | ||||||
Capital One Financial Corp. | 550 | 39,886 | ||||||
Citizens Financial Group, Inc. | 9,700 | 231,442 | ||||||
City National Corp. | 1,970 | 173,478 | ||||||
Commerce Bancshares, Inc. | 3,916 | 178,413 | ||||||
East West Bancorp, Inc. | 11,200 | 430,304 | ||||||
Fifth Third Bancorp | 17,060 | 322,605 | ||||||
First Horizon National Corp. | 3,016 | 42,767 | ||||||
First Republic Bank | 2,600 | 163,202 | ||||||
Huntington Bancshares, Inc. | 54,971 | 582,693 | ||||||
KeyCorp | 28,000 | 364,280 | ||||||
M&T Bank Corp. | 5 | 610 | ||||||
Northern Trust Corp. | 8,000 | 545,280 |
The accompanying notes are an integral part of the financial statements.
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Number of Shares | Value | |||||||
PacWest Bancorp | 3,800 | $ | 162,678 | |||||
PNC Financial Services Group, Inc. | 17,636 | 1,573,131 | ||||||
Popular, Inc. | 20,000 | 604,600 | ||||||
Regions Financial Corp. | 56,260 | 506,903 | ||||||
State Street Corp. | 4,400 | 295,724 | ||||||
SunTrust Banks, Inc. | 23,300 | 890,992 | ||||||
SVB Financial Group (a) | 3,470 | 400,924 | ||||||
Synovus Financial Corp. | 20,471 | 605,942 | ||||||
U.S. Bancorp | 34,090 | 1,398,031 | ||||||
Wells Fargo & Co. | 144,910 | 7,441,128 | ||||||
Zions Bancorp | 50 | 1,377 | ||||||
|
| |||||||
26,396,084 | ||||||||
|
| |||||||
Diversified Financial — 8.3% | ||||||||
Air Lease Corp. | 200 | 6,184 | ||||||
Ally Financial, Inc. (a) | 25,900 | 527,842 | ||||||
American Express Co. | 2,500 | 185,325 | ||||||
Ameriprise Financial, Inc. | 160 | 17,461 | ||||||
BlackRock, Inc. | 510 | 151,710 | ||||||
CIT Group, Inc. | 1,300 | 52,039 | ||||||
Citigroup, Inc. | 129,271 | 6,413,134 | ||||||
CME Group, Inc. | 11,260 | 1,044,252 | ||||||
Discover Financial Services | 13,900 | 722,661 | ||||||
E*TRADE Financial Corp. (a) | 10,500 | 276,465 | ||||||
FNF Group | 16,757 | 594,371 | ||||||
Franklin Resources, Inc. | 400 | 14,904 | ||||||
The Goldman Sachs Group, Inc. | 5,230 | 908,765 | ||||||
Interactive Brokers Group, Inc. Class A | 1,400 | 55,258 | ||||||
Intercontinental Exchange, Inc. | 1,237 | 290,683 | ||||||
Invesco Ltd. | 9,100 | 284,193 | ||||||
JP Morgan Chase & Co. | 141,927 | 8,653,289 | ||||||
Legg Mason, Inc. | 5,200 | 216,372 | ||||||
Morgan Stanley | 65,100 | 2,050,650 | ||||||
The Nasdaq, Inc. | 11,700 | 623,961 | ||||||
Navient Corp. | 12,900 | 144,996 | ||||||
Raymond James Financial, Inc. | 300 | 14,889 | ||||||
Santander Consumer USA Holdings, Inc. (a) | 40,600 | 829,052 | ||||||
Synchrony Financial (a) | 9,200 | 287,960 | ||||||
|
| |||||||
24,366,416 | ||||||||
|
| |||||||
Diversified Financial Services — 0.2% | ||||||||
Voya Financial, Inc. | 14,400 | 558,288 | ||||||
|
| |||||||
Insurance — 8.7% | ||||||||
ACE Ltd. | 7,950 | 822,030 | ||||||
Aflac, Inc. | 11,200 | 651,056 | ||||||
Alleghany Corp. (a) | 825 | 386,191 | ||||||
Allied World Assurance Co. Holdings Ltd. | 7,960 | 303,833 | ||||||
The Allstate Corp. | 4,200 | 244,608 | ||||||
American Financial Group, Inc. | 8,000 | 551,280 | ||||||
American International Group, Inc. | 58,602 | 3,329,766 | ||||||
American National Insurance Co. | 1,120 | 109,357 |
Number of Shares | Value | |||||||
AmTrust Financial Services, Inc. | 7,400 | $ | 466,052 | |||||
Arch Capital Group Ltd. (a) | 4,100 | 301,227 | ||||||
Aspen Insurance Holdings Ltd. | 1,800 | 83,646 | ||||||
Assurant, Inc. | 9,990 | 789,310 | ||||||
Assured Guaranty Ltd. | 31,400 | 785,000 | ||||||
Axis Capital Holdings Ltd. | 3,100 | 166,532 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 30,040 | 3,917,216 | ||||||
The Chubb Corp. | 8,160 | 1,000,824 | ||||||
Cincinnati Financial Corp. | 3,620 | 194,756 | ||||||
Endurance Specialty Holdings Ltd. | 14,300 | 872,729 | ||||||
Everest Re Group Ltd. | 1,260 | 218,408 | ||||||
Genworth Financial, Inc. Class A (a) | 56,860 | 262,693 | ||||||
The Hanover Insurance Group, Inc. | 4,200 | 326,340 | ||||||
The Hartford Financial Services Group, Inc. | 19,590 | 896,830 | ||||||
HCC Insurance Holdings, Inc. | 1,070 | 82,893 | ||||||
Lincoln National Corp. | 6,298 | 298,903 | ||||||
Loews Corp. | 20 | 723 | ||||||
Markel Corp. (a) | 555 | 445,032 | ||||||
Marsh & McLennan Cos., Inc. | 3,600 | 187,992 | ||||||
Mercury General Corp. | 890 | 44,954 | ||||||
MetLife, Inc. | 32,540 | 1,534,261 | ||||||
Old Republic International Corp. | 48,400 | 756,976 | ||||||
PartnerRe Ltd. | 3,240 | 449,971 | ||||||
Principal Financial Group, Inc. | 12,300 | 582,282 | ||||||
ProAssurance Corp. | 1,900 | 93,233 | ||||||
The Progressive Corp. | 9,400 | 288,016 | ||||||
Prudential Financial, Inc. | 17,600 | 1,341,296 | ||||||
Reinsurance Group of America, Inc. | 3,050 | 276,299 | ||||||
RenaissanceRe Holdings Ltd. | 4,700 | 499,704 | ||||||
StanCorp Financial Group, Inc. | 1,220 | 139,324 | ||||||
Torchmark Corp. | 890 | 50,196 | ||||||
The Travelers Cos., Inc. | 10,069 | 1,002,168 | ||||||
Unum Group | 8,600 | 275,888 | ||||||
Validus Holdings Ltd. | 6,800 | 306,476 | ||||||
W.R. Berkley Corp. | 900 | 48,933 | ||||||
White Mountains Insurance Group Ltd. | 53 | 39,607 | ||||||
XL Group PLC | 9,550 | 346,856 | ||||||
|
| |||||||
25,771,667 | ||||||||
|
| |||||||
Real Estate — 0.3% | ||||||||
Forest City Enterprises, Inc. Class A (a) | 23,300 | 469,029 | ||||||
Jones Lang LaSalle, Inc. | 3,580 | 514,696 | ||||||
WP Carey, Inc. | 100 | 5,781 | ||||||
|
| |||||||
989,506 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 4.4% | ||||||||
Alexandria Real Estate Equities, Inc. | 1,600 | 135,472 | ||||||
American Campus Communities, Inc. | 100 | 3,624 | ||||||
American Capital Agency Corp. | 42,100 | 787,270 | ||||||
Annaly Capital Management, Inc. | 78,360 | 773,413 | ||||||
Apartment Investment & Management Co. Class A | 4,300 | 159,186 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Apple Hospitality REIT, Inc. | 25,300 | $ | 469,821 | |||||
AvalonBay Communities, Inc. | 4,294 | 750,677 | ||||||
BioMed Realty Trust, Inc. | 1,600 | 31,968 | ||||||
Camden Property Trust | 2,100 | 155,190 | ||||||
Care Capital Properties, Inc. | 13,900 | 457,727 | ||||||
CBL & Associates Properties, Inc. | 33,200 | 456,500 | ||||||
Chimera Investment Corp. | 6,320 | 84,498 | ||||||
Columbia Property Trust, Inc. | 4,300 | 99,760 | ||||||
Communications Sales & Leasing, Inc. (a) | 72 | 1,289 | ||||||
Digital Realty Trust, Inc. | 1,900 | 124,108 | ||||||
Duke Realty Corp. | 9,600 | 182,880 | ||||||
Equity Commonwealth (a) | 67 | 1,825 | ||||||
Equity Residential | 14,600 | 1,096,752 | ||||||
Essex Property Trust, Inc. | 2,163 | 483,258 | ||||||
General Growth Properties, Inc. | 19,940 | 517,842 | ||||||
HCP, Inc. | 500 | 18,625 | ||||||
Home Properties, Inc. | 1,900 | 142,025 | ||||||
Hospitality Properties Trust | 4,540 | 116,133 | ||||||
Host Hotels & Resorts, Inc. | 13,503 | 213,482 | ||||||
Kilroy Realty Corp. | 3,100 | 201,996 | ||||||
Kimco Realty Corp. | 9,500 | 232,085 | ||||||
Liberty Property Trust | 2,170 | 68,377 | ||||||
The Macerich Co. | 4,182 | 321,261 | ||||||
MFA Financial, Inc. | 162,800 | 1,108,668 | ||||||
Mid-America Apartment Communities, Inc. | 9,700 | 794,139 | ||||||
National Retail Properties, Inc. | 7,500 | 272,025 | ||||||
Post Properties, Inc. | 300 | 17,487 | ||||||
Prologis, Inc. | 21,585 | 839,657 | ||||||
Realty Income Corp. | 2,700 | 127,953 | ||||||
Regency Centers Corp. | 4,800 | 298,320 | ||||||
Senior Housing Properties Trust | 400 | 6,480 | ||||||
SL Green Realty Corp. | 130 | 14,061 | ||||||
Spirit Realty Capital, Inc. | 16,100 | 147,154 | ||||||
Starwood Property Trust, Inc. | 8,400 | 172,368 | ||||||
Taubman Centers, Inc. | 200 | 13,816 | ||||||
Two Harbors Investment Corp. | 11,600 | 102,312 | ||||||
UDR, Inc. | 8,400 | 289,632 | ||||||
Ventas, Inc. | 3,300 | 184,998 | ||||||
Vornado Realty Trust | 838 | 75,772 | ||||||
Weingarten Realty Investors | 4,400 | 145,684 | ||||||
Welltower, Inc. | 5,700 | 386,004 | ||||||
Weyerhaeuser Co. | 100 | 2,734 | ||||||
WP GLIMCHER, Inc. | 200 | 2,332 | ||||||
|
| |||||||
13,088,640 | ||||||||
|
| |||||||
Savings & Loans — 0.2% | ||||||||
First Niagara Financial Group, Inc. | 9,700 | 99,037 | ||||||
Hudson City Bancorp, Inc. | 50 | 509 | ||||||
New York Community Bancorp, Inc. | 21,290 | 384,497 | ||||||
People’s United Financial, Inc. | 5,400 | 84,942 | ||||||
|
| |||||||
568,985 | ||||||||
|
| |||||||
91,739,586 | ||||||||
|
|
Number of Shares | Value | |||||||
Industrial — 11.0% | ||||||||
Aerospace & Defense — 1.6% | ||||||||
General Dynamics Corp. | 9,700 | $ | 1,338,115 | |||||
L-3 Communications Holdings, Inc. | 2,260 | 236,215 | ||||||
Northrop Grumman Corp. | 6,420 | 1,065,399 | ||||||
Orbital ATK, Inc. | 10,200 | 733,074 | ||||||
Raytheon Co. | 100 | 10,926 | ||||||
Spirit AeroSystems Holdings, Inc. Class A (a) | 18,800 | 908,792 | ||||||
Triumph Group, Inc. | 3,700 | 155,696 | ||||||
United Technologies Corp. | 4,240 | 377,318 | ||||||
|
| |||||||
4,825,535 | ||||||||
|
| |||||||
Building Materials — 0.5% | ||||||||
Armstrong World Industries, Inc. (a) | 11,400 | 544,236 | ||||||
Owens Corning, Inc. | 18,800 | 787,908 | ||||||
|
| |||||||
1,332,144 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.0% | ||||||||
Hubbell, Inc. Class B | 400 | 33,980 | ||||||
|
| |||||||
Electronics — 0.9% | ||||||||
Agilent Technologies, Inc. | 13,000 | 446,290 | ||||||
Arrow Electronics, Inc. (a) | 3,800 | 210,064 | ||||||
Avnet, Inc. | 3,600 | 153,648 | ||||||
Dolby Laboratories, Inc. Class A | 1,000 | 32,600 | ||||||
Gentex Corp. | 2,900 | 44,950 | ||||||
Jabil Circuit, Inc. | 39,500 | 883,615 | ||||||
Keysight Technologies, Inc. (a) | 26,500 | 817,260 | ||||||
PerkinElmer, Inc. | 2,610 | 119,956 | ||||||
|
| |||||||
2,708,383 | ||||||||
|
| |||||||
Engineering & Construction — 0.7% | ||||||||
AECOM (a) | 3,411 | 93,837 | ||||||
Chicago Bridge & Iron Co. NV | 10,300 | 408,498 | ||||||
Fluor Corp. | 6,200 | 262,570 | ||||||
Jacobs Engineering Group, Inc. (a) | 17,400 | 651,282 | ||||||
KBR, Inc. | 37,600 | 626,416 | ||||||
|
| |||||||
2,042,603 | ||||||||
|
| |||||||
Environmental Controls — 0.2% | ||||||||
Republic Services, Inc. | 3,290 | 135,548 | ||||||
Waste Connections, Inc. | 50 | 2,429 | ||||||
Waste Management, Inc. | 9,940 | 495,111 | ||||||
|
| |||||||
633,088 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.6% | ||||||||
Kennametal, Inc. | 18,600 | 462,954 | ||||||
Lincoln Electric Holdings, Inc. | 12,700 | 665,861 | ||||||
Stanley Black & Decker, Inc. | 5,035 | 488,294 | ||||||
|
| |||||||
1,617,109 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.4% | ||||||||
Babcock & Wilcox Enterprises, Inc. (a) | 900 | 15,120 | ||||||
Caterpillar, Inc. | 9,200 | 601,312 | ||||||
Ingersoll-Rand PLC | 8,000 | 406,160 | ||||||
|
| |||||||
1,022,592 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
164
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MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Machinery – Diversified — 0.6% | ||||||||
AGCO Corp. | 15,070 | $ | 702,714 | |||||
Deere & Co. | 11,600 | 858,400 | ||||||
IDEX Corp. | 1,000 | 71,300 | ||||||
Roper Technologies, Inc. | 660 | 103,422 | ||||||
Xylem, Inc. | 1,700 | 55,845 | ||||||
|
| |||||||
1,791,681 | ||||||||
|
| |||||||
Manufacturing — 4.8% | ||||||||
AptarGroup, Inc. | 5,100 | 336,396 | ||||||
Crane Co. | 20 | 932 | ||||||
Danaher Corp. | 17,100 | 1,457,091 | ||||||
Dover Corp. | 6,000 | 343,080 | ||||||
Eaton Corp. PLC | 5,672 | 290,974 | ||||||
General Electric Co. | 395,290 | 9,969,214 | ||||||
ITT Corp. | 2,400 | 80,232 | ||||||
Parker Hannifin Corp. | 2,410 | 234,493 | ||||||
Pentair PLC | 10,119 | 516,474 | ||||||
SPX Corp. | 70 | 834 | ||||||
Teleflex, Inc. | 1,740 | 216,125 | ||||||
Textron, Inc. | 9,400 | 353,816 | ||||||
Trinity Industries, Inc. | 9,500 | 215,365 | ||||||
|
| |||||||
14,015,026 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.0% | ||||||||
The Timken Co. | 3,100 | 85,219 | ||||||
|
| |||||||
Packaging & Containers — 0.2% | ||||||||
Bemis Co., Inc. | 760 | 30,073 | ||||||
Owens-Illinois, Inc. (a) | 2,100 | 43,512 | ||||||
WestRock Co. | 10,040 | 516,458 | ||||||
|
| |||||||
590,043 | ||||||||
|
| |||||||
Transportation — 0.5% | ||||||||
CSX Corp. | 15,100 | 406,190 | ||||||
FedEx Corp. | 3,930 | 565,841 | ||||||
Ryder System, Inc. | 3,590 | 265,804 | ||||||
Teekay Corp. | 9,800 | 290,472 | ||||||
|
| |||||||
1,528,307 | ||||||||
|
| |||||||
Trucking & Leasing — 0.0% | ||||||||
AMERCO | 70 | 27,543 | ||||||
GATX Corp. | 1,400 | 61,810 | ||||||
|
| |||||||
89,353 | ||||||||
|
| |||||||
32,315,063 | ||||||||
|
| |||||||
Technology — 7.5% | ||||||||
Computers — 3.0% | ||||||||
Amdocs Ltd. | 5,800 | 329,904 | ||||||
Brocade Communications Systems, Inc. | 78,000 | 809,640 | ||||||
Computer Sciences Corp. | 13,470 | 826,788 | ||||||
DST Systems, Inc. | 3,000 | 315,420 | ||||||
EMC Corp. | 57,300 | 1,384,368 | ||||||
Hewlett-Packard Co. | 65,400 | 1,674,894 |
Number of Shares | Value | |||||||
International Business Machines Corp. | 5,580 | $ | 808,933 | |||||
Lexmark International, Inc. Class A | 2,200 | 63,756 | ||||||
NCR Corp. (a) | 33,600 | 764,400 | ||||||
NetApp, Inc. | 28,000 | 828,800 | ||||||
SanDisk Corp. | 12,400 | 673,692 | ||||||
Synopsys, Inc. (a) | 6,500 | 300,170 | ||||||
Teradata Corp. (a) | 1,500 | 43,440 | ||||||
Western Digital Corp. | 2,200 | 174,768 | ||||||
|
| |||||||
8,998,973 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.4% | ||||||||
Pitney Bowes, Inc. | 27,600 | 547,860 | ||||||
Xerox Corp. | 54,156 | 526,938 | ||||||
|
| |||||||
1,074,798 | ||||||||
|
| |||||||
Semiconductors — 1.9% | ||||||||
Analog Devices, Inc. | 12,600 | 710,766 | ||||||
Applied Materials, Inc. | 1,000 | 14,690 | ||||||
Broadcom Corp. Class A | 4,300 | 221,149 | ||||||
Intel Corp. | 67,500 | 2,034,450 | ||||||
Lam Research Corp. | 7,252 | 473,773 | ||||||
Marvell Technology Group Ltd. | 10,000 | 90,500 | ||||||
Maxim Integrated Products, Inc. | 5,400 | 180,360 | ||||||
Micron Technology, Inc. (a) | 40,500 | 606,690 | ||||||
NVIDIA Corp. | 9,400 | 231,710 | ||||||
Teradyne, Inc. | 42,900 | 772,629 | ||||||
Xilinx, Inc. | 9,000 | 381,600 | ||||||
|
| |||||||
5,718,317 | ||||||||
|
| |||||||
Software — 2.2% | ||||||||
Activision Blizzard, Inc. | 9,400 | 290,366 | ||||||
ANSYS, Inc. (a) | 1,400 | 123,396 | ||||||
CA, Inc. | 12,990 | 354,627 | ||||||
The Dun & Bradstreet Corp. | 2,610 | 274,050 | ||||||
Fidelity National Information Services, Inc. | 1,900 | 127,452 | ||||||
Leidos Holdings, Inc. | 15,950 | 658,895 | ||||||
Microsoft Corp. | 45,600 | 2,018,256 | ||||||
Nuance Communications, Inc. (a) | 39,300 | 643,341 | ||||||
Oracle Corp. | 45,200 | 1,632,624 | ||||||
SS&C Technologies Holdings, Inc | 3,800 | 266,152 | ||||||
|
| |||||||
6,389,159 | ||||||||
|
| |||||||
22,181,247 | ||||||||
|
| |||||||
Utilities — 5.6% | ||||||||
Electric — 5.2% | ||||||||
The AES Corp. | 96,600 | 945,714 | ||||||
Alliant Energy Corp. | 1,300 | 76,037 | ||||||
Ameren Corp. | 2,560 | 108,211 | ||||||
American Electric Power Co., Inc. | 20,930 | 1,190,080 | ||||||
Calpine Corp. (a) | 63,100 | 921,260 | ||||||
CenterPoint Energy, Inc. | 1,200 | 21,648 | ||||||
CMS Energy Corp. | 10,500 | 370,860 |
The accompanying notes are an integral part of the financial statements.
165
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MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Consolidated Edison, Inc. | 11,460 | $ | 766,101 | |||||
Dominion Resources, Inc. | 9,000 | 633,420 | ||||||
DTE Energy Co. | 4,210 | 338,358 | ||||||
Duke Energy Corp. | 3,214 | 231,215 | ||||||
Edison International | 11,080 | 698,816 | ||||||
Entergy Corp. | 2,400 | 156,240 | ||||||
Eversource Energy | 7,081 | 358,440 | ||||||
Exelon Corp. | 50,775 | 1,508,018 | ||||||
FirstEnergy Corp. | 24,827 | 777,333 | ||||||
Great Plains Energy, Inc. | 4,237 | 114,484 | ||||||
Hawaiian Electric Industries, Inc. | 2,800 | 80,332 | ||||||
NextEra Energy, Inc. | 15,520 | 1,513,976 | ||||||
NRG Energy, Inc. | 4,800 | 71,280 | ||||||
OGE Energy Corp. | 2,220 | 60,739 | ||||||
Pepco Holdings, Inc. | 710 | 17,196 | ||||||
PG&E Corp. | 12,330 | 651,024 | ||||||
Pinnacle West Capital Corp. | 960 | 61,574 | ||||||
PPL Corp. | 26,000 | 855,140 | ||||||
Public Service Enterprise Group, Inc. | 26,900 | 1,134,104 | ||||||
SCANA Corp. | 7,020 | 394,945 | ||||||
The Southern Co. | 9,450 | 422,415 | ||||||
TECO Energy, Inc. | 8,030 | 210,868 | ||||||
WEC Energy Group, Inc. | 4,420 | 230,813 | ||||||
Westar Energy, Inc. | 200 | 7,688 | ||||||
Xcel Energy, Inc. | 9,720 | 344,185 | ||||||
|
| |||||||
15,272,514 | ||||||||
|
| |||||||
Gas — 0.4% | ||||||||
AGL Resources, Inc. | 4,160 | 253,926 | ||||||
Atmos Energy Corp. | 4,350 | 253,083 | ||||||
NiSource, Inc. | 8,090 | 150,070 | ||||||
Sempra Energy | 2,370 | 229,226 | ||||||
UGI Corp. | 1,135 | 39,521 | ||||||
Vectren Corp. | 4,150 | 174,341 | ||||||
|
| |||||||
1,100,167 | ||||||||
|
| |||||||
Water — 0.0% | ||||||||
Aqua America, Inc. | 25 | 662 | ||||||
|
| |||||||
16,373,343 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $306,537,746) | 292,697,934 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $306,537,746) | 292,697,934 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Cyclical — 0.0% | ||||||||
Retail — 0.0% | ||||||||
Safeway Casa Ley Contingent Value (a) (b) | 9,300 | 9,393 |
Number of Shares | Value | |||||||
Safeway PDC, LLC Contingent Value (a) (b) | 9,300 | $ | 465 | |||||
|
| |||||||
9,858 | ||||||||
|
| |||||||
TOTAL RIGHTS (Cost $9,858) | 9,858 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $306,547,604) | 292,707,792 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||||
Repurchase Agreement — 0.5% | ||||||||
State Street Bank & Trust Co. | $ | 1,328,132 | 1,328,132 | |||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 4,230 | 4,230 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,332,362) | 1,332,362 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (Cost $307,879,966) (d) | 294,040,154 | |||||||
Other Assets/(Liabilities) — 0.1% | 401,743 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 294,441,897 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(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, 2015, these securities amounted to a value of $9,858 or 0.00% of net assets. |
(c) | Maturity value of $1,328,133. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 10/31/21, and an aggregate market value, including accrued interest, of $1,359,781. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
166
Table of Contents
MassMutual Premier Main Street Fund – Portfolio of Investments
September 30, 2015
Number of Shares | Value | |||||||
EQUITIES — 96.6% | ||||||||
COMMON STOCK — 96.6% | ||||||||
Basic Materials — 1.7% | ||||||||
Chemicals — 0.6% | ||||||||
PPG Industries, Inc. | 8,250 | $ | 723,443 | |||||
|
| |||||||
Mining — 1.1% | ||||||||
Teck Resources Ltd. Class B (a) | 20,910 | 100,368 | ||||||
Vulcan Materials Co. | 13,465 | 1,201,078 | ||||||
|
| |||||||
1,301,446 | ||||||||
|
| |||||||
2,024,889 | ||||||||
|
| |||||||
Communications — 13.9% | ||||||||
Advertising — 1.2% | ||||||||
Nielsen Holdings PLC | 33,810 | 1,503,531 | ||||||
|
| |||||||
Internet — 7.5% | ||||||||
Alphabet, Inc. Class C (b) | 9,097 | 5,534,797 | ||||||
Amazon.com, Inc. (b) | 3,170 | 1,622,691 | ||||||
Facebook, Inc. Class A (b) | 20,490 | 1,842,051 | ||||||
|
| |||||||
8,999,539 | ||||||||
|
| |||||||
Media — 3.6% | ||||||||
Comcast Corp. Class A | 46,630 | 2,652,314 | ||||||
The McGraw Hill Financial, Inc. | 20,220 | 1,749,030 | ||||||
|
| |||||||
4,401,344 | ||||||||
|
| |||||||
Telecommunications — 1.6% | ||||||||
Verizon Communications, Inc. | 44,720 | 1,945,767 | ||||||
|
| |||||||
16,850,181 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.7% | ||||||||
Auto Manufacturers — 0.8% | ||||||||
General Motors Co. | 29,420 | 883,189 | ||||||
|
| |||||||
Automotive & Parts — 1.1% | ||||||||
Delphi Automotive PLC | 17,820 | 1,355,033 | ||||||
|
| |||||||
Leisure Time — 0.6% | ||||||||
Harley-Davidson, Inc. | 13,520 | 742,248 | ||||||
|
| |||||||
Retail — 4.2% | ||||||||
AutoZone, Inc. (b) | 2,806 | 2,031,067 | ||||||
Dunkin’ Brands Group, Inc. | 15,240 | 746,760 | ||||||
The Home Depot, Inc. | 19,970 | 2,306,335 | ||||||
|
| |||||||
5,084,162 | ||||||||
|
| |||||||
8,064,632 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 27.6% | ||||||||
Agriculture — 2.8% | ||||||||
Philip Morris International, Inc. | 43,221 | 3,428,722 | ||||||
|
| |||||||
Beverages — 2.9% | ||||||||
Diageo PLC | 19,460 | 523,678 | ||||||
PepsiCo, Inc. | 31,640 | 2,983,652 | ||||||
|
| |||||||
3,507,330 | ||||||||
|
| |||||||
Biotechnology — 1.5% | ||||||||
Gilead Sciences, Inc. | 18,850 | 1,850,881 | ||||||
|
|
Number of Shares | Value | |||||||
Commercial Services — 2.5% | ||||||||
MasterCard, Inc. Class A | 15,140 | $ | 1,364,417 | |||||
PayPal Holdings, Inc. (b) | 53,130 | 1,649,155 | ||||||
|
| |||||||
3,013,572 | ||||||||
|
| |||||||
Foods — 3.4% | ||||||||
Mondelez International, Inc. Class A | 97,000 | 4,061,390 | ||||||
|
| |||||||
Health Care – Products — 1.2% | ||||||||
Boston Scientific Corp. (b) | 89,030 | 1,460,982 | ||||||
|
| |||||||
Health Care – Services — 2.8% | ||||||||
HCA Holdings, Inc. (b) | 13,150 | 1,017,284 | ||||||
UnitedHealth Group, Inc. | 20,390 | 2,365,444 | ||||||
|
| |||||||
3,382,728 | ||||||||
|
| |||||||
Household Products — 1.6% | ||||||||
Henkel AG & Co. KGaA | 22,068 | 1,948,524 | ||||||
|
| |||||||
Pharmaceuticals — 8.9% | ||||||||
Allergan PLC (b) | 6,854 | 1,862,986 | ||||||
Bristol-Myers Squibb Co. | 34,790 | 2,059,568 | ||||||
Express Scripts Holding Co. (b) | 30,530 | 2,471,709 | ||||||
Merck & Co., Inc. | 46,450 | 2,294,165 | ||||||
Mylan NV (b) | 24,740 | 996,032 | ||||||
Zoetis, Inc. | 26,525 | 1,092,300 | ||||||
|
| |||||||
10,776,760 | ||||||||
|
| |||||||
33,430,889 | ||||||||
|
| |||||||
Energy — 6.4% | ||||||||
Oil & Gas — 5.1% | ||||||||
Chevron Corp. | 34,800 | 2,745,024 | ||||||
Noble Energy, Inc. | 45,880 | 1,384,658 | ||||||
Suncor Energy, Inc. | 77,770 | 2,078,015 | ||||||
|
| |||||||
6,207,697 | ||||||||
|
| |||||||
Oil & Gas Services — 0.7% | ||||||||
HollyFrontier Corp. | 16,750 | 818,070 | ||||||
|
| |||||||
Pipelines — 0.6% | ||||||||
Magellan Midstream Partners LP | 10,975 | 659,707 | ||||||
|
| |||||||
7,685,474 | ||||||||
|
| |||||||
Financial — 16.7% | ||||||||
Banks — 2.5% | ||||||||
The Bank of New York Mellon Corp. | 49,110 | 1,922,656 | ||||||
M&T Bank Corp. | 8,550 | 1,042,673 | ||||||
|
| |||||||
2,965,329 | ||||||||
|
| |||||||
Diversified Financial — 7.6% | ||||||||
Citigroup, Inc. | 85,984 | 4,265,666 | ||||||
CME Group, Inc. | 38,055 | 3,529,221 | ||||||
Discover Financial Services | 26,470 | 1,376,175 | ||||||
|
| |||||||
9,171,062 | ||||||||
|
| |||||||
Insurance — 5.3% | ||||||||
American International Group, Inc. | 35,590 | 2,022,224 | ||||||
Berkshire Hathaway, Inc. Class B (b) | 18,630 | 2,429,352 | ||||||
Genworth Financial, Inc. Class A (b) | 99,910 | 461,584 |
The accompanying notes are an integral part of the financial statements.
167
Table of Contents
MassMutual Premier Main Street Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Marsh & McLennan Cos., Inc. | 29,153 | $ | 1,522,370 | |||||
|
| |||||||
6,435,530 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.3% | ||||||||
Simon Property Group, Inc. | 8,710 | 1,600,201 | ||||||
|
| |||||||
20,172,122 | ||||||||
|
| |||||||
Industrial — 10.4% | ||||||||
Aerospace & Defense — 1.7% | ||||||||
Lockheed Martin Corp. | 4,870 | 1,009,599 | ||||||
United Technologies Corp. | 11,520 | 1,025,165 | ||||||
|
| |||||||
2,034,764 | ||||||||
|
| |||||||
Electronics — 1.4% | ||||||||
Tyco International PLC | 49,630 | 1,660,620 | ||||||
|
| |||||||
Environmental Controls — 0.9% | ||||||||
Republic Services, Inc. | 10,290 | 423,947 | ||||||
Waste Connections, Inc. | 12,870 | 625,225 | ||||||
|
| |||||||
1,049,172 | ||||||||
|
| |||||||
Machinery – Diversified — 1.5% | ||||||||
Deere & Co. | 25,220 | 1,866,280 | ||||||
|
| |||||||
Manufacturing — 2.8% | ||||||||
General Electric Co. | 135,440 | 3,415,797 | ||||||
|
| |||||||
Transportation — 2.1% | ||||||||
Canadian National Railway Co. (a) | 32,670 | 1,854,349 | ||||||
CSX Corp. | 24,780 | 666,582 | ||||||
|
| |||||||
2,520,931 | ||||||||
|
| |||||||
12,547,564 | ||||||||
|
| |||||||
Technology — 9.9% | ||||||||
Computers — 8.0% | ||||||||
Amdocs Ltd. | 44,290 | 2,519,215 | ||||||
Apple, Inc. | 52,725 | 5,815,568 | ||||||
Western Digital Corp. | 16,546 | 1,314,414 | ||||||
|
| |||||||
9,649,197 | ||||||||
|
| |||||||
Office Equipment/Supplies — 1.0% | ||||||||
Xerox Corp. | 120,860 | 1,175,968 | ||||||
|
| |||||||
Semiconductors — 0.9% | ||||||||
Applied Materials, Inc. | 76,310 | 1,120,994 | ||||||
|
| |||||||
11,946,159 | ||||||||
|
| |||||||
Utilities — 3.3% | ||||||||
Electric — 2.8% | ||||||||
ITC Holdings Corp. | 20,590 | 686,470 | ||||||
PG&E Corp. | 51,840 | 2,737,152 | ||||||
|
| |||||||
3,423,622 | ||||||||
|
| |||||||
Gas — 0.5% | ||||||||
AmeriGas Partners LP | 14,260 | 592,218 | ||||||
|
| |||||||
4,015,840 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $116,169,232) | 116,737,750 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $116,169,232) | 116,737,750 | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 1.6% | ||||||||
Diversified Financial — 1.6% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 1,975,894 | $ | 1,975,894 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,975,894) | 1,975,894 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $118,145,126) | 118,713,644 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.9% | ||||||||
Repurchase Agreement — 2.9% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated | $ | 3,458,013 | 3,458,013 | |||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 6,089 | 6,089 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,464,102) | 3,464,102 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.1% (Cost $121,609,228) (e) | 122,177,746 | |||||||
Other Assets/(Liabilities) — (1.1)% | (1,299,337 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 120,878,409 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2015, was $1,931,789 or 1.60% 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) | Represents investment of security lending collateral. (Note 2). |
(d) | Maturity value of $3,458,014. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 1/31/22, and an aggregate market value, including accrued interest, of $3,529,350. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
168
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments
September 30, 2015
Number of Shares | Value | |||||||
EQUITIES — 99.5% | ||||||||
COMMON STOCK — 99.5% | ||||||||
Basic Materials — 2.6% | ||||||||
Chemicals — 2.3% | ||||||||
Air Products & Chemicals, Inc. | 5,110 | $ | 651,934 | |||||
Ashland, Inc. | 9,010 | 906,586 | ||||||
Celanese Corp. Series A | 14,590 | 863,290 | ||||||
CF Industries Holdings, Inc. | 19,500 | 875,550 | ||||||
The Chemours Co. | 49,879 | 322,717 | ||||||
The Dow Chemical Co. | 21,200 | 898,880 | ||||||
E.I. du Pont de Nemours & Co. | 1,600 | 77,120 | ||||||
Eastman Chemical Co. | 17,696 | 1,145,285 | ||||||
Ecolab, Inc. | 8 | 878 | ||||||
Huntsman Corp. | 129,500 | 1,254,855 | ||||||
International Flavors & Fragrances, Inc. | 2,500 | 258,150 | ||||||
LyondellBasell Industries NV Class A | 27,570 | 2,298,235 | ||||||
Monsanto Co. | 2,560 | 218,471 | ||||||
The Sherwin-Williams Co. | 1,920 | 427,738 | ||||||
|
| |||||||
10,199,689 | ||||||||
|
| |||||||
Forest Products & Paper — 0.3% | ||||||||
International Paper Co. | 31,800 | 1,201,722 | ||||||
|
| |||||||
Iron & Steel — 0.0% | ||||||||
Steel Dynamics, Inc. | 10,900 | 187,262 | ||||||
|
| |||||||
Mining — 0.0% | ||||||||
Southern Copper Corp. | 2 | 53 | ||||||
|
| |||||||
11,588,726 | ||||||||
|
| |||||||
Communications — 19.0% | ||||||||
Advertising — 0.4% | ||||||||
The Interpublic Group of Companies, Inc. | 42,700 | 816,851 | ||||||
Omnicom Group, Inc. | 12,000 | 790,800 | ||||||
|
| |||||||
1,607,651 | ||||||||
|
| |||||||
Internet — 10.1% | ||||||||
Alphabet, Inc. Class A (a) | 13,319 | 8,502,450 | ||||||
Alphabet, Inc. Class C (a) | 12,079 | 7,349,105 | ||||||
Amazon.com, Inc. (a) | 22,521 | 11,528,275 | ||||||
CDW Corp. | 5,900 | 241,074 | ||||||
eBay, Inc. (a) | 59,230 | 1,447,581 | ||||||
Equinix, Inc. | 2,130 | 582,342 | ||||||
Expedia, Inc. | 10,000 | 1,176,800 | ||||||
F5 Networks, Inc. (a) | 10,640 | 1,232,112 | ||||||
Facebook, Inc. Class A (a) | 39,400 | 3,542,060 | ||||||
FireEye, Inc. (a) | 22,500 | 715,950 | ||||||
GoDaddy, Inc. Class A (a) | 14,500 | 365,545 | ||||||
Groupon, Inc. (a) | 45,400 | 148,004 | ||||||
IAC/InterActiveCorp | 19,400 | 1,266,238 | ||||||
Liberty Interactive Corp. QVC Group (a) | 22,100 | 579,683 |
Number of Shares | Value | |||||||
Liberty Ventures Series A (a) | 6,470 | $ | 261,065 | |||||
Netflix, Inc. (a) | 13,877 | 1,432,939 | ||||||
The Priceline Group, Inc. (a) | 2,495 | 3,085,966 | ||||||
VeriSign, Inc. (a) | 15,640 | 1,103,558 | ||||||
|
| |||||||
44,560,747 | ||||||||
|
| |||||||
Media — 4.9% | ||||||||
AMC Networks, Inc. Class A (a) | 6,900 | 504,873 | ||||||
Cablevision Systems Corp. Class A | 62,800 | 2,039,116 | ||||||
Comcast Corp. Class A | 13,900 | 790,632 | ||||||
Comcast Corp. Special Class A | 2,600 | 148,824 | ||||||
Discovery Communications, Inc. Series A (a) | 7,300 | 190,019 | ||||||
Discovery Communications, Inc. Series C (a) | 8,000 | 194,320 | ||||||
DISH Network Corp. Class A (a) | 25,900 | 1,511,006 | ||||||
FactSet Research Systems, Inc. | 4,250 | 679,192 | ||||||
The McGraw Hill Financial, Inc. | 8,960 | 775,040 | ||||||
MSG Networks, Inc. Class A (a) | 6,700 | 483,338 | ||||||
Scripps Networks Interactive Class A | 32,800 | 1,613,432 | ||||||
Starz Class A (a) | 19,200 | 716,928 | ||||||
Time Warner, Inc. | 23,400 | 1,608,750 | ||||||
Twenty-First Century Fox Class A | 42,700 | 1,152,046 | ||||||
Twenty-First Century Fox, Inc. Class B | 10,800 | 292,356 | ||||||
Viacom, Inc. Class B | 19,300 | 832,795 | ||||||
The Walt Disney Co. | 80,670 | 8,244,474 | ||||||
|
| |||||||
21,777,141 | ||||||||
|
| |||||||
Telecommunications — 3.6% | ||||||||
AT&T, Inc. | 45,500 | 1,482,390 | ||||||
CommScope Holding Co., Inc. (a) | 40,300 | 1,210,209 | ||||||
Harris Corp. | 8,970 | 656,155 | ||||||
Juniper Networks, Inc. | 53,000 | 1,362,630 | ||||||
Level 3 Communications, Inc. (a) | 1,040 | 45,438 | ||||||
Motorola Solutions, Inc. | 21,300 | 1,456,494 | ||||||
Palo Alto Networks, Inc. (a) | 1,700 | 292,400 | ||||||
QUALCOMM, Inc. | 790 | 42,447 | ||||||
Verizon Communications, Inc. | 212,000 | 9,224,120 | ||||||
|
| |||||||
15,772,283 | ||||||||
|
| |||||||
83,717,822 | ||||||||
|
| |||||||
Consumer, Cyclical — 15.2% | ||||||||
Airlines — 2.2% | ||||||||
Alaska Air Group, Inc. | 18,200 | 1,445,990 | ||||||
American Airlines Group, Inc. | 39,300 | 1,526,019 | ||||||
Delta Air Lines, Inc. | 64,900 | 2,912,063 | ||||||
JetBlue Airways Corp. (a) | 88,900 | 2,290,953 | ||||||
Southwest Airlines Co. | 42,700 | 1,624,308 | ||||||
|
| |||||||
9,799,333 | ||||||||
|
| |||||||
Apparel — 1.5% | ||||||||
Carter’s, Inc. | 5,100 | 462,264 | ||||||
Michael Kors Holdings Ltd. (a) | 36,000 | 1,520,640 |
The accompanying notes are an integral part of the financial statements.
169
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Nike, Inc. Class B | 29,490 | $ | 3,626,385 | |||||
Ralph Lauren Corp. | 150 | 17,724 | ||||||
Skechers U.S.A., Inc. Class A (a) | 7,270 | 974,762 | ||||||
VF Corp. | 400 | 27,284 | ||||||
|
| |||||||
6,629,059 | ||||||||
|
| |||||||
Auto Manufacturers — 0.1% | ||||||||
Paccar, Inc. | 11,900 | 620,823 | ||||||
|
| |||||||
Automotive & Parts — 0.7% | ||||||||
Allison Transmission Holdings, Inc. | 12,300 | 328,287 | ||||||
BorgWarner, Inc. | 80 | 3,327 | ||||||
Delphi Automotive PLC | 10,500 | 798,420 | ||||||
Lear Corp. | 16,590 | 1,804,660 | ||||||
|
| |||||||
2,934,694 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.2% | ||||||||
Fossil Group, Inc. (a) | 10,310 | 576,123 | ||||||
Genuine Parts Co. | 2,600 | 215,514 | ||||||
HD Supply Holdings, Inc. (a) | 8,000 | 228,960 | ||||||
|
| |||||||
1,020,597 | ||||||||
|
| |||||||
Entertainment — 0.0% | ||||||||
Cinemark Holdings, Inc. | 4,800 | 155,952 | ||||||
Regal Entertainment Group Class A | 800 | 14,952 | ||||||
|
| |||||||
170,904 | ||||||||
|
| |||||||
Home Builders — 0.3% | ||||||||
Lennar Corp. | 21,200 | 839,520 | ||||||
NVR, Inc. (a) | 130 | 198,279 | ||||||
Thor Industries, Inc. | 2,300 | 119,140 | ||||||
|
| |||||||
1,156,939 | ||||||||
|
| |||||||
Home Furnishing — 0.3% | ||||||||
Harman International Industries, Inc. | 1,590 | 152,624 | ||||||
Tempur Sealy International, Inc. (a) | 5,600 | 400,008 | ||||||
Whirlpool Corp. | 3,560 | 524,246 | ||||||
|
| |||||||
1,076,878 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Rubbermaid, Inc. | 5,700 | 226,347 | ||||||
The Toro Co. | 3,180 | 224,317 | ||||||
|
| |||||||
450,664 | ||||||||
|
| |||||||
Leisure Time — 0.4% | ||||||||
Harley-Davidson, Inc. | 15,300 | 839,970 | ||||||
Jarden Corp. (a) | 5,475 | 267,618 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 8,400 | 481,320 | ||||||
|
| |||||||
1,588,908 | ||||||||
|
| |||||||
Lodging — 0.8% | ||||||||
Choice Hotels International, Inc. | 6,200 | 295,430 | ||||||
Hilton Worldwide Holdings, Inc. | 15,400 | 353,276 | ||||||
Las Vegas Sands Corp. | 15,500 | 588,535 | ||||||
Marriott International, Inc. Class A | 6,167 | 420,589 | ||||||
MGM Resorts International (a) | 1,300 | 23,985 |
Number of Shares | Value | |||||||
Starwood Hotels & Resorts Worldwide, Inc. | 9,700 | $ | 644,856 | |||||
Wyndham Worldwide Corp. | 15,600 | 1,121,640 | ||||||
|
| |||||||
3,448,311 | ||||||||
|
| |||||||
Retail — 8.3% | ||||||||
AutoNation, Inc. (a) | 2,500 | 145,450 | ||||||
AutoZone, Inc. (a) | 1,308 | 946,770 | ||||||
Bed Bath & Beyond, Inc. (a) | 16,300 | 929,426 | ||||||
Brinker International, Inc. | 6,200 | 326,554 | ||||||
CarMax, Inc. (a) | 6,200 | 367,784 | ||||||
Chipotle Mexican Grill, Inc. (a) | 3 | 2,161 | ||||||
Coach, Inc. | 16,109 | 466,033 | ||||||
Costco Wholesale Corp. | 2,480 | 358,534 | ||||||
CST Brands, Inc. | 7,500 | 252,450 | ||||||
CVS Health Corp. | 47,430 | 4,576,046 | ||||||
Darden Restaurants, Inc. | 24,200 | 1,658,668 | ||||||
Dick’s Sporting Goods, Inc. | 400 | 19,844 | ||||||
Dillard’s, Inc. Class A | 9,150 | 799,619 | ||||||
Dollar General Corp. | 4,500 | 325,980 | ||||||
Dollar Tree, Inc. (a) | 27 | 1,800 | ||||||
Domino’s Pizza, Inc. | 4,430 | 478,041 | ||||||
DSW, Inc. Class A | 26,400 | 668,184 | ||||||
Dunkin’ Brands Group, Inc. | 3,800 | 186,200 | ||||||
Foot Locker, Inc. | 15,600 | 1,122,732 | ||||||
The Gap, Inc. | 23,500 | 669,750 | ||||||
GNC Holdings, Inc. Class A | 36,300 | 1,467,246 | ||||||
The Home Depot, Inc. | 48,210 | 5,567,773 | ||||||
L Brands, Inc. | 4,100 | 369,533 | ||||||
Lowe’s Cos., Inc. | 45,600 | 3,142,752 | ||||||
Macy’s, Inc. | 17,600 | 903,232 | ||||||
McDonald’s Corp. | 15,070 | 1,484,847 | ||||||
The Michaels Cos., Inc. (a) | 32,500 | 750,750 | ||||||
Nordstrom, Inc. | 100 | 7,171 | ||||||
Nu Skin Enterprises, Inc. Class A | 29,530 | 1,218,998 | ||||||
O’Reilly Automotive, Inc. (a) | 2,290 | 572,500 | ||||||
Office Depot, Inc. (a) | 98,200 | 630,444 | ||||||
Penske Auto Group, Inc. | 16,700 | 808,948 | ||||||
Rite Aid Corp. (a) | 27,100 | 164,497 | ||||||
Ross Stores, Inc. | 5,560 | 269,493 | ||||||
Sally Beauty Holdings, Inc. (a) | 2,100 | 49,875 | ||||||
Sears Holdings Corp. (a) | 500 | 11,300 | ||||||
Starbucks Corp. | 45,800 | 2,603,272 | ||||||
Target Corp. | 12,400 | 975,384 | ||||||
Tiffany & Co. | 2,000 | 154,440 | ||||||
The TJX Cos., Inc. | 7,320 | 522,794 | ||||||
Walgreens Boots Alliance, Inc. | 3,400 | 282,540 | ||||||
Williams-Sonoma, Inc. | 1,000 | 76,350 | ||||||
World Fuel Services Corp. | 3,300 | 118,140 | ||||||
Yum! Brands, Inc. | 1,840 | 147,108 | ||||||
|
| |||||||
36,601,413 | ||||||||
|
| |||||||
Textiles — 0.2% | ||||||||
Cintas Corp. | 11,500 | 986,125 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
170
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MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 4,370 | $ | 315,252 | |||||
|
| |||||||
66,799,900 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 30.5% | ||||||||
Agriculture — 1.1% | ||||||||
Altria Group, Inc. | 33,470 | 1,820,768 | ||||||
Philip Morris International, Inc. | 14,970 | 1,187,570 | ||||||
Reynolds American, Inc. | 37,480 | 1,659,240 | ||||||
|
| |||||||
4,667,578 | ||||||||
|
| |||||||
Beverages — 3.3% | ||||||||
Brown-Forman Corp. Class B | 7 | 678 | ||||||
The Coca-Cola Co. | 132,560 | 5,318,307 | ||||||
Coca-Cola Enterprises, Inc. | 16,600 | 802,610 | ||||||
Dr. Pepper Snapple Group, Inc. | 12,000 | 948,600 | ||||||
Keurig Green Mountain, Inc. | 20 | 1,043 | ||||||
Monster Beverage Corp. (a) | 1,550 | 209,467 | ||||||
PepsiCo, Inc. | 77,523 | 7,310,419 | ||||||
|
| |||||||
14,591,124 | ||||||||
|
| |||||||
Biotechnology — 5.4% | ||||||||
Alkermes PLC (a) | 2,500 | 146,675 | ||||||
Amgen, Inc. | 61,540 | 8,512,213 | ||||||
Celgene Corp. (a) | 35,640 | 3,855,179 | ||||||
Charles River Laboratories International, Inc. (a) | 8,900 | 565,328 | ||||||
Gilead Sciences, Inc. | 99,280 | 9,748,303 | ||||||
Illumina, Inc. (a) | 1,380 | 242,631 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 650 | 302,341 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 2,100 | 218,694 | ||||||
|
| |||||||
23,591,364 | ||||||||
|
| |||||||
Commercial Services — 5.9% | ||||||||
Aaron’s, Inc. | 34,250 | 1,236,767 | ||||||
Automatic Data Processing, Inc. | 7,080 | 568,949 | ||||||
Booz Allen Hamilton Holding Corp. | 2,800 | 73,388 | ||||||
CoreLogic, Inc. (a) | 8,700 | 323,901 | ||||||
Donnelley (R.R.) & Sons Co. | 27,300 | 397,488 | ||||||
Equifax, Inc. | 9,150 | 889,197 | ||||||
FleetCor Technologies, Inc. (a) | 750 | 103,215 | ||||||
Gartner, Inc. (a) | 3,900 | 327,327 | ||||||
Genpact Ltd. (a) | 42,200 | 996,342 | ||||||
Global Payments, Inc. | 10,220 | 1,172,541 | ||||||
H&R Block, Inc. | 10,300 | 372,860 | ||||||
KAR Auction Services, Inc. | 5,700 | 202,350 | ||||||
MasterCard, Inc. Class A | 60 | 5,407 | ||||||
McKesson Corp. | 14,730 | 2,725,492 | ||||||
Moody’s Corp. | 7,900 | 775,780 | ||||||
Paychex, Inc. | 5,200 | 247,676 | ||||||
PayPal Holdings, Inc. (a) | 26,400 | 819,456 | ||||||
Robert Half International, Inc. | 4,100 | 209,756 | ||||||
SEI Investments Co. | 11,200 | 540,176 | ||||||
Service Corp. International | 47,100 | 1,276,410 |
Number of Shares | Value | |||||||
ServiceMaster Global Holdings, Inc. (a) | 35,600 | $ | 1,194,380 | |||||
Total System Services, Inc. | 21,200 | 963,116 | ||||||
Towers Watson & Co. Class A | 960 | 112,685 | ||||||
United Rentals, Inc. (a) | 3,170 | 190,359 | ||||||
Vantiv, Inc. Class A (a) | 33,500 | 1,504,820 | ||||||
Verisk Analytics, Inc. (a) | 7,800 | 576,498 | ||||||
Visa, Inc. Class A | 91,420 | 6,368,317 | ||||||
Western Union Co. | 79,220 | 1,454,479 | ||||||
WEX, Inc. (a) | 3,270 | 283,967 | ||||||
|
| |||||||
25,913,099 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.3% | ||||||||
Colgate-Palmolive Co. | 10,980 | 696,791 | ||||||
Coty, Inc. Class A | 2,200 | 59,532 | ||||||
The Estee Lauder Cos., Inc. Class A | 8,860 | 714,825 | ||||||
|
| |||||||
1,471,148 | ||||||||
|
| |||||||
Foods — 2.2% | ||||||||
Campbell Soup Co. | 1,200 | 60,816 | ||||||
Flowers Foods, Inc. | 1,500 | 37,110 | ||||||
General Mills, Inc. | 8,460 | 474,860 | ||||||
The Hershey Co. | 900 | 82,692 | ||||||
Hormel Foods Corp. | 14,000 | 886,340 | ||||||
Ingredion, Inc. | 6,000 | 523,860 | ||||||
Kellogg Co. | 940 | 62,557 | ||||||
The Kraft Heinz Co. | 52,866 | 3,731,282 | ||||||
The Kroger Co. | 59,720 | 2,154,100 | ||||||
McCormick & Co., Inc. | 2,400 | 197,232 | ||||||
Pilgrim’s Pride Corp. | 68,300 | 1,419,274 | ||||||
Sysco Corp. | 1,200 | 46,764 | ||||||
The Hain Celestial Group, Inc. (a) | 200 | 10,320 | ||||||
Tyson Foods, Inc. Class A | 300 | 12,930 | ||||||
The WhiteWave Foods Co. (a) | 23 | 924 | ||||||
Whole Foods Market, Inc. | 600 | 18,990 | ||||||
|
| |||||||
9,720,051 | ||||||||
|
| |||||||
Health Care – Products — 2.4% | ||||||||
Alere, Inc. (a) | 22,000 | 1,059,300 | ||||||
Baxter International, Inc. | 2,020 | 66,357 | ||||||
Becton, Dickinson & Co. | 4,290 | 569,111 | ||||||
Boston Scientific Corp. (a) | 1,500 | 24,615 | ||||||
Bruker Corp. (a) | 4,100 | 67,363 | ||||||
C.R. Bard, Inc. | 2,360 | 439,692 | ||||||
Edwards Lifesciences Corp. (a) | 8,250 | 1,172,902 | ||||||
Henry Schein, Inc. (a) | 2,590 | 343,745 | ||||||
Hill-Rom Holdings, Inc. | 3,600 | 187,164 | ||||||
Hologic, Inc. (a) | 38,500 | 1,506,505 | ||||||
Intuitive Surgical, Inc. (a) | 1,676 | 770,256 | ||||||
Johnson & Johnson | 17,660 | 1,648,561 | ||||||
ResMed, Inc. | 5,900 | 300,664 | ||||||
St. Jude Medical, Inc. | 8,140 | 513,553 | ||||||
Stryker Corp. | 14,200 | 1,336,220 | ||||||
Varian Medical Systems, Inc. (a) | 10,200 | 752,556 |
The accompanying notes are an integral part of the financial statements.
171
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MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Zimmer Biomet Holdings, Inc. | 370 | $ | 34,754 | |||||
|
| |||||||
10,793,318 | ||||||||
|
| |||||||
Health Care – Services — 3.3% | ||||||||
Aetna, Inc. | 8,800 | 962,808 | ||||||
Anthem, Inc. | 9,330 | 1,306,200 | ||||||
Centene Corp. (a) | 22,600 | 1,225,598 | ||||||
Cigna Corp. | 16,760 | 2,262,935 | ||||||
DaVita HealthCare Partners, Inc. (a) | 60 | 4,340 | ||||||
HCA Holdings, Inc. (a) | 2,200 | 170,192 | ||||||
Health Net, Inc. (a) | 10,200 | 614,244 | ||||||
Humana, Inc. | 1,710 | 306,090 | ||||||
Laboratory Corporation of America Holdings (a) | 1,677 | 181,904 | ||||||
LifePoint Health, Inc. (a) | 3,300 | 233,970 | ||||||
MEDNAX, Inc. (a) | 10,200 | 783,258 | ||||||
Premier, Inc. (a) | 2,600 | 89,362 | ||||||
Thermo Fisher Scientific, Inc. | 6,090 | 744,685 | ||||||
UnitedHealth Group, Inc. | 36,570 | 4,242,486 | ||||||
Universal Health Services, Inc. Class B | 11,030 | 1,376,654 | ||||||
|
| |||||||
14,504,726 | ||||||||
|
| |||||||
Household Products — 0.5% | ||||||||
Avery Dennison Corp. | 9,900 | 560,043 | ||||||
Church & Dwight Co., Inc. | 5,560 | 466,484 | ||||||
The Clorox Co. | 2,790 | 322,329 | ||||||
Kimberly-Clark Corp. | 4,640 | 505,945 | ||||||
Tupperware Brands Corp. | 3,200 | 158,368 | ||||||
|
| |||||||
2,013,169 | ||||||||
|
| |||||||
Pharmaceuticals — 6.1% | ||||||||
AbbVie, Inc. | 87,283 | 4,749,068 | ||||||
Allergan PLC (a) | 5,778 | 1,570,518 | ||||||
AmerisourceBergen Corp. | 17,100 | 1,624,329 | ||||||
Baxalta, Inc. | 22,700 | 715,277 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 400 | 42,128 | ||||||
Bristol-Myers Squibb Co. | 22,600 | 1,337,920 | ||||||
Cardinal Health, Inc. | 19,000 | 1,459,580 | ||||||
DENTSPLY International, Inc. | 1,950 | 98,611 | ||||||
Eli Lilly & Co. | 46,700 | 3,908,323 | ||||||
Endo International PLC (a) | 9,300 | 644,304 | ||||||
Express Scripts Holding Co. (a) | 33,780 | 2,734,829 | ||||||
Herbalife Ltd. (a) | 23,580 | 1,285,110 | ||||||
Jazz Pharmaceuticals Plc (a) | 6,670 | 885,843 | ||||||
Mallinckrodt PLC (a) | 3,518 | 224,941 | ||||||
Mead Johnson Nutrition Co. | 3,800 | 267,520 | ||||||
Medivation, Inc. (a) | 8,260 | 351,050 | ||||||
Merck & Co., Inc. | 26,500 | 1,308,835 | ||||||
Mylan NV (a) | 25,900 | 1,042,734 | ||||||
OPKO Health, Inc. (a) | 36,700 | 308,647 | ||||||
Perrigo Co. PLC | 2,210 | 347,567 | ||||||
Sirona Dental Systems, Inc. (a) | 2,570 | 239,884 | ||||||
United Therapeutics Corp. (a) | 3,130 | 410,781 |
Number of Shares | Value | |||||||
VCA, Inc. (a) | 7,500 | $ | 394,875 | |||||
VWR Corp. (a) | 15,700 | 403,333 | ||||||
Zoetis, Inc. | 9,800 | 403,564 | ||||||
|
| |||||||
26,759,571 | ||||||||
|
| |||||||
134,025,148 | ||||||||
|
| |||||||
Diversified — 0.1% | ||||||||
Holding Company – Diversified — 0.1% | ||||||||
Leucadia National Corp. | 11,100 | 224,886 | ||||||
|
| |||||||
Energy — 0.6% | ||||||||
Oil & Gas — 0.2% | ||||||||
Continental Resources, Inc. (a) | 40 | 1,159 | ||||||
CVR Energy, Inc. | 7,400 | 303,770 | ||||||
EOG Resources, Inc. | 90 | 6,552 | ||||||
Marathon Petroleum Corp. | 8,800 | 407,704 | ||||||
Tesoro Corp. | 4,500 | 437,580 | ||||||
|
| |||||||
1,156,765 | ||||||||
|
| |||||||
Oil & Gas Services — 0.3% | ||||||||
FMC Technologies, Inc. (a) | 8,800 | 272,800 | ||||||
HollyFrontier Corp. | 6,100 | 297,924 | ||||||
Oceaneering International, Inc. | 5,600 | 219,968 | ||||||
RPC, Inc. | 50 | 442 | ||||||
Schlumberger Ltd. | 10,370 | 715,219 | ||||||
|
| |||||||
1,506,353 | ||||||||
|
| |||||||
Pipelines — 0.1% | ||||||||
The Williams Cos., Inc. | 6,200 | 228,470 | ||||||
|
| |||||||
2,891,588 | ||||||||
|
| |||||||
Financial — 5.1% | ||||||||
Banks — 0.6% | ||||||||
The Bank of New York Mellon Corp. | 34,000 | 1,331,100 | ||||||
Signature Bank (a) | 2,090 | 287,501 | ||||||
SVB Financial Group (a) | 7,830 | 904,678 | ||||||
|
| |||||||
2,523,279 | ||||||||
|
| |||||||
Diversified Financial — 1.6% | ||||||||
Air Lease Corp. | 100 | 3,092 | ||||||
Ally Financial, Inc. (a) | 1,400 | 28,532 | ||||||
American Express Co. | 6,200 | 459,606 | ||||||
Ameriprise Financial, Inc. | 1,730 | 188,795 | ||||||
BlackRock, Inc. | 2,350 | 699,054 | ||||||
The Charles Schwab Corp. | 8,100 | 231,336 | ||||||
Credit Acceptance Corp. (a) | 1,680 | 330,742 | ||||||
Eaton Vance Corp. | 3,500 | 116,970 | ||||||
Federated Investors, Inc. Class B | 80 | 2,312 | ||||||
Intercontinental Exchange, Inc. | 1,090 | 256,139 | ||||||
Invesco Ltd. | 8,900 | 277,947 | ||||||
Lazard Ltd. Class A | 30,200 | 1,307,660 | ||||||
Legg Mason, Inc. | 1,200 | 49,932 | ||||||
Santander Consumer USA Holdings, Inc. (a) | 61,000 | 1,245,620 | ||||||
SLM Corp. (a) | 88,200 | 652,680 |
The accompanying notes are an integral part of the financial statements.
172
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
T. Rowe Price Group, Inc. | 13,800 | $ | 959,100 | |||||
TD Ameritrade Holding Corp. | 8,100 | 257,904 | ||||||
Waddell & Reed Financial, Inc. Class A | 3,600 | 125,172 | ||||||
|
| |||||||
7,192,593 | ||||||||
|
| |||||||
Insurance — 0.9% | ||||||||
AmTrust Financial Services, Inc. | 27,400 | 1,725,652 | ||||||
Aon PLC | 11,850 | 1,050,028 | ||||||
Arthur J. Gallagher & Co. | 3,200 | 132,096 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 1,390 | 181,256 | ||||||
Erie Indemnity Co. Class A | 90 | 7,465 | ||||||
Markel Corp. (a) | 80 | 64,149 | ||||||
Marsh & McLennan Cos., Inc. | 14,200 | 741,524 | ||||||
|
| |||||||
3,902,170 | ||||||||
|
| |||||||
Real Estate — 0.5% | ||||||||
CBRE Group, Inc. (a) | 26,100 | 835,200 | ||||||
Jones Lang LaSalle, Inc. | 9,170 | 1,318,371 | ||||||
|
| |||||||
2,153,571 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.5% | ||||||||
American Tower Corp. | 1,935 | 170,241 | ||||||
Crown Castle International Corp. | 28,600 | 2,255,682 | ||||||
Digital Realty Trust, Inc. | 13,400 | 875,288 | ||||||
Equity Lifestyle Properties, Inc. | 2,800 | 163,996 | ||||||
Extra Space Storage, Inc. | 2,200 | 169,752 | ||||||
Iron Mountain, Inc. | 43 | 1,334 | ||||||
Lamar Advertising Co. Class A | 1,400 | 73,052 | ||||||
Public Storage | 5,100 | 1,079,313 | ||||||
Simon Property Group, Inc. | 7,239 | 1,329,949 | ||||||
Tanger Factory Outlet Centers, Inc. | 500 | 16,485 | ||||||
Taubman Centers, Inc. | 400 | 27,632 | ||||||
Welltower, Inc. | 8,300 | 562,076 | ||||||
|
| |||||||
6,724,800 | ||||||||
|
| |||||||
22,496,413 | ||||||||
|
| |||||||
Industrial — 9.9% | ||||||||
Aerospace & Defense — 2.5% | ||||||||
The Boeing Co. | 38,640 | 5,059,908 | ||||||
General Dynamics Corp. | 12,750 | 1,758,862 | ||||||
Lockheed Martin Corp. | 1,790 | 371,085 | ||||||
Northrop Grumman Corp. | 10,480 | 1,739,156 | ||||||
Rockwell Collins, Inc. | 1,400 | 114,576 | ||||||
Spirit AeroSystems Holdings, Inc. Class A (a) | 35,500 | 1,716,070 | ||||||
TransDigm Group, Inc. (a) | 250 | 53,103 | ||||||
United Technologies Corp. | 3,450 | 307,015 | ||||||
|
| |||||||
11,119,775 | ||||||||
|
| |||||||
Airlines — 0.3% | ||||||||
United Continental Holdings, Inc. (a) | 29,855 | 1,583,808 | ||||||
|
| |||||||
Building Materials — 0.4% | ||||||||
Armstrong World Industries, Inc. (a) | 19,600 | 935,704 | ||||||
Lennox International, Inc. | 10 | 1,133 |
Number of Shares | Value | |||||||
Masco Corp. | 41,900 | $ | 1,055,042 | |||||
|
| |||||||
1,991,879 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.2% | ||||||||
Acuity Brands, Inc. | 1,160 | 203,673 | ||||||
AMETEK, Inc. | 8,575 | 448,644 | ||||||
Emerson Electric Co. | 10 | 442 | ||||||
Hubbell, Inc. Class B | 900 | 76,455 | ||||||
|
| |||||||
729,214 | ||||||||
|
| |||||||
Electronics — 1.2% | ||||||||
Allegion PLC | 2,600 | 149,916 | ||||||
Amphenol Corp. Class A | 500 | 25,480 | ||||||
Gentex Corp. | 19,220 | 297,910 | ||||||
Jabil Circuit, Inc. | 57,800 | 1,292,986 | ||||||
Keysight Technologies, Inc. (a) | 45,910 | 1,415,865 | ||||||
Mettler-Toledo International, Inc. (a) | 1,760 | 501,142 | ||||||
Trimble Navigation Ltd. (a) | 20 | 328 | ||||||
Tyco International PLC | 17,900 | 598,934 | ||||||
Waters Corp. (a) | 7,420 | 877,118 | ||||||
|
| |||||||
5,159,679 | ||||||||
|
| |||||||
Engineering & Construction — 0.0% | ||||||||
AECOM (a) | 7,500 | 206,325 | ||||||
|
| |||||||
Environmental Controls — 0.2% | ||||||||
Clean Harbors, Inc. (a) | 15,800 | 694,726 | ||||||
Stericycle, Inc. (a) | 1,620 | 225,682 | ||||||
Waste Management, Inc. | 1,200 | 59,772 | ||||||
|
| |||||||
980,180 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.4% | ||||||||
Lincoln Electric Holdings, Inc. | 24,600 | 1,289,778 | ||||||
Snap-on, Inc. | 2,270 | 342,634 | ||||||
|
| |||||||
1,632,412 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.1% | ||||||||
Babcock & Wilcox Enterprises, Inc. (a) | 400 | 6,720 | ||||||
Caterpillar, Inc. | 3,180 | 207,845 | ||||||
Ingersoll-Rand PLC | 1,300 | 66,001 | ||||||
|
| |||||||
280,566 | ||||||||
|
| |||||||
Machinery – Diversified — 1.0% | ||||||||
Cummins, Inc. | 2,580 | 280,136 | ||||||
Deere & Co. | 4,800 | 355,200 | ||||||
Flowserve Corp. | 90 | 3,703 | ||||||
Graco, Inc. | 23,600 | 1,581,908 | ||||||
IDEX Corp. | 50 | 3,565 | ||||||
The Middleby Corp. (a) | 4,900 | 515,431 | ||||||
Rockwell Automation, Inc. | 8,590 | 871,627 | ||||||
Roper Technologies, Inc. | 3,810 | 597,027 | ||||||
Wabtec Corp. | 1,230 | 108,301 | ||||||
Zebra Technologies Corp. Class A (a) | 50 | 3,828 | ||||||
|
| |||||||
4,320,726 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
173
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Manufacturing — 1.0% | ||||||||
3M Co. | 7,160 | $ | 1,015,073 | |||||
AptarGroup, Inc. | 10,100 | 666,196 | ||||||
Danaher Corp. | 2,420 | 206,208 | ||||||
Honeywell International, Inc. | 850 | 80,487 | ||||||
Illinois Tool Works, Inc. | 15,300 | 1,259,343 | ||||||
Leggett & Platt, Inc. | 5,400 | 222,750 | ||||||
Parker Hannifin Corp. | 650 | 63,245 | ||||||
Textron, Inc. | 19,200 | 722,688 | ||||||
|
| |||||||
4,235,990 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.0% | ||||||||
Valmont Industries, Inc. | 10 | 949 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.1% | ||||||||
A.O. Smith Corp. | 5,100 | 332,469 | ||||||
|
| |||||||
Packaging & Containers — 0.9% | ||||||||
Ball Corp. | 1,400 | 87,080 | ||||||
Bemis Co., Inc. | 7,200 | 284,904 | ||||||
Crown Holdings, Inc. (a) | 10,100 | 462,075 | ||||||
Graphic Packaging Holding Co. | 36,100 | 461,719 | ||||||
Owens-Illinois, Inc. (a) | 3,700 | 76,664 | ||||||
Sealed Air Corp. | 26,600 | 1,247,008 | ||||||
Silgan Holdings, Inc. | 2,500 | 130,100 | ||||||
WestRock Co. | 24,700 | 1,270,568 | ||||||
|
| |||||||
4,020,118 | ||||||||
|
| |||||||
Shipbuilding — 0.4% | ||||||||
Huntington Ingalls Industries, Inc. | 15,760 | 1,688,684 | ||||||
|
| |||||||
Transportation — 1.0% | ||||||||
C.H. Robinson Worldwide, Inc. | 4,400 | 298,232 | ||||||
Expeditors International of Washington, Inc. | 16,600 | 781,030 | ||||||
Landstar System, Inc. | 60 | 3,808 | ||||||
Teekay Corp. | 500 | 14,820 | ||||||
Union Pacific Corp. | 20 | 1,768 | ||||||
United Parcel Service, Inc. Class B | 33,380 | 3,294,273 | ||||||
|
| |||||||
4,393,931 | ||||||||
|
| |||||||
Trucking & Leasing — 0.2% | ||||||||
AMERCO | 2,050 | 806,613 | ||||||
|
| |||||||
43,483,318 | ||||||||
|
| |||||||
Technology — 16.4% | ||||||||
Computers — 9.8% | ||||||||
Accenture PLC Class A | 32,060 | 3,150,216 | ||||||
Apple, Inc. | 291,083 | 32,106,455 | ||||||
Cadence Design Systems, Inc. (a) | 22,000 | 454,960 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 21,300 | 1,333,593 | ||||||
DST Systems, Inc. | 2,930 | 308,060 | ||||||
EMC Corp. | 39,380 | 951,421 | ||||||
Fortinet, Inc. (a) | 21,700 | 921,816 | ||||||
IHS, Inc. Class A (a) | 2,910 | 337,560 |
Number of Shares | Value | |||||||
International Business Machines Corp. | 10,550 | $ | 1,529,433 | |||||
Jack Henry & Associates, Inc. | 3,600 | 250,596 | ||||||
NetApp, Inc. | 44,860 | 1,327,856 | ||||||
Synopsys, Inc. (a) | 5,300 | 244,754 | ||||||
Teradata Corp. (a) | 3,700 | 107,152 | ||||||
|
| |||||||
43,023,872 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.0% | ||||||||
Pitney Bowes, Inc. | 5,200 | 103,220 | ||||||
|
| |||||||
Semiconductors — 1.8% | ||||||||
Altera Corp. | 900 | 45,072 | ||||||
Analog Devices, Inc. | 8,880 | 500,921 | ||||||
Applied Materials, Inc. | 5,900 | 86,671 | ||||||
Avago Technologies Ltd. | 13,300 | 1,662,633 | ||||||
Intel Corp. | 27,900 | 840,906 | ||||||
KLA-Tencor Corp. | 13,600 | 680,000 | ||||||
Lam Research Corp. | 17,100 | 1,117,143 | ||||||
Linear Technology Corp. | 420 | 16,947 | ||||||
Maxim Integrated Products, Inc. | 14,500 | 484,300 | ||||||
Microchip Technology, Inc. | 6,100 | 262,849 | ||||||
Micron Technology, Inc. (a) | 4,900 | 73,402 | ||||||
ON Semiconductor Corp. (a) | 9,500 | 89,300 | ||||||
Skyworks Solutions, Inc. | 10,070 | 847,995 | ||||||
Texas Instruments, Inc. | 19,450 | 963,164 | ||||||
Xilinx, Inc. | 3,410 | 144,584 | ||||||
|
| |||||||
7,815,887 | ||||||||
|
| |||||||
Software — 4.8% | ||||||||
Adobe Systems, Inc. (a) | 15,950 | 1,311,409 | ||||||
ANSYS, Inc. (a) | 2,400 | 211,536 | ||||||
Autodesk, Inc. (a) | 50 | 2,207 | ||||||
Broadridge Financial Solutions, Inc. | 7,960 | 440,586 | ||||||
Citrix Systems, Inc. (a) | 8,100 | 561,168 | ||||||
The Dun & Bradstreet Corp. | 3,740 | 392,700 | ||||||
Electronic Arts, Inc. (a) | 14,600 | 989,150 | ||||||
Fidelity National Information Services, Inc. | 8,000 | 536,640 | ||||||
Fiserv, Inc. (a) | 9,900 | 857,439 | ||||||
Inovalon Holdings, Inc. Class A (a) | 15,900 | 331,197 | ||||||
Intuit, Inc. | 230 | 20,412 | ||||||
Leidos Holdings, Inc. | 30,900 | 1,276,479 | ||||||
Microsoft Corp. | 140,360 | 6,212,334 | ||||||
MSCI, Inc. | 4,900 | 291,354 | ||||||
Oracle Corp. | 86,000 | 3,106,320 | ||||||
PTC, Inc. (a) | 4,300 | 136,482 | ||||||
Red Hat, Inc. (a) | 10,600 | 761,928 | ||||||
Salesforce.com, Inc. (a) | 24,940 | 1,731,584 | ||||||
Servicenow, Inc. (a) | 2,600 | 180,570 | ||||||
SolarWinds, Inc. (a) | 12,800 | 502,272 | ||||||
Splunk, Inc. (a) | 4,600 | 254,610 | ||||||
SS&C Technologies Holdings, Inc | 5,500 | 385,220 | ||||||
Tableau Software, Inc. Class A (a) | 1,200 | 95,736 |
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 | |||||||
Veeva Systems, Inc. Class A (a) | 11,000 | $ | 257,510 | |||||
VMware, Inc. Class A (a) | 3,980 | 313,584 | ||||||
|
| |||||||
21,160,427 | ||||||||
|
| |||||||
72,103,406 | ||||||||
|
| |||||||
Utilities — 0.1% | ||||||||
Electric — 0.1% | ||||||||
Calpine Corp. (a) | 11,600 | 169,360 | ||||||
Dominion Resources, Inc. | 3,900 | 274,482 | ||||||
|
| |||||||
443,842 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $441,238,375) | 437,775,049 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $441,238,375) | 437,775,049 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $441,238,375) | 437,775,049 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||
Repurchase Agreement — 0.3% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated | $ | 1,187,952 | 1,187,952 | |||||
|
| |||||||
Time Deposits — 0.0% | ||||||||
Euro Time Deposit | 637 | 637 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,188,589) | 1,188,589 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% (Cost $442,426,964) (c) | 438,963,638 | |||||||
Other Assets/(Liabilities) — 0.2% | 837,315 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 439,800,953 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $1,187,952. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 10/31/21, and an aggregate market value, including accrued interest, of $1,216,106. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
175
Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio of Investments
September 30, 2015
Number of Shares | Value | |||||||
EQUITIES — 99.2% | ||||||||
COMMON STOCK — 99.2% | ||||||||
Basic Materials — 4.3% | ||||||||
Chemicals — 1.0% | ||||||||
A. Schulman, Inc. | 26,431 | $ | 858,214 | |||||
Intrepid Potash, Inc. (a) (b) | 115,830 | 641,698 | ||||||
|
| |||||||
1,499,912 | ||||||||
|
| |||||||
Forest Products & Paper — 1.2% | ||||||||
P.H. Glatfelter Co. | 105,909 | 1,823,753 | ||||||
|
| |||||||
Mining — 2.1% | ||||||||
Kaiser Aluminum Corp. | 31,510 | 2,528,677 | ||||||
Osisko Gold Royalties Ltd. (b) | 64,047 | 676,705 | ||||||
|
| |||||||
3,205,382 | ||||||||
|
| |||||||
6,529,047 | ||||||||
|
| |||||||
Communications — 1.3% | ||||||||
Internet — 0.6% | ||||||||
Zynga, Inc. (a) | 447,090 | 1,019,365 | ||||||
|
| |||||||
Telecommunications — 0.7% | ||||||||
RigNet, Inc. (a) (b) | 40,420 | 1,030,710 | ||||||
|
| |||||||
2,050,075 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.5% | ||||||||
Airlines — 0.6% | ||||||||
Spirit Airlines, Inc. (a) | 19,500 | 922,350 | ||||||
|
| |||||||
Automotive & Parts — 1.7% | ||||||||
Dana Holding Corp. | 158,125 | 2,511,025 | ||||||
|
| |||||||
Entertainment — 0.7% | ||||||||
International Speedway Corp. Class A | 34,310 | 1,088,313 | ||||||
|
| |||||||
Retail — 7.8% | ||||||||
Brinker International, Inc. | 38,500 | 2,027,795 | ||||||
Krispy Kreme Doughnuts, Inc. (a) | 49,370 | 722,283 | ||||||
Mattress Firm Holding Corp. (a) (b) | 45,950 | 1,918,872 | ||||||
Nu Skin Enterprises, Inc. Class A | 18,630 | 769,047 | ||||||
Party City Holdco, Inc. (a) | 102,000 | 1,628,940 | ||||||
Popeyes Louisiana Kitchen, Inc. (a) | 49,450 | 2,787,002 | ||||||
Texas Roadhouse, Inc. | 56,060 | 2,085,432 | ||||||
|
| |||||||
11,939,371 | ||||||||
|
| |||||||
Storage & Warehousing — 0.7% | ||||||||
Wesco Aircraft Holdings, Inc. (a) | 89,160 | 1,087,752 | ||||||
|
| |||||||
17,548,811 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 28.3% | ||||||||
Agriculture — 1.1% | ||||||||
Universal Corp. (b) | 33,670 | 1,669,022 | ||||||
|
| |||||||
Biotechnology — 0.9% | ||||||||
Celldex Therapeutics, Inc. (a) | 26,880 | 283,315 | ||||||
Ultragenyx Pharmaceutical, Inc. (a) | 11,160 | 1,074,820 | ||||||
|
| |||||||
1,358,135 | ||||||||
|
|
Number of Shares | Value | |||||||
Commercial Services — 11.4% | ||||||||
ABM Industries, Inc. | 61,700 | $ | 1,685,027 | |||||
Booz Allen Hamilton Holding Corp. | 64,190 | 1,682,420 | ||||||
James River Group Holdings Ltd. | 55,630 | 1,495,891 | ||||||
KAR Auction Services, Inc. | 86,080 | 3,055,840 | ||||||
Korn/Ferry International | 103,183 | 3,412,262 | ||||||
On Assignment, Inc. (a) | 55,410 | 2,044,629 | ||||||
Paylocity Holding Corp. (a) (b) | 65,860 | 1,975,141 | ||||||
Team Health Holdings, Inc. (a) | 36,480 | 1,971,014 | ||||||
|
| |||||||
17,322,224 | ||||||||
|
| |||||||
Foods — 2.5% | ||||||||
Pinnacle Foods, Inc. | 90,680 | 3,797,679 | ||||||
|
| |||||||
Health Care – Products — 1.7% | ||||||||
Dexcom, Inc. (a) | 8,850 | 759,861 | ||||||
NxStage Medical, Inc. (a) | 61,650 | 972,221 | ||||||
Spectranetics Corp. (a) | 69,490 | 819,287 | ||||||
|
| |||||||
2,551,369 | ||||||||
|
| |||||||
Health Care – Services — 5.1% | ||||||||
Acadia Healthcare Co., Inc. (a) | 30,560 | 2,025,211 | ||||||
HealthSouth Corp. | 69,123 | 2,652,250 | ||||||
WellCare Health Plans, Inc. (a) | 36,046 | 3,106,444 | ||||||
|
| |||||||
7,783,905 | ||||||||
|
| |||||||
Household Products — 2.9% | ||||||||
Acco Brands Corp. (a) | 216,910 | 1,533,554 | ||||||
Prestige Brands Holdings, Inc. (a) | 64,946 | 2,932,961 | ||||||
|
| |||||||
4,466,515 | ||||||||
|
| |||||||
Pharmaceuticals — 2.7% | ||||||||
Acadia Pharmaceuticals, Inc. (a) | 32,000 | 1,058,240 | ||||||
Aratana Therapeutics, Inc. (a) | 48,260 | 408,280 | ||||||
Axovant Sciences Ltd. (a) (b) | 19,670 | 254,136 | ||||||
Diplomat Pharmacy, Inc. (a) | 40,410 | 1,160,979 | ||||||
VWR Corp. (a) (b) | 46,100 | 1,184,309 | ||||||
|
| |||||||
4,065,944 | ||||||||
|
| |||||||
43,014,793 | ||||||||
|
| |||||||
Energy — 3.2% | ||||||||
Energy – Alternate Sources — 0.8% | ||||||||
Renewable Energy Group, Inc. (a) | 151,689 | 1,255,985 | ||||||
|
| |||||||
Oil & Gas — 1.9% | ||||||||
Suburban Propane Partners LP | 37,820 | 1,243,143 | ||||||
Western Refining, Inc. | 34,840 | 1,537,141 | ||||||
|
| |||||||
2,780,284 | ||||||||
|
| |||||||
Pipelines — 0.5% | ||||||||
Cone Midstream Partners LP | 79,715 | 791,570 | ||||||
|
| |||||||
4,827,839 | ||||||||
|
| |||||||
Financial — 24.3% | ||||||||
Banks — 7.9% | ||||||||
BancorpSouth, Inc. | 119,380 | 2,837,663 |
The accompanying notes are an integral part of the financial statements.
176
Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
FirstMerit Corp. | 143,899 | $ | 2,542,695 | |||||
MB Financial, Inc. | 86,720 | 2,830,541 | ||||||
Talmer Bancorp, Inc. | 99,310 | 1,653,511 | ||||||
Webster Financial Corp. | 58,770 | 2,093,975 | ||||||
|
| |||||||
11,958,385 | ||||||||
|
| |||||||
Insurance — 1.7% | ||||||||
Endurance Specialty Holdings Ltd. | 25,180 | 1,536,736 | ||||||
Old Republic International Corp. | 69,510 | 1,087,136 | ||||||
|
| |||||||
2,623,872 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 9.9% | ||||||||
Apollo Commercial Real Estate Finance, Inc. | 115,222 | 1,810,138 | ||||||
Chatham Lodging Trust | 107,255 | 2,303,837 | ||||||
CYS Investments, Inc. | 287,820 | 2,089,573 | ||||||
DuPont Fabros Technology, Inc. | 61,960 | 1,603,525 | ||||||
LaSalle Hotel Properties | 86,656 | 2,460,164 | ||||||
National Storage Affiliates Trust | 105,140 | 1,424,647 | ||||||
STAG Industrial, Inc. | 184,310 | 3,356,285 | ||||||
|
| |||||||
15,048,169 | ||||||||
|
| |||||||
Savings & Loans — 4.8% | ||||||||
BankUnited, Inc. | 86,168 | 3,080,506 | ||||||
First Niagara Financial Group, Inc. | 178,510 | 1,822,587 | ||||||
Flagstar Bancorp, Inc. (a) | 42,349 | 870,695 | ||||||
Oritani Financial Corp. | 102,888 | 1,607,111 | ||||||
|
| |||||||
7,380,899 | ||||||||
|
| |||||||
37,011,325 | ||||||||
|
| |||||||
Industrial — 7.8% | ||||||||
Aerospace & Defense — 0.5% | ||||||||
AAR Corp. | 40,289 | 764,282 | ||||||
|
| |||||||
Building Materials — 2.2% | ||||||||
Boise Cascade Co. (a) | 43,630 | 1,100,349 | ||||||
Masonite International Corp. (a) | 25,100 | 1,520,558 | ||||||
Summit Materials, Inc. Class A (a) | 34,760 | 652,445 | ||||||
|
| |||||||
3,273,352 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.8% | ||||||||
Generac Holdings, Inc. (a) (b) | 37,720 | 1,134,995 | ||||||
|
| |||||||
Engineering & Construction — 0.7% | ||||||||
AECOM (a) | 40,986 | 1,127,525 | ||||||
|
| |||||||
Machinery – Diversified — 0.4% | ||||||||
SPX FLOW, Inc. (a) | 19,240 | 662,433 | ||||||
|
| |||||||
Manufacturing — 1.0% | ||||||||
Matthews International Corp. Class A | 25,870 | 1,266,854 | ||||||
SPX Corp. | 19,240 | 229,341 | ||||||
|
| |||||||
1,496,195 | ||||||||
|
| |||||||
Transportation — 1.6% | ||||||||
Saia, Inc. (a) | 27,323 | 845,647 | ||||||
Swift Transportation Co. (a) | 62,429 | 937,684 | ||||||
XPO Logistics, Inc. (a) (b) | 28,550 | 680,346 | ||||||
|
| |||||||
2,463,677 | ||||||||
|
|
Number of Shares | Value | |||||||
Trucking & Leasing — 0.6% | ||||||||
The Greenbrier Cos., Inc. (b) | 28,990 | $ | 930,869 | |||||
|
| |||||||
11,853,328 | ||||||||
|
| |||||||
Technology — 15.6% | ||||||||
Computers — 4.9% | ||||||||
CACI International, Inc. Class A (a) | 20,880 | 1,544,494 | ||||||
FleetMatics Group PLC (a) (b) | 23,550 | 1,156,069 | ||||||
Fortinet, Inc. (a) | 45,357 | 1,926,765 | ||||||
j2 Global, Inc. | 40,616 | 2,877,644 | ||||||
|
| |||||||
7,504,972 | ||||||||
|
| |||||||
Semiconductors — 3.1% | ||||||||
Cavium, Inc. (a) | 24,780 | 1,520,749 | ||||||
Cypress Semiconductor Corp. | 85,651 | 729,746 | ||||||
MKS Instruments, Inc. | 73,330 | 2,458,755 | ||||||
|
| |||||||
4,709,250 | ||||||||
|
| |||||||
Software — 7.6% | ||||||||
Black Knight Financial Services, Inc. Class A (a) | 57,070 | 1,857,628 | ||||||
Guidewire Software, Inc. (a) | 41,760 | 2,195,741 | ||||||
Imperva, Inc. (a) | 41,010 | 2,685,335 | ||||||
Proofpoint, Inc. (a) | 27,400 | 1,652,768 | ||||||
SYNNEX Corp. | 36,800 | 3,130,208 | ||||||
|
| |||||||
11,521,680 | ||||||||
|
| |||||||
23,735,902 | ||||||||
|
| |||||||
Utilities — 2.9% | ||||||||
Electric — 2.9% | ||||||||
Allete, Inc. | 45,020 | 2,273,060 | ||||||
Portland General Electric Co. | 56,520 | 2,089,544 | ||||||
|
| |||||||
4,362,604 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $147,790,355) | 150,933,724 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $147,790,355) | 150,933,724 | |||||||
|
| |||||||
MUTUAL FUNDS — 6.4% | ||||||||
Diversified Financial — 6.4% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 9,675,176 | 9,675,176 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $9,675,176) | 9,675,176 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $157,465,531) | 160,608,900 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
177
Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 1.3% | ||||||||
Repurchase Agreement — 1.3% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated | $ | 1,943,943 | $ | 1,943,943 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,943,943) | 1,943,943 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 106.9% (Cost $159,409,474) (e) | 162,552,843 | |||||||
Other Assets/(Liabilities) — (6.9)% | (10,440,313 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 152,112,530 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2015, was $9,433,771 or 6.20% 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 $1,943,944. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 1/31/22, and an aggregate market value, including accrued interest, of $1,984,950. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
178
Table of Contents
MassMutual Premier Global Fund – Portfolio of Investments
September 30, 2015
Number of Shares | Value | |||||||
EQUITIES — 98.6% | ||||||||
COMMON STOCK — 97.0% | ||||||||
Brazil — 0.9% | ||||||||
AMBEV SA ADR (Brazil) | 137,050 | $ | 671,545 | |||||
Embraer SA Sponsored ADR (Brazil) | 101,560 | 2,597,905 | ||||||
|
| |||||||
3,269,450 | ||||||||
|
| |||||||
Cayman Islands — 1.4% | ||||||||
JD.com, Inc. ADR (Cayman Islands) (a) | 138,037 | 3,597,244 | ||||||
Qihoo 360 Technology Co. Ltd. ADR (Cayman Islands) (a) (b) | 29,330 | 1,402,854 | ||||||
Theravance Biopharma, Inc. (a) | 22,214 | 244,132 | ||||||
|
| |||||||
5,244,230 | ||||||||
|
| |||||||
Denmark — 0.2% | ||||||||
FLSmidth & Co. A/S (b) | 24,621 | 818,646 | ||||||
|
| |||||||
France — 4.8% | ||||||||
Kering | 26,690 | 4,368,533 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 41,190 | 7,028,745 | ||||||
Societe Generale SA | 76,090 | 3,403,661 | ||||||
Technip SA | 53,980 | 2,550,354 | ||||||
|
| |||||||
17,351,293 | ||||||||
|
| |||||||
Germany — 7.3% | ||||||||
Allianz SE | 38,733 | 6,070,830 | ||||||
Bayer AG | 44,090 | 5,635,065 | ||||||
Deutsche Bank AG | 136,941 | 3,681,478 | ||||||
Linde AG | 20,682 | 3,350,165 | ||||||
SAP SE | 93,893 | 6,074,538 | ||||||
Siemens AG | 19,021 | 1,699,398 | ||||||
|
| |||||||
26,511,474 | ||||||||
|
| |||||||
India — 3.7% | ||||||||
DLF Ltd. | 2,532,651 | 5,345,520 | ||||||
ICICI Bank Ltd. Sponsored ADR (India) | 598,990 | 5,019,536 | ||||||
Zee Entertainment Enterprises Ltd. | 493,613 | 2,953,117 | ||||||
|
| |||||||
13,318,173 | ||||||||
|
| |||||||
Italy — 1.8% | ||||||||
Banca Monte dei Paschi di Siena SpA (a) | 994,614 | 1,777,085 | ||||||
Brunello Cucinelli SpA (b) | 64,341 | 1,167,385 | ||||||
Prysmian SpA | 71,804 | 1,485,371 | ||||||
Tod’s SpA (b) | 22,817 | 2,001,964 | ||||||
|
| |||||||
6,431,805 | ||||||||
|
| |||||||
Japan — 12.1% | ||||||||
The Dai-ichi Life Insurance Co. Ltd. | 317,700 | 5,080,760 | ||||||
Fanuc Corp. | 15,100 | 2,327,955 | ||||||
KDDI Corp. | 228,500 | 5,117,104 | ||||||
Keyence Corp. | 11,320 | 5,068,390 |
Number of Shares | Value | |||||||
Kyocera Corp. | 90,000 | $ | 4,129,878 | |||||
Murata Manufacturing Co. Ltd. | 59,810 | 7,767,413 | ||||||
Nidec Corp. | 78,500 | 5,408,385 | ||||||
Nintendo Co. Ltd. | 6,300 | 1,064,333 | ||||||
Nomura Holdings, Inc. | 312,800 | 1,814,935 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 107,300 | 4,084,642 | ||||||
Suzuki Motor Corp. | 64,800 | 2,002,217 | ||||||
|
| |||||||
43,866,012 | ||||||||
|
| |||||||
Mexico — 0.5% | ||||||||
Fomento Economico Mexicano SAB de CV, Series B Sponsored ADR (Mexico) | 22,403 | 1,999,468 | ||||||
|
| |||||||
Netherlands — 2.1% | ||||||||
Airbus Group SE | 128,760 | 7,647,828 | ||||||
|
| |||||||
Spain — 3.4% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 413,424 | 3,506,540 | ||||||
Industria de Diseno Textil SA | 209,440 | 7,016,161 | ||||||
Repsol YPF SA | 162,862 | 1,897,783 | ||||||
|
| |||||||
12,420,484 | ||||||||
|
| |||||||
Sweden — 3.1% | ||||||||
Assa Abloy AB | 307,490 | 5,523,068 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 565,205 | 5,567,566 | ||||||
|
| |||||||
11,090,634 | ||||||||
|
| |||||||
Switzerland — 5.1% | ||||||||
Credit Suisse Group | 180,303 | 4,337,674 | ||||||
Nestle SA | 51,983 | 3,914,658 | ||||||
Roche Holding AG | 12,859 | 3,399,328 | ||||||
UBS Group AG | 375,095 | 6,950,930 | ||||||
|
| |||||||
18,602,590 | ||||||||
|
| |||||||
United Kingdom — 5.6% | ||||||||
Circassia Pharmaceuticals PLC (a) | 647,107 | 2,869,967 | ||||||
Earthport PLC (a) | 1,039,652 | 630,397 | ||||||
International Game Technology PLC (b) | 113,852 | 1,745,351 | ||||||
Prudential PLC | 294,402 | 6,223,822 | ||||||
Shire Ltd. | 35,230 | 2,404,589 | ||||||
Unilever PLC | 158,292 | 6,448,109 | ||||||
|
| |||||||
20,322,235 | ||||||||
|
| |||||||
United States — 45.0% | ||||||||
3M Co. | 35,030 | 4,966,203 | ||||||
Acadia Pharmaceuticals, Inc. (a) | 68,600 | 2,268,602 | ||||||
Adobe Systems, Inc. (a) | 88,950 | 7,313,469 | ||||||
Aetna, Inc. | 79,920 | 8,744,047 | ||||||
Alphabet, Inc. Class A (a) | 10,960 | 6,996,535 | ||||||
Alphabet, Inc. Class C (a) | 11,368 | 6,916,519 | ||||||
Altera Corp. | 149,900 | 7,506,992 | ||||||
Anthem, Inc. | 44,440 | 6,221,600 |
The accompanying notes are an integral part of the financial statements.
179
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MassMutual Premier Global Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Biogen, Inc. (a) | 13,200 | $ | 3,851,892 | |||||
BioMarin Pharmaceutical, Inc. (a) | 29,380 | 3,094,302 | ||||||
Bluebird Bio, Inc. (a) | 21,500 | 1,839,325 | ||||||
Celldex Therapeutics, Inc. (a) (b) | 181,790 | 1,916,067 | ||||||
Cigna Corp. | 6,950 | 938,389 | ||||||
Citigroup, Inc. | 157,010 | 7,789,266 | ||||||
Clovis Oncology, Inc. (a) | 25,480 | 2,343,141 | ||||||
Colgate-Palmolive Co. | 122,800 | 7,792,888 | ||||||
eBay, Inc. (a) | 148,080 | 3,619,075 | ||||||
Emerson Electric Co. | 52,980 | 2,340,127 | ||||||
Facebook, Inc. Class A (a) | 67,710 | 6,087,129 | ||||||
FNF Group | 83,260 | 2,953,232 | ||||||
Gilead Sciences, Inc. | 50,490 | 4,957,613 | ||||||
The Goldman Sachs Group, Inc. | 31,130 | 5,409,149 | ||||||
Humana, Inc. | 980 | 175,420 | ||||||
Intuit, Inc. | 72,260 | 6,413,075 | ||||||
MacroGenics, Inc. (a) | 49,520 | 1,060,718 | ||||||
Maxim Integrated Products, Inc. | 198,230 | 6,620,882 | ||||||
McDonald’s Corp. | 20,660 | 2,035,630 | ||||||
The McGraw Hill Financial, Inc. | 101,800 | 8,805,700 | ||||||
Medivation, Inc. (a) | 31,180 | 1,325,150 | ||||||
PayPal Holdings, Inc. (a) | 148,080 | 4,596,403 | ||||||
St. Jude Medical, Inc. | 37,710 | 2,379,124 | ||||||
SunEdison, Inc. (a) (b) | 331,710 | 2,381,678 | ||||||
Theravance, Inc. (b) | 18,690 | 134,194 | ||||||
Tiffany & Co. | 57,070 | 4,406,945 | ||||||
United Parcel Service, Inc. Class B | 50,050 | 4,939,435 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 14,660 | 1,526,692 | ||||||
The Walt Disney Co. | 67,950 | 6,944,490 | ||||||
Zimmer Biomet Holdings, Inc. | 39,470 | 3,707,417 | ||||||
|
| |||||||
163,318,515 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $250,565,575) | 352,212,837 | |||||||
|
| |||||||
PREFERRED STOCK — 1.6% | ||||||||
Germany — 1.6% | ||||||||
Bayerische Motoren Werke AG 3.960% | 82,807 | 5,685,697 | ||||||
Zee Entertainment Enterprises Ltd. 6.000% | 11,204,529 | 150,213 | ||||||
|
| |||||||
5,835,910 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,393,660) | 5,835,910 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $253,959,235) | 358,048,747 | |||||||
|
| |||||||
MUTUAL FUNDS — 3.8% | ||||||||
United States — 3.8% | ||||||||
Oppenheimer Institutional Money Market Fund Class E (c) | 5,023,047 | 5,023,047 |
Number of Shares | Value | |||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 8,649,255 | $ | 8,649,255 | |||||
|
| |||||||
13,672,302 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $13,672,302) | 13,672,302 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $267,631,537) | 371,721,049 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.4% (Cost $267,631,537) (e) | 371,721,049 | |||||||
Other Assets/(Liabilities) — (2.4)% | (8,700,994 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 363,020,055 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
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, 2015, was $8,316,557 or 2.29% 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) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
180
Table of Contents
MassMutual Premier International Equity Fund – Portfolio of Investments
September 30, 2015
Number of Shares | Value | |||||||
EQUITIES — 98.6% | ||||||||
COMMON STOCK — 98.6% | ||||||||
Australia — 2.0% | ||||||||
CIMIC Group Ltd. (a) | 164,642 | $ | 2,722,671 | |||||
CSL Ltd. | 87,600 | 5,519,759 | ||||||
Sonic Healthcare Ltd. | 152,367 | 1,956,076 | ||||||
|
| |||||||
10,198,506 | ||||||||
|
| |||||||
Brazil — 0.5% | ||||||||
Empresa Brasileira de Aeronautica SA | 390,019 | 2,508,635 | ||||||
|
| |||||||
Canada — 4.1% | ||||||||
Dollarama, Inc. | 156,423 | 10,564,560 | ||||||
Hudson’s Bay Co. | 320,786 | 5,427,761 | ||||||
Saputo, Inc. | 226,937 | 4,982,581 | ||||||
|
| |||||||
20,974,902 | ||||||||
|
| |||||||
Denmark — 3.8% | ||||||||
Coloplast A/S Class B | 62,431 | 4,429,138 | ||||||
Novo Nordisk A/S | 156,938 | 8,447,075 | ||||||
Novozymes A/S | 70,538 | 3,080,398 | ||||||
William Demant Holding (b) | 42,814 | 3,564,463 | ||||||
|
| |||||||
19,521,074 | ||||||||
|
| |||||||
Finland — 1.0% | ||||||||
Nokia Oyj | 754,378 | 5,168,267 | ||||||
|
| |||||||
France — 11.4% | ||||||||
Cie Generale d’Optique Essilor International SA | 35,870 | 4,381,438 | ||||||
Danone SA | 58,977 | 3,729,940 | ||||||
Dassault Systemes SA | 78,857 | 5,822,223 | ||||||
Edenred | 191,984 | 3,140,316 | ||||||
Hermes International | 13,696 | 4,986,353 | ||||||
Iliad SA | 21,650 | 4,383,234 | ||||||
Legrand SA | 92,420 | 4,913,600 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 27,830 | 4,748,968 | ||||||
Pernod-Ricard SA | 34,785 | 3,512,443 | ||||||
Schneider Electric SE | 69,250 | 3,883,465 | ||||||
SEB SA | 60,367 | 5,568,606 | ||||||
Technip SA | 40,710 | 1,923,396 | ||||||
Valeo SA | 54,578 | 7,390,987 | ||||||
|
| |||||||
58,384,969 | ||||||||
|
| |||||||
Germany — 8.0% | ||||||||
Bayerische Motoren Werke AG | 43,015 | 3,806,075 | ||||||
Brenntag AG | 90,893 | 4,891,478 | ||||||
Continental AG | 41,508 | 8,817,112 | ||||||
Infineon Technologies AG | 671,065 | 7,541,490 | ||||||
ProSiebenSat.1 Media SE | 127,124 | 6,225,237 | ||||||
SAP SE | 76,174 | 4,928,182 | ||||||
United Internet AG | 95,024 | 4,806,968 | ||||||
|
| |||||||
41,016,542 | ||||||||
|
|
Number of Shares | Value | |||||||
Hong Kong — 0.8% | ||||||||
Lenovo Group Ltd. | 4,798,000 | $ | 4,073,978 | |||||
|
| |||||||
India — 1.6% | ||||||||
Hero Honda Motors Ltd. | 129,060 | 4,717,579 | ||||||
ICICI Bank Ltd. Sponsored ADR (India) | 416,285 | 3,488,468 | ||||||
|
| |||||||
8,206,047 | ||||||||
|
| |||||||
Ireland — 1.9% | ||||||||
Experian PLC | 310,942 | 4,990,333 | ||||||
James Hardie Industries NV | 381,600 | 4,605,682 | ||||||
|
| |||||||
9,596,015 | ||||||||
|
| |||||||
Italy — 0.6% | ||||||||
DiaSorin SpA | 5,737 | 251,050 | ||||||
Prada SpA | 358,600 | 1,376,100 | ||||||
Yoox SpA (b) | 48,287 | 1,457,165 | ||||||
|
| |||||||
3,084,315 | ||||||||
|
| |||||||
Japan — 5.8% | ||||||||
Hoya Corp. | 156,000 | 5,126,109 | ||||||
Keyence Corp. | 10,809 | 4,839,596 | ||||||
Nidec Corp. | 97,600 | 6,724,310 | ||||||
Nippon Telegraph & Telephone Corp. | 226,700 | 7,961,640 | ||||||
Yahoo! Japan Corp. (a) | 1,214,400 | 4,636,526 | ||||||
|
| |||||||
29,288,181 | ||||||||
|
| |||||||
Luxembourg — 0.9% | ||||||||
SES SA | 149,410 | 4,714,645 | ||||||
|
| |||||||
Mexico — 0.8% | ||||||||
Grupo Televisa SAB Sponsored ADR (Mexico) | 153,560 | 3,995,631 | ||||||
|
| |||||||
Netherlands — 7.7% | ||||||||
Aalberts Industries NV | 229,726 | 6,811,751 | ||||||
Airbus Group SE | 116,150 | 6,898,845 | ||||||
ASML Holding NV | 53,226 | 4,666,464 | ||||||
Boskalis Westminster | 89,618 | 3,923,165 | ||||||
Gemalto NV | 43,268 | 2,804,647 | ||||||
Gemalto NV | 34,590 | 2,245,060 | ||||||
Heineken NV | 90,038 | 7,287,561 | ||||||
Koninklijke Vopak NV | 112,950 | 4,515,902 | ||||||
|
| |||||||
39,153,395 | ||||||||
|
| |||||||
Panama — 1.5% | ||||||||
Carnival Corp. | 157,430 | 7,824,271 | ||||||
|
| |||||||
South Africa — 0.8% | ||||||||
The SPAR Group Ltd. | 297,335 | 3,974,172 | ||||||
|
| |||||||
Spain — 4.5% | ||||||||
Amadeus IT Holding SA Class A | 168,684 | 7,212,800 | ||||||
Grifols SA (a) | 129,773 | 5,367,907 | ||||||
Industria de Diseno Textil SA | 172,090 | 5,764,950 |
The accompanying notes are an integral part of the financial statements.
181
Table of Contents
MassMutual Premier International Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Prosegur Cia de Seguridad SA | 928,093 | $ | 4,470,354 | |||||
|
| |||||||
22,816,011 | ||||||||
|
| |||||||
Sweden — 2.6% | ||||||||
Atlas Copco AB | 223,448 | 5,386,884 | ||||||
Swedish Match AB | 97,915 | 2,964,223 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 512,373 | 5,047,143 | ||||||
|
| |||||||
13,398,250 | ||||||||
|
| |||||||
Switzerland — 12.1% | ||||||||
ABB Ltd. | 122,928 | 2,177,001 | ||||||
Aryzta AG (a) | 117,345 | 4,979,964 | ||||||
Barry Callebaut AG (a) | 3,959 | 4,313,114 | ||||||
Cie Financiere Richemont SA | 63,383 | 4,938,023 | ||||||
Galenica AG (a) | 4,355 | 5,557,220 | ||||||
Roche Holding AG | 27,642 | 7,307,273 | ||||||
SGS SA | 1,888 | 3,300,932 | ||||||
Sika AG | 1,370 | 4,238,649 | ||||||
Sonova Holding AG | 38,613 | 4,979,378 | ||||||
Swatch Group AG | 10,410 | 3,866,100 | ||||||
Syngenta AG | 18,950 | 6,086,426 | ||||||
Temenos Group AG | 128,923 | 5,298,463 | ||||||
UBS Group AG | 245,491 | 4,549,223 | ||||||
|
| |||||||
61,591,766 | ||||||||
|
| |||||||
Thailand — 1.2% | ||||||||
CP ALL PCL | 4,555,700 | 5,993,516 | ||||||
|
| |||||||
United Kingdom — 25.0% | ||||||||
Aggreko PLC | 198,418 | 2,861,843 | ||||||
ARM Holdings PLC | 237,500 | 3,422,664 | ||||||
Aveva Group PLC | 79,727 | 2,461,370 | ||||||
BT Group PLC | 1,040,310 | 6,619,813 | ||||||
Bunzl PLC | 266,859 | 7,163,004 | ||||||
Burberry Group PLC | 287,662 | 5,970,087 | ||||||
Diageo PLC | 106,452 | 2,864,674 | ||||||
Dignity PLC | 125,707 | 4,530,406 | ||||||
Domino’s Pizza UK & IRL PLC | 434,320 | 5,847,879 | ||||||
Essentra PLC | 514,516 | 6,132,282 | ||||||
ICAP PLC | 969,903 | 6,723,928 | ||||||
Inmarsat PLC | 288,300 | 4,291,285 | ||||||
Intertek Group PLC | 150,200 | 5,536,665 | ||||||
Prudential PLC | 236,013 | 4,989,446 | ||||||
Reckitt Benckiser Group PLC | 70,273 | 6,378,757 | ||||||
Rolls-Royce Holdings PLC | 503,410 | 5,169,216 | ||||||
Royal Mail PLC | 823,995 | 5,729,306 | ||||||
Sky PLC | 358,828 | 5,678,138 | ||||||
Spectris PLC | 114,319 | 2,931,741 | ||||||
Telecity Group PLC | 7,700 | 126,865 | ||||||
Travis Perkins PLC | 140,360 | 4,184,400 | ||||||
Tullett Prebon PLC | 321,269 | 1,820,944 | ||||||
Unilever PLC | 124,019 | 5,051,980 | ||||||
Vodafone Group PLC | 2,238,267 | 7,077,486 | ||||||
The Weir Group PLC | 100,496 | 1,782,490 |
Number of Shares | Value | |||||||
William Hill PLC | 1,170,696 | $ | 6,223,382 | |||||
Wolseley PLC | 104,671 | 6,123,176 | ||||||
|
| |||||||
127,693,227 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $493,156,670) | 503,176,315 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
Germany — 0.0% | ||||||||
Zee Entertainment Enterprises Ltd. 6.000% | 6,533,478 | 87,591 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $19,494) | 87,591 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $493,176,164) | 503,263,906 | |||||||
|
| |||||||
MUTUAL FUNDS — 5.2% | ||||||||
United States — 5.2% | ||||||||
Oppenheimer Institutional Money Market Fund Class E (c) | 5,956,422 | 5,956,422 | ||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 20,761,067 | 20,761,067 | ||||||
|
| |||||||
26,717,489 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $26,717,489) | 26,717,489 | |||||||
|
| |||||||
WARRANTS — 0.0% | ||||||||
United States — 0.0% | ||||||||
Mei Pharma, Inc., Expires 5/10/17, | 301,298 | - | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $0) | - | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $519,893,653) | 529,981,395 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.8% (Cost $519,893,653) (f) | 529,981,395 | |||||||
Other Assets/(Liabilities) — (3.8)% | (19,363,695 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 510,617,700 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
182
Table of Contents
MassMutual Premier International Equity Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
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, 2015, was $19,737,656 or 3.87% 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) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2015, 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.
183
Table of Contents
MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments
September 30, 2015
Number of Shares | Value | |||||||
EQUITIES — 94.5% | ||||||||
COMMON STOCK — 92.0% | ||||||||
Bermuda — 1.0% | ||||||||
Jardine Strategic Holdings Ltd. | 56,014 | $ | 1,504,237 | |||||
|
| |||||||
Brazil — 4.5% | ||||||||
B2W Cia Digital (a) | 53,184 | 199,348 | ||||||
BM&F BOVESPA SA | 534,000 | 1,492,425 | ||||||
Cyrela Brazil Realty SA | 138,000 | 287,870 | ||||||
Diagnosticos da America SA | 103,200 | 234,279 | ||||||
Embraer SA Sponsored ADR (Brazil) | 65,680 | 1,680,095 | ||||||
Estacio Participacoes SA | 218,600 | 777,465 | ||||||
Kroton Educacional SA | 555,641 | 1,080,588 | ||||||
Natura Cosmeticos SA | 8,800 | 43,284 | ||||||
Sul America SA | 131,900 | 593,874 | ||||||
|
| |||||||
6,389,228 | ||||||||
|
| |||||||
Canada — 0.2% | ||||||||
First Quantum Minerals Ltd. (b) | 64,472 | 236,244 | ||||||
|
| |||||||
Cayman Islands — 17.5% | ||||||||
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a) | 59,900 | 3,532,303 | ||||||
Baidu, Inc. Sponsored ADR (Cayman Islands) (a) | 21,860 | 3,003,783 | ||||||
China Lodging Group Ltd. Sponsored ADR (Cayman Islands) (a) | 7,675 | 186,733 | ||||||
Ctrip.com International Ltd. ADR (Cayman Islands) (a) | 37,980 | 2,399,576 | ||||||
Homeinns Hotel Group ADR (Cayman Islands) (a) | 32,290 | 928,015 | ||||||
JD.com, Inc. ADR (Cayman Islands) (a) | 115,686 | 3,014,777 | ||||||
Melco Crown Entertainment Ltd. ADR (Cayman Islands) (b) | 103,260 | 1,420,858 | ||||||
New Oriental Education & Technology Group, Inc. Sponsored ADR (Cayman Islands) | 71,670 | 1,448,451 | ||||||
Qunar Cayman Islands Ltd. (a) | 19,600 | 589,372 | ||||||
SOHO China Ltd. | 876,000 | 341,284 | ||||||
Tencent Holdings Ltd. | 296,893 | 5,001,029 | ||||||
Tingyi Cayman Islands Holding Corp. | 958,000 | 1,538,584 | ||||||
Want Want China Holdings Ltd. | 1,357,000 | 1,115,057 | ||||||
WuXi PharmaTech Cayman, Inc. Sponsored ADR (Cayman Islands) (a) | 11,187 | 483,390 | ||||||
|
| |||||||
25,003,212 | ||||||||
|
| |||||||
China — 4.5% | ||||||||
China Life Insurance Co. Ltd. | 371,000 | 1,295,010 | ||||||
China Oilfield Services Ltd. | 346,000 | 348,897 | ||||||
China Pacific Insurance Group Co. Ltd. Class H | 349,600 | 1,294,763 |
Number of Shares | Value | |||||||
The People’s Insurance Co. Group Ltd. Class H | 748,000 | $ | 367,499 | |||||
PICC Property & Casualty Co. Ltd. Class H | 432,000 | 849,340 | ||||||
Sinopharm Group Co. Ltd. Class H | 537,600 | 1,894,496 | ||||||
Tsingtao Brewery Co. Ltd. Class H | 100,000 | 441,048 | ||||||
|
| |||||||
6,491,053 | ||||||||
|
| |||||||
Colombia — 2.3% | ||||||||
Almacenes Exito SA | 75,333 | 323,503 | ||||||
Almacenes Exito SA (c) | 50,600 | 218,982 | ||||||
Bancolombia SA Sponsored ADR (Colombia) (b) | 16,400 | 528,080 | ||||||
Grupo Aval Acciones y Valores (b) | 165,500 | 1,267,730 | ||||||
Grupo de Inversiones Suramericana SA | 85,033 | 988,075 | ||||||
|
| |||||||
3,326,370 | ||||||||
|
| |||||||
Egypt — 0.6% | ||||||||
Commercial International Bank | 137,139 | 922,136 | ||||||
|
| |||||||
France — 2.3% | ||||||||
Casino Guichard-Perrachon SA | 2,240 | 119,291 | ||||||
Kering | 8,093 | 1,324,636 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 10,628 | 1,813,583 | ||||||
|
| |||||||
3,257,510 | ||||||||
|
| |||||||
Hong Kong — 4.8% | ||||||||
AIA Group Ltd. | 452,000 | 2,353,358 | ||||||
Galaxy Entertainment Group Ltd. | 240,000 | 616,348 | ||||||
Hang Lung Properties Ltd. | 755,000 | 1,699,006 | ||||||
Hang Lung Properties Ltd. | 189,000 | 643,034 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 68,652 | 1,578,774 | ||||||
|
| |||||||
6,890,520 | ||||||||
|
| |||||||
India — 17.1% | ||||||||
Ambuja Cements Ltd. | 120,149 | 377,508 | ||||||
Apollo Hospitals Enterprise Ltd. | 58,099 | 1,277,096 | ||||||
Asian Paints Ltd. | 21,637 | 277,982 | ||||||
Cipla Ltd/India | 66,507 | 646,771 | ||||||
Dr Reddy’s Laboratories Ltd. | 34,876 | 2,211,663 | ||||||
Glenmark Pharmaceuticals Ltd. | 30,822 | 495,647 | ||||||
Housing Development Finance Corp. | 324,378 | 6,005,930 | ||||||
ICICI Bank Ltd. Sponsored ADR (India) | 221,740 | 1,858,181 | ||||||
Infosys Technologies Ltd. | 246,840 | 4,380,995 | ||||||
Kotak Mahindra Bank Ltd. | 45,893 | 454,149 | ||||||
Lupin Ltd. | 15,529 | 482,140 | ||||||
Sun Pharmaceutical Industries Ltd. | 72,610 | 966,057 | ||||||
Tata Consultancy Services Ltd. | 52,768 | 2,080,453 | ||||||
Ultratech Cement Ltd. | 18,659 | 763,356 | ||||||
Zee Entertainment Enterprises Ltd. | 370,494 | 2,216,538 | ||||||
|
| |||||||
24,494,466 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
184
Table of Contents
MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Indonesia — 1.9% | ||||||||
Astra International Tbk PT | 4,558,500 | $ | 1,632,617 | |||||
Indocement Tunggal Prakarsa Tbk PT | 494,000 | 557,978 | ||||||
Semen Indonesia Persero Tbk PT | 768,500 | 477,036 | ||||||
Sumber Alfaria Trijaya Tbk PT | 6,100 | 238 | ||||||
|
| |||||||
2,667,869 | ||||||||
|
| |||||||
Italy — 1.6% | ||||||||
Prada SpA | 607,100 | 2,329,699 | ||||||
|
| |||||||
Luxembourg — 0.4% | ||||||||
Tenaris SA Sponsored ADR (Luxembourg) (b) | 25,560 | 616,252 | ||||||
|
| |||||||
Malaysia — 1.6% | ||||||||
Genting Bhd | 1,057,400 | 1,751,049 | ||||||
Genting Malaysia | 569,700 | 538,488 | ||||||
|
| |||||||
2,289,537 | ||||||||
|
| |||||||
Mexico — 6.8% | ||||||||
America Movil SAB de CV Series L ADR (Mexico) (b) | 67,470 | 1,116,629 | ||||||
Fomento Economico Mexicano SAB de CV | 190,704 | 1,705,009 | ||||||
Grupo Aeroportuario del Sureste SAB de CV | 41,007 | 625,770 | ||||||
Grupo Financiero Banorte SAB de CV Class O | 482,593 | 2,367,160 | ||||||
Grupo Financiero Inbursa SAB de CV | 700,042 | 1,446,472 | ||||||
Grupo Televisa SAB Sponsored ADR (Mexico) | 66,160 | 1,721,483 | ||||||
Wal-Mart de Mexico SAB de CV | 291,888 | 720,185 | ||||||
|
| |||||||
9,702,708 | ||||||||
|
| |||||||
Netherlands — 0.1% | ||||||||
Yandex NV (a) | 20,550 | 220,502 | ||||||
|
| |||||||
Nigeria — 1.2% | ||||||||
Guaranty Trust Bank PLC | 3,910,518 | 471,028 | ||||||
Nigerian Breweries PLC | 1,094,461 | 801,883 | ||||||
Zenith Bank PLC | 6,144,589 | 518,618 | ||||||
|
| |||||||
1,791,529 | ||||||||
|
| |||||||
Philippines — 2.9% | ||||||||
Jollibee Foods Corp. | 222,600 | 919,134 | ||||||
SM Investments Corp. | 88,960 | 1,697,677 | ||||||
SM Prime Holdings, Inc. | 3,520,600 | 1,559,606 | ||||||
|
| |||||||
4,176,417 | ||||||||
|
| |||||||
Republic of Korea — 1.1% | ||||||||
NAVER Corp. | 3,626 | 1,574,940 | ||||||
|
| |||||||
Russia — 6.5% | ||||||||
Alrosa AO (a) | 1,014,545 | 893,037 | ||||||
Magnit PJSC (a) | 27,348 | 4,888,966 | ||||||
NovaTek OAO (d) | 38,232 | 3,546,079 | ||||||
|
| |||||||
9,328,082 | ||||||||
|
|
Number of Shares | Value | |||||||
Singapore — 0.6% | ||||||||
Genting Singapore PLC (b) | 67,000 | $ | 34,160 | |||||
Global Logistic Properties Ltd. (b) | 529,000 | 760,900 | ||||||
|
| |||||||
795,060 | ||||||||
|
| |||||||
South Africa — 1.0% | ||||||||
MTN Group Ltd. | 110,960 | 1,428,518 | ||||||
|
| |||||||
Switzerland — 0.5% | ||||||||
Cie Financiere Richemont SA | 9,454 | 736,539 | ||||||
|
| |||||||
Taiwan — 2.3% | ||||||||
MediaTek, Inc. | 45,000 | 335,817 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 726,000 | 2,897,107 | ||||||
|
| |||||||
3,232,924 | ||||||||
|
| |||||||
Thailand — 0.9% | ||||||||
Airports of Thailand PCL | 47,800 | 370,073 | ||||||
CP ALL PCL | 682,200 | 897,508 | ||||||
|
| |||||||
1,267,581 | ||||||||
|
| |||||||
Turkey — 2.0% | ||||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS | 107,860 | 761,772 | ||||||
BIM Birlesik Magazalar AS | 45,638 | 809,560 | ||||||
Haci Omer Sabanci Holding AS | 419,032 | 1,229,691 | ||||||
|
| |||||||
2,801,023 | ||||||||
|
| |||||||
United Arab Emirates — 1.5% | ||||||||
DP World Ltd. | 102,601 | 2,184,870 | ||||||
|
| |||||||
United Kingdom — 2.7% | ||||||||
Glencore PLC | 355,115 | 494,853 | ||||||
Old Mutual PLC (b) | 676,518 | 1,937,805 | ||||||
SABMiller PLC | 24,396 | 1,382,434 | ||||||
|
| |||||||
3,815,092 | ||||||||
|
| |||||||
United States — 1.6% | ||||||||
Las Vegas Sands Corp. | 30,940 | 1,174,792 | ||||||
MercadoLibre, Inc. (b) | 11,680 | 1,063,581 | ||||||
|
| |||||||
2,238,373 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $156,311,878) | 131,712,491 | |||||||
|
| |||||||
PREFERRED STOCK — 2.5% | ||||||||
Brazil — 2.1% | ||||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar Class A 2.220% | 83,500 | 1,059,625 | ||||||
Lojas Americanas SA 0.640% | 473,100 | 1,933,212 | ||||||
|
| |||||||
2,992,837 | ||||||||
|
| |||||||
Colombia — 0.3% | ||||||||
Banco Davivienda SA 3.230% | 62,000 | 481,494 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
185
Table of Contents
MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Germany — 0.1% | ||||||||
Zee Entertainment Enterprises Ltd. 6.000% | 6,129,060 | $ | 82,169 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $5,946,485) | 3,556,500 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $162,258,363) | 135,268,991 | |||||||
|
| |||||||
MUTUAL FUNDS — 4.5% | ||||||||
United States — 4.5% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 6,439,456 | 6,439,456 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $6,439,456) | 6,439,456 | |||||||
|
| |||||||
WARRANTS — 0.0% | ||||||||
Malaysia — 0.0% | ||||||||
Genting BHD, Expires 12/18/18, Strike Price 7.96 (a) | 121,100 | 23,555 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $57,060) | 23,555 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $168,754,879) | 141,732,002 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 6.0% | ||||||||
Repurchase Agreement — 6.0% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/15, 0.010%, 10/01/15 (f) | $ | 8,558,302 | 8,558,302 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,558,302) | 8,558,302 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 105.0% (Cost $177,313,181) (g) | 150,290,304 | |||||||
Other Assets/(Liabilities) — (5.0)% | (7,146,312 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 143,143,992 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
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, 2015, was $6,170,451 or 4.31% 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, 2015, these securities amounted to a value of $218,982 or 0.15% 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, 2015, these securities amounted to a value of $3,546,079 or 2.48% of net assets. |
(e) | Represents investment of security lending collateral. (Note 2). |
(f) | Maturity value of $8,558,304. Collateralized by U.S. Government Agency obligations with a rate of 1.750%, maturity date of 9/30/22, and an aggregate market value, including accrued interest, of $8,732,131. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
186
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Table of Contents
MassMutual Premier Funds – Financial Statements
Statements of Assets and Liabilities
September 30, 2015
MassMutual Premier Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | - | $ | 512,370,327 | ||||
Short-term investments, at value (Note 2) (b) | 407,184,178 | 18,715,936 | ||||||
|
|
|
| |||||
Total investments | 407,184,178 | 531,086,263 | ||||||
|
|
|
| |||||
Cash | - | - | ||||||
Foreign currency, at value (c) | - | - | ||||||
Receivables from: | ||||||||
Investments sold | - | 1,622,716 | ||||||
Investments sold on a when-issued basis (Note 2) | - | - | ||||||
Collateral pledged for reverse repurchase agreements (Note 2) | - | - | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Investment adviser (Note 3) | 114,336 | - | ||||||
Fund shares sold | 35,355 | 37,387 | ||||||
Variation margin on open derivative instruments (Note 2) | - | - | ||||||
Interest and dividends | 17,066 | 2,939,182 | ||||||
Prepaid expenses | 8,907 | 36,391 | ||||||
|
|
|
| |||||
Total assets | 407,359,842 | 535,721,939 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | - | 6,206,269 | ||||||
Reverse repurchase agreements (Note 2) | - | - | ||||||
Interest for reverse repurchase agreements (Note 2) | - | - | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Fund shares repurchased | 7,052,520 | 4,249,303 | ||||||
Investments purchased on a when-issued basis (Note 2) | - | 5,319,331 | ||||||
Open swap agreements, at value (Note 2) | - | 39,516 | ||||||
Trustees’ fees and expenses (Note 3) | 100,331 | 89,509 | ||||||
Variation margin on open derivative instruments (Note 2) | - | 69,532 | ||||||
Collateral held for open swap agreements (Note 2) | - | - | ||||||
Collateral held for when-issued securities (Note 2) | - | - | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 119,175 | 153,475 | ||||||
Administration fees | 39,207 | 46,596 | ||||||
Service fees | - | 51,822 | ||||||
Shareholder service fees | - | 17,279 | ||||||
Distribution fees | - | 715 | ||||||
Due to custodian | - | 12 | ||||||
Accrued expense and other liabilities | 31,232 | 34,233 | ||||||
|
|
|
| |||||
Total liabilities | 7,342,465 | 16,277,592 | ||||||
|
|
|
| |||||
Net assets | $ | 400,017,377 | $ | 519,444,347 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 400,918,144 | $ | 518,305,109 | ||||
Undistributed (accumulated) net investment income (loss) | - | 9,836,894 | ||||||
Distributions in excess of net investment income | (85,599 | ) | - | |||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (815,168 | ) | (6,511,880 | ) | ||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | - | (2,185,776 | ) | |||||
|
|
|
| |||||
Net assets | $ | 400,017,377 | $ | 519,444,347 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | - | $ | 514,758,342 | ||||
(b) Cost of short-term investments: | $ | 407,184,178 | $ | 18,715,936 | ||||
(c) Cost of foreign currency: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
188
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 | |||||||||||
$ | 485,645,273 | $ | 1,569,400,492 | $ | 170,598,613 | $ | 238,836,966 | |||||||
102,821,249 | 337,641,663 | 40,757,495 | 26,788,525 | |||||||||||
|
|
|
|
|
|
|
| |||||||
588,466,522 | 1,907,042,155 | 211,356,108 | 265,625,491 | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | 319,370 | - | - | |||||||||||
- | - | 3,659 | - | |||||||||||
3,363,754 | 572,401 | 1,534,766 | - | |||||||||||
- | 24,157,680 | 2,070,656 | - | |||||||||||
2,941,412 | - | - | - | |||||||||||
- | - | �� | 27,065 | - | ||||||||||
1 | - | 7,155 | 6,732 | |||||||||||
128,728 | 428,511 | 60,446 | 295,330 | |||||||||||
24,980 | - | - | - | |||||||||||
866,472 | 10,462,887 | 1,303,737 | 5,330,526 | |||||||||||
33,571 | 41,235 | 32,637 | 37,271 | |||||||||||
|
|
|
|
|
|
|
| |||||||
595,825,440 | 1,943,024,239 | 216,396,229 | 271,295,350 | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | 4,914,054 | 221,465 | - | |||||||||||
264,592,150 | - | - | - | |||||||||||
143,083 | - | - | - | |||||||||||
- | - | 25,412 | - | |||||||||||
447,236 | 11,740,634 | 67,769 | 483,570 | |||||||||||
3,949,872 | 364,688,015 | 38,110,064 | 769,000 | |||||||||||
45,838 | 108,009 | 11,855 | - | |||||||||||
48,760 | 271,345 | 30,593 | 33,910 | |||||||||||
- | 258,727 | 30,955 | - | |||||||||||
- | - | 560,000 | - | |||||||||||
- | 1,746,000 | 104,000 | - | |||||||||||
102,403 | 488,648 | 57,538 | 106,975 | |||||||||||
24,888 | 103,580 | 25,307 | 23,926 | |||||||||||
15,696 | 112,536 | 25,082 | 21,474 | |||||||||||
7,393 | 36,471 | 9,809 | 9,269 | |||||||||||
244 | 392 | 244 | 1,703 | |||||||||||
13 | - | 1,178 | - | |||||||||||
32,948 | 40,756 | 29,506 | 31,868 | |||||||||||
|
|
|
|
|
|
|
| |||||||
269,410,524 | 384,509,167 | 39,310,777 | 1,481,695 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 326,414,916 | $ | 1,558,515,072 | $ | 177,085,452 | $ | 269,813,655 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 336,231,800 | $ | 1,521,927,589 | $ | 175,496,651 | $ | 279,820,053 | |||||||
3,667,508 | 29,872,748 | 2,826,250 | 12,658,491 | |||||||||||
- | - | - | - | |||||||||||
(9,115,306 | ) | 8,669,754 | 404,689 | (7,625,186 | ) | |||||||||
(4,369,086 | ) | (1,955,019 | ) | (1,642,138 | ) | (15,039,703 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 326,414,916 | $ | 1,558,515,072 | $ | 177,085,452 | $ | 269,813,655 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 489,921,660 | $ | 1,571,424,602 | $ | 172,241,674 | $ | 253,876,669 | |||||||
$ | 102,821,249 | $ | 337,641,663 | $ | 40,757,495 | $ | 26,788,525 | |||||||
$ | - | $ | - | $ | 3,775 | $ | - |
189
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2015
MassMutual Premier Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | - | $ | 154,218,802 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 14,739,364 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.46 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 400,017,377 | $ | 159,429,310 | ||||
|
|
|
| |||||
Shares outstanding (a) | 400,268,734 | 15,203,767 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 1.00 | $ | 10.49 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | - | $ | 86,058,203 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 8,261,943 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.42 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | - | $ | 36,789,075 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 3,546,614 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.37 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | - | $ | 75,507,098 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 7,327,253 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | - | $ | 10.30 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | - | $ | 10.67 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | - | $ | 5,880,678 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 562,538 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.45 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | - | $ | 1,561,181 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 149,822 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.42 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
190
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 | |||||||||||
$ | 153,420,687 | $ | 677,427,417 | $ | 15,756,413 | $ | 106,575,294 | |||||||
|
|
|
|
|
|
|
| |||||||
15,048,964 | 60,101,182 | 1,468,437 | 11,866,549 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.19 | $ | 11.27 | $ | 10.73 | $ | 8.98 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 60,285,072 | $ | 489,222,242 | $ | 65,209,389 | $ | 41,615,886 | |||||||
|
|
|
|
|
|
|
| |||||||
5,913,821 | 43,311,378 | 6,532,648 | 4,615,958 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.19 | $ | 11.30 | $ | 9.98 | $ | 9.02 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 77,147,111 | $ | 130,923,492 | $ | 20,226,455 | $ | 62,734,422 | |||||||
|
|
|
|
|
|
|
| |||||||
7,594,298 | 11,659,538 | 2,004,044 | 6,961,892 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.16 | $ | 11.23 | $ | 10.09 | $ | 9.01 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 11,859,345 | $ | 84,708,815 | $ | 35,580,507 | $ | 24,221,372 | |||||||
|
|
|
|
|
|
|
| |||||||
1,156,072 | 7,592,462 | 3,533,967 | 2,723,163 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.26 | $ | 11.16 | $ | 10.07 | $ | 8.89 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 22,320,439 | $ | 166,648,806 | $ | 36,941,422 | $ | 28,571,716 | |||||||
|
|
|
|
|
|
|
| |||||||
2,231,408 | 15,089,950 | 3,681,239 | 3,223,500 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.00 | $ | 11.04 | $ | 10.04 | $ | 8.86 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.50 | $ | 11.59 | $ | 10.54 | $ | 9.40 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 996,413 | $ | 8,959,585 | $ | 2,959,407 | $ | 2,672,358 | |||||||
|
|
|
|
|
|
|
| |||||||
99,637 | 812,027 | 295,657 | 302,196 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.00 | $ | 11.03 | $ | 10.01 | $ | 8.84 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 385,849 | $ | 624,715 | $ | 411,859 | $ | 3,422,607 | |||||||
|
|
|
|
|
|
|
| |||||||
38,561 | 55,515 | 41,237 | 379,876 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.01 | $ | 11.25 | $ | 9.99 | $ | 9.01 | |||||||
|
|
|
|
|
|
|
|
191
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2015
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 114,275,326 | $ | 65,208,819 | ||||
Short-term investments, at value (Note 2) (b) | 14,591,662 | 703,966 | ||||||
|
|
|
| |||||
Total investments (c) | 128,866,988 | 65,912,785 | ||||||
|
|
|
| |||||
Receivables from: | ||||||||
Investments sold | 5,546,312 | 125,657 | ||||||
Investments sold on a when-issued basis (Note 2) | 1,221,246 | - | ||||||
Investment adviser (Note 3) | 13,237 | 12,646 | ||||||
Fund shares sold | 13,216 | 170 | ||||||
Interest and dividends | 390,374 | 77,500 | ||||||
Foreign taxes withheld | - | 3,128 | ||||||
Prepaid expenses | 31,102 | 35,544 | ||||||
|
|
|
| |||||
Total assets | 136,082,475 | 66,167,430 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 5,638,178 | - | ||||||
Fund shares repurchased | 5,074 | 10,839 | ||||||
Investments purchased on a when-issued basis (Note 2) | 9,370,998 | - | ||||||
Securities on loan (Note 2) | - | 562,475 | ||||||
Open swap agreements, at value (Note 2) | 3,688 | - | ||||||
Trustees’ fees and expenses (Note 3) | 31,310 | 54,788 | ||||||
Variation margin on open derivative instruments (Note 2) | 59,185 | - | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 47,643 | 27,487 | ||||||
Administration fees | 20,354 | 10,802 | ||||||
Service fees | 22,449 | 4,626 | ||||||
Shareholder service fees | 5,521 | 2,344 | ||||||
Distribution fees | 683 | 64 | ||||||
Due to custodian | 1,145,913 | - | ||||||
Accrued expense and other liabilities | 29,249 | 29,729 | ||||||
|
|
|
| |||||
Total liabilities | 16,380,245 | 703,154 | ||||||
|
|
|
| |||||
Net assets | $ | 119,702,230 | $ | 65,464,276 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 113,081,571 | $ | 97,343,400 | ||||
Undistributed (accumulated) net investment income (loss) | 1,831,968 | 688,111 | ||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 8,782,926 | (32,790,553 | ) | |||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | (3,994,235 | ) | 223,318 | |||||
|
|
|
| |||||
Net assets | $ | 119,702,230 | $ | 65,464,276 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 118,269,827 | $ | 64,985,501 | ||||
(b) Cost of short-term investments: | $ | 14,591,662 | $ | 703,966 | ||||
(c) Securities on loan with market value of: | $ | - | $ | 548,667 |
The accompanying notes are an integral part of the financial statements.
192
Table of Contents
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 292,707,792 | $ | 118,713,644 | $ | 437,775,049 | $ | 160,608,900 | |||||||
1,332,362 | 3,464,102 | 1,188,589 | 1,943,943 | |||||||||||
|
|
|
|
|
|
|
| |||||||
294,040,154 | 122,177,746 | 438,963,638 | 162,552,843 | |||||||||||
|
|
|
|
|
|
|
| |||||||
16,527,257 | 1,416,219 | 33,405,443 | 196,946 | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
99,806 | 30,294 | 116,316 | 20,906 | |||||||||||
496,974 | 203,648 | 341,831 | 389,467 | |||||||||||
- | 641 | - | - | |||||||||||
35,133 | 31,646 | 29,979 | 34,057 | |||||||||||
|
|
|
|
|
|
|
| |||||||
311,199,324 | 123,860,194 | 472,857,207 | 163,194,219 | |||||||||||
|
|
|
|
|
|
|
| |||||||
15,837,623 | 841,143 | 31,265,743 | 702,375 | |||||||||||
693,739 | 19,298 | 1,464,002 | 472,290 | |||||||||||
- | - | - | - | |||||||||||
- | 1,975,894 | - | 9,675,176 | |||||||||||
- | - | - | - | |||||||||||
49,268 | 28,894 | 47,537 | 41,795 | |||||||||||
- | - | - | - | |||||||||||
110,391 | 55,221 | 164,672 | 78,454 | |||||||||||
19,207 | 16,152 | 34,403 | 21,508 | |||||||||||
7,627 | 8,670 | 30,211 | 46,990 | |||||||||||
4,762 | 5,810 | 12,837 | 11,190 | |||||||||||
124 | 93 | 1,211 | 671 | |||||||||||
- | - | - | - | |||||||||||
34,686 | 30,610 | 35,638 | 31,240 | |||||||||||
|
|
|
|
|
|
|
| |||||||
16,757,427 | 2,981,785 | 33,056,254 | 11,081,689 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 294,441,897 | $ | 120,878,409 | $ | 439,800,953 | $ | 152,112,530 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 300,643,823 | $ | 79,170,791 | $ | 407,180,254 | $ | 133,135,899 | |||||||
4,396,342 | 1,225,944 | 3,694,487 | 684,412 | |||||||||||
3,241,544 | 39,913,671 | 32,389,538 | 15,148,848 | |||||||||||
(13,839,812 | ) | 568,003 | (3,463,326 | ) | 3,143,371 | |||||||||
|
|
|
|
|
|
|
| |||||||
$ | 294,441,897 | $ | 120,878,409 | $ | 439,800,953 | $ | 152,112,530 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 306,547,604 | $ | 118,145,126 | $ | 441,238,375 | $ | 157,465,531 | |||||||
$ | 1,332,362 | $ | 3,464,102 | $ | 1,188,589 | $ | 1,943,943 | |||||||
$ | - | $ | 1,931,789 | $ | - | $ | 9,433,771 |
193
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2015
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 376,345 | $ | 101,306 | ||||
|
|
|
| |||||
Shares outstanding (a) | 32,793 | 5,088 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 11.48 | $ | 19.91 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 62,971,498 | $ | 46,467,455 | ||||
|
|
|
| |||||
Shares outstanding (a) | 5,486,059 | 2,335,243 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 11.48 | $ | 19.90 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 12,544,661 | $ | 109,305 | ||||
|
|
|
| |||||
Shares outstanding (a) | 1,050,381 | 5,474 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 11.94 | $ | 19.97 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 8,690,773 | $ | 11,984,343 | ||||
|
|
|
| |||||
Shares outstanding (a) | 755,230 | 601,076 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 11.51 | $ | 19.94 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 31,375,234 | $ | 6,605,191 | ||||
|
|
|
| |||||
Shares outstanding (a) | 2,795,784 | 331,827 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 11.22 | $ | 19.91 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 11.90 | $ | 21.12 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 2,009,831 | $ | 100,713 | ||||
|
|
|
| |||||
Shares outstanding (a) | 179,422 | 5,063 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 11.20 | $ | 19.89 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 1,733,888 | $ | 95,963 | ||||
|
|
|
| |||||
Shares outstanding (a) | 155,032 | 4,848 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 11.18 | $ | 19.79 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
* | Net asset value calculations reflect fractional share and dollar amount. |
The accompanying notes are an integral part of the financial statements.
194
Table of Contents
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 163,639,683 | $ | 37,244 | $ | 184,981,381 | $ | 100 | |||||||
|
|
|
|
|
|
|
| |||||||
11,093,444 | 2,709 | 16,262,822 | 7 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 14.75 | $ | 13.75 | $ | 11.37 | $ | 13.84 | * | ||||||
|
|
|
|
|
|
|
| |||||||
$ | 46,754,043 | $ | 69,529,472 | $ | 85,629,500 | $ | 58,839,714 | |||||||
|
|
|
|
|
|
|
| |||||||
3,168,573 | 5,063,466 | 7,526,320 | 4,256,413 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 14.76 | $ | 13.73 | $ | 11.38 | $ | 13.82 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 65,799,287 | $ | 6,517,247 | $ | 87,881,780 | $ | 6,926,790 | |||||||
|
|
|
|
|
|
|
| |||||||
4,489,692 | 468,542 | 7,711,979 | 501,591 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 14.66 | $ | 13.91 | $ | 11.40 | $ | 13.81 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 7,459,751 | $ | 31,643,612 | $ | 33,633,652 | $ | 18,171,232 | |||||||
|
|
|
|
|
|
|
| |||||||
501,278 | 2,308,567 | 2,929,293 | 1,324,307 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 14.88 | $ | 13.71 | $ | 11.48 | $ | 13.72 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 8,080,645 | $ | 12,906,017 | $ | 38,034,504 | $ | 66,358,961 | |||||||
|
|
|
|
|
|
|
| |||||||
556,290 | 950,174 | 3,385,944 | 4,918,703 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 14.53 | $ | 13.58 | $ | 11.23 | $ | 13.49 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 15.42 | $ | 14.41 | $ | 11.92 | $ | 14.31 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 2,523,832 | $ | 105,190 | $ | 6,003,377 | $ | 570,779 | |||||||
|
|
|
|
|
|
|
| |||||||
173,925 | 7,750 | 534,510 | 42,338 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 14.51 | $ | 13.57 | $ | 11.23 | $ | 13.48 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 184,656 | $ | 139,627 | $ | 3,636,759 | $ | 1,244,954 | |||||||
|
|
|
|
|
|
|
| |||||||
12,634 | 10,224 | 324,448 | 92,521 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 14.62 | $ | 13.66 | $ | 11.21 | $ | 13.46 | |||||||
|
|
|
|
|
|
|
|
195
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2015
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||
Assets: | ||||||||||||
Investments, at value — unaffiliated issuers (Note 2) (a) | $ | 366,698,002 | $ | 524,024,973 | $ | 141,732,002 | ||||||
Investments, at value — affiliated issuers (Note 7) (b) | 5,023,047 | 5,956,422 | - | |||||||||
Short-term investments, at value (Note 2) (c) | - | - | 8,558,302 | |||||||||
|
|
|
|
|
| |||||||
Total investments (d) | 371,721,049 | 529,981,395 | 150,290,304 | |||||||||
|
|
|
|
|
| |||||||
Foreign currency, at value (e) | - | 35 | 62,744 | |||||||||
Receivables from: | ||||||||||||
Investments sold | 303,398 | 252,155 | 173,377 | |||||||||
Investment adviser (Note 3) | - | - | 37,066 | |||||||||
Fund shares sold | 49,902 | 2,156,679 | 68,417 | |||||||||
Interest and dividends | 342,825 | 540,483 | 157,322 | |||||||||
Foreign tax | - | - | 53,483 | |||||||||
Foreign taxes withheld | 194,007 | 564,114 | 19,235 | |||||||||
Prepaid expenses | 32,008 | 32,704 | 36,098 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 372,643,189 | 533,527,565 | 150,898,046 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payables for: | ||||||||||||
Investments purchased | - | 1,108,401 | 154,491 | |||||||||
Fund shares repurchased | 408,734 | 254,648 | 248,405 | |||||||||
Securities on loan (Note 2) | 8,649,255 | 20,761,067 | 6,439,456 | |||||||||
Trustees’ fees and expenses (Note 3) | 63,399 | 113,494 | 19,720 | |||||||||
Affiliates (Note 3): | ||||||||||||
Investment advisory fees | 232,671 | 358,454 | 117,541 | |||||||||
Administration fees | 45,060 | 38,334 | 6,405 | |||||||||
Service fees | 29,668 | 32,365 | 323 | |||||||||
Shareholder service fees | 21,962 | 9,245 | 359 | |||||||||
Distribution fees | 1,513 | 252 | 119 | |||||||||
Due to custodian | - | - | 163,861 | |||||||||
Accrued expense and other liabilities | 170,872 | 233,605 | 603,374 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 9,623,134 | 22,909,865 | 7,754,054 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 363,020,055 | $ | 510,617,700 | $ | 143,143,992 | ||||||
|
|
|
|
|
| |||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 233,671,635 | $ | 483,329,658 | $ | 186,922,884 | ||||||
Undistributed (accumulated) net investment income (loss) | 1,346,379 | 5,077,285 | 31,050 | |||||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 24,021,615 | 12,303,879 | (16,219,345 | ) | ||||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 103,980,426 | 9,906,878 | (27,590,597 | ) | ||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 363,020,055 | $ | 510,617,700 | $ | 143,143,992 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of Investments — unaffiliated issuers: | $ | 262,608,490 | $ | 513,937,231 | $ | 168,754,879 | ||||||
(b) Cost of Investments — affiliated issuers: | $ | 5,023,047 | $ | 5,956,422 | $ | - | ||||||
(c) Cost of short-term investments: | $ | - | $ | - | $ | 8,558,302 | ||||||
(d) Securities on loan with market value of: | $ | 8,316,557 | $ | 19,737,656 | $ | 6,170,451 | ||||||
(e) Cost of foreign currency: | $ | - | $ | 35 | $ | 62,668 |
The accompanying notes are an integral part of the financial statements.
196
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2015
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||
Class I shares: | ||||||||||||
Net assets | $ | 1,044,400 | $ | 169,842,400 | $ | 127,823,330 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 74,942 | 14,707,996 | 13,907,853 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 13.94 | $ | 11.55 | $ | 9.19 | ||||||
|
|
|
|
|
| |||||||
Class R5 shares: | ||||||||||||
Net assets | $ | 166,316,309 | $ | 251,687,229 | $ | 7,388,679 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 11,940,785 | 21,807,113 | 794,514 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 13.93 | $ | 11.54 | $ | 9.30 | ||||||
|
|
|
|
|
| |||||||
Service Class shares: | ||||||||||||
Net assets | $ | 30,582,108 | $ | 21,741,173 | $ | 7,014,720 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 2,211,627 | 1,889,041 | 764,574 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 13.83 | $ | 11.51 | $ | 9.17 | ||||||
|
|
|
|
|
| |||||||
Administrative Class shares: | ||||||||||||
Net assets | $ | 120,753,171 | $ | 19,307,131 | $ | 430,927 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 8,683,275 | 1,686,429 | 46,683 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 13.91 | $ | 11.45 | $ | 9.23 | ||||||
|
|
|
|
|
| |||||||
Class A shares: | ||||||||||||
Net assets | $ | 40,690,147 | $ | 47,166,247 | $ | 190,488 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 2,955,983 | 4,239,672 | 20,869 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 13.77 | $ | 11.12 | $ | 9.13 | ||||||
|
|
|
|
|
| |||||||
Offering price per share | ||||||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 14.61 | $ | 11.80 | $ | 9.69 | ||||||
|
|
|
|
|
| |||||||
Class R4 shares: | ||||||||||||
Net assets | $ | 729,173 | $ | 349,386 | $ | 111,820 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 53,068 | 31,438 | 12,234 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 13.74 | $ | 11.11 | $ | 9.14 | ||||||
|
|
|
|
|
| |||||||
Class R3 shares: | ||||||||||||
Net assets | $ | 2,904,747 | $ | 524,134 | $ | 184,028 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 210,661 | 47,241 | 20,170 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 13.79 | $ | 11.09 | $ | 9.12 | ||||||
|
|
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
197
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
For the Year Ended September 30, 2015
MassMutual Premier Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends | $ | - | $ | 84,800 | ||||
Interest | 604,355 | 12,913,605 | ||||||
|
|
|
| |||||
Total investment income | 604,355 | 12,998,405 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 1,502,092 | 1,995,999 | ||||||
Custody fees | 42,178 | 65,194 | ||||||
Interest expense | - | - | ||||||
Audit fees | 31,175 | 36,699 | ||||||
Legal fees | 9,550 | 4,191 | ||||||
Accounting & Administration fees | 65,515 | 92,937 | ||||||
Proxy fees | 1,033 | 1,033 | ||||||
Shareholder reporting fees | 17,468 | 30,550 | ||||||
Trustees’ fees | 24,140 | 35,774 | ||||||
Registration and filing fees | 17,227 | 65,964 | ||||||
Transfer agent fees | 3,000 | 3,000 | ||||||
|
|
|
| |||||
1,713,378 | 2,331,341 | |||||||
Administration fees: | ||||||||
Class R5 | 429,169 | 167,765 | ||||||
Service Class | - | 122,986 | ||||||
Administrative Class | - | 59,784 | ||||||
Class A | - | 116,163 | ||||||
Class R4 | - | 3,123 | ||||||
Class R3 | - | 1,237 | ||||||
Distribution fees: | ||||||||
Class R3 | - | 1,546 | ||||||
Service fees: | ||||||||
Class A | - | 193,606 | ||||||
Class R4 | - | 3,905 | ||||||
Class R3 | - | 1,546 | ||||||
Shareholder service fees: | ||||||||
Service Class | - | 40,995 | ||||||
Administrative Class | - | 59,784 | ||||||
Class A | - | 116,163 | ||||||
|
|
|
| |||||
Total expenses | 2,142,547 | 3,219,944 | ||||||
Expenses waived (Note 3): | ||||||||
Class I fees reimbursed by adviser | - | - | ||||||
Class R5 fees reimbursed by adviser | (1,538,194 | ) | - | |||||
Service Class fees reimbursed by adviser | - | - | ||||||
Administrative Class fees reimbursed by adviser | - | - | ||||||
Class A fees reimbursed by adviser | - | - | ||||||
Class R4 fees reimbursed by adviser | - | - | ||||||
Class R3 fees reimbursed by adviser | - | - | ||||||
|
|
|
| |||||
Net expenses | 604,353 | 3,219,944 | ||||||
|
|
|
| |||||
Net investment income (loss) | 2 | 9,778,461 | ||||||
|
|
|
|
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 | |||||||||||
$ | - | $ | 406,888 | $ | 40,345 | $ | - | |||||||
4,294,511 | 47,497,084 | 5,032,488 | 18,442,055 | |||||||||||
|
|
|
|
|
|
|
| |||||||
4,294,511 | 47,903,972 | 5,072,833 | 18,442,055 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,318,009 | 5,970,609 | 659,517 | 1,256,982 | |||||||||||
85,717 | 158,971 | 40,747 | 65,592 | |||||||||||
699,415 | - | - | - | |||||||||||
36,709 | 38,570 | 37,371 | 35,510 | |||||||||||
2,561 | 11,591 | 1,272 | 1,877 | |||||||||||
70,191 | 174,753 | 93,273 | 58,434 | |||||||||||
1,033 | 1,033 | 1,033 | 1,033 | |||||||||||
20,524 | 69,390 | 13,073 | 18,768 | |||||||||||
21,535 | 97,902 | 10,402 | 16,230 | |||||||||||
69,003 | 74,058 | 67,258 | 68,304 | |||||||||||
3,000 | 3,000 | 3,000 | 3,000 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,327,697 | 6,599,877 | 926,946 | 1,525,730 | |||||||||||
60,393 | 516,333 | 70,398 | 39,789 | |||||||||||
117,847 | 194,972 | 26,442 | 95,172 | |||||||||||
17,217 | 119,516 | 45,991 | 36,203 | |||||||||||
38,212 | 263,201 | 57,919 | 46,545 | |||||||||||
764 | 9,573 | 1,638 | 1,608 | |||||||||||
1,265 | 1,564 | 364 | 2,790 | |||||||||||
1,581 | 1,954 | 455 | 3,487 | |||||||||||
63,687 | 438,669 | 96,531 | 77,576 | |||||||||||
955 | 11,966 | 2,048 | 2,010 | |||||||||||
1,581 | 1,954 | 455 | 3,487 | |||||||||||
39,282 | 64,991 | 8,814 | 31,724 | |||||||||||
17,217 | 119,516 | 45,991 | 36,203 | |||||||||||
38,212 | 263,201 | 57,919 | 46,545 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,725,910 | 8,607,287 | 1,341,911 | 1,948,869 | |||||||||||
- | - | (3,058 | ) | (31,675 | ) | |||||||||
- | - | (24,640 | ) | (12,511 | ) | |||||||||
- | - | (6,173 | ) | (19,694 | ) | |||||||||
- | - | (10,730 | ) | (7,508 | ) | |||||||||
- | - | (13,524 | ) | (9,649 | ) | |||||||||
- | - | (289 | ) | (263 | ) | |||||||||
- | - | (64 | ) | (441 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
2,725,910 | 8,607,287 | 1,283,433 | 1,867,128 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,568,601 | 39,296,685 | 3,789,400 | 16,574,927 | |||||||||||
|
|
|
|
|
|
|
|
199
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2015
MassMutual Premier Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 9,187 | $ | 1,544,860 | ||||
Futures contracts | - | 4,684,031 | ||||||
Swap agreements | - | (1,380,479 | ) | |||||
Foreign currency transactions | - | (17,205 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 9,187 | 4,831,207 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | - | (4,262,075 | ) | |||||
Futures contracts | - | 588,234 | ||||||
Swap agreements | - | 151,937 | ||||||
Translation of assets and liabilities in foreign currencies | - | - | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | - | (3,521,904 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 9,187 | 1,309,303 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 9,189 | $ | 11,087,764 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
200
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 | |||||||||||
$ | 1,789,287 | $ | 15,625,928 | $ | 1,602,631 | $ | (7,044,423 | ) | ||||||
(1,364,174 | ) | 9,198,221 | 408,704 | - | ||||||||||
(361,074 | ) | (3,495,248 | ) | (570,442 | ) | - | ||||||||
(7,375 | ) | (45,003 | ) | (25,234 | ) | - | ||||||||
|
|
|
|
|
|
|
| |||||||
56,664 | 21,283,898 | 1,415,659 | (7,044,423 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
(5,554,667 | ) | (38,485,879 | ) | (4,831,972 | ) | (16,253,367 | ) | |||||||
(124,641 | ) | 559,063 | 35,233 | - | ||||||||||
1,674 | 363,576 | 58,382 | - | |||||||||||
- | - | (3,418 | ) | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
(5,677,634 | ) | (37,563,240 | ) | (4,741,775 | ) | (16,253,367 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(5,620,970 | ) | (16,279,342 | ) | (3,326,116 | ) | (23,297,790 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
$ | (4,052,369 | ) | $ | 23,017,343 | $ | 463,284 | $ | (6,722,863 | ) | |||||
|
|
|
|
|
|
|
|
201
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations
For the Year Ended September 30, 2015
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | 2,280,796 | $ | 1,681,741 | ||||
Interest | 1,624,248 | 57 | ||||||
Securities lending net income | - | 10,721 | ||||||
|
|
|
| |||||
Total investment income | 3,905,044 | 1,692,519 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 782,251 | 406,892 | ||||||
Custody fees | 47,993 | 16,647 | ||||||
Audit fees | 37,368 | 35,050 | ||||||
Legal fees | 1,229 | 558 | ||||||
Accounting & Administration fees | 98,097 | 53,070 | ||||||
Proxy fees | 1,033 | 1,033 | ||||||
Shareholder reporting fees | 13,002 | 10,059 | ||||||
Trustees’ fees | 10,346 | 4,915 | ||||||
Registration and filing fees | 62,173 | 60,416 | ||||||
Transfer agent fees | 3,000 | 3,000 | ||||||
|
|
|
| |||||
1,056,492 | 591,640 | |||||||
Administration fees: | ||||||||
Class R5 | 71,763 | 59,469 | ||||||
Service Class | 20,006 | 194 | ||||||
Administrative Class | 12,901 | 20,949 | ||||||
Class A | 52,287 | 11,242 | ||||||
Class R4 | 945 | 215 | ||||||
Class R3 | 915 | 206 | ||||||
Distribution fees: | ||||||||
Class R3 | 1,143 | 257 | ||||||
Service fees: | ||||||||
Class A | 87,145 | 18,736 | ||||||
Class R4 | 1,182 | 269 | ||||||
Class R3 | 1,143 | 257 | ||||||
Shareholder service fees: | ||||||||
Service Class | 6,669 | 65 | ||||||
Administrative Class | 12,901 | 20,949 | ||||||
Class A | 52,287 | 11,242 | ||||||
|
|
|
| |||||
Total expenses | 1,377,779 | 735,690 | ||||||
Expenses waived (Note 3): | ||||||||
Class I fees reimbursed by adviser | (15,897 | ) | (142 | ) | ||||
Class R5 fees reimbursed by adviser | (34,751 | ) | (75,158 | ) | ||||
Service Class fees reimbursed by adviser | (6,463 | ) | (165 | ) | ||||
Administrative Class fees reimbursed by adviser | (4,181 | ) | (17,962 | ) | ||||
Class A fees reimbursed by adviser | (16,891 | ) | (9,668 | ) | ||||
Class R4 fees reimbursed by adviser | (247 | ) | (141 | ) | ||||
Class R3 fees reimbursed by adviser | (247 | ) | (133 | ) | ||||
|
|
|
| |||||
Net expenses | 1,299,102 | 632,321 | ||||||
|
|
|
| |||||
Net investment income (loss) | 2,605,942 | 1,060,198 | ||||||
|
|
|
|
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 | |||||||||||
$ | 8,171,599 | $ | 3,225,599 | $ | 8,197,218 | $ | 2,676,374 | |||||||
258 | 380 | 349 | 329 | |||||||||||
- | 10,947 | - | 315,258 | |||||||||||
|
|
|
|
|
|
|
| |||||||
8,171,857 | 3,236,926 | 8,197,567 | 2,991,961 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,555,091 | 1,046,269 | 2,108,999 | 1,075,214 | |||||||||||
32,997 | 28,065 | 41,508 | 25,942 | |||||||||||
36,196 | 33,619 | 36,313 | 34,529 | |||||||||||
2,525 | 1,442 | 3,591 | 1,354 | |||||||||||
55,732 | 47,164 | 64,277 | 46,750 | |||||||||||
1,033 | 1,033 | 1,033 | 1,033 | |||||||||||
45,438 | 14,922 | 49,915 | 13,626 | |||||||||||
21,601 | 12,080 | 29,959 | 11,577 | |||||||||||
64,212 | 59,384 | 67,235 | 64,873 | |||||||||||
3,000 | 3,000 | 3,000 | 3,000 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,817,825 | 1,246,978 | 2,405,830 | 1,277,898 | |||||||||||
63,297 | 91,338 | 115,352 | 77,648 | |||||||||||
105,898 | 10,384 | 136,100 | 11,461 | |||||||||||
12,278 | 50,647 | 48,004 | 29,539 | |||||||||||
15,242 | 20,899 | 59,500 | 112,441 | |||||||||||
3,166 | 220 | 3,923 | 300 | |||||||||||
398 | 286 | 1,501 | 1,011 | |||||||||||
498 | 357 | 1,876 | 1,264 | |||||||||||
25,404 | 34,831 | 99,167 | 187,401 | |||||||||||
3,957 | 275 | 4,904 | 375 | |||||||||||
498 | 357 | 1,876 | 1,264 | |||||||||||
35,299 | 3,461 | 45,367 | 3,820 | |||||||||||
12,278 | 50,647 | 48,004 | 29,539 | |||||||||||
15,242 | 20,899 | 59,500 | 112,441 | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,111,280 | 1,531,579 | 3,030,904 | 1,846,402 | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,111,280 | 1,531,579 | 3,030,904 | 1,846,402 | |||||||||||
|
|
|
|
|
|
|
| |||||||
6,060,577 | 1,705,347 | 5,166,663 | 1,145,559 | |||||||||||
|
|
|
|
|
|
|
|
203
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2015
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 10,330,584 | $ | 10,216,059 | ||||
Futures contracts | 171,967 | - | ||||||
Swap agreements | (124,470 | ) | - | |||||
Foreign currency transactions | (1,655 | ) | (838 | ) | ||||
|
|
|
| |||||
Net realized gain (loss) | 10,376,426 | 10,215,221 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | (14,046,097 | ) | (12,525,891 | ) | ||||
Futures contracts | 18,055 | - | ||||||
Swap agreements | 13,276 | - | ||||||
Translation of assets and liabilities in foreign currencies | - | - | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | (14,014,766 | ) | (12,525,891 | ) | ||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | (3,638,340 | ) | (2,310,670 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | (1,032,398 | ) | $ | (1,250,472 | ) | ||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | 68 | $ | 24,450 |
The accompanying notes are an integral part of the financial statements.
204
Table of Contents
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 25,680,515 | $ | 42,948,056 | $ | 38,051,105 | $ | 15,509,284 | |||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | (10,780 | ) | - | 1,566 | ||||||||||
|
|
|
|
|
|
|
| |||||||
25,680,515 | 42,937,276 | 38,051,105 | 15,510,850 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(45,119,771 | ) | (39,142,523 | ) | (36,320,687 | ) | (11,140,130 | ) | |||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | 1,748 | - | 2 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(45,119,771 | ) | (39,140,775 | ) | (36,320,687 | ) | (11,140,128 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(19,439,256 | ) | 3,796,501 | 1,730,418 | 4,370,722 | ||||||||||
|
|
|
|
|
|
|
| |||||||
$ | (13,378,679 | ) | $ | 5,501,848 | $ | 6,897,081 | $ | 5,516,281 | ||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,597 | $ | 31,782 | $ | 1,255 | $ | 462 |
205
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations
For the Year Ended September 30, 2015
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||
Investment income (Note 2): | ||||||||||||
Dividends — unaffiliated issuers (a) | $ | 7,642,145 | $ | 11,331,619 | $ | 2,889,232 | ||||||
Dividends — affiliated issuers (Note 7) | 9,255 | 16,704 | - | |||||||||
Interest | - | 5,903 | 1,816 | |||||||||
Securities lending net income | 379,171 | 303,844 | 50,586 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 8,030,571 | 11,658,070 | 2,941,634 | |||||||||
|
|
|
|
|
| |||||||
Expenses (Note 3): | ||||||||||||
Investment advisory fees | 3,098,447 | 4,511,667 | 1,615,167 | |||||||||
Custody fees | 149,967 | 314,861 | 354,191 | |||||||||
Audit fees | 44,177 | 43,458 | 82,538 | |||||||||
Legal fees | 2,990 | 3,772 | 1,229 | |||||||||
Accounting & Administration fees | 65,956 | 73,255 | 57,669 | |||||||||
Proxy fees | 1,033 | 1,033 | 1,033 | |||||||||
Shareholder reporting fees | 42,346 | 52,912 | 19,523 | |||||||||
Trustees’ fees | 26,013 | 33,287 | 10,201 | |||||||||
Registration and filing fees | 59,793 | 63,432 | 71,419 | |||||||||
Transfer agent fees | 3,000 | 3,000 | 3,000 | |||||||||
|
|
|
|
|
| |||||||
3,493,722 | 5,100,677 | 2,215,970 | ||||||||||
Administration fees: | ||||||||||||
Class R5 | 206,328 | 307,411 | 8,623 | |||||||||
Service Class | 38,797 | 34,561 | 8,813 | |||||||||
Administrative Class | 201,969 | 30,099 | 687 | |||||||||
Class A | 67,473 | 80,292 | 547 | |||||||||
Class R4 | 450 | 301 | 206 | |||||||||
Class R3 | 3,598 | 386 | 282 | |||||||||
Distribution fees: | ||||||||||||
Class R3 | 4,498 | 482 | 352 | |||||||||
Service fees: | ||||||||||||
Class A | 112,456 | 133,820 | 911 | |||||||||
Class R4 | 563 | 376 | 258 | |||||||||
Class R3 | 4,498 | 482 | 352 | |||||||||
Shareholder service fees: | ||||||||||||
Service Class | 12,932 | 11,520 | 2,937 | |||||||||
Administrative Class | 201,969 | 30,099 | 687 | |||||||||
Class A | 67,473 | 80,292 | 547 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 4,416,726 | 5,810,798 | 2,241,172 | |||||||||
Expenses waived (Note 3): | ||||||||||||
Class I fees reimbursed by adviser | - | - | (469,828 | ) | ||||||||
Class R5 fees reimbursed by adviser | - | - | (27,713 | ) | ||||||||
Service Class fees reimbursed by adviser | - | - | (19,077 | ) | ||||||||
Administrative Class fees reimbursed by adviser | - | - | (1,478 | ) | ||||||||
Class A fees reimbursed by adviser | - | - | (1,156 | ) | ||||||||
Class R4 fees reimbursed by adviser | - | - | (333 | ) | ||||||||
Class R3 fees reimbursed by adviser | - | - | (458 | ) | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 4,416,726 | 5,810,798 | 1,721,129 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 3,613,845 | 5,847,272 | 1,220,505 | |||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
206
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2015
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||
Realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | $ | 28,649,139 | $ | 19,300,832 | $ | (11,194,451 | ) | |||||
Foreign currency transactions | (163,430 | ) | (245,078 | ) | (153,656 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 28,485,709 | 19,055,754 | (11,348,107 | ) | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investment transactions | (41,178,454 | ) | (43,197,261 | )* | (30,828,278 | ) | ||||||
Translation of assets and liabilities in foreign currencies | (79,966 | ) | 124,577 | (33,357 | ) | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | (41,258,420 | ) | (43,072,684 | ) | (30,861,635 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | (12,772,711 | ) | (24,016,930 | ) | (42,209,742 | ) | ||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | (9,158,866 | ) | $ | (18,169,658 | ) | $ | (40,989,237 | ) | |||
|
|
|
|
|
| |||||||
(a) Net of foreign withholding tax of: | $ | 649,056 | $ | 917,613 | $ | 269,319 |
* | Net decrease in accrued foreign capital gains tax of $25,014. |
The accompanying notes are an integral part of the financial statements.
207
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Money Market Fund | ||||||||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 2 | $ | 19,362 | ||||
Net realized gain (loss) on investment transactions | 9,187 | 8,896 | ||||||
Net change in unrealized appreciation (depreciation) on investments | - | - | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 9,189 | 28,258 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | - | - | ||||||
Class R5 | (21,751 | ) | (6,862 | ) | ||||
Service Class | - | - | ||||||
Class Y | - | (5,681 | )* | |||||
Administrative Class | - | - | ||||||
Class A | - | (6,836 | )* | |||||
Class R4 | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Total distributions from net investment income | (21,751 | ) | (19,379 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | - | - | ||||||
Class R5 | - | - | ||||||
Service Class | - | - | ||||||
Administrative Class | - | - | ||||||
Class A | - | - | ||||||
Class R4 | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Total distributions from net realized gains | - | - | ||||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | - | - | ||||||
Class R5 | (74,490,267 | ) | 322,439,759 | |||||
Service Class | - | - | ||||||
Class Y | - | (102,826,076 | )* | |||||
Administrative Class | - | - | ||||||
Class A | - | (156,111,619 | )* | |||||
Class R4 | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (74,490,267 | ) | 63,502,064 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (74,502,829 | ) | 63,510,943 | |||||
Net assets | ||||||||
Beginning of year | 474,520,206 | 411,009,263 | ||||||
|
|
|
| |||||
End of year | $ | 400,017,377 | $ | 474,520,206 | ||||
|
|
|
| |||||
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 | $ | (85,599 | ) | $ | (66,658 | ) | ||
|
|
|
|
* | 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 Short-Duration Bond Fund | MassMutual Premier Inflation-Protected and Income Fund | |||||||||||||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||
$ | 9,778,461 | $ | 8,592,666 | $ | 1,568,601 | $ | 6,859,382 | |||||||
4,831,207 | 1,100,537 | 56,664 | 368,808 | |||||||||||
(3,521,904 | ) | (1,813,424 | ) | (5,677,634 | ) | (2,993,755 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
11,087,764 | 7,879,779 | (4,052,369 | ) | 4,234,435 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(5,420,085 | ) | (4,754,279 | ) | (4,160,845 | ) | (2,766,412 | ) | |||||||
(3,732,581 | ) | (3,840,528 | ) | (1,358,727 | ) | (1,075,069 | ) | |||||||
(1,578,728 | ) | (1,671,755 | ) | (1,728,889 | ) | (1,591,866 | ) | |||||||
- | - | - | - | |||||||||||
(909,686 | ) | (938,310 | ) | (229,733 | ) | (184,617 | ) | |||||||
(1,377,822 | ) | (1,253,164 | ) | (517,740 | ) | (470,479 | ) | |||||||
(2,011 | ) | - | ** | (2,162 | ) | - | ** | |||||||
(10,081 | ) | (2,817 | ) | (28,215 | ) | (23,611 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(13,030,994 | ) | (12,460,853 | ) | (8,026,311 | ) | (6,112,054 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(31,639 | ) | - | - | (3,901,385 | ) | |||||||||
(23,140 | ) | - | - | (1,627,748 | ) | |||||||||
(10,181 | ) | - | - | (2,504,490 | ) | |||||||||
(6,113 | ) | - | - | (304,554 | ) | |||||||||
(10,578 | ) | - | - | (899,454 | ) | |||||||||
(14 | ) | - | ** | - | - | ** | ||||||||
(85 | ) | - | - | (48,644 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
(81,750 | ) | - | - | (9,286,275 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
(37,900,272 | ) | 6,750,362 | (995,545 | ) | 49,946,215 | |||||||||
(19,307,586 | ) | (16,270,565 | ) | 4,450,406 | 3,457,191 | |||||||||
10,755,918 | 128,291 | 2,699,074 | (2,114,354 | ) | ||||||||||
- | - | - | - | |||||||||||
(6,050,203 | ) | (5,561,742 | ) | 1,680,909 | 738,357 | |||||||||
(1,471,102 | ) | 3,018,683 | (2,841,746 | ) | (1,622,017 | ) | ||||||||
5,778,574 | 100,000 | ** | 904,670 | 100,001 | ** | |||||||||
951,559 | (635,670 | ) | (1,161,906 | ) | 242,887 | |||||||||
|
|
|
|
|
|
|
| |||||||
(47,243,112 | ) | (12,470,641 | ) | 4,735,862 | 50,748,280 | |||||||||
|
|
|
|
|
|
|
| |||||||
(49,268,092 | ) | (17,051,715 | ) | (7,342,818 | ) | 39,584,386 | ||||||||
568,712,439 | 585,764,154 | 333,757,734 | 294,173,348 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 519,444,347 | $ | 568,712,439 | $ | 326,414,916 | $ | 333,757,734 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 9,836,894 | | $ | 9,435,678 | $ | 3,667,508 | $ | 7,986,718 | ||||||
|
|
|
|
|
|
|
| |||||||
$ | - | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
|
209
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Core Bond Fund | ||||||||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 39,296,685 | $ | 35,822,342 | ||||
Net realized gain (loss) on investment transactions | 21,283,898 | 18,706,033 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (37,563,240 | ) | 13,572,459 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 23,017,343 | 68,100,834 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (16,526,951 | ) | (17,274,485 | ) | ||||
Class R5 | (12,500,333 | ) | (15,286,443 | ) | ||||
Service Class | (3,035,623 | ) | (4,531,247 | ) | ||||
Administrative Class | (1,757,067 | ) | (2,473,551 | ) | ||||
Class A | (3,657,324 | ) | (4,836,181 | ) | ||||
Class R4** | (2,400 | ) | - | |||||
Class R3 | (24,295 | ) | (27,271 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (37,503,993 | ) | (44,429,178 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (2,792,420 | ) | - | |||||
Class R5 | (2,220,261 | ) | - | |||||
Service Class | (570,786 | ) | - | |||||
Administrative Class | (334,199 | ) | - | |||||
Class A | (784,888 | ) | - | |||||
Class R4** | (461 | ) | - | |||||
Class R3 | (5,687 | ) | - | |||||
|
|
|
| |||||
Total distributions from net realized gains | (6,708,702 | ) | - | |||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 66,420,673 | 125,721,272 | ||||||
Class R5 | (14,972,782 | ) | (12,919,078 | ) | ||||
Service Class | (33,975,362 | ) | 19,777,990 | |||||
Administrative Class | 14,913,957 | (10,540,203 | ) | |||||
Class A | (5,483,609 | ) | (8,761,342 | ) | ||||
Class R4** | 8,927,907 | 100,001 | ||||||
Class R3 | (590,696 | ) | (534,646 | ) | ||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 35,240,088 | 112,843,994 | ||||||
|
|
|
| |||||
Total increase (decrease) in net assets | 14,044,736 | 136,515,650 | ||||||
Net assets | ||||||||
Beginning of year | 1,544,470,336 | 1,407,954,686 | ||||||
|
|
|
| |||||
End of year | $ | 1,558,515,072 | $ | 1,544,470,336 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 29,872,748 | $ | 25,974,370 | ||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
210
Table of Contents
MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||
$ | 3,789,400 | $ | 2,676,792 | $ | 16,574,927 | $ | 16,965,822 | |||||||
1,415,659 | 412,785 | (7,044,423 | ) | 6,669,781 | ||||||||||
(4,741,775 | ) | 2,434,452 | (16,253,367 | ) | (466,637 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
463,284 | 5,524,029 | (6,722,863 | ) | 23,168,966 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(126,324 | ) | (126,093 | ) | (6,818,597 | ) | (7,156,840 | ) | |||||||
(1,478,875 | ) | (1,036,543 | ) | (2,615,584 | ) | (1,954,150 | ) | |||||||
(314,167 | ) | (319,607 | ) | (3,958,291 | ) | (3,650,081 | ) | |||||||
(509,626 | ) | (421,314 | ) | (1,580,452 | ) | (914,194 | ) | |||||||
(623,741 | ) | (827,390 | ) | (1,969,985 | ) | (2,062,136 | ) | |||||||
(2,017 | ) | - | (6,622 | ) | - | |||||||||
(1,821 | ) | - | ** | (47,733 | ) | (43,575 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(3,056,571 | ) | (2,730,947 | ) | (16,997,264 | ) | (15,780,976 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(2,792 | ) | (4,063 | ) | (2,371,954 | ) | (1,853,978 | ) | |||||||
(34,169 | ) | (36,188 | ) | (925,575 | ) | (521,804 | ) | |||||||
(7,825 | ) | (11,383 | ) | (1,423,138 | ) | (984,929 | ) | |||||||
(13,049 | ) | (15,095 | ) | (572,351 | ) | (249,512 | ) | |||||||
(20,396 | ) | (33,584 | ) | (754,539 | ) | (589,419 | ) | |||||||
(52 | ) | - | (2,420 | ) | - | |||||||||
(52 | ) | - | ** | (18,782 | ) | (12,951 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(78,335 | ) | (100,313 | ) | (6,068,759 | ) | (4,212,593 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
10,258,037 | 5,552,672 | 12,960,747 | 4,892,610 | |||||||||||
(1,947,196 | ) | 29,686,167 | 6,413,130 | 7,864,666 | ||||||||||
4,867,979 | 5,073,454 | 8,446,472 | 1,670,243 | |||||||||||
14,020,447 | 8,469,211 | 4,167,071 | 8,237,717 | |||||||||||
2,799,634 | 1,895,962 | (1,491,826 | ) | 1,776,899 | ||||||||||
2,872,655 | 100,001 | 2,658,808 | 100,001 | |||||||||||
312,227 | 100,000 | ** | 2,875,355 | (16,764 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
33,183,783 | 50,877,467 | 36,029,757 | 24,525,372 | |||||||||||
|
|
|
|
|
|
|
| |||||||
30,512,161 | 53,570,236 | 6,240,871 | 27,700,769 | |||||||||||
146,573,291 | 93,003,055 | 263,572,784 | 235,872,015 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 177,085,452 | $ | 146,573,291 | $ | 269,813,655 | $ | 263,572,784 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 2,826,250 |
| $ | 1,863,526 | $ | 12,658,491 | $ | 12,478,246 | ||||||
|
|
|
|
|
|
|
|
211
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Balanced Fund | ||||||||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 2,605,942 | $ | 2,535,321 | ||||
Net realized gain (loss) on investment transactions | 10,376,426 | 14,511,543 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (14,014,766 | ) | 1,662,649 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (1,032,398 | ) | 18,709,513 | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I** | (683,991 | ) | - | |||||
Class R5 | (1,236,920 | ) | (1,768,689 | ) | ||||
Service Class | (190,039 | ) | (148,050 | ) | ||||
Administrative Class | (131,261 | ) | (54,927 | ) | ||||
Class A | (434,419 | ) | (488,139 | ) | ||||
Class R4** | (1,600 | ) | - | |||||
Class R3 | (1,404 | ) | - | ** | ||||
|
|
|
| |||||
Total distributions from net investment income | (2,679,634 | ) | (2,459,805 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I** | (3,061,965 | ) | - | |||||
Class R5 | (5,968,539 | ) | (5,307,904 | ) | ||||
Service Class | (958,600 | ) | (486,732 | ) | ||||
Administrative Class | (683,201 | ) | (194,465 | ) | ||||
Class A | (2,879,874 | ) | (2,006,154 | ) | ||||
Class R4** | (8,757 | ) | - | |||||
Class R3 | (8,749 | ) | - | ** | ||||
|
|
|
| |||||
Total distributions from net realized gains | (13,569,685 | ) | (7,995,255 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I** | (33,680,201 | ) | 36,266,259 | |||||
Class R5 | (3,086,541 | ) | (37,948,771 | ) | ||||
Service Class | 2,092,772 | 1,997,101 | ||||||
Administrative Class | 2,640,463 | 3,175,485 | ||||||
Class A | 1,219,005 | (5,551,704 | ) | |||||
Class R4** | 2,044,531 | 100,001 | ||||||
Class R3 | 1,710,445 | 100,000 | ** | |||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (27,059,526 | ) | (1,861,629 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (44,341,243 | ) | 6,392,824 | |||||
Net assets | ||||||||
Beginning of year | 164,043,473 | 157,650,649 | ||||||
|
|
|
| |||||
End of year | $ | 119,702,230 | $ | 164,043,473 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 1,831,968 | $ | 1,855,484 | ||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
212
Table of Contents
MassMutual Premier Value Fund | MassMutual Premier Disciplined Value Fund | |||||||||||||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||
$ | 1,060,198 | $ | 1,736,085 | $ | 6,060,577 | $ | 5,911,757 | |||||||
10,215,221 | 13,373,987 | 25,680,515 | 47,805,288 | |||||||||||
(12,525,891 | ) | 1,771,921 | (45,119,771 | ) | 2,926,614 | |||||||||
|
|
|
|
|
|
|
| |||||||
(1,250,472 | ) | 16,881,993 | (13,378,679 | ) | 56,643,659 | |||||||||
|
|
|
|
|
|
|
| |||||||
(2,038 | ) | - | (3,260,008 | ) | - | |||||||||
(1,167,383 | ) | (1,692,845 | ) | (1,184,635 | ) | (4,461,989 | ) | |||||||
(2,270 | ) | (1,879 | ) | (1,139,617 | ) | (1,196,680 | ) | |||||||
(229,145 | ) | (200,704 | ) | (115,418 | ) | (98,306 | ) | |||||||
(103,865 | ) | (77,472 | ) | (139,242 | ) | (161,790 | ) | |||||||
(1,679 | ) | - | (1,573 | ) | - | |||||||||
(1,243 | ) | (868 | ) | (1,953 | ) | (1,713 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(1,507,623 | ) | (1,973,768 | ) | (5,842,446 | ) | (5,920,478 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
2,038 | 100,100 | (8,358,014 | ) | 177,515,480 | ||||||||||
(16,610,303 | ) | (46,583,589 | ) | (22,465,744 | ) | (197,311,865 | ) | |||||||
(17,825 | ) | 6,076 | 2,166,675 | (11,479,632 | ) | |||||||||
(1,495,530 | ) | (3,559,102 | ) | 984,939 | 1,729,778 | |||||||||
(584,377 | ) | (1,801,308 | ) | (2,091,109 | ) | (2,920,940 | ) | |||||||
1,879 | 100,000 | 2,601,007 | 100,001 | |||||||||||
287 | 341 | 24,926 | (3,658 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
(18,703,831 | ) | (51,737,482 | ) | (27,137,320 | ) | (32,370,836 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(21,461,926 | ) | (36,829,257 | ) | (46,358,445 | ) | 18,352,345 | ||||||||
86,926,202 | 123,755,459 | 340,800,342 | 322,447,997 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 65,464,276 | $ | 86,926,202 | $ | 294,441,897 | $ | 340,800,342 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 688,111 |
| $ | 1,196,982 | $ | 4,396,342 | $ | 4,239,903 | ||||||
|
|
|
|
|
|
|
|
213
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Main Street Fund | ||||||||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,705,347 | $ | 1,614,175 | ||||
Net realized gain (loss) on investment transactions | 42,937,276 | 34,268,217 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (39,140,775 | ) | (3,110,652 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 5,501,848 | 32,771,740 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I** | (445,293 | ) | - | |||||
Class R5 | (854,427 | ) | (1,211,651 | ) | ||||
Service Class | (53,727 | ) | (44,986 | ) | ||||
Administrative Class | (215,423 | ) | (229,178 | ) | ||||
Class A | (57,341 | ) | (66,762 | ) | ||||
Class R4** | (638 | ) | - | |||||
Class R3 | (359 | ) | (99 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (1,627,208 | ) | (1,552,676 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I** | (1,023,142 | ) | - | |||||
Class R5 | (2,113,464 | ) | - | |||||
Service Class | (146,016 | ) | - | |||||
Administrative Class | (699,444 | ) | - | |||||
Class A | (295,968 | ) | - | |||||
Class R4** | (2,283 | ) | - | |||||
Class R3 | (2,553 | ) | - | |||||
|
|
|
| |||||
Total distributions from net realized gains | (4,282,870 | ) | - | |||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I** | (50,324,825 | ) | 46,958,748 | |||||
Class R5 | (26,331,864 | ) | (55,638,530 | ) | ||||
Service Class | (11,956 | ) | 508,518 | |||||
Administrative Class | (2,542,180 | ) | (3,396,378 | ) | ||||
Class A | (270,690 | ) | (2,155,650 | ) | ||||
Class R4** | 3,121 | 100,000 | ||||||
Class R3 | 24,879 | 35,316 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (79,453,515 | ) | (13,587,976 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (79,861,745 | ) | 17,631,088 | |||||
Net assets | ||||||||
Beginning of year | 200,740,154 | 183,109,066 | ||||||
|
|
|
| |||||
End of year | $ | 120,878,409 | $ | 200,740,154 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 1,225,944 | $ | 1,169,731 | ||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
214
Table of Contents
MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||
$ | 5,166,663 | $ | 4,067,809 | $ | 1,145,559 | $ | 1,502,970 | |||||||
38,051,105 | 54,777,718 | 15,510,850 | 29,603,177 | |||||||||||
(36,320,687 | ) | 5,465,948 | (11,140,128 | ) | (20,077,240 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
6,897,081 | 64,311,475 | 5,516,281 | 11,028,907 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(1,940,078 | ) | - | (50,971 | ) | - | |||||||||
(1,159,490 | ) | (2,486,089 | ) | (691,849 | ) | (807,480 | ) | |||||||
(763,710 | ) | (694,370 | ) | (65,843 | ) | (32,239 | ) | |||||||
(207,877 | ) | (217,867 | ) | (149,435 | ) | (84,225 | ) | |||||||
(212,683 | ) | (192,172 | ) | (343,507 | ) | (497,259 | ) | |||||||
(807 | ) | - | (723 | ) | - | |||||||||
(608 | ) | - | ** | (535 | ) | - | ** | |||||||
|
|
|
|
|
|
|
| |||||||
(4,285,253 | ) | (3,590,498 | ) | (1,302,863 | ) | (1,421,203 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(21,502,191 | ) | - | (697,224 | ) | - | |||||||||
(13,925,527 | ) | (39,505,188 | ) | (10,582,387 | ) | - | ||||||||
(10,069,315 | ) | (11,931,756 | ) | (1,036,035 | ) | - | ||||||||
(3,075,438 | ) | (4,020,687 | ) | (2,618,610 | ) | - | ||||||||
(4,261,079 | ) | (4,507,911 | ) | (10,627,106 | ) | - | ||||||||
(12,902 | ) | - | (14,502 | ) | - | |||||||||
(12,890 | ) | - | ** | (14,488 | ) | - | ** | |||||||
|
|
|
|
|
|
|
| |||||||
(52,859,342 | ) | (59,965,542 | ) | (25,590,352 | ) | - | ||||||||
|
|
|
|
|
|
|
| |||||||
21,589,852 | 174,367,398 | (4,421,503 | ) | 4,915,406 | ||||||||||
(12,388,040 | ) | (91,875,911 | ) | (6,192,961 | ) | (14,600,221 | ) | |||||||
11,101,949 | 22,017,945 | 994,631 | 4,157,308 | |||||||||||
12,848,190 | 4,587,539 | 3,023,166 | 7,561,389 | |||||||||||
7,107,732 | 15,819,437 | 5,264,138 | (11,523,751 | ) | ||||||||||
6,430,980 | 100,001 | 508,727 | 100,000 | |||||||||||
3,684,829 | 100,000 | ** | 1,292,881 | 100,000 | ** | |||||||||
|
|
|
|
|
|
|
| |||||||
50,375,492 | 125,116,409 | 469,079 | (9,289,869 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
127,978 | 125,871,844 | (20,907,855 | ) | 317,835 | ||||||||||
439,672,975 | 313,801,131 | 173,020,385 | 172,702,550 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 439,800,953 | $ | 439,672,975 | $ | 152,112,530 | $ | 173,020,385 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 3,694,487 |
| $ | 2,936,926 | $ | 684,412 | $ | 812,118 | ||||||
|
|
|
|
|
|
|
|
215
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Global Fund | ||||||||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 3,613,845 | $ | 3,450,989 | ||||
Net realized gain (loss) on investment transactions | 28,485,709 | 24,368,569 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (41,258,420 | ) | 10,292,738 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (9,158,866 | ) | 38,112,296 | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (1,251 | ) | - | ** | ||||
Class R5 | (2,308,576 | ) | (2,183,110 | ) | ||||
Service Class | (201,567 | ) | (87,996 | ) | ||||
Administrative Class | (1,242,589 | ) | (1,131,543 | ) | ||||
Class A | (273,008 | ) | (307,282 | ) | ||||
Class R4** | (919 | ) | - | |||||
Class R3 | (11,076 | ) | (6,586 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (4,038,986 | ) | (3,716,517 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (4,724 | ) | - | ** | ||||
Class R5 | (9,357,304 | ) | (1,676,684 | ) | ||||
Service Class | (865,462 | ) | (75,838 | ) | ||||
Administrative Class | (6,191,912 | ) | (1,103,296 | ) | ||||
Class A | (2,043,203 | ) | (425,476 | ) | ||||
Class R4** | (4,772 | ) | - | |||||
Class R3 | (81,198 | ) | (10,599 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (18,548,575 | ) | (3,291,893 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 1,046,052 | 100,000 | ** | |||||
Class R5 | (24,642,293 | ) | (23,627,589 | ) | ||||
Service Class | 19,275,412 | 4,705,347 | ||||||
Administrative Class | (5,233,190 | ) | (2,745,322 | ) | ||||
Class A | (2,493,648 | ) | (5,928,238 | ) | ||||
Class R4** | 663,340 | 100,000 | ||||||
Class R3 | 1,640,341 | 177,982 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (9,743,986 | ) | (27,217,820 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (41,490,413 | ) | 3,886,066 | |||||
Net assets | ||||||||
Beginning of year | 404,510,468 | 400,624,402 | ||||||
|
|
|
| |||||
End of year | $ | 363,020,055 | $ | 404,510,468 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 1,346,379 | $ | 2,071,915 | ||||
|
|
|
|
** | Class commenced operations on April 1, 2014. |
The accompanying notes are an integral part of the financial statements.
216
Table of Contents
MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | |||||||||||||
Year Ended September 30, 2015 | Year Ended September 30, 2014 | Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||
$ | 5,847,272 | $ | 5,517,442 | $ | 1,220,505 | $ | 907,001 | |||||||
19,055,754 | 85,853,533 | (11,348,107 | ) | 8,816,305 | ||||||||||
(43,072,684 | ) | (91,999,973 | ) | (30,861,635 | ) | (3,590,885 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(18,169,658 | ) | (628,998 | ) | (40,989,237 | ) | 6,132,421 | ||||||||
|
|
|
|
|
|
|
| |||||||
(1,052,391 | ) | - | ** | (1,724,701 | ) | (1,494,775 | ) | |||||||
(3,791,949 | ) | (5,193,011 | ) | (93,369 | ) | (81,186 | ) | |||||||
(243,009 | ) | (343,831 | ) | (2,863 | ) | (2,132 | ) | |||||||
(175,534 | ) | (191,461 | ) | (3,624 | ) | (926 | ) | |||||||
(413,993 | ) | (433,471 | ) | (4,729 | ) | (2,112 | ) | |||||||
(898 | ) | - | (850 | ) | - | |||||||||
(715 | ) | - | ** | (652 | ) | - | ** | |||||||
|
|
|
|
|
|
|
| |||||||
(5,678,489 | ) | (6,161,774 | ) | (1,830,788 | ) | (1,581,131 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(12,802,456 | ) | - | ** | - | - | |||||||||
(51,616,098 | ) | (37,123,944 | ) | - | - | |||||||||
(3,526,132 | ) | (2,463,445 | ) | - | - | |||||||||
(2,863,471 | ) | (1,591,080 | ) | - | - | |||||||||
(8,963,627 | ) | (4,701,446 | ) | - | - | |||||||||
(14,917 | ) | - | - | - | ||||||||||
(14,901 | ) | - | ** | - | - | ** | ||||||||
|
|
|
|
|
|
|
| |||||||
(79,801,602 | ) | (45,879,915 | ) | - | - | |||||||||
|
|
|
|
|
|
|
| |||||||
128,329,404 | 69,210,436 | ** | 26,035,772 | 20,861,000 | ||||||||||
(38,369,156 | ) | (55,985,347 | ) | 819,180 | 1,598,065 | |||||||||
2,785,375 | 206,985 | 8,198,398 | 42,230 | |||||||||||
4,694,603 | 2,156,817 | 147,520 | 278,013 | |||||||||||
4,870,336 | 2,659,990 | (203,196 | ) | 153,216 | ||||||||||
292,417 | 100,000 | 39,879 | 100,000 | |||||||||||
485,280 | 100,000 | ** | 131,784 | 100,000 | ** | |||||||||
|
|
|
|
|
|
|
| |||||||
103,088,259 | 18,448,881 | 35,169,337 | 23,132,524 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(561,490 | ) | (34,221,806 | ) | (7,650,688 | ) | 27,683,814 | ||||||||
511,179,190 | 545,400,996 | 150,794,680 | 123,110,866 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 510,617,700 | $ | 511,179,190 | $ | 143,143,992 | $ | 150,794,680 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 5,077,285 |
| $ | 5,167,953 | $ | 31,050 | $ | 603,246 | ||||||
|
|
|
|
|
|
|
|
217
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
For the Year Ended September 30, 2015
MassMutual Premier Inflation- Protected and Income Fund | ||||
Cash flows from operating activities: | ||||
Net increase (decrease) in net assets resulting from operations | $ | (4,052,369 | ) | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (288,704,556 | ) | ||
Investments sold | 291,189,017 | |||
(Increase ) Decrease to the principal amount of inflation-indexed bonds | (357,263 | ) | ||
(Purchase) Sale of short-term investments, net | 27,712,235 | |||
Amortization (Accretion) of discount and premium, net | 2,185,854 | |||
(Increase) Decrease in receivable from interest and dividends | 134,032 | |||
(Increase) Decrease in prepaid expenses | (21,218 | ) | ||
Increase (Decrease) in payable for open swap agreements | 45,838 | |||
Increase (Decrease) in payable for Trustees’ fees and expenses | 8,235 | |||
Increase (Decrease) in payable for investment advisory fees | (9,569 | ) | ||
Increase (Decrease) in payable for administration fees | (888 | ) | ||
Increase (Decrease) in payable for service fees | (2,051 | ) | ||
Increase (Decrease) in payable for distribution fees | (761 | ) | ||
Increase (Decrease) in payable for shareholder service fees | (909 | ) | ||
Increase (Decrease) in variation margin receivable on open derivative instruments | 18,155 | |||
Increase (Decrease) in payable for accrued expenses and other liabilities | (4,544 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 5,554,667 | |||
Net realized (gain) loss from investments | (1,789,287 | ) | ||
|
| |||
Net cash from (used in) operating activities | 31,904,618 | |||
|
| |||
Cash flows from (used in) financing activities: | ||||
Increase (Decrease) in due to custodian | 13 | |||
Proceeds from shares sold | 112,616,294 | |||
Payment on shares redeemed | (115,194,986 | ) | ||
Cash distributions paid | (124 | ) | ||
Proceeds from reverse repurchase agreements | (154,096,662 | ) | ||
Repayment of reverse repurchase agreements | 122,437,051 | |||
Increase (Decrease) in collateral pledged for reverse repurchase agreements | 2,266,373 | |||
Increase (Decrease) in payable for interest for reverse repurchase agreements | 67,421 | |||
|
| |||
Net cash from (used in) financing activities | (31,904,620 | ) | ||
|
| |||
Net increase (decrease) in cash | (2 | ) | ||
Cash at beginning of year | 2 | |||
|
| |||
Cash at end of year | $ | - | ||
|
| |||
Non cash financing activities not included herein consist of: | ||||
Reinvestment of all distributions | $ | 8,026,187 | ||
Cash paid out for interest on reverse repurchase agreements | $ | 631,994 |
The accompanying notes are an integral part of the financial statements.
218
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 1.00 | $ | 0.00 | d | $ | 0.00 | d | $ | 0.00 | d | $ | (0.00 | )d | $ | (0.00 | )d | $ | 1.00 | 0.01% | $ | 400,017 | 0.50% | 0.14% | 0.00% | e | ||||||||||||||||||||||
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 |
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.
219
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.50 | $ | 0.19 | $ | 0.01 | $ | 0.20 | $ | (0.24 | ) | $ | (0.00 | )d | $ | (0.24 | ) | $ | 10.46 | 2.00% | $ | 154,219 | 0.40% | N/A | 1.83% | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.52 | $ | 0.18 | $ | 0.02 | $ | 0.20 | $ | (0.23 | ) | $ | (0.00 | )d | $ | (0.23 | ) | $ | 10.49 | 1.95% | $ | 159,429 | 0.50% | N/A | 1.73% | |||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.45 | $ | 0.17 | $ | 0.02 | $ | 0.19 | $ | (0.22 | ) | $ | (0.00 | )d | $ | (0.22 | ) | $ | 10.42 | 1.87% | $ | 86,058 | 0.60% | N/A | 1.64% | |||||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 59 | % | 90 | % | 146 | % | 349 | % | 384 | % | 332 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
g | For the period 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.
220
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.41 | $ | 0.16 | $ | 0.01 | $ | 0.17 | $ | (0.21 | ) | $ | (0.00 | )d | $ | (0.21 | ) | $ | 10.37 | 1.69% | $ | 36,789 | 0.70% | N/A | 1.53% | |||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.34 | $ | 0.13 | $ | 0.02 | $ | 0.15 | $ | (0.19 | ) | $ | (0.00 | )d | $ | (0.19 | ) | $ | 10.30 | 1.44% | $ | 75,507 | 0.95% | N/A | 1.28% | |||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.50 | $ | 0.14 | $ | 0.02 | $ | 0.16 | $ | (0.21 | ) | $ | (0.00 | )d | $ | (0.21 | ) | $ | 10.45 | 1.57% | $ | 5,881 | 0.85% | N/A | 1.39% | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.46 | $ | 0.12 | $ | 0.01 | $ | 0.13 | $ | (0.17 | ) | $ | (0.00 | )d | $ | (0.17 | ) | $ | 10.42 | 1.27% | $ | 1,561 | 1.10% | N/A | 1.15% | |||||||||||||||||||||||||||
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% |
221
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.56 | $ | 0.06 | $ | (0.17 | ) | $ | (0.11 | ) | $ | (0.26 | ) | $ | - | $ | (0.26 | ) | $ | 10.19 | (1.12% | ) | $ | 153,421 | 0.67% | N/A | 0.20% | 0.56% | ||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.56 | $ | 0.05 | $ | (0.18 | ) | $ | (0.13 | ) | $ | (0.24 | ) | $ | - | $ | (0.24 | ) | $ | 10.19 | (1.22% | ) | $ | 60,285 | 0.77% | N/A | 0.20% | 0.48% | ||||||||||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.52 | $ | 0.04 | $ | (0.17 | ) | $ | (0.13 | ) | $ | (0.23 | ) | $ | - | $ | (0.23 | ) | $ | 10.16 | (1.23% | ) | $ | 77,147 | 0.87% | N/A | 0.20% | 0.37% | ||||||||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 59 | % | 65 | % | 56 | % | 29 | % | 46 | % | 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. |
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.
222
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.62 | $ | 0.04 | $ | (0.17 | ) | $ | (0.13 | ) | $ | (0.23 | ) | $ | - | $ | (0.23 | ) | $ | 10.26 | (1.30% | ) | $ | 11,859 | 0.97% | N/A | 0.20% | 0.36% | ||||||||||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.36 | $ | (0.00 | )d | $ | (0.16 | ) | $ | (0.16 | ) | $ | (0.20 | ) | $ | - | $ | (0.20 | ) | $ | 10.00 | (1.58% | ) | $ | 22,320 | 1.22% | N/A | 0.20% | (0.02% | ) | ||||||||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.37 | $ | 0.14 | $ | (0.29 | ) | $ | (0.15 | ) | $ | (0.22 | ) | $ | - | $ | (0.22 | ) | $ | 10.00 | (1.47% | ) | $ | 996 | 1.12% | N/A | 0.20% | 1.42% | ||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.37 | $ | (0.03 | ) | $ | (0.15 | ) | $ | (0.18 | ) | $ | (0.18 | ) | $ | - | $ | (0.18 | ) | $ | 10.01 | (1.76% | ) | $ | 386 | 1.37% | N/A | 0.20% | (0.30% | ) | ||||||||||||||||||||||||||||
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% |
223
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.43 | $ | 0.30 | $ | (0.11 | ) | $ | 0.19 | $ | (0.30 | ) | $ | (0.05 | ) | $ | (0.35 | ) | $ | 11.27 | 1.67% | $ | 677,427 | 0.42% | N/A | 2.61% | ||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.45 | $ | 0.29 | $ | (0.11 | ) | $ | 0.18 | $ | (0.28 | ) | $ | (0.05 | ) | $ | (0.33 | ) | $ | 11.30 | 1.63% | $ | 489,222 | 0.52% | N/A | 2.51% | ||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.38 | $ | 0.27 | $ | (0.10 | ) | $ | 0.17 | $ | (0.27 | ) | $ | (0.05 | ) | $ | (0.32 | ) | $ | 11.23 | 1.49% | $ | 130,923 | 0.62% | N/A | 2.40% | ||||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 361 | % | 361 | % | 452 | % | 447 | % | 539 | % | 463 | % |
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.
224
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.32 | $ | 0.26 | $ | (0.10 | ) | $ | 0.16 | $ | (0.27 | ) | $ | (0.05 | ) | $ | (0.32 | ) | $ | 11.16 | 1.38% | $ | 84,709 | 0.72% | N/A | 2.31% | ||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.20 | $ | 0.23 | $ | (0.10 | ) | $ | 0.13 | $ | (0.24 | ) | $ | (0.05 | ) | $ | (0.29 | ) | $ | 11.04 | 1.12% | $ | 166,649 | 0.97% | N/A | 2.06% | ||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.20 | $ | 0.25 | $ | (0.11 | ) | $ | 0.14 | $ | (0.26 | ) | $ | (0.05 | ) | $ | (0.31 | ) | $ | 11.03 | 1.28% | $ | 8,960 | 0.87% | N/A | 2.21% | ||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.40 | $ | 0.22 | $ | (0.10 | ) | $ | 0.12 | $ | (0.22 | ) | $ | (0.05 | ) | $ | (0.27 | ) | $ | 11.25 | 1.02% | b | $ | 625 | 1.12% | N/A | 1.90% | |||||||||||||||||||||||||
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% |
225
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.88 | $ | 0.28 | $ | (0.19 | ) | $ | 0.09 | $ | (0.23 | ) | $ | (0.01 | ) | $ | (0.24 | ) | $ | 10.73 | 0.81% | $ | 15,756 | 0.56% | 0.52% | 2.54% | ||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.14 | $ | 0.24 | $ | (0.17 | ) | $ | 0.07 | $ | (0.22 | ) | $ | (0.01 | ) | $ | (0.23 | ) | $ | 9.98 | 0.66% | $ | 65,209 | 0.66% | 0.62% | 2.41% | ||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.24 | $ | 0.24 | $ | (0.17 | ) | $ | 0.07 | $ | (0.21 | ) | $ | (0.01 | ) | $ | (0.22 | ) | $ | 10.09 | 0.59% | $ | 20,226 | 0.76% | 0.72% | 2.32% | ||||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 362 | % | 382 | % | 438 | % | 463 | % | 566 | % | 465 | % |
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.
226
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.22 | $ | 0.23 | $ | (0.17 | ) | $ | 0.06 | $ | (0.20 | ) | $ | (0.01 | ) | $ | (0.21 | ) | $ | 10.07 | 0.54% | $ | 35,581 | 0.86% | 0.82% | 2.22% | ||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.17 | $ | 0.20 | $ | (0.16 | ) | $ | 0.04 | $ | (0.16 | ) | $ | (0.01 | ) | $ | (0.17 | ) | $ | 10.04 | 0.21% | $ | 36,941 | 1.11% | 1.07% | 1.96% | ||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.18 | $ | 0.22 | $ | (0.18 | ) | $ | 0.04 | $ | (0.20 | ) | $ | (0.01 | ) | $ | (0.21 | ) | $ | 10.01 | 0.34% | $ | 2,959 | 1.01% | 0.97% | 2.17% | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.16 | $ | 0.19 | $ | (0.17 | ) | $ | 0.02 | $ | (0.18 | ) | $ | (0.01 | ) | $ | (0.19 | ) | $ | 9.99 | 0.15% | $ | 412 | 1.26% | 1.22% | 1.84% | ||||||||||||||||||||||||||
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 |
227
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.16 | $ | 0.61 | $ | (0.86 | ) | $ | (0.25 | ) | $ | (0.69 | ) | $ | (0.24 | ) | $ | (0.93 | ) | $ | 8.98 | (2.27% | ) | $ | 106,575 | 0.58% | 0.55% | 6.47% | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.19 | $ | 0.60 | $ | (0.85 | ) | $ | (0.25 | ) | $ | (0.68 | ) | $ | (0.24 | ) | $ | (0.92 | ) | $ | 9.02 | (2.28% | ) | $ | 41,616 | 0.68% | 0.65% | 6.38% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.18 | $ | 0.59 | $ | (0.86 | ) | $ | (0.27 | ) | $ | (0.66 | ) | $ | (0.24 | ) | $ | (0.90 | ) | $ | 9.01 | (2.40% | ) | $ | 62,734 | 0.78% | 0.75% | 6.27% | ||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 76 | % | 80 | % | 106 | % | 86 | % | 72 | % | 120 | % |
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.
228
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.07 | $ | 0.57 | $ | (0.85 | ) | $ | (0.28 | ) | $ | (0.66 | ) | $ | (0.24 | ) | $ | (0.90 | ) | $ | 8.89 | (2.58% | ) | $ | 24,221 | 0.88% | 0.85% | 6.18% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.02 | $ | 0.55 | $ | (0.85 | ) | $ | (0.30 | ) | $ | (0.62 | ) | $ | (0.24 | ) | $ | (0.86 | ) | $ | 8.86 | (2.78% | ) | $ | 28,572 | 1.13% | 1.10% | 5.93% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.02 | $ | 0.54 | $ | (0.83 | ) | $ | (0.29 | ) | $ | (0.65 | ) | $ | (0.24 | ) | $ | (0.89 | ) | $ | 8.84 | (2.67% | ) | $ | 2,672 | 1.03% | 1.00% | 5.97% | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 10.17 | $ | 0.54 | $ | (0.85 | ) | $ | (0.31 | ) | $ | (0.61 | ) | $ | (0.24 | ) | $ | (0.85 | ) | $ | 9.01 | (2.91% | ) | $ | 3,423 | 1.28% | 1.25% | 5.74% | ||||||||||||||||||||||||
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% |
229
Table of Contents
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 13.01 | $ | 0.22 | $ | (0.44 | ) | $ | (0.22 | ) | $ | (0.24 | ) | $ | (1.07 | ) | $ | (1.31 | ) | $ | 11.48 | (1.96% | ) | $ | 376 | 0.65% | 0.60% | 1.77% | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 13.00 | $ | 0.21 | $ | (0.44 | ) | $ | (0.23 | ) | $ | (0.22 | ) | $ | (1.07 | ) | $ | (1.29 | ) | $ | 11.48 | (2.03% | ) | $ | 62,971 | 0.75% | 0.70% | 1.70% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 13.48 | $ | 0.20 | $ | (0.46 | ) | $ | (0.26 | ) | $ | (0.21 | ) | $ | (1.07 | ) | $ | (1.28 | ) | $ | 11.94 | (2.18% | ) | $ | 12,545 | 0.85% | 0.80% | 1.60% | ||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 204 | % | 192 | % | 242 | % | 228 | % | 272 | % | 243 | % |
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.
230
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 13.04 | $ | 0.19 | $ | (0.44 | ) | $ | (0.25 | ) | $ | (0.21 | ) | $ | (1.07 | ) | $ | (1.28 | ) | $ | 11.51 | (2.23% | ) | $ | 8,691 | 0.95% | 0.90% | 1.51% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.73 | $ | 0.15 | $ | (0.43 | ) | $ | (0.28 | ) | $ | (0.16 | ) | $ | (1.07 | ) | $ | (1.23 | ) | $ | 11.22 | (2.49% | ) | $ | 31,375 | 1.20% | 1.15% | 1.26% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.74 | $ | 0.17 | $ | (0.44 | ) | $ | (0.27 | ) | $ | (0.20 | ) | $ | (1.07 | ) | $ | (1.27 | ) | $ | 11.20 | (2.46% | ) | $ | 2,010 | 1.10% | 1.05% | 1.49% | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.72 | $ | 0.14 | $ | (0.44 | ) | $ | (0.30 | ) | $ | (0.17 | ) | $ | (1.07 | ) | $ | (1.24 | ) | $ | 11.18 | (2.66% | ) | $ | 1,734 | 1.35% | 1.30% | 1.16% | ||||||||||||||||||||||||
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 |
231
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 20.95 | $ | 0.32 | $ | (0.95 | ) | $ | (0.63 | ) | $ | (0.41 | ) | $ | (0.41 | ) | $ | 19.91 | (3.10% | ) | $ | 101 | 0.73% | 0.60% | 1.50% | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 20.93 | $ | 0.29 | $ | (0.93 | ) | $ | (0.64 | ) | $ | (0.39 | ) | $ | (0.39 | ) | $ | 19.90 | (3.16% | ) | $ | 46,467 | 0.83% | 0.70% | 1.38% | |||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 21.01 | $ | 0.28 | $ | (0.95 | ) | $ | (0.67 | ) | $ | (0.37 | ) | $ | (0.37 | ) | $ | 19.97 | (3.28% | ) | $ | 109 | 0.93% | 0.80% | 1.30% | |||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 54 | % | 43 | % | 150 | % | 72 | % | 93 | % | 100 | % |
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.
232
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 20.98 | $ | 0.26 | $ | (0.96 | ) | $ | (0.70 | ) | $ | (0.34 | ) | $ | (0.34 | ) | $ | 19.94 | (3.40% | ) | $ | 11,984 | 1.03% | 0.90% | 1.20% | |||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 20.94 | $ | 0.20 | $ | (0.94 | ) | $ | (0.74 | ) | $ | (0.29 | ) | $ | (0.29 | ) | $ | 19.91 | (3.59% | ) | $ | 6,605 | 1.28% | 1.15% | 0.95% | |||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 20.95 | $ | 0.23 | $ | (0.95 | ) | $ | (0.72 | ) | $ | (0.34 | ) | $ | (0.34 | ) | $ | 19.89 | (3.57% | ) | $ | 101 | 1.18% | 1.05% | 1.06% | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 20.82 | $ | 0.17 | $ | (0.94 | ) | $ | (0.77 | ) | $ | (0.26 | ) | $ | (0.26 | ) | $ | 19.79 | (3.77% | ) | $ | 96 | 1.43% | 1.30% | 0.81% | |||||||||||||||||||||||
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% |
233
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.75 | $ | 0.29 | $ | (1.00 | ) | $ | (0.71 | ) | $ | (0.29 | ) | $ | (0.29 | ) | $ | 14.75 | (4.64% | ) | $ | 163,640 | 0.53% | N/A | 1.84% | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.76 | $ | 0.28 | $ | (1.01 | ) | $ | (0.73 | ) | $ | (0.27 | ) | $ | (0.27 | ) | $ | 14.76 | (4.74% | ) | $ | 46,754 | 0.63% | N/A | 1.73% | |||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.66 | $ | 0.26 | $ | (1.00 | ) | $ | (0.74 | ) | $ | (0.26 | ) | $ | (0.26 | ) | $ | 14.66 | (4.84% | ) | $ | 65,799 | 0.73% | N/A | 1.65% | |||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 113 | % | 92 | % | 145 | % | 127 | % | 124 | % | 107 | % |
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.
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 | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.90 | $ | 0.25 | $ | (1.02 | ) | $ | (0.77 | ) | $ | (0.25 | ) | $ | (0.25 | ) | $ | 14.88 | (4.97% | ) | $ | 7,460 | 0.83% | N/A | 1.55% | |||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.51 | $ | 0.20 | $ | (0.98 | ) | $ | (0.78 | ) | $ | (0.20 | ) | $ | (0.20 | ) | $ | 14.53 | (5.13% | ) | $ | 8,081 | 1.08% | N/A | 1.30% | |||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.52 | $ | 0.21 | $ | (0.98 | ) | $ | (0.77 | ) | $ | (0.24 | ) | $ | (0.24 | ) | $ | 14.51 | (5.10% | ) | $ | 2,524 | 0.98% | N/A | 1.34% | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.61 | $ | 0.19 | $ | (1.00 | ) | $ | (0.81 | ) | $ | (0.18 | ) | $ | (0.18 | ) | $ | 14.62 | (5.29% | ) | $ | 185 | 1.23% | N/A | 1.19% | |||||||||||||||||||||||
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% |
235
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 | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.23 | $ | 0.14 | $ | (0.19 | ) | $ | (0.05 | ) | $ | (0.13 | ) | $ | (0.30 | ) | $ | (0.43 | ) | $ | 13.75 | (0.36% | ) | $ | 37 | 0.65% | N/A | 0.99% | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.22 | $ | 0.14 | $ | (0.21 | ) | $ | (0.07 | ) | $ | (0.12 | ) | $ | (0.30 | ) | $ | (0.42 | ) | $ | 13.73 | (0.50% | ) | $ | 69,529 | 0.76% | N/A | 0.95% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.40 | $ | 0.13 | $ | (0.21 | ) | $ | (0.08 | ) | $ | (0.11 | ) | $ | (0.30 | ) | $ | (0.41 | ) | $ | 13.91 | (0.57% | ) | $ | 6,517 | 0.86% | N/A | 0.88% | ||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 54 | % | 53 | % | 43 | % | 37 | % | 37 | % | 51 | % |
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.
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 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.19 | $ | 0.11 | $ | (0.20 | ) | $ | (0.09 | ) | $ | (0.09 | ) | $ | (0.30 | ) | $ | (0.39 | ) | $ | 13.71 | (0.63% | ) | $ | 31,644 | 0.96% | N/A | 0.77% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.07 | $ | 0.07 | $ | (0.20 | ) | $ | (0.13 | ) | $ | (0.06 | ) | $ | (0.30 | ) | $ | (0.36 | ) | $ | 13.58 | (0.96% | ) | $ | 12,906 | 1.21% | N/A | 0.52% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.07 | $ | 0.09 | $ | (0.21 | ) | $ | (0.12 | ) | $ | (0.08 | ) | $ | (0.30 | ) | $ | (0.38 | ) | $ | 13.57 | (0.85% | ) | $ | 105 | 1.11% | N/A | 0.63% | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.15 | $ | 0.05 | $ | (0.20 | ) | $ | (0.15 | ) | $ | (0.04 | ) | $ | (0.30 | ) | $ | (0.34 | ) | $ | 13.66 | (1.07% | ) | $ | 140 | 1.36% | N/A | 0.38% | ||||||||||||||||||||||||
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% |
237
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.87 | $ | 0.15 | $ | 0.04 | $ | 0.19 | $ | (0.14 | ) | $ | (1.55 | ) | $ | (1.69 | ) | $ | 11.37 | 1.30% | $ | 184,981 | 0.50% | N/A | 1.21% | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.88 | $ | 0.14 | $ | 0.04 | $ | 0.18 | $ | (0.13 | ) | $ | (1.55 | ) | $ | (1.68 | ) | $ | 11.38 | 1.29% | $ | 85,630 | 0.60% | N/A | 1.12% | |||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.90 | $ | 0.12 | $ | 0.05 | $ | 0.17 | $ | (0.12 | ) | $ | (1.55 | ) | $ | (1.67 | ) | $ | 11.40 | 1.19% | $ | 87,882 | 0.70% | N/A | 1.02% | |||||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 138 | % | 142 | % | 153 | % | 142 | % | 134 | % | 100 | % |
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.
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.98 | $ | 0.11 | $ | 0.04 | $ | 0.15 | $ | (0.10 | ) | $ | (1.55 | ) | $ | (1.65 | ) | $ | 11.48 | 1.08% | $ | 33,634 | 0.80% | N/A | 0.91% | |||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.74 | $ | 0.08 | $ | 0.04 | $ | 0.12 | $ | (0.08 | ) | $ | (1.55 | ) | $ | (1.63 | ) | $ | 11.23 | 0.78% | $ | 38,035 | 1.05% | N/A | 0.66% | |||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.74 | $ | 0.09 | $ | 0.05 | $ | 0.14 | $ | (0.10 | ) | $ | (1.55 | ) | $ | (1.65 | ) | $ | 11.23 | 0.94% | $ | 6,003 | 0.95% | N/A | 0.78% | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.73 | $ | 0.06 | $ | 0.04 | $ | 0.10 | $ | (0.07 | ) | $ | (1.55 | ) | $ | (1.62 | ) | $ | 11.21 | 0.66% | $ | 3,637 | 1.20% | N/A | 0.51% | |||||||||||||||||||||||||||
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 |
239
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 | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.78 | $ | 0.13 | $ | 0.44 | $ | 0.57 | $ | (0.17 | ) | $ | (2.34 | ) | $ | (2.51 | ) | $ | 13.84 | 2.63% | $ | 0 | f | 0.68% | N/A | 0.84% | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.77 | $ | 0.13 | $ | 0.41 | $ | 0.54 | $ | (0.15 | ) | $ | (2.34 | ) | $ | (2.49 | ) | $ | 13.82 | 2.44% | $ | 58,840 | 0.79% | N/A | 0.82% | |||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.76 | $ | 0.11 | $ | 0.43 | $ | 0.54 | $ | (0.15 | ) | $ | (2.34 | ) | $ | (2.49 | ) | $ | 13.81 | 2.41% | $ | 6,927 | 0.89% | N/A | 0.73% | |||||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 52 | % | 66 | % | 91 | % | 79 | %q | 96 | % | 62 | % |
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. |
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.
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.68 | $ | 0.10 | $ | 0.41 | $ | 0.51 | $ | (0.13 | ) | $ | (2.34 | ) | $ | (2.47 | ) | $ | 13.72 | 2.25% | $ | 18,171 | 0.99% | N/A | 0.64% | |||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.43 | $ | 0.06 | $ | 0.42 | $ | 0.48 | $ | (0.08 | ) | $ | (2.34 | ) | $ | (2.42 | ) | $ | 13.49 | 2.04% | $ | 66,359 | 1.24% | N/A | 0.38% | |||||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.44 | $ | 0.12 | $ | 0.38 | $ | 0.50 | $ | (0.12 | ) | $ | (2.34 | ) | $ | (2.46 | ) | $ | 13.48 | 2.17% | $ | 571 | 1.14% | N/A | 0.84% | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.42 | $ | 0.07 | $ | 0.40 | $ | 0.47 | $ | (0.09 | ) | $ | (2.34 | ) | $ | (2.43 | ) | $ | 13.46 | 1.97% | $ | 1,245 | 1.39% | N/A | 0.45% | |||||||||||||||||||||||||||
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 |
241
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.11 | $ | 0.18 | $ | (0.46 | ) | $ | (0.28 | ) | $ | (0.19 | ) | $ | (0.70 | ) | $ | (0.89 | ) | $ | 13.94 | (1.92% | ) | $ | 1,044 | 0.84% | N/A | 1.16% | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.11 | $ | 0.15 | $ | (0.46 | ) | $ | (0.31 | ) | $ | (0.17 | ) | $ | (0.70 | ) | $ | (0.87 | ) | $ | 13.93 | (2.07% | ) | $ | 166,316 | 0.94% | N/A | 0.99% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.01 | $ | 0.14 | $ | (0.46 | ) | $ | (0.32 | ) | $ | (0.16 | ) | $ | (0.70 | ) | $ | (0.86 | ) | $ | 13.83 | (2.15% | ) | $ | 30,582 | 1.04% | N/A | 0.95% | ||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 32 | % | 27 | % | 28 | % | 27 | % | 26 | % | 29 | % |
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.
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 15.08 | $ | 0.12 | $ | (0.45 | ) | $ | (0.33 | ) | $ | (0.14 | ) | $ | (0.70 | ) | $ | (0.84 | ) | $ | 13.91 | (2.23% | ) | $ | 120,753 | 1.14% | N/A | 0.79% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.92 | $ | 0.08 | $ | (0.44 | ) | $ | (0.36 | ) | $ | (0.09 | ) | $ | (0.70 | ) | $ | (0.79 | ) | $ | 13.77 | (2.44% | ) | $ | 40,690 | 1.39% | N/A | 0.54% | ||||||||||||||||||||||||
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% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.93 | $ | 0.12 | $ | (0.48 | ) | $ | (0.36 | ) | $ | (0.13 | ) | $ | (0.70 | ) | $ | (0.83 | ) | $ | 13.74 | (2.44% | ) | $ | 729 | 1.29% | N/A | 0.79% | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.97 | $ | 0.05 | $ | (0.43 | ) | $ | (0.38 | ) | $ | (0.10 | ) | $ | (0.70 | ) | $ | (0.80 | ) | $ | 13.79 | (2.63% | ) | $ | 2,905 | 1.54% | N/A | 0.36% | ||||||||||||||||||||||||
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% |
243
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.39 | $ | 0.18 | $ | (0.60 | ) | $ | (0.42 | ) | $ | (0.18 | ) | $ | (2.24 | ) | $ | (2.42 | ) | $ | 11.55 | (3.02% | ) | $ | 169,842 | 0.96% | 1.42% | |||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.38 | $ | 0.13 | $ | (0.57 | ) | $ | (0.44 | ) | $ | (0.16 | ) | $ | (2.24 | ) | $ | (2.40 | ) | $ | 11.54 | (3.17% | ) | $ | 251,687 | 1.06% | 1.05% | |||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.34 | $ | 0.13 | $ | (0.57 | ) | $ | (0.44 | ) | $ | (0.15 | ) | $ | (2.24 | ) | $ | (2.39 | ) | $ | 11.51 | (3.20% | ) | $ | 21,741 | 1.16% | 1.03% | |||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 45 | % | 76 | % | 56 | % | 36 | % | 47 | % | 32 | % |
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.
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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 | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 14.27 | $ | 0.12 | $ | (0.56 | ) | $ | (0.44 | ) | $ | (0.14 | ) | $ | (2.24 | ) | $ | (2.38 | ) | $ | 11.45 | (3.28% | ) | $ | 19,307 | 1.26% | 0.96% | |||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 13.94 | $ | 0.08 | $ | (0.56 | ) | $ | (0.48 | ) | $ | (0.10 | ) | $ | (2.24 | ) | $ | (2.34 | ) | $ | 11.12 | (3.54% | ) | $ | 47,166 | 1.51% | 0.65% | |||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 13.94 | $ | 0.09 | $ | (0.55 | ) | $ | (0.46 | ) | $ | (0.13 | ) | $ | (2.24 | ) | $ | (2.37 | ) | $ | 11.11 | (3.46% | ) | $ | 349 | 1.41% | 0.73% | |||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 13.93 | $ | 0.05 | $ | (0.54 | ) | $ | (0.49 | ) | $ | (0.11 | ) | $ | (2.24 | ) | $ | (2.35 | ) | $ | 11.09 | (3.76% | ) | $ | 524 | 1.66% | 0.41% | |||||||||||||||||||||
09/30/14gg | 15.03 | 0.09 | (1.19 | ) | (1.10 | ) | - | - | - | 13.93 | (7.32% | )b | 93 | 1.66% | a | 1.22% | a |
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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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.11 | $ | 0.09 | $ | (2.87 | ) | $ | (2.78 | ) | $ | (0.14 | ) | $ | - | $ | (0.14 | ) | $ | 9.19 | (23.13% | ) | $ | 127,823 | 1.37% | 1.05% | 0.77% | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.24 | $ | 0.08 | $ | (2.89 | ) | $ | (2.81 | ) | $ | (0.13 | ) | $ | - | $ | (0.13 | ) | $ | 9.30 | (23.20% | ) | $ | 7,389 | 1.47% | 1.15% | 0.67% | |||||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.09 | $ | 0.07 | $ | (2.87 | ) | $ | (2.80 | ) | $ | (0.12 | ) | $ | - | $ | (0.12 | ) | $ | 9.17 | (23.23% | ) | $ | 7,015 | 1.57% | 1.25% | 0.63% | |||||||||||||||||||||||||
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% |
Year ended September 30 | Period ended September 30, 2012b,i | Year ended October 31 | ||||||||||||||||||||||
2015 | 2014 | 2013 | 2011 | 2010 | ||||||||||||||||||||
Portfolio turnover rate | 40 | % | 108 | % | 75 | % | 76 | % | 84 | % | 45 | % |
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. |
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.15 | $ | 0.06 | $ | (2.88 | ) | $ | (2.82 | ) | $ | (0.10 | ) | $ | - | $ | (0.10 | ) | $ | 9.23 | (23.32% | ) | $ | 431 | 1.67% | 1.35% | 0.54% | |||||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.04 | $ | 0.00 | d | $ | (2.81 | ) | $ | (2.81 | ) | $ | (0.10 | ) | $ | - | $ | (0.10 | ) | $ | 9.13 | (23.47% | ) | $ | 190 | 1.92% | 1.60% | 0.02% | ||||||||||||||||||||||||
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% | ||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.05 | $ | 0.03 | $ | (2.84 | ) | $ | (2.81 | ) | $ | (0.10 | ) | $ | - | $ | (0.10 | ) | $ | 9.14 | (23.45% | ) | $ | 112 | 1.82% | 1.50% | 0.27% | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 12.03 | $ | 0.03 | $ | (2.86 | ) | $ | (2.83 | ) | $ | (0.08 | ) | $ | - | $ | (0.08 | ) | $ | 9.12 | (23.57% | ) | $ | 184 | 2.07% | 1.75% | 0.24% | |||||||||||||||||||||||||
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 15 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 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.
On July 23, 2014, the U.S. Securities and Exchange Commission adopted amendments to money market fund regulations, which structurally change the way that certain money market funds will be required to operate. These amendments are generally not effective until sometime in 2016, but when implemented may affect the Money Market Fund’s operations and return potential.
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.
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Table of Contents
Notes to Financial Statements (Continued)
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System, 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. For all Funds other than the Money Market Fund, short-term debt securities are valued at amortized cost or a price the Funds’ investment adviser determines more closely approximates cost. 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, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee1 in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at 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,
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. |
249
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Notes to Financial Statements (Continued)
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 purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and 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.
250
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Notes to Financial Statements (Continued)
The Money Market Fund characterized all investments at Level 2, as of September 30, 2015. The Disciplined Growth Fund and Small Cap Opportunities Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of September 30, 2015. For each Fund noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The following is the aggregate value by input level, as of September 30, 2015, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock | $ | 2,472,935 | $ | - | $ | - | $ | 2,472,935 | ||||||||
Corporate Debt | - | 208,432,111 | - | 208,432,111 | ||||||||||||
Municipal Obligations | - | 2,661,195 | - | 2,661,195 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 161,832,591 | 612,365 | 162,444,956 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 38,125,423 | - | 38,125,423 | ||||||||||||
U.S. Treasury Obligations | - | 98,233,707 | - | 98,233,707 | ||||||||||||
Short-Term Investments | - | 18,715,936 | - | 18,715,936 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,472,935 | $ | 528,000,963 | $ | 612,365 | $ | 531,086,263 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 406,821 | $ | - | $ | - | $ | 406,821 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (164,142 | ) | $ | - | $ | - | $ | (164,142 | ) | ||||||
Swap Agreements | - | (39,516 | ) | - | (39,516 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (164,142 | ) | $ | (39,516 | ) | $ | - | $ | (203,658 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 15,509,554 | $ | - | $ | 15,509,554 | ||||||||
Municipal Obligations | - | 902,080 | - | 902,080 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 152,249,873 | 341,827 | 152,591,700 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 205,982 | - | 205,982 | ||||||||||||
U.S. Treasury Obligations | - | 316,159,429 | - | 316,159,429 | ||||||||||||
Purchased Options | - | 276,528 | - | 276,528 | ||||||||||||
Short-Term Investments | - | 102,821,249 | - | 102,821,249 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 588,124,695 | $ | 341,827 | $ | 588,466,522 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 4,669 | $ | - | $ | - | $ | 4,669 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (50,138 | ) | $ | - | $ | - | $ | (50,138 | ) | ||||||
Swap Agreements | - | (45,838 | ) | - | (45,838 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (50,138 | ) | $ | (45,838 | ) | $ | - | $ | (95,976 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock | $ | 10,241,251 | $ | - | $ | - | $ | 10,241,251 | ||||||||
Corporate Debt | - | 781,433,403 | - | 781,433,403 | ||||||||||||
Municipal Obligations | - | 16,811,595 | - | 16,811,595 |
251
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Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Core Bond Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Non-U.S. Government Agency Obligations | $ | - | $ | 326,149,148 | $ | 1,542,794 | $ | 327,691,942 | ||||||||
Sovereign Debt Obligations | - | 12,354,805 | - | 12,354,805 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 404,116,884 | - | 404,116,884 | ||||||||||||
U.S. Treasury Obligations | - | 16,750,612 | - | 16,750,612 | ||||||||||||
Short-Term Investments | - | 337,641,663 | - | 337,641,663 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 10,241,251 | $ | 1,895,258,110 | $ | 1,542,794 | $ | 1,907,042,155 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 2,008,207 | $ | - | $ | - | $ | 2,008,207 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (1,825,451 | ) | $ | - | $ | - | $ | (1,825,451 | ) | ||||||
Swap Agreements | - | (110,871 | ) | - | (110,871 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,825,451 | ) | $ | (110,871 | ) | $ | - | $ | (1,936,322 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | - | $ | - | $ | 24,752 | $ | 24,752 | ||||||||
Preferred Stock | 1,017,059 | - | - | 1,017,059 | ||||||||||||
Corporate Debt | - | 76,545,255 | - | 76,545,255 | ||||||||||||
Municipal Obligations | - | 630,541 | - | 630,541 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 36,869,484 | 235,350 | 37,104,834 | ||||||||||||
Sovereign Debt Obligations | - | 1,420,886 | - | 1,420,886 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 44,002,107 | - | 44,002,107 | ||||||||||||
U.S. Treasury Obligations | - | 9,115,454 | - | 9,115,454 | ||||||||||||
Purchased Options | - | 737,725 | - | 737,725 | ||||||||||||
Short-Term Investments | - | 40,757,495 | - | 40,757,495 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,017,059 | $ | 210,078,947 | $ | 260,102 | $ | 211,356,108 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 27,065 | $ | - | $ | 27,065 | ||||||||
Futures Contracts | 116,980 | - | - | 116,980 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 116,980 | $ | 27,065 | $ | - | $ | 144,045 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (25,412 | ) | $ | - | $ | (25,412 | ) | ||||||
Futures Contracts | (87,711 | ) | - | - | (87,711 | ) | ||||||||||
Swap Agreements | - | (11,855 | ) | - | (11,855 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (87,711 | ) | $ | (37,267 | ) | $ | - | $ | (124,978 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | - | $ | - | $ | 303,571 | $ | 303,571 | ||||||||
Bank Loans | - | 6,921,937 | - | 6,921,937 | ||||||||||||
Corporate Debt | - | 231,611,458 | - | 231,611,458 | ||||||||||||
Short-Term Investments | - | 26,788,525 | - | 26,788,525 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 265,321,920 | $ | 303,571 | $ | 265,625,491 | ||||||||
|
|
|
|
|
|
|
|
252
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Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Balanced Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 62,838,151 | $ | - | $ | - | $ | 62,838,151 | ||||||||
Preferred Stock | 360,577 | - | - | 360,577 | ||||||||||||
Corporate Debt | - | 19,714,442 | - | 19,714,442 | ||||||||||||
Municipal Obligations | - | 677,961 | - | 677,961 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 9,303,558 | - | 9,303,558 | ||||||||||||
Sovereign Debt Obligations | - | 397,539 | - | 397,539 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 10,756,869 | - | 10,756,869 | ||||||||||||
U.S. Treasury Obligations | - | 275,438 | - | 275,438 | ||||||||||||
Mutual Funds | 9,946,741 | - | - | 9,946,741 | ||||||||||||
Rights | - | - | 4,050 | 4,050 | ||||||||||||
Short-Term Investments | - | 14,591,662 | - | 14,591,662 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 73,145,469 | $ | 55,717,469 | $ | 4,050 | $ | 128,866,988 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 45,701 | $ | - | $ | - | $ | 45,701 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (41,661 | ) | $ | - | $ | - | $ | (41,661 | ) | ||||||
Swap Agreements | - | (3,688 | ) | - | (3,688 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (41,661 | ) | $ | (3,688 | ) | $ | - | $ | (45,349 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 62,929,920 | $ | 1,716,424 | $ | - | $ | 64,646,344 | ||||||||
Mutual Funds | 562,475 | - | - | 562,475 | ||||||||||||
Short-Term Investments | - | 703,966 | - | 703,966 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 63,492,395 | $ | 2,420,390 | $ | - | $ | 65,912,785 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 292,697,934 | �� | $ | - | $ | - | $ | 292,697,934 | |||||||
Rights | - | - | 9,858 | 9,858 | ||||||||||||
Short-Term Investments | - | 1,332,362 | - | 1,332,362 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 292,697,934 | $ | 1,332,362 | $ | 9,858 | $ | 294,040,154 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 114,265,548 | $ | 2,472,202 | * | $ | - | $ | 116,737,750 | |||||||
Mutual Funds | 1,975,894 | - | - | 1,975,894 | ||||||||||||
Short-Term Investments | - | 3,464,102 | - | 3,464,102 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 116,241,442 | $ | 5,936,304 | $ | - | $ | 122,177,746 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 180,596,550 | $ | 171,616,287 | * | $ | - | $ | 352,212,837 | |||||||
Preferred Stock | - | 5,835,910 | - | 5,835,910 | ||||||||||||
Mutual Funds | 13,672,302 | - | - | 13,672,302 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 194,268,852 | $ | 177,452,197 | $ | - | $ | 371,721,049 | ||||||||
|
|
|
|
|
|
|
|
253
Table of Contents
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
International Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 36,283,272 | $ | 466,893,043 | * | $ | - | $ | 503,176,315 | |||||||
Preferred Stock | - | 87,591 | - | 87,591 | ||||||||||||
Mutual Funds | 26,717,489 | - | - | 26,717,489 | ||||||||||||
Warrants | - | - | - | † | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 63,000,761 | $ | 466,980,634 | $ | - | $ | 529,981,395 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 35,574,402 | $ | 96,138,089 | * | $ | - | $ | 131,712,491 | |||||||
Preferred Stock | - | 3,556,500 | - | 3,556,500 | ||||||||||||
Mutual Funds | 6,439,456 | - | - | 6,439,456 | ||||||||||||
Warrants | - | 23,555 | - | 23,555 | ||||||||||||
Short-Term Investments | - | 8,558,302 | - | 8,558,302 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 42,013,858 | $ | 108,276,446 | $ | - | $ | 150,290,304 | ||||||||
|
|
|
|
|
|
|
|
* | 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 a security at $0 value as of September 30, 2015. |
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, 2015.
Statements of Assets and Liabilities location: | Short-Duration | Inflation-Protected | Core Bond Fund | Diversified Bond | High Yield Fund | Balanced Fund | ||||||
Receivables from: | ||||||||||||
Investments sold on a when-issued basis | X | X | X | |||||||||
Collateral pledged for reverse repurchase agreements | X | |||||||||||
Payables from: | ||||||||||||
Reverse repurchase agreements | X | |||||||||||
Investments purchased on a when-issued basis | X | X | X | X | X | X | ||||||
Collateral held for open swap agreements | X | |||||||||||
Collateral held for when-issued securities | X | X | ||||||||||
Due to Custodian | X | X | X | X |
Statements of Assets and Liabilities location: | Value | Main Street Fund | Small Cap | Global Fund | International Equity Fund | Strategic | ||||||
Payables from: | ||||||||||||
Securities on loan | X | X | X | X | X | X | ||||||
Due to Custodian | X |
254
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 | |||||||||||||
Strategic Emerging Markets Fund | $ | - | $ | 372,566 | $ | (372,566 | ) | $ | - |
* | 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 9/30/14 | 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 9/30/15 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 9/30/15 | |||||||||||||||||||||||||||||||
Short-Duration Bond Fund |
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Non-U.S. Government Agency Obligations† | $ | 474,464 | $ | - | $ | 516 | $ | 324 | $ | 678,725 | $ | (541,664 | ) | $ | - | $ | - | $ | 612,365 | $ | 324 | |||||||||||||||||||
Non-U.S. Government Agency Obligations | 999,942 | - | - | - | 499,996 | (49,097 | ) | - | (1,450,841 | )** | - | - | ||||||||||||||||||||||||||||
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$ | 1,474,406 | $ | - | $ | 516 | $ | 324 | $ | 1,178,721 | $ | (590,761 | ) | $ | - | $ | (1,450,841 | ) | $ | 612,365 | $ | 324 | |||||||||||||||||||
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Inflation-Protected and Income Fund |
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Non-U.S. Government Agency Obligations† | $ | 237,232 | $ | - | $ | 303 | $ | 189 | $ | 399,250 | $ | (295,147 | ) | $ | - | $ | - | $ | 341,827 | $ | 189 | |||||||||||||||||||
Non-U.S. Government Agency Obligations | 799,953 | - | - | - | 299,998 | (29,458 | ) | - | (1,070,493 | )** | - | - | ||||||||||||||||||||||||||||
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$ | 1,037,185 | $ | - | $ | 303 | $ | 189 | $ | 699,248 | $ | (324,605 | ) | $ | - | $ | (1,070,493 | ) | $ | 341,827 | $ | 189 | |||||||||||||||||||
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Core Bond Fund |
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Non-U.S. Government Agency Obligations† | $ | 1,186,159 | $ | - | $ | 1,307 | $ | 818 | $ | 1,716,775 | $ | (1,362,265 | ) | $ | - | $ | - | $ | 1,542,794 | $ | 818 | |||||||||||||||||||
Non-U.S. Government Agency Obligations | - | - | - | - | 1,439,988 | (141,397 | ) | - | (1,298,591 | )** | - | - | ||||||||||||||||||||||||||||
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$ | 1,186,159 | $ | - | $ | 1,307 | $ | 818 | $ | 3,156,763 | $ | (1,503,662 | ) | $ | - | $ | (1,298,591 | ) | $ | 1,542,794 | $ | 818 | |||||||||||||||||||
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Diversified Bond Fund |
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Common Stock | $ | 180,956 | $ | - | $ | 20,870 | $ | (13,201 | ) | $ | 25,267 | $ | (189,140 | ) | $ | - | $ | - | $ | 24,752 | $ | 2,067 | ||||||||||||||||||
Non-U.S. Government Agency Obligations† | 197,693 | - | 191 | 120 | 249,531 | (212,185 | ) | - | - | 235,350 | 120 | |||||||||||||||||||||||||||||
Non-U.S. Government Agency Obligations | 405,110 | - | - | - | 149,999 | (14,729 | ) | - | (540,380 | )** | - | - | ||||||||||||||||||||||||||||
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$ | 783,759 | $ | - | $ | 21,061 | $ | (13,081 | ) | $ | 424,797 | $ | (416,054 | ) | $ | - | $ | (540,380 | ) | $ | 260,102 | $ | 2,187 | ||||||||||||||||||
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High Yield Fund |
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Common Stock | $ | 2,219,371 | $ | - | $ | 186,901 | $ | (92,853 | ) | $ | 322,322 | $ | (2,332,170 | ) | $ | - | $ | - | $ | 303,571 | $ | (92,853 | ) | |||||||||||||||||
Corporate Debt | - | *** | - | (1,828,236 | ) | 1,828,236 | - | - | †† | - | - | - | - | |||||||||||||||||||||||||||
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$ | 2,219,371 | $ | - | $ | (1,641,335 | ) | $ | 1,735,383 | $ | 322,322 | $ | (2,332,170 | ) | $ | - | $ | - | $ | 303,571 | $ | (92,853 | ) | ||||||||||||||||||
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255
Table of Contents
Notes to Financial Statements (Continued)
Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
Balance as of 9/30/14 | 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 9/30/15 | Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 9/30/15 | |||||||||||||||||||||||||||||||
Balanced Fund |
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Rights | $ | - | $ | - | $ | - | $ | - | $ | 4,050 | $ | - | $ | - | $ | - | $ | 4,050 | $ | - | ||||||||||||||||||||
Non-U.S. Government Agency Obligations | 48,375 | - | - | - | - | - | - | (48,375 | )** | - | - | |||||||||||||||||||||||||||||
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$ | 48,375 | $ | - | $ | - | $ | - | $ | 4,050 | $ | - | $ | - | $ | (48,375 | ) | $ | 4,050 | $ | - | ||||||||||||||||||||
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Disciplined Value Fund |
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Rights | $ | - | $ | - | $ | - | $ | - | $ | 9,858 | $ | - | $ | - | $ | - | $ | 9,858 | $ | - | ||||||||||||||||||||
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International Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Common Stock | $ | - | $ | - | $ | - | $ | - | $ | 158,507 | $ | (158,507 | ) | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||||
Warrants | - | *** | - | - | - | - | - | - | - | - | **** | - | ||||||||||||||||||||||||||||
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$ | - | $ | - | $ | - | $ | - | $ | 158,507 | $ | (158,507 | ) | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||||
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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 more observable. |
*** | Represents a security at $0 value as of September 30, 2014. |
**** | Represents a security at $0 value as of September 30, 2015. |
† | 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 a 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. Gains or losses from derivatives can be substantially greater than the derivatives original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the year ended September 30, 2015, 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 Bond Fund | Diversified Bond Fund | Balanced Fund | |||||
Foreign Currency Transactions* | ||||||||||
Hedging/Risk Management | A | |||||||||
Directional Exposures to Currencies | M | |||||||||
Intention to Create Investment Leverage in Portfolio | M | |||||||||
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 |
256
Table of Contents
Notes to Financial Statements (Continued)
Type of Derivative and Objective for Use | Short-Duration | Inflation- | Core Bond Fund | Diversified Bond Fund | Balanced Fund | |||||
Interest Rate Swaps*** | ||||||||||
Hedging/Risk Management | A | A | A | A | A | |||||
Duration Management | M | M | M | M | M | |||||
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 | A | |||||
Duration/Credit Quality Management | A | A | A | A | A | |||||
Income | 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 | |||||
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 | Balanced Fund | Disciplined Value Fund | Disciplined | Global Fund | International Equity Fund | Strategic Emerging Markets Fund | ||||||
Rights and Warrants | ||||||||||||
Hedging/Risk Management | M | M | M | |||||||||
Duration/Credit Quality Management | M | M | M | |||||||||
Directional Investment | M | M | M | |||||||||
Intention to Create Investment Leverage in Portfolio | M | M | M | |||||||||
Result of a Corporate Action | A | A | A | A | A | A |
* | Includes any options purchased or written, futures contracts, and swap agreements, if applicable. |
** | Includes any options purchased or written on futures contracts, if applicable. |
*** | Includes any caps, floors, and collars, and related purchased or written options, if applicable. |
At September 30, 2015, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | 406,821 | $ | 406,821 | ||||||||||
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Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (164,142 | ) | $ | (164,142 | ) | ||||||||
Swap Agreements^ | (39,516 | ) | - | - | - | (39,516 | ) | |||||||||||||
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Total Value | $ | (39,516 | ) | $ | - | $ | - | $ | (164,142 | ) | $ | (203,658 | ) | |||||||
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Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 1,176,297 | $ | 1,176,297 | ||||||||||
Futures Contracts | - | - | - | 4,684,031 | 4,684,031 | |||||||||||||||
Swap Agreements | (128,973 | ) | - | - | (1,251,506 | ) | (1,380,479 | ) | ||||||||||||
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Total Realized Gain (Loss) | $ | (128,973 | ) | $ | - | $ | - | $ | 4,608,822 | $ | 4,479,849 | |||||||||
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257
Table of Contents
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Short-Duration Bond Fund (Continued) | ||||||||||||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 318,150 | $ | 318,150 | ||||||||||
Futures Contracts | - | - | - | 588,234 | 588,234 | |||||||||||||||
Swap Agreements | (40,440 | ) | - | - | 192,377 | 151,937 | ||||||||||||||
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Total Change in Appreciation (Depreciation) | $ | (40,440 | ) | $ | - | $ | - | $ | 1,098,761 | $ | 1,058,321 | |||||||||
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Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 48,380,000 | $ | 48,380,000 | ||||||||||
Futures Contracts | - | - | - | 1,737 | 1,737 | |||||||||||||||
Swap Agreements | $ | 11,112,500 | $ | - | $ | - | $ | 14,555,000 | $ | 25,667,500 | ||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 276,528 | $ | - | $ | 276,528 | ||||||||||
Futures Contracts^^ | - | - | - | 4,669 | 4,669 | |||||||||||||||
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Total Value | $ | - | $ | - | $ | 276,528 | $ | 4,669 | $ | 281,197 | ||||||||||
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Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (50,138 | ) | $ | (50,138 | ) | ||||||||
Swap Agreements^ | (45,838 | ) | - | - | - | (45,838 | ) | |||||||||||||
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Total Value | $ | (45,838 | ) | $ | - | $ | - | $ | (50,138 | ) | $ | (95,976 | ) | |||||||
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Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 298,815 | $ | 298,815 | ||||||||||
Futures Contracts | - | - | - | (1,364,174 | ) | (1,364,174 | ) | |||||||||||||
Swap Agreements | (40,900 | ) | - | - | (320,174 | ) | (361,074 | ) | ||||||||||||
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Total Realized Gain (Loss) | $ | (40,900 | ) | $ | - | $ | - | $ | (1,385,533 | ) | $ | (1,426,433 | ) | |||||||
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Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 162,065 | $ | 80,819 | $ | 242,884 | ||||||||||
Futures Contracts | - | - | - | (124,641 | ) | (124,641 | ) | |||||||||||||
Swap Agreements | (47,230 | ) | - | - | 48,904 | 1,674 | ||||||||||||||
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Total Change in Appreciation (Depreciation) | $ | (47,230 | ) | $ | - | $ | 162,065 | $ | 5,082 | $ | 119,917 | |||||||||
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Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 16,700,000 | $ | 12,290,000 | $ | 28,990,000 | ||||||||||
Futures Contracts | - | - | - | 185 | 185 | |||||||||||||||
Swap Agreements | $ | 4,482,500 | $ | - | $ | - | $ | 3,700,000 | $ | 8,182,500 | ||||||||||
Core Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | 2,008,207 | $ | 2,008,207 | ||||||||||
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Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (1,825,451 | ) | $ | (1,825,451 | ) | ||||||||
Swap Agreements^ | (108,009 | ) | - | - | - | (108,009 | ) | |||||||||||||
Swap Agreements^^,^^^ | - | - | - | (2,862 | ) | (2,862 | ) | |||||||||||||
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Total Value | $ | (108,009 | ) | $ | - | $ | - | $ | (1,828,313 | ) | $ | (1,936,322 | ) | |||||||
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258
Table of Contents
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Core Bond Fund (Continued) | ||||||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 2,960,558 | $ | 2,960,558 | ||||||||||
Futures Contracts | - | - | - | 9,198,221 | 9,198,221 | |||||||||||||||
Swap Agreements | (330,526 | ) | - | - | (3,164,722 | ) | (3,495,248 | ) | ||||||||||||
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Total Realized Gain (Loss) | $ | (330,526 | ) | $ | - | $ | - | $ | 8,994,057 | $ | 8,663,531 | |||||||||
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Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 800,735 | $ | 800,735 | ||||||||||
Futures Contracts | - | - | - | 559,063 | 559,063 | |||||||||||||||
Swap Agreements | (110,535 | ) | - | - | 474,111 | 363,576 | ||||||||||||||
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Total Change in Appreciation (Depreciation) | $ | (110,535 | ) | $ | - | $ | - | $ | 1,833,909 | $ | 1,723,374 | |||||||||
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Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 121,765,000 | $ | 121,765,000 | ||||||||||
Futures Contracts | - | - | - | 3,373 | 3,373 | |||||||||||||||
Swap Agreements | $ | 29,187,500 | $ | - | $ | - | $ | 22,320,000 | $ | 51,507,500 | ||||||||||
Diversified Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | 737,725 | $ | - | $ | 737,725 | ||||||||||
Forward Contracts* | - | - | 27,065 | - | 27,065 | |||||||||||||||
Futures Contracts^^ | - | - | - | 116,980 | 116,980 | |||||||||||||||
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Total Value | $ | - | $ | - | $ | 764,790 | $ | 116,980 | $ | 881,770 | ||||||||||
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Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (25,412 | ) | $ | - | $ | (25,412 | ) | ||||||||
Futures Contracts^^ | - | - | - | (87,711 | ) | (87,711 | ) | |||||||||||||
Swap Agreements^ | (11,855 | ) | - | - | - | (11,855 | ) | |||||||||||||
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Total Value | $ | (11,855 | ) | $ | - | $ | (25,412 | ) | $ | (87,711 | ) | $ | (124,978 | ) | ||||||
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| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 74,630 | $ | 452,488 | $ | 527,118 | ||||||||||
Futures Contracts | - | - | - | 408,704 | 408,704 | |||||||||||||||
Swap Agreements | (110,215 | ) | - | - | (460,227 | ) | (570,442 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (110,215 | ) | $ | - | $ | 74,630 | $ | 400,965 | $ | 365,380 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 388,751 | $ | 116,560 | $ | 505,311 | ||||||||||
Forward Contracts | - | - | 1,653 | - | 1,653 | |||||||||||||||
Futures Contracts | - | - | - | 35,233 | 35,233 | |||||||||||||||
Swap Agreements | (12,132 | ) | - | - | 70,514 | 58,382 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | (12,132 | ) | $ | - | $ | 390,404 | $ | 222,307 | $ | 600,579 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | 19,222,222 | $ | 12,815,000 | $ | 32,037,222 | ||||||||||
Forward Contracts | - | - | 2,160,706 | - | 2,160,706 | |||||||||||||||
Futures Contracts | - | - | - | 251 | 251 | |||||||||||||||
Swap Agreements | $ | 4,335,643 | $ | - | $ | - | $ | 5,335,000 | $ | 9,670,643 |
259
Table of Contents
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Balanced Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | 45,701 | $ | 45,701 | ||||||||||
Rights* | - | 4,050 | - | - | 4,050 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | 4,050 | $ | - | $ | 45,701 | $ | 49,751 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (41,661 | ) | $ | (41,661 | ) | ||||||||
Swap Agreements^ | (3,688 | ) | - | - | - | (3,688 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (3,688 | ) | $ | - | $ | - | $ | (41,661 | ) | $ | (45,349 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 104,306 | $ | 104,306 | ||||||||||
Futures Contracts | - | - | - | 171,967 | 171,967 | |||||||||||||||
Swap Agreements | (12,119 | ) | - | - | (112,351 | ) | (124,470 | ) | ||||||||||||
Rights | - | 5,753 | - | - | 5,753 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (12,119 | ) | $ | 5,753 | $ | - | $ | 163,922 | $ | 157,556 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 28,210 | $ | 28,210 | ||||||||||
Futures Contracts | - | - | - | 18,055 | 18,055 | |||||||||||||||
Swap Agreements | (3,774 | ) | - | - | 17,050 | 13,276 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | (3,774 | ) | $ | - | $ | - | $ | 63,315 | $ | 59,541 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | 4,290,000 | $ | 4,290,000 | ||||||||||
Futures Contracts | - | - | - | 102 | 102 | |||||||||||||||
Swap Agreements | $ | 1,070,000 | $ | - | $ | - | $ | 1,290,000 | $ | 2,360,000 | ||||||||||
Rights | - | 6,774 | - | - | 6,774 | |||||||||||||||
Disciplined Value Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Rights* | $ | - | $ | 9,858 | $ | - | $ | - | $ | 9,858 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Rights | $ | - | $ | 45 | $ | - | $ | - | $ | 45 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||||||
Rights | - | 16,762 | - | - | 16,762 | |||||||||||||||
Disciplined Growth Fund | ||||||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Rights | $ | - | $ | (260 | ) | $ | - | $ | - | $ | (260 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||||||
Rights | - | 500 | - | - | 500 | |||||||||||||||
Global Fund | ||||||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Rights | $ | - | $ | 398 | $ | - | $ | - | $ | 398 | ||||||||||
|
|
|
|
|
|
|
|
|
|
260
Table of Contents
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Global Fund (Continued) | ||||||||||||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Rights | $ | - | $ | 844 | $ | - | $ | - | $ | 844 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||||||
Rights | - | 530,028 | - | - | 530,028 | |||||||||||||||
International Equity Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Warrants* | $ | - | $ | - | †† | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Rights | $ | - | $ | (22,411 | ) | $ | - | $ | - | $ | (22,411 | ) | ||||||||
Warrants | - | - | ††† | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | - | $ | (22,411 | ) | $ | - | $ | - | $ | (22,411 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||||||
Rights | - | 70,436 | - | - | 70,436 | |||||||||||||||
Warrants | - | 301,298 | - | - | 301,298 | |||||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Warrants* | $ | - | $ | 23,555 | $ | - | $ | - | $ | 23,555 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Rights | $ | - | $ | 697 | $ | - | $ | - | $ | 697 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Warrants | $ | - | $ | (83,499 | ) | $ | - | $ | - | $ | (83,499 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||||||||||||||
Rights | - | - | †††† | - | - | - | ||||||||||||||
Warrants | - | 121,100 | - | - | 121,100 |
* | Statements of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts. |
^ | Statements of Assets and Liabilities location: Payables for: open forward foreign currency contracts or open swap agreements, at value, as applicable. |
^^ | Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” below. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
^^^ | Represents centrally cleared swaps, which are not subject to a master netting agreement. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, swap agreements, or foreign currency transactions, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, written options, swap agreements, or translation of assets and liabilities in foreign currencies, as applicable. |
† | Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for purchased options, purchased swaptions, forward contracts, and swap agreements, or shares/units outstanding for purchased options, 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, 2015. |
†† | Represents a security at $0 value as of September 30, 2015. |
††† | Represents a $0 gain (loss) at time of sale. |
†††† | Amount is less than 0.05 shares. |
261
Table of Contents
Notes to Financial Statements (Continued)
The Balanced Fund and Disciplined Value Fund had no change in appreciation (depreciation) on rights during the year ended September 30, 2015.
The International Equity Fund had no change in appreciation (depreciation) on warrants during the year ended September 30, 2015.
The following table presents the 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, 2015.
Counterparty | Derivative Assets Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Received*** | Net Amount* | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
HSBC Bank USA | $ | 166,376 | $ | - | $ | - | $ | 166,376 | ||||||||
JP Morgan Chase Bank | 110,152 | (13,699 | ) | - | 96,453 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 276,528 | $ | (13,699 | ) | $ | - | $ | 262,829 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund | ||||||||||||||||
Bank of America N.A. | $ | 7,666 | $ | (7,666 | ) | $ | - | $ | - | |||||||
Barclays Bank PLC | 5,260 | - | - | 5,260 | ||||||||||||
Credit Suisse International | 4,676 | - | - | 4,676 | ||||||||||||
Goldman Sachs International | 5,297 | (5,297 | ) | - | - | |||||||||||
HSBC Bank USA | 197,150 | (2,323 | ) | - | 194,827 | |||||||||||
JP Morgan Chase Bank | 544,741 | (11,318 | ) | - | 533,423 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 764,790 | $ | (26,604 | ) | $ | - | $ | 738,186 | ||||||||
|
|
|
|
|
|
|
|
The following table presents the derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund(s) as of September 30, 2015.
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Pledged*** | Net Amount** | ||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Goldman Sachs International | $ | (39,516 | ) | $ | - | $ | - | $ | (39,516 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Goldman Sachs International | $ | (32,139 | ) | $ | - | $ | - | $ | (32,139 | ) | ||||||
JP Morgan Chase Bank | (13,699 | ) | 13,699 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (45,838 | ) | $ | 13,699 | $ | - | $ | (32,139 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund | ||||||||||||||||
Goldman Sachs International | $ | (108,009 | ) | $ | - | $ | - | $ | (108,009 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund | ||||||||||||||||
Bank of America N.A. | $ | (8,535 | ) | $ | 7,666 | $ | - | $ | (869 | ) | ||||||
Goldman Sachs International | (15,091 | ) | 5,297 | - | (9,794 | ) | ||||||||||
HSBC Bank USA | (2,323 | ) | 2,323 | - | - | |||||||||||
JP Morgan Chase Bank | (11,318 | ) | 11,318 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (37,267 | ) | $ | 26,604 | $ | - | $ | (10,663 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund | ||||||||||||||||
Goldman Sachs International | $ | (3,688 | ) | $ | - | $ | - | $ | (3,688 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents the net amount receivable from the counterparty in the event of default. |
** | Represents the net amount payable to the counterparty in the event of default. |
*** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
262
Table of Contents
Notes to Financial Statements (Continued)
† | 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. |
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, 2015, are discussed below.
Foreign Currency Exchange Transactions
A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.
A Fund may enter into foreign currency exchange transactions including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may also buy and sell options on currencies. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a forward contract with respect to that currency. For example, forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.
Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.
Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
263
Table of Contents
Notes to Financial Statements (Continued)
The Fund(s) listed in the following table had open forward foreign currency contracts at September 30, 2015. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
Counterparty | Settlement | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Diversified Bond Fund | ||||||||||||||||
Contracts to Buy | ||||||||||||||||
EUR | 87,496 | Bank of America N.A. | 11/23/15 | $ | 100,000 | $ | (2,153 | ) | ||||||||
HUF | 34,606,250 | Bank of America N.A. | 11/25/15 | 125,000 | (1,696 | ) | ||||||||||
MXN | 851,960 | Bank of America N.A. | 11/23/15 | 50,000 | 186 | |||||||||||
RON | 190,719 | Bank of America N.A. | 11/23/15 | 50,000 | (1,812 | ) | ||||||||||
ZAR | 707,515 | Bank of America N.A. | 11/23/15 | 50,000 | 597 | |||||||||||
|
|
|
| |||||||||||||
375,000 | (4,878 | ) | ||||||||||||||
|
|
|
| |||||||||||||
COP | 161,350,000 | Credit Suisse International | 11/23/15 | 50,000 | 1,936 | |||||||||||
|
|
|
| |||||||||||||
PLN | 558,582 | Goldman Sachs International | 11/23/15 | 150,000 | (3,236 | ) | ||||||||||
|
|
|
| |||||||||||||
COP | 312,305,000 | HSBC Bank USA | 11/23/15 | 100,000 | 525 | |||||||||||
ZAR | 1,372,200 | HSBC Bank USA | 11/23/15 | 100,000 | (1,870 | ) | ||||||||||
|
|
|
| |||||||||||||
200,000 | (1,345 | ) | ||||||||||||||
|
|
|
| |||||||||||||
INR | 5,103,225 | JP Morgan Chase Bank | 11/23/15 | 75,000 | 2,062 | |||||||||||
TRY | 458,267 | JP Morgan Chase Bank | 11/23/15 | 150,000 | (985 | ) | ||||||||||
|
|
|
| |||||||||||||
225,000 | 1,077 | |||||||||||||||
|
|
|
| |||||||||||||
$ | 1,000,000 | $ | (6,446 | ) | ||||||||||||
|
|
|
| |||||||||||||
Contracts to Deliver | ||||||||||||||||
KRW | 60,008,000 | Bank of America N.A. | 11/23/15 | $ | 50,000 | $ | (538 | ) | ||||||||
NZD | 187,808 | Bank of America N.A. | 11/24/15 | 125,000 | 5,397 | |||||||||||
SGD | 176,073 | Bank of America N.A. | 11/23/15 | 125,000 | 1,486 | |||||||||||
TRY | 458,267 | Bank of America N.A. | 11/23/15 | 146,678 | (2,336 | ) | ||||||||||
|
|
|
| |||||||||||||
446,678 | 4,009 | |||||||||||||||
|
|
|
| |||||||||||||
AUD | 171,069 | Barclays Bank PLC | 11/23/15 | 125,000 | 5,260 | |||||||||||
|
|
|
| |||||||||||||
CHF | 94,621 | Credit Suisse International | 11/23/15 | 100,000 | 2,740 | |||||||||||
|
|
|
| |||||||||||||
CAD | 164,477 | Goldman Sachs International | 11/23/15 | 125,000 | 1,781 | |||||||||||
GBP | 63,797 | Goldman Sachs International | 11/23/15 | 100,000 | 3,516 | |||||||||||
|
|
|
| |||||||||||||
225,000 | 5,297 | |||||||||||||||
|
|
|
| |||||||||||||
MXN | 851,960 | HSBC Bank USA | 11/23/15 | 49,734 | (453 | ) | ||||||||||
|
|
|
| |||||||||||||
CLP | 138,782,000 | JP Morgan Chase Bank | 11/23/15 | 200,000 | 1,579 | |||||||||||
EUR | 382,327 | JP Morgan Chase Bank | 11/23/15 | 425,000 | (2,558 | ) | ||||||||||
PEN | 339,000 | JP Morgan Chase Bank | 11/23/15 | 100,000 | (3,205 | ) | ||||||||||
PHP | 4,738,000 | JP Morgan Chase Bank | 11/23/15 | 100,000 | (1,033 | ) | ||||||||||
RUB | 6,874,925 | JP Morgan Chase Bank | 11/23/15 | 100,000 | (3,537 | ) | ||||||||||
|
|
|
| |||||||||||||
925,000 | (8,754 | ) | ||||||||||||||
|
|
|
| |||||||||||||
$ | 1,871,412 | $ | 8,099 | |||||||||||||
|
|
|
|
264
Table of Contents
Notes to Financial Statements (Continued)
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
HUF | Hungary Forint |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
PEN | Peruvian Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
RUB | Russia Ruble |
SGD | Singapore Dollar |
TRY | Turkey Lira |
ZAR | South African Rand |
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, 2015:
Expiration Date | Number of Contracts | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Futures Contracts — Long | ||||||||||||||||
U.S. Treasury Note 2 Year | 12/31/15 | 814 | $ | 178,291,437 | $ | 23,044 | ||||||||||
U.S. Treasury Note 5 Year | 12/31/15 | 785 | 94,604,766 | 383,777 | ||||||||||||
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$ | 406,821 | |||||||||||||||
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Futures Contracts — Short | ||||||||||||||||
U.S. Treasury Note 10 Year | 12/21/15 | 120 | $ | (15,448,125 | ) | $ | (164,142 | ) | ||||||||
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Expiration Date | Number of Contracts | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Futures Contracts — Short | ||||||||||||||||
U.S. Treasury Note 10 Year | 12/21/15 | 2 | $ | (257,469 | ) | $ | (2,131 | ) | ||||||||
U.S. Treasury Ultra Long Bond | 12/21/15 | 18 | (2,887,312 | ) | 4,669 | |||||||||||
U.S. Treasury Note 2 Year | 12/31/15 | 165 | (36,140,156 | ) | (24,212 | ) | ||||||||||
U.S. Treasury Note 5 Year | 12/31/15 | 41 | (4,941,141 | ) | (23,795 | ) | ||||||||||
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$ | (45,469 | ) | ||||||||||||||
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Core Bond Fund | ||||||||||||||||
Futures Contracts — Long | ||||||||||||||||
U.S. Treasury Ultra Long Bond | 12/21/15 | 399 | $ | 64,002,094 | $ | 382,883 | ||||||||||
U.S. Treasury Note 2 Year | 12/31/15 | 776 | 169,968,250 | 225,314 | ||||||||||||
U.S. Treasury Note 5 Year | 12/31/15 | 2,852 | 343,710,562 | 1,400,010 | ||||||||||||
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$ | 2,008,207 | |||||||||||||||
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Futures Contracts — Short | ||||||||||||||||
U.S. Treasury Long Bond | 12/21/15 | 117 | $ | (18,409,219 | ) | $ | (247,924 | ) | ||||||||
U.S. Treasury Note 10 Year | 12/21/15 | 1,185 | (152,550,234 | ) | (1,577,527 | ) | ||||||||||
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$ | (1,825,451 | ) | ||||||||||||||
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Diversified Bond Fund | ||||||||||||||||
Futures Contracts — Long | ||||||||||||||||
U.S. Treasury Ultra Long Bond | 12/21/15 | 27 | $ | 4,330,969 | $ | 1,867 | ||||||||||
U.S. Treasury Note 2 Year | 12/31/15 | 199 | 43,587,219 | 35,913 | ||||||||||||
U.S. Treasury Note 5 Year | 12/31/15 | 162 | 19,523,531 | 79,200 | ||||||||||||
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$ | 116,980 | |||||||||||||||
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Futures Contracts — Short | ||||||||||||||||
U.S. Treasury Note 10 Year | 12/21/15 | 64 | $ | (8,239,000 | ) | $ | (87,711 | ) | ||||||||
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Balanced Fund | ||||||||||||||||
Futures Contracts — Long | ||||||||||||||||
U.S. Treasury Ultra Long Bond | 12/21/15 | 17 | $ | 2,726,906 | $ | 7,731 | ||||||||||
U.S. Treasury Note 2 Year | 12/31/15 | 20 | 4,380,625 | 6,059 | ||||||||||||
U.S. Treasury Note 5 Year | 12/31/15 | 67 | 8,074,547 | 31,911 | ||||||||||||
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$ | 45,701 | |||||||||||||||
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Futures Contracts — Short | ||||||||||||||||
U.S. Treasury Long Bond | 12/21/15 | 7 | $ | (1,101,406 | ) | $ | (9,208 | ) | ||||||||
U.S. Treasury Note 10 Year | 12/21/15 | 26 | (3,347,094 | ) | (32,453 | ) | ||||||||||
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$ | (41,661 | ) | ||||||||||||||
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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).
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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, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be
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required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
The Fund(s) listed in the following table had open swap transactions at September 30, 2015. A Fund’s current exposure to a counterparty is the fair value of the transaction.
Counterparty | Currency | Notional Amount | Expiration Date | Receive (Pay) | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | ||||||||||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||||||||
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||
Goldman Sachs International | USD | 1,500,000 | 11/17/45 | (3.000%) | CMBX.NA.BBB.6 | $ | (40,440 | ) | $ | 924 | $ | (39,516 | ) | |||||||||||||
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Inflation-Protected and Income Fund* |
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Credit Default Swaps — Buy Protection |
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OTC Swaps |
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Goldman Sachs International | USD | 1,220,000 | 11/17/45 | (3.000%) | CMBX.NA.BBB.6 | $ | (32,891 | ) | $ | 752 | $ | (32,139 | ) | |||||||||||||
JP Morgan Chase Bank | USD | 520,000 | 11/17/45 | (3.000%) | CMBX.NA.BBB.6 | (14,339 | ) | 640 | (13,699 | ) | ||||||||||||||||
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(47,230 | ) | 1,392 | (45,838 | ) | ||||||||||||||||||||||
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Core Bond Fund** | ||||||||||||||||||||||||||
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||
Goldman Sachs International | USD | 4,100,000 | 11/17/45 | (3.000%) | CMBX.NA.BBB.6† | $ | (110,535 | ) | $ | 2,526 | $ | (108,009 | ) | |||||||||||||
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Counterparty | Currency | Notional Amount | Expiration Date | Payments Made by Fund | Payments Received by Fund | Unrealized Appreciation (Depreciation) | Premium Received (Paid) | Value | ||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||||||
Centrally Cleared Swaps | ||||||||||||||||||||||||||
USD | 4,000,000 | 5/17/16 | Fixed 0.530% | 3-Month USD-LIBOR-BBA | $ | (3,130 | ) | $ | 268 | $ | (2,862 | ) | ||||||||||||||
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Counterparty | Currency | Notional Amount | Expiration Date | Receive (Pay) | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | ||||||||||||||||||
Diversified Bond Fund*** | ||||||||||||||||||||||||||
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||
Goldman Sachs International | USD | 450,000 | 11/17/45 | (3.000%) | CMBX.NA.BBB.6† | $ | (12,132 | ) | $ | 277 | $ | (11,855 | ) | |||||||||||||
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Balanced Fund | ||||||||||||||||||||||||||
Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||
Goldman Sachs International | USD | 140,000 | 11/17/45 | (3.00%) | CMBX.NA.BBB.6† | $ | (3,774 | ) | $ | 86 | $ | (3,688 | ) | |||||||||||||
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USD | U.S. Dollar |
* | Collateral for swap agreements received from HSBC Bank USA amounted to $300,151 in securities at September 30, 2015. |
** | Collateral for swap agreements held by Goldman Sachs & Co. amounted to $8,779 in securities at September 30, 2015. |
*** | Collateral for swap agreements received from JP Morgan Chase Bank amounted to $560,000 in cash at September 30, 2015. Collateral for swap agreements received from HSBC Bank USA amounted to $350,340 in securities at September 30, 2015. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
Options, Rights, and Warrants
A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.
Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.
Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.
Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
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When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
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.
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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.
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, 2015, 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,
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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.
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 agreements which are subject to an MRA on a net basis at September 30, 2015:
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral* | Cash Collateral Pledged* | Net Amount | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Banque Paribas | $ | (54,912,000 | ) | $ | 54,820,000 | $ | 92,000 | $ | - | |||||||
Daiwa Securities | (31,307,755 | ) | 30,907,755 | 400,000 | - | |||||||||||
Goldman Sachs & Co. | (90,749,376 | ) | 89,420,376 | 1,329,000 | - | |||||||||||
HSBC Finance Corp. | (56,361,144 | ) | 55,661,144 | 700,000 | - | |||||||||||
Morgan Stanley | (31,261,875 | ) | 30,841,463 | 420,412 | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (264,592,150 | ) | $ | 261,650,738 | $ | 2,941,412 | $ | - | ||||||||
|
|
|
|
|
|
|
|
* | Collateral with a value of $266,222,393 has been pledged in connection with open reverse repurchase transactions. Excess collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
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The Fund(s) listed in the following table had open reverse repurchase transactions at September 30, 2015:
Description | Value | |||
Inflation-Protected and Income Fund | ||||
Agreement with Banque Paribas, dated 9/02/15, 0.490%, to be repurchased on demand until 1/05/16 at value plus accrued interest. | $ | 54,912,000 | ||
Agreement with Daiwa Securities, dated 7/08/15, 0.310%, to be repurchased on demand until 10/07/15 at value plus accrued interest. | 31,307,755 | |||
Agreement with Goldman Sachs & Co., dated 8/11/15, 0.370%, to be repurchased on demand until 10/09/15 at value plus accrued interest. | 90,749,376 | |||
Agreement with HSBC Finance Corp., dated 7/07/15, 0.300%, to be repurchased on demand until 10/06/15 at value plus accrued interest. | 33,693,505 | |||
Agreement with HSBC Finance Corp., dated 8/04/15, 0.290%, to be repurchased on demand until 11/04/15 at value plus accrued interest. | 22,667,639 | |||
Agreement with Morgan Stanley, dated 8/05/15, 0.340%, to be repurchased on demand until 11/05/15 at value plus accrued interest. | 31,261,875 | |||
|
| |||
$ | 264,592,150 | |||
|
| |||
Average balance outstanding | $ | 282,590,074 | ||
Maximum balance outstanding | $ | 304,835,856 | ||
Weighted average maturity | 59 days | |||
Average interest rate | 0.25% |
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. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Securities Lending
Each Fund may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“agent”). The Lending Agreement authorizes the agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each, a “Borrower”).
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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 loaned securities. At September 30, 2015, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.
The Funds employ the agent to implement their securities lending program and the agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the securities lending agent or Borrower, respectively. For the year ended September 30, 2015, 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 | $ | 13,401 | $ | 2,680 | $ | 10,721 | ||||||
Main Street Fund | 13,684 | 2,737 | 10,947 | |||||||||
Small Cap Opportunities Fund | 394,072 | 78,814 | 315,258 | |||||||||
Global Fund | 473,963 | 94,792 | 379,171 | |||||||||
International Equity Fund | 379,805 | 75,961 | 303,844 | |||||||||
Strategic Emerging Markets Fund | 63,232 | 12,646 | 50,586 |
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.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net
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assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets.
Foreign Securities
The Global Fund invests a significant amount of its assets and each of the International Equity 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 a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income 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.
3. | Advisory Fees and Other Transactions |
Investment Advisory Fees and Investment Subadvisers
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% on the first $1 billion; and 0.33% on any excess over $1 billion | |
Short-Duration Bond Fund | 0.35% on the first $500 million; and 0.30% on any excess over $500 million |
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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 | |
Strategic Emerging Markets Fund | 1.00% on the first $350 million; and 0.95% on any excess over $350 million |
* | Prior to June 1, 2015, the investment advisory fees were as follows: |
Money Market Fund | 0.35% |
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 |
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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 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 to any Fund shall be considered the acts and omissions of Babson Capital.
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.
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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 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% | |||||||||||||||||||||
Strategic Emerging Markets Fund | None | 0.10% | 0.15% | 0.15% | 0.15% | 0.20% | 0.20% |
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 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 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
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
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or unusual expenses such as 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% | |||||||||||||||||||||
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. |
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 intermediaries will be unaffected. MML Advisers may amend or discontinue this waiver at any time without advance notice.
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
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, 2015:
Total % of Ownership by Related Party | ||||
Money Market Fund | 55.4 | % | ||
Short-Duration Bond Fund | 86.1 | % | ||
Inflation-Protected and Income Fund | 90.6 | % | ||
Core Bond Fund | 90.6 | % | ||
Diversified Bond Fund | 56.9 | % | ||
High Yield Fund | 84.9 | % | ||
Balanced Fund | 75.1 | % | ||
Value Fund | 94.7 | % | ||
Disciplined Value Fund | 84.6 | % | ||
Main Street Fund | 94.0 | % | ||
Disciplined Growth Fund | 81.6 | % | ||
Small Cap Opportunities Fund | 87.4 | % | ||
Global Fund | 90.0 | % | ||
International Equity Fund | 93.1 | % | ||
Strategic Emerging Markets Fund | 99.7 | % |
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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, 2015, 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 | $ | 206,254,578 | $ | 208,146,883 | $ | 119,992,159 | $ | 194,028,838 | ||||||||
Inflation-Protected and Income Fund | 131,769,241 | 160,077,554 | 164,918,860 | 124,984,787 | ||||||||||||
Core Bond Fund | 5,154,043,260 | 554,501,131 | 5,264,006,254 | 381,286,459 | ||||||||||||
Diversified Bond Fund | 568,087,066 | 56,126,044 | 570,120,933 | 24,498,022 | ||||||||||||
High Yield Fund | - | 194,976,372 | - | 187,179,925 | ||||||||||||
Balanced Fund | 179,898,665 | 134,638,250 | 189,667,214 | 164,935,227 | ||||||||||||
Value Fund | - | 43,623,012 | - | 62,883,953 | ||||||||||||
Disciplined Value Fund | - | 385,826,540 | - | 411,037,526 | ||||||||||||
Main Street Fund | - | 98,976,464 | - | 185,885,379 | ||||||||||||
Disciplined Growth Fund | - | 654,942,173 | - | 653,492,180 | ||||||||||||
Small Cap Opportunities Fund | - | 93,980,025 | - | 119,312,909 | ||||||||||||
Global Fund | - | 132,125,865 | - | 160,890,504 | ||||||||||||
International Equity Fund | - | 260,891,206 | - | 239,710,816 | ||||||||||||
Strategic Emerging Markets Fund | - | 95,562,450 | - | 60,997,816 |
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Money Market Fund Class R5 | ||||||||||||||||
Sold | 2,098,061,759 | $ | 2,098,061,759 | 1,230,695,622 | $ | 1,230,695,627 | ||||||||||
Issued — merger | - | - | 320,763,696 | 320,723,316 | ||||||||||||
Issued as reinvestment of dividends | 21,747 | 21,747 | 6,862 | 6,862 | ||||||||||||
Redeemed | (2,172,573,773 | ) | (2,172,573,773 | ) | (1,228,986,046 | ) | (1,228,986,046 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (74,490,267 | ) | $ | (74,490,267 | ) | 322,480,134 | $ | 322,439,759 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Money Market Fund Class Y** | ||||||||||||||||
Sold | 466,845,155 | $ | 466,845,155 | |||||||||||||
Issued as reinvestment of dividends | 5,681 | 5,681 | ||||||||||||||
Redeemed | (438,777,925 | ) | (438,853,243 | ) | ||||||||||||
Redemptions — merger | (130,881,518 | ) | (130,823,669 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (102,808,607 | ) | $ | (102,826,076 | ) | |||||||||||
|
|
|
| |||||||||||||
Money Market Fund Class A*** | ||||||||||||||||
Sold | 193,789,971 | $ | 193,789,971 | |||||||||||||
Issued as reinvestment of dividends | 6,836 | 6,836 | ||||||||||||||
Redeemed | (160,084,098 | ) | (160,008,779 | ) | ||||||||||||
Redemptions — merger | (189,882,178 | ) | (189,899,647 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) | (156,169,469 | ) | $ | (156,111,619 | ) | |||||||||||
|
|
|
|
280
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short-Duration Bond Fund Class I | ||||||||||||||||
Sold | 14,244,985 | $ | 149,501,532 | 11,013,823 | $ | 115,659,565 | ||||||||||
Issued as reinvestment of dividends | 518,611 | 5,331,332 | 447,434 | 4,639,894 | ||||||||||||
Redeemed | (18,426,909 | ) | (192,733,136 | ) | (10,849,992 | ) | (113,549,097 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,663,313 | ) | $ | (37,900,272 | ) | 611,265 | $ | 6,750,362 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class R5 | ||||||||||||||||
Sold | 4,337,919 | $ | 45,463,713 | 5,026,994 | $ | 52,820,235 | ||||||||||
Issued as reinvestment of dividends | 364,279 | 3,755,721 | 369,282 | 3,840,528 | ||||||||||||
Redeemed | (6,540,196 | ) | (68,527,020 | ) | (6,941,152 | ) | (72,931,328 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,837,998 | ) | $ | (19,307,586 | ) | (1,544,876 | ) | $ | (16,270,565 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Service Class | ||||||||||||||||
Sold | 3,793,475 | $ | 39,361,080 | 3,460,996 | $ | 36,180,030 | ||||||||||
Issued as reinvestment of dividends | 155,016 | 1,588,909 | 161,678 | 1,671,755 | ||||||||||||
Redeemed | (2,905,164 | ) | (30,194,071 | ) | (3,618,355 | ) | (37,723,494 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,043,327 | $ | 10,755,918 | 4,319 | $ | 128,291 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Administrative Class | ||||||||||||||||
Sold | 1,707,520 | $ | 17,649,505 | 2,151,927 | $ | 22,426,153 | ||||||||||
Issued as reinvestment of dividends | 89,609 | 915,799 | 91,010 | 938,310 | ||||||||||||
Redeemed | (2,381,475 | ) | (24,615,507 | ) | (2,778,347 | ) | (28,926,205 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (584,346 | ) | $ | (6,050,203 | ) | (535,410 | ) | $ | (5,561,742 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class A | ||||||||||||||||
Sold | 1,524,289 | $ | 15,676,710 | 1,869,389 | $ | 19,321,254 | ||||||||||
Issued as reinvestment of dividends | 136,519 | 1,388,400 | 122,136 | 1,253,112 | ||||||||||||
Redeemed | (1,799,785 | ) | (18,536,212 | ) | (1,698,879 | ) | (17,555,683 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (138,977 | ) | $ | (1,471,102 | ) | 292,646 | $ | 3,018,683 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class R4* | ||||||||||||||||
Sold | 692,767 | $ | 7,239,359 | 9,569 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 197 | 2,025 | - | - | ||||||||||||
Redeemed | (139,995 | ) | (1,462,810 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 552,969 | $ | 5,778,574 | 9,569 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class R3 | ||||||||||||||||
Sold | 182,546 | $ | 1,902,907 | 18,326 | $ | 191,280 | ||||||||||
Issued as reinvestment of dividends | 988 | 10,166 | 271 | 2,817 | ||||||||||||
Redeemed | (92,800 | ) | (961,514 | ) | (79,408 | ) | (829,767 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 90,734 | $ | 951,559 | (60,811 | ) | $ | (635,670 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class I | ||||||||||||||||
Sold | 6,924,795 | $ | 72,523,398 | 7,269,641 | $ | 77,301,630 | ||||||||||
Issued as reinvestment of dividends | 402,404 | 4,160,845 | 653,066 | 6,667,797 | ||||||||||||
Redeemed | (7,472,551 | ) | (77,679,788 | ) | (3,200,884 | ) | (34,023,212 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (145,352 | ) | $ | (995,545 | ) | 4,721,823 | $ | 49,946,215 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class R5 | ||||||||||||||||
Sold | 1,465,538 | $ | 15,243,339 | 1,551,988 | $ | 16,488,110 | ||||||||||
Issued as reinvestment of dividends | 131,405 | 1,358,727 | 264,463 | 2,702,817 | ||||||||||||
Redeemed | (1,169,219 | ) | (12,151,660 | ) | (1,455,903 | ) | (15,733,736 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 427,724 | $ | 4,450,406 | 360,548 | $ | 3,457,191 | ||||||||||
|
|
|
|
|
|
|
|
281
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Inflation-Protected and Income Fund Service Class | ||||||||||||||||
Sold | 1,301,135 | $ | 13,512,111 | 1,418,256 | $ | 14,988,812 | ||||||||||
Issued as reinvestment of dividends | 167,528 | 1,728,889 | 401,998 | 4,096,356 | ||||||||||||
Redeemed | (1,205,467 | ) | (12,541,926 | ) | (1,997,251 | ) | (21,199,522 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 263,196 | $ | 2,699,074 | (176,997 | ) | $ | (2,114,354 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Administrative Class | ||||||||||||||||
Sold | 343,388 | $ | 3,606,158 | 436,438 | $ | 4,661,209 | ||||||||||
Issued as reinvestment of dividends | 22,047 | 229,733 | 47,492 | 489,171 | ||||||||||||
Redeemed | (205,763 | ) | (2,154,982 | ) | (408,595 | ) | (4,412,023 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 159,672 | $ | 1,680,909 | 75,335 | $ | 738,357 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class A | ||||||||||||||||
Sold | 576,018 | $ | 5,916,452 | 681,772 | $ | 7,139,859 | ||||||||||
Issued as reinvestment of dividends | 50,796 | 517,616 | 136,007 | 1,369,593 | ||||||||||||
Redeemed | (909,162 | ) | (9,275,814 | ) | (969,397 | ) | (10,131,469 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (282,348 | ) | $ | (2,841,746 | ) | (151,618 | ) | $ | (1,622,017 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class R4* | ||||||||||||||||
Sold | 98,463 | $ | 991,534 | 9,785 | $ | 100,005 | ||||||||||
Issued as reinvestment of dividends | 213 | 2,162 | - | - | ||||||||||||
Redeemed | (8,824 | ) | (89,026 | ) | - | + | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 89,852 | $ | 904,670 | 9,785 | $ | 100,001 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class R3 | ||||||||||||||||
Sold | 40,136 | $ | 414,679 | 58,398 | $ | 609,644 | ||||||||||
Issued as reinvestment of dividends | 2,763 | 28,215 | 7,161 | 72,255 | ||||||||||||
Redeemed | (157,938 | ) | (1,604,800 | ) | (41,794 | ) | (439,012 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (115,039 | ) | $ | (1,161,906 | ) | 23,765 | $ | 242,887 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class I | ||||||||||||||||
Sold | 19,030,672 | $ | 216,572,086 | 17,545,322 | $ | 197,681,079 | ||||||||||
Issued as reinvestment of dividends | 1,721,869 | 19,319,371 | 1,581,913 | 17,274,485 | ||||||||||||
Redeemed | (14,921,035 | ) | (169,470,784 | ) | (7,923,065 | ) | (89,234,292 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,831,506 | $ | 66,420,673 | 11,204,170 | $ | 125,721,272 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class R5 | ||||||||||||||||
Sold | 5,819,269 | $ | 66,822,566 | 5,451,737 | $ | 61,571,709 | ||||||||||
Issued as reinvestment of dividends | 1,307,335 | 14,720,593 | 1,396,022 | 15,286,443 | ||||||||||||
Redeemed | (8,464,814 | ) | (96,515,941 | ) | (7,974,873 | ) | (89,777,230 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,338,210 | ) | $ | (14,972,782 | ) | (1,127,114 | ) | $ | (12,919,078 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Service Class | ||||||||||||||||
Sold | 2,927,966 | $ | 33,182,559 | 5,184,193 | $ | 57,848,900 | ||||||||||
Issued as reinvestment of dividends | 322,001 | 3,606,409 | 416,093 | 4,531,247 | ||||||||||||
Redeemed | (6,186,908 | ) | (70,764,330 | ) | (3,794,890 | ) | (42,602,157 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,936,941 | ) | $ | (33,975,362 | ) | 1,805,396 | $ | 19,777,990 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Administrative Class | ||||||||||||||||
Sold | 2,427,404 | $ | 27,401,585 | 1,789,651 | $ | 19,993,893 | ||||||||||
Issued as reinvestment of dividends | 187,726 | 2,091,266 | 228,187 | 2,473,551 | ||||||||||||
Redeemed | (1,294,519 | ) | (14,578,894 | ) | (2,978,656 | ) | (33,007,647 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,320,611 | $ | 14,913,957 | (960,818 | ) | $ | (10,540,203 | ) | ||||||||
|
|
|
|
|
|
|
|
282
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Core Bond Fund Class A | ||||||||||||||||
Sold | 2,233,314 | $ | 24,978,948 | 1,755,440 | $ | 19,383,679 | ||||||||||
Issued as reinvestment of dividends | 401,983 | 4,441,914 | 449,848 | 4,835,861 | ||||||||||||
Redeemed | (3,133,482 | ) | (34,904,471 | ) | (2,975,182 | ) | (32,980,882 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (498,185 | ) | $ | (5,483,609 | ) | (769,894 | ) | $ | (8,761,342 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class R4* | ||||||||||||||||
Sold | 829,056 | $ | 9,218,618 | 9,133 | $ | 100,005 | ||||||||||
Issued as reinvestment of dividends | 260 | 2,861 | - | - | ||||||||||||
Redeemed | (26,422 | ) | (293,572 | ) | - | + | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 802,894 | $ | 8,927,907 | 9,133 | $ | 100,001 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class R3 | ||||||||||||||||
Sold | 13,313 | $ | 152,593 | 7,377 | $ | 82,916 | ||||||||||
Issued as reinvestment of dividends | 2,663 | 29,982 | 2,488 | 27,271 | ||||||||||||
Redeemed | (68,446 | ) | (773,271 | ) | (57,467 | ) | (644,833 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (52,470 | ) | $ | (590,696 | ) | (47,602 | ) | $ | (534,646 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class I | ||||||||||||||||
Sold | 1,083,993 | $ | 11,734,255 | 564,430 | $ | 6,026,462 | ||||||||||
Issued as reinvestment of dividends | 12,044 | 129,116 | 12,588 | 130,156 | ||||||||||||
Redeemed | (147,907 | ) | (1,605,334 | ) | (56,722 | ) | (603,946 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 948,130 | $ | 10,258,037 | 520,296 | $ | 5,552,672 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class R5 | ||||||||||||||||
Sold | 953,544 | $ | 9,622,221 | 3,922,130 | $ | 39,474,848 | ||||||||||
Issued as reinvestment of dividends | 151,456 | 1,513,044 | 111,164 | 1,072,731 | ||||||||||||
Redeemed | (1,298,692 | ) | (13,082,461 | ) | (1,093,856 | ) | (10,861,412 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (193,692 | ) | $ | (1,947,196 | ) | 2,939,438 | $ | 29,686,167 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Service Class | ||||||||||||||||
Sold | 795,621 | $ | 8,126,652 | 675,761 | $ | 6,803,008 | ||||||||||
Issued as reinvestment of dividends | 31,849 | 321,992 | 33,913 | 330,990 | ||||||||||||
Redeemed | (350,564 | ) | (3,580,665 | ) | (204,667 | ) | (2,060,544 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 476,906 | $ | 4,867,979 | 505,007 | $ | 5,073,454 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Administrative Class | ||||||||||||||||
Sold | 2,302,595 | $ | 23,544,622 | 1,019,272 | $ | 10,287,096 | ||||||||||
Issued as reinvestment of dividends | 51,801 | 522,675 | 44,760 | 436,409 | ||||||||||||
Redeemed | (987,830 | ) | (10,046,850 | ) | (224,515 | ) | (2,254,294 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,366,566 | $ | 14,020,447 | 839,517 | $ | 8,469,211 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class A | ||||||||||||||||
Sold | 1,565,859 | $ | 15,977,500 | 927,793 | $ | 9,302,759 | ||||||||||
Issued as reinvestment of dividends | 63,902 | 644,137 | 88,578 | 860,974 | ||||||||||||
Redeemed | (1,359,858 | ) | (13,822,003 | ) | (825,073 | ) | (8,267,771 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 269,903 | $ | 2,799,634 | 191,298 | $ | 1,895,962 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class R4* | ||||||||||||||||
Sold | 340,478 | $ | 3,425,319 | 10,071 | $ | 100,005 | ||||||||||
Issued as reinvestment of dividends | 206 | 2,069 | - | - | ||||||||||||
Redeemed | (55,098 | ) | (554,733 | ) | - | + | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 285,586 | $ | 2,872,655 | 10,071 | $ | 100,001 | ||||||||||
|
|
|
|
|
|
|
|
283
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Diversified Bond Fund Class R3* | ||||||||||||||||
Sold | 32,540 | $ | 326,014 | 10,070 | $ | 100,002 | ||||||||||
Issued as reinvestment of dividends | 187 | 1,872 | - | - | ||||||||||||
Redeemed | (1,560 | ) | (15,659 | ) | - | + | (2 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 31,167 | $ | 312,227 | 10,070 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class I | ||||||||||||||||
Sold | 5,408,758 | $ | 50,326,663 | 4,947,243 | $ | 50,167,596 | ||||||||||
Issued as reinvestment of dividends | 1,048,990 | 9,189,152 | 938,627 | 9,010,818 | ||||||||||||
Redeemed | (4,973,672 | ) | (46,555,068 | ) | (5,381,659 | ) | (54,285,804 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,484,076 | $ | 12,960,747 | 504,211 | $ | 4,892,610 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class R5 | ||||||||||||||||
Sold | 1,030,909 | $ | 9,641,134 | 968,195 | $ | 9,780,662 | ||||||||||
Issued as reinvestment of dividends | 402,404 | 3,541,159 | 256,575 | 2,475,954 | ||||||||||||
Redeemed | (717,100 | ) | (6,769,163 | ) | (430,303 | ) | (4,391,950 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 716,213 | $ | 6,413,130 | 794,467 | $ | 7,864,666 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Service Class | ||||||||||||||||
Sold | 1,902,023 | $ | 17,475,973 | 1,287,196 | $ | 13,043,299 | ||||||||||
Issued as reinvestment of dividends | 611,526 | 5,381,429 | 480,312 | 4,635,009 | ||||||||||||
Redeemed | (1,556,234 | ) | (14,410,930 | ) | (1,568,832 | ) | (16,008,065 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 957,315 | $ | 8,446,472 | 198,676 | $ | 1,670,243 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Administrative Class | ||||||||||||||||
Sold | 909,942 | $ | 8,417,600 | 1,118,124 | $ | 11,151,841 | ||||||||||
Issued as reinvestment of dividends | 247,733 | 2,152,803 | 121,854 | 1,163,706 | ||||||||||||
Redeemed | (699,091 | ) | (6,403,332 | ) | (406,014 | ) | (4,077,830 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 458,584 | $ | 4,167,071 | 833,964 | $ | 8,237,717 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class A | ||||||||||||||||
Sold | 864,568 | $ | 7,884,156 | 924,072 | $ | 9,231,024 | ||||||||||
Issued as reinvestment of dividends | 313,397 | 2,720,285 | 278,121 | 2,647,709 | ||||||||||||
Redeemed | (1,306,801 | ) | (12,096,267 | ) | (1,017,693 | ) | (10,101,834 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (128,836 | ) | $ | (1,491,826 | ) | 184,500 | $ | 1,776,899 | ||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class R4* | ||||||||||||||||
Sold | 316,737 | $ | 2,881,451 | 10,111 | $ | 100,005 | ||||||||||
Issued as reinvestment of dividends | 1,045 | 9,041 | - | - | ||||||||||||
Redeemed | (25,697 | ) | (231,684 | ) | - | + | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 292,085 | $ | 2,658,808 | 10,111 | $ | 100,001 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class R3 | ||||||||||||||||
Sold | 404,122 | $ | 3,756,007 | 38,951 | $ | 391,552 | ||||||||||
Issued as reinvestment of dividends | 7,533 | 66,515 | 5,839 | 56,526 | ||||||||||||
Redeemed | (103,147 | ) | (947,167 | ) | (45,611 | ) | (464,842 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 308,508 | $ | 2,875,355 | (821 | ) | $ | (16,764 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class I* | ||||||||||||||||
Sold | 276,732 | $ | 3,478,414 | 2,802,597 | $ | 36,410,988 | ||||||||||
Issued as reinvestment of dividends | 316,381 | 3,745,956 | - | - | ||||||||||||
Redeemed | (3,351,869 | ) | (40,904,571 | ) | (11,048 | ) | (144,729 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,758,756 | ) | $ | (33,680,201 | ) | 2,791,549 | $ | 36,266,259 | ||||||||
|
|
|
|
|
|
|
|
284
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Balanced Fund Class R5 | ||||||||||||||||
Sold | 315,592 | $ | 3,905,546 | 637,798 | $ | 8,091,398 | ||||||||||
Issued as reinvestment of dividends | 608,056 | 7,205,459 | 583,396 | 7,076,593 | ||||||||||||
Redeemed | (1,149,428 | ) | (14,197,546 | ) | (4,126,936 | ) | (53,116,762 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (225,780 | ) | $ | (3,086,541 | ) | (2,905,742 | ) | $ | (37,948,771 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Service Class | ||||||||||||||||
Sold | 310,522 | $ | 3,938,966 | 302,031 | $ | 3,961,332 | ||||||||||
Issued as reinvestment of dividends | 93,083 | 1,148,639 | 50,420 | 634,782 | ||||||||||||
Redeemed | (237,041 | ) | (2,994,833 | ) | (200,634 | ) | (2,599,013 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 166,564 | $ | 2,092,772 | 151,817 | $ | 1,997,101 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Administrative Class | ||||||||||||||||
Sold | 239,806 | $ | 3,034,390 | 502,438 | $ | 6,369,301 | ||||||||||
Issued as reinvestment of dividends | 68,442 | 814,462 | 20,459 | 249,392 | ||||||||||||
Redeemed | (96,665 | ) | (1,208,389 | ) | (269,537 | ) | (3,443,208 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 211,583 | $ | 2,640,463 | 253,360 | $ | 3,175,485 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class A | ||||||||||||||||
Sold | 661,784 | $ | 7,995,462 | 487,992 | $ | 6,043,018 | ||||||||||
Issued as reinvestment of dividends | 284,914 | 3,313,545 | 209,213 | 2,493,816 | ||||||||||||
Redeemed | (841,443 | ) | (10,090,002 | ) | (1,137,801 | ) | (14,088,538 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 105,255 | $ | 1,219,005 | (440,596 | ) | $ | (5,551,704 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class R4* | ||||||||||||||||
Sold | 191,323 | $ | 2,282,482 | 8,143 | $ | 100,005 | ||||||||||
Issued as reinvestment of dividends | 893 | 10,357 | - | - | ||||||||||||
Redeemed | (20,937 | ) | (248,308 | ) | - | + | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 171,279 | $ | 2,044,531 | 8,143 | $ | 100,001 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class R3* | ||||||||||||||||
Sold | 175,459 | $ | 2,051,256 | 8,143 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 875 | 10,153 | - | - | ||||||||||||
Redeemed | (29,445 | ) | (350,964 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 146,889 | $ | 1,710,445 | 8,143 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class I* | ||||||||||||||||
Sold | - | $ | - | 4,990 | $ | 100,100 | ||||||||||
Issued as reinvestment of dividends | 98 | 2,038 | - | - | ||||||||||||
Redeemed | - | - | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 98 | $ | 2,038 | 4,990 | $ | 100,100 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class R5 | ||||||||||||||||
Sold | 116,263 | $ | 2,530,054 | 147,748 | $ | 2,987,278 | ||||||||||
Issued as reinvestment of dividends | 56,070 | 1,167,383 | 88,445 | 1,692,845 | ||||||||||||
Redeemed | (937,056 | ) | (20,307,740 | ) | (2,559,791 | ) | (51,263,712 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (764,723 | ) | $ | (16,610,303 | ) | (2,323,598 | ) | $ | (46,583,589 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Service Class | ||||||||||||||||
Sold | 294 | $ | 6,296 | 549 | $ | 11,058 | ||||||||||
Issued as reinvestment of dividends | 109 | 2,270 | 98 | 1,879 | ||||||||||||
Redeemed | (1,216 | ) | (26,391 | ) | (330 | ) | (6,861 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (813 | ) | $ | (17,825 | ) | 317 | $ | 6,076 | ||||||||
|
|
|
|
|
|
|
|
285
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Value Fund Administrative Class | ||||||||||||||||
Sold | 36,267 | $ | 768,553 | 59,598 | $ | 1,214,145 | ||||||||||
Issued as reinvestment of dividends | 10,969 | 229,145 | 10,448 | 200,704 | ||||||||||||
Redeemed | (117,259 | ) | (2,493,228 | ) | (248,413 | ) | (4,973,951 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (70,023 | ) | $ | (1,495,530 | ) | (178,367 | ) | $ | (3,559,102 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class A | ||||||||||||||||
Sold | 16,773 | $ | 358,299 | 54,856 | $ | 1,113,598 | ||||||||||
Issued as reinvestment of dividends | 4,970 | 103,865 | 4,031 | 77,471 | ||||||||||||
Redeemed | (48,625 | ) | (1,046,541 | ) | (152,615 | ) | (2,992,377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (26,882 | ) | $ | (584,377 | ) | (93,728 | ) | $ | (1,801,308 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class R4* | ||||||||||||||||
Sold | 9 | $ | 200 | 4,973 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 81 | 1,679 | - | - | ||||||||||||
Redeemed | - | - | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 90 | $ | 1,879 | 4,973 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class R3 | ||||||||||||||||
Sold | 10 | $ | 219 | 15 | $ | 296 | ||||||||||
Issued as reinvestment of dividends | 3 | 68 | 2 | 45 | ||||||||||||
Redeemed | - | - | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 13 | $ | 287 | 17 | $ | 341 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class I* | ||||||||||||||||
Sold | 3,444,558 | $ | 55,155,749 | 13,049,132 | $ | 200,333,804 | ||||||||||
Issued as reinvestment of dividends | 206,591 | 3,260,008 | - | - | ||||||||||||
Redeemed | (4,163,649 | ) | (66,773,771 | ) | (1,443,188 | ) | (22,818,324 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (512,500 | ) | $ | (8,358,014 | ) | 11,605,944 | $ | 177,515,480 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class R5 | ||||||||||||||||
Sold | 260,622 | $ | 4,154,850 | 1,807,871 | $ | 26,459,859 | ||||||||||
Issued as reinvestment of dividends | 74,977 | 1,184,635 | 309,216 | 4,461,989 | ||||||||||||
Redeemed | (1,732,100 | ) | (27,805,229 | ) | (15,024,695 | ) | (228,233,713 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,396,501 | ) | $ | (22,465,744 | ) | (12,907,608 | ) | $ | (197,311,865 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Service Class | ||||||||||||||||
Sold | 799,029 | $ | 12,659,134 | 549,408 | $ | 8,347,268 | ||||||||||
Issued as reinvestment of dividends | 72,587 | 1,139,617 | 83,393 | 1,196,680 | ||||||||||||
Redeemed | (725,496 | ) | (11,632,076 | ) | (1,421,509 | ) | (21,023,580 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 146,120 | $ | 2,166,675 | (788,708 | ) | $ | (11,479,632 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Administrative Class | ||||||||||||||||
Sold | 303,684 | $ | 4,933,854 | 219,137 | $ | 3,299,670 | ||||||||||
Issued as reinvestment of dividends | 7,232 | 115,418 | 6,738 | 98,306 | ||||||||||||
Redeemed | (252,915 | ) | (4,064,333 | ) | (108,530 | ) | (1,668,198 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 58,001 | $ | 984,939 | 117,345 | $ | 1,729,778 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class A | ||||||||||||||||
Sold | 152,326 | $ | 2,392,590 | 109,072 | $ | 1,617,046 | ||||||||||
Issued as reinvestment of dividends | 8,920 | 139,242 | 11,346 | 161,790 | ||||||||||||
Redeemed | (295,844 | ) | (4,622,941 | ) | (316,288 | ) | (4,699,776 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (134,598 | ) | $ | (2,091,109 | ) | (195,870 | ) | $ | (2,920,940 | ) | ||||||
|
|
|
|
|
|
|
|
286
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Disciplined Value Fund Class R4* | ||||||||||||||||
Sold | 171,659 | $ | 2,669,767 | 6,685 | $ | 100,005 | ||||||||||
Issued as reinvestment of dividends | 101 | 1,573 | - | - | ||||||||||||
Redeemed | (4,520 | ) | (70,333 | ) | - | + | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 167,240 | $ | 2,601,007 | 6,685 | $ | 100,001 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class R3 | ||||||||||||||||
Sold | 8,388 | $ | 134,747 | 20 | $ | 299 | ||||||||||
Issued as reinvestment of dividends | 23 | 358 | 22 | 317 | ||||||||||||
Redeemed | (6,905 | ) | (110,179 | ) | (298 | ) | (4,274 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,506 | $ | 24,926 | (256 | ) | $ | (3,658 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class I* | ||||||||||||||||
Sold | 449,703 | $ | 6,510,261 | 3,393,313 | $ | 47,709,956 | ||||||||||
Issued as reinvestment of dividends | 105,340 | 1,468,435 | - | - | ||||||||||||
Redeemed | (3,893,561 | ) | (58,303,521 | ) | (52,086 | ) | (751,208 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,338,518 | ) | $ | (50,324,825 | ) | 3,341,227 | $ | 46,958,748 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class R5 | ||||||||||||||||
Sold | 492,152 | $ | 7,061,192 | 487,575 | $ | 6,505,483 | ||||||||||
Issued as reinvestment of dividends | 212,905 | 2,967,891 | 93,636 | 1,211,651 | ||||||||||||
Redeemed | (2,489,207 | ) | (36,360,947 | ) | (4,567,438 | ) | (63,355,664 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,784,150 | ) | $ | (26,331,864 | ) | (3,986,227 | ) | $ | (55,638,530 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Service Class | ||||||||||||||||
Sold | 67,506 | $ | 981,109 | 92,623 | $ | 1,236,391 | ||||||||||
Issued as reinvestment of dividends | 14,136 | 199,743 | 3,432 | 44,986 | ||||||||||||
Redeemed | (81,284 | ) | (1,192,808 | ) | (57,489 | ) | (772,859 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 358 | $ | (11,956 | ) | 38,566 | $ | 508,518 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Administrative Class | ||||||||||||||||
Sold | 156,130 | $ | 2,241,800 | 210,586 | $ | 2,852,896 | ||||||||||
Issued as reinvestment of dividends | 65,629 | 914,867 | 17,725 | 229,178 | ||||||||||||
Redeemed | (400,539 | ) | (5,698,847 | ) | (485,973 | ) | (6,478,452 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (178,780 | ) | $ | (2,542,180 | ) | (257,662 | ) | $ | (3,396,378 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class A | ||||||||||||||||
Sold | 182,251 | $ | 2,560,020 | 192,410 | $ | 2,590,863 | ||||||||||
Issued as reinvestment of dividends | 25,528 | 353,308 | 5,199 | 66,762 | ||||||||||||
Redeemed | (223,014 | ) | (3,184,018 | ) | (358,438 | ) | (4,813,275 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (15,235 | ) | $ | (270,690 | ) | (160,829 | ) | $ | (2,155,650 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class R4* | ||||||||||||||||
Sold | 15 | $ | 200 | 7,524 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 211 | 2,921 | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 226 | $ | 3,121 | 7,524 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class R3 | ||||||||||||||||
Sold | 4,760 | $ | 68,609 | 2,948 | $ | 39,354 | ||||||||||
Issued as reinvestment of dividends | 153 | 2,137 | 7 | 99 | ||||||||||||
Redeemed | (3,131 | ) | (45,867 | ) | (310 | ) | (4,137 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,782 | $ | 24,879 | 2,645 | $ | 35,316 | ||||||||||
|
|
|
|
|
|
|
|
287
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Disciplined Growth Fund Class I* | ||||||||||||||||
Sold | 6,228,963 | $ | 74,775,662 | 16,058,932 | $ | 198,434,179 | ||||||||||
Issued as reinvestment of dividends | 2,045,573 | 23,442,269 | - | - | ||||||||||||
Redeemed | (6,187,567 | ) | (76,628,079 | ) | (1,883,079 | ) | (24,066,781 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,086,969 | $ | 21,589,852 | 14,175,853 | $ | 174,367,398 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class R5 | ||||||||||||||||
Sold | 1,197,799 | $ | 15,046,095 | 4,488,764 | $ | 55,777,699 | ||||||||||
Issued as reinvestment of dividends | 1,315,171 | 15,085,017 | 3,595,143 | 41,991,277 | ||||||||||||
Redeemed | (3,586,718 | ) | (42,519,152 | ) | (15,304,881 | ) | (189,644,887 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,073,748 | ) | $ | (12,388,040 | ) | (7,220,974 | ) | $ | (91,875,911 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Service Class | ||||||||||||||||
Sold | 1,043,006 | $ | 12,712,032 | 1,761,001 | $ | 21,684,519 | ||||||||||
Issued as reinvestment of dividends | 942,002 | 10,833,025 | 1,078,235 | 12,626,126 | ||||||||||||
Redeemed | (998,702 | ) | (12,443,108 | ) | (967,524 | ) | (12,292,700 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 986,306 | $ | 11,101,949 | 1,871,712 | $ | 22,017,945 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Administrative Class | ||||||||||||||||
Sold | 1,435,438 | $ | 17,695,945 | 840,800 | $ | 10,781,962 | ||||||||||
Issued as reinvestment of dividends | 283,289 | 3,283,315 | 359,504 | 4,238,554 | ||||||||||||
Redeemed | (658,059 | ) | (8,131,070 | ) | (836,321 | ) | (10,432,977 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,060,668 | $ | 12,848,190 | 363,983 | $ | 4,587,539 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class A | ||||||||||||||||
Sold | 805,051 | $ | 9,585,803 | 1,358,947 | $ | 17,000,491 | ||||||||||
Issued as reinvestment of dividends | 393,817 | 4,473,761 | 405,180 | 4,700,083 | ||||||||||||
Redeemed | (575,621 | ) | (6,951,832 | ) | (480,343 | ) | (5,881,137 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 623,247 | $ | 7,107,732 | 1,283,784 | $ | 15,819,437 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class R4* | ||||||||||||||||
Sold | 558,251 | $ | 6,809,227 | 8,313 | $ | 100,005 | ||||||||||
Issued as reinvestment of dividends | 1,208 | 13,709 | - | - | ||||||||||||
Redeemed | (33,262 | ) | (391,956 | ) | - | + | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 526,197 | $ | 6,430,980 | 8,313 | $ | 100,001 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class R3* | ||||||||||||||||
Sold | 335,111 | $ | 3,909,294 | 8,313 | $ | 100,002 | ||||||||||
Issued as reinvestment of dividends | 1,189 | 13,498 | - | - | ||||||||||||
Redeemed | (20,165 | ) | (237,963 | ) | - | + | (2 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 316,135 | $ | 3,684,829 | 8,313 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class I* | ||||||||||||||||
Sold | 9,025 | $ | 140,466 | 304,247 | $ | 4,915,406 | ||||||||||
Issued as reinvestment of dividends | 50,725 | 748,194 | - | - | ||||||||||||
Redeemed | (363,990 | ) | (5,310,163 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (304,240 | ) | $ | (4,421,503 | ) | 304,247 | $ | 4,915,406 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class R5 | ||||||||||||||||
Sold | 331,504 | $ | 5,068,786 | 468,604 | $ | 7,492,025 | ||||||||||
Issued as reinvestment of dividends | 764,355 | 11,274,236 | 52,605 | 807,480 | ||||||||||||
Redeemed | (1,487,625 | ) | (22,535,983 | ) | (1,449,424 | ) | (22,899,726 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (391,766 | ) | $ | (6,192,961 | ) | (928,215 | ) | $ | (14,600,221 | ) | ||||||
|
|
|
|
|
|
|
|
288
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Small Cap Opportunities Fund Service Class | ||||||||||||||||
Sold | 129,813 | $ | 2,054,493 | 327,694 | $ | 5,261,623 | ||||||||||
Issued as reinvestment of dividends | 74,754 | 1,101,878 | 2,100 | 32,239 | ||||||||||||
Redeemed | (138,482 | ) | (2,161,740 | ) | (70,353 | ) | (1,136,554 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 66,085 | $ | 994,631 | 259,441 | $ | 4,157,308 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Administrative Class | ||||||||||||||||
Sold | 208,536 | $ | 3,228,916 | 649,419 | $ | 10,412,913 | ||||||||||
Issued as reinvestment of dividends | 188,816 | 2,768,045 | 5,512 | 84,225 | ||||||||||||
Redeemed | (195,386 | ) | (2,973,795 | ) | (183,438 | ) | (2,935,749 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 201,966 | $ | 3,023,166 | 471,493 | $ | 7,561,389 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class A | ||||||||||||||||
Sold | 709,534 | $ | 10,812,296 | 874,002 | $ | 13,546,176 | ||||||||||
Issued as reinvestment of dividends | 759,694 | 10,969,973 | 32,973 | 497,234 | ||||||||||||
Redeemed | (1,104,358 | ) | (16,518,131 | ) | (1,634,434 | ) | (25,567,161 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 364,870 | $ | 5,264,138 | (727,459 | ) | $ | (11,523,751 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class R4* | ||||||||||||||||
Sold | 35,165 | $ | 494,685 | 6,196 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 1,056 | 15,225 | - | - | ||||||||||||
Redeemed | (79 | ) | (1,183 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 36,142 | $ | 508,727 | 6,196 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class R3* | ||||||||||||||||
Sold | 88,552 | $ | 1,326,500 | 6,196 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 1,042 | 15,023 | - | - | ||||||||||||
Redeemed | (3,269 | ) | (48,642 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 86,325 | $ | 1,292,881 | 6,196 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class I* | ||||||||||||||||
Sold | 70,509 | $ | 1,080,807 | 6,734 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 426 | 5,975 | - | - | ||||||||||||
Redeemed | (2,727 | ) | (40,730 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 68,208 | $ | 1,046,052 | 6,734 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class R5 | ||||||||||||||||
Sold | 1,212,379 | $ | 18,616,115 | 596,055 | $ | 8,882,014 | ||||||||||
Issued as reinvestment of dividends | 830,903 | 11,665,880 | 269,539 | 3,859,794 | ||||||||||||
Redeemed | (3,744,503 | ) | (54,924,288 | ) | (2,495,292 | ) | (36,369,397 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,701,221 | ) | $ | (24,642,293 | ) | (1,629,698 | ) | $ | (23,627,589 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Service Class | ||||||||||||||||
Sold | 1,485,357 | $ | 22,453,517 | 550,251 | $ | 8,105,003 | ||||||||||
Issued as reinvestment of dividends | 76,490 | 1,067,029 | 11,505 | 163,834 | ||||||||||||
Redeemed | (285,755 | ) | (4,245,134 | ) | (242,068 | ) | (3,563,490 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,276,092 | $ | 19,275,412 | 319,688 | $ | 4,705,347 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Administrative Class | ||||||||||||||||
Sold | 1,074,659 | $ | 16,481,382 | 985,679 | $ | 14,657,745 | ||||||||||
Issued as reinvestment of dividends | 529,523 | 7,434,501 | 156,063 | 2,234,838 | ||||||||||||
Redeemed | (1,958,305 | ) | (29,149,073 | ) | (1,327,618 | ) | (19,637,905 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (354,123 | ) | $ | (5,233,190 | ) | (185,876 | ) | $ | (2,745,322 | ) | ||||||
|
|
|
|
|
|
|
|
289
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Global Fund Class A | ||||||||||||||||
Sold | 364,718 | $ | 5,487,180 | 337,388 | $ | 4,927,648 | ||||||||||
Issued as reinvestment of dividends | 166,245 | 2,315,792 | 51,595 | 732,648 | ||||||||||||
Redeemed | (684,280 | ) | (10,296,620 | ) | (789,170 | ) | (11,588,534 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (153,317 | ) | $ | (2,493,648 | ) | (400,187 | ) | $ | (5,928,238 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class R4* | ||||||||||||||||
Sold | 47,809 | $ | 688,190 | 6,803 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 409 | 5,691 | - | - | ||||||||||||
Redeemed | (1,953 | ) | (30,541 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 46,265 | $ | 663,340 | 6,803 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class R3 | ||||||||||||||||
Sold | 139,548 | $ | 2,086,186 | 29,970 | $ | 434,468 | ||||||||||
Issued as reinvestment of dividends | 6,605 | 92,274 | 1,205 | 17,185 | ||||||||||||
Redeemed | (37,265 | ) | (538,119 | ) | (18,504 | ) | (273,671 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 108,888 | $ | 1,640,341 | 12,671 | $ | 177,982 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class I* | ||||||||||||||||
Sold | 11,522,250 | $ | 145,522,491 | 4,958,981 | $ | 76,898,175 | ||||||||||
Issued as reinvestment of dividends | 1,190,279 | 13,854,847 | - | - | ||||||||||||
Redeemed | (2,467,354 | ) | (31,047,934 | ) | (496,160 | ) | (7,687,739 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 10,245,175 | $ | 128,329,404 | 4,462,821 | $ | 69,210,436 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class R5 | ||||||||||||||||
Sold | 1,912,873 | $ | 24,018,377 | 2,951,304 | $ | 45,364,093 | ||||||||||
Issued as reinvestment of dividends | 4,760,142 | 55,408,047 | 2,876,748 | 42,316,955 | ||||||||||||
Redeemed | (9,339,471 | ) | (117,795,580 | ) | (9,317,679 | ) | (143,666,395 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,666,456 | ) | $ | (38,369,156 | ) | (3,489,627 | ) | $ | (55,985,347 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Service Class | ||||||||||||||||
Sold | 459,996 | $ | 5,832,457 | 717,566 | $ | 11,221,479 | ||||||||||
Issued as reinvestment of dividends | 324,367 | 3,769,141 | 191,101 | 2,807,276 | ||||||||||||
Redeemed | (531,882 | ) | (6,816,223 | ) | (906,556 | ) | (13,821,770 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 252,481 | $ | 2,785,375 | 2,111 | $ | 206,985 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Administrative Class | ||||||||||||||||
Sold | 585,599 | $ | 7,200,902 | 424,330 | $ | 6,479,471 | ||||||||||
Issued as reinvestment of dividends | 262,663 | 3,039,005 | 121,841 | 1,782,541 | ||||||||||||
Redeemed | (446,641 | ) | (5,545,304 | ) | (400,020 | ) | (6,105,195 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 401,621 | $ | 4,694,603 | 146,151 | $ | 2,156,817 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class A | ||||||||||||||||
Sold | 764,735 | $ | 9,617,896 | 705,460 | $ | 10,533,126 | ||||||||||
Issued as reinvestment of dividends | 832,764 | 9,376,918 | 358,804 | 5,134,481 | ||||||||||||
Redeemed | (1,171,938 | ) | (14,124,478 | ) | (875,794 | ) | (13,007,617 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 425,561 | $ | 4,870,336 | 188,470 | $ | 2,659,990 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class R4* | ||||||||||||||||
Sold | 23,736 | $ | 280,919 | 6,653 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 1,407 | 15,815 | - | - | ||||||||||||
Redeemed | (358 | ) | (4,317 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 24,785 | $ | 292,417 | 6,653 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
|
290
Table of Contents
Notes to Financial Statements (Continued)
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Equity Fund Class R3* | ||||||||||||||||
Sold | 41,257 | $ | 494,060 | 6,653 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 1,389 | 15,616 | - | - | ||||||||||||
Redeemed | (2,058 | ) | (24,396 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 40,588 | $ | 485,280 | 6,653 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class I | ||||||||||||||||
Sold | 4,409,170 | $ | 48,926,480 | 2,954,465 | $ | 35,684,840 | ||||||||||
Issued as reinvestment of dividends | 159,991 | 1,724,701 | 127,758 | 1,494,775 | ||||||||||||
Redeemed | (2,274,672 | ) | (24,615,409 | ) | (1,356,992 | ) | (16,318,615 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,294,489 | $ | 26,035,772 | 1,725,231 | $ | 20,861,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class R5 | ||||||||||||||||
Sold | 149,435 | $ | 1,721,513 | 135,141 | $ | 1,649,145 | ||||||||||
Issued as reinvestment of dividends | 8,550 | 93,369 | 6,857 | 81,186 | ||||||||||||
Redeemed | (87,773 | ) | (995,702 | ) | (11,227 | ) | (132,266 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 70,212 | $ | 819,180 | 130,771 | $ | 1,598,065 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Service Class | ||||||||||||||||
Sold | 763,288 | $ | 8,428,013 | 3,988 | $ | 48,036 | ||||||||||
Issued as reinvestment of dividends | 265 | 2,863 | 182 | 2,132 | ||||||||||||
Redeemed | (20,159 | ) | (232,478 | ) | (655 | ) | (7,938 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 743,394 | $ | 8,198,398 | 3,515 | $ | 42,230 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Administrative Class | ||||||||||||||||
Sold | 22,565 | $ | 251,973 | 42,744 | $ | 480,813 | ||||||||||
Issued as reinvestment of dividends | 334 | 3,624 | 79 | 926 | ||||||||||||
Redeemed | (9,874 | ) | (108,077 | ) | (17,553 | ) | (203,726 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 13,025 | $ | 147,520 | 25,270 | $ | 278,013 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class A | ||||||||||||||||
Sold | 14,164 | $ | 159,503 | 39,169 | $ | 469,121 | ||||||||||
Issued as reinvestment of dividends | 440 | 4,729 | 181 | 2,112 | ||||||||||||
Redeemed | (32,744 | ) | (367,428 | ) | (29,247 | ) | (318,017 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (18,140 | ) | $ | (203,196 | ) | 10,103 | $ | 153,216 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class R4* | ||||||||||||||||
Sold | 3,613 | $ | 39,541 | 8,591 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 79 | 850 | - | - | ||||||||||||
Redeemed | (49 | ) | (512 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3,643 | $ | 39,879 | 8,591 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class R3* | ||||||||||||||||
Sold | 14,221 | $ | 160,366 | 8,591 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 61 | 652 | - | - | ||||||||||||
Redeemed | (2,703 | ) | (29,234 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 11,579 | $ | 131,784 | 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. |
+ | Amount rounds to less than 0.5 share. |
291
Table of Contents
Notes to Financial Statements (Continued)
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, 2015, 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, 2015, were waived for any redemptions or exchanges subject to such a charge.
6. | Federal Income Tax Information |
At September 30, 2015, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Short-Duration Bond Fund | $ | 538,631,175 | $ | 8,725,305 | $ | (16,270,217 | ) | $ | (7,544,912 | ) | ||||||
Inflation-Protected and Income Fund | 599,191,570 | 6,784,376 | (17,509,424 | ) | (10,725,048 | ) | ||||||||||
Core Bond Fund | 1,918,035,779 | 28,748,109 | (39,741,733 | ) | (10,993,624 | ) | ||||||||||
Diversified Bond Fund | 213,634,291 | 3,436,304 | (5,714,487 | ) | (2,278,183 | ) | ||||||||||
High Yield Fund | 280,644,580 | 3,169,436 | (18,188,525 | ) | (15,019,089 | ) | ||||||||||
Balanced Fund | 133,370,949 | 3,117,574 | (7,621,535 | ) | (4,503,961 | ) | ||||||||||
Value Fund | 65,808,800 | 5,126,994 | (5,023,009 | ) | 103,985 | |||||||||||
Disciplined Value Fund | 310,388,444 | 11,027,003 | (27,375,293 | ) | (16,348,290 | ) | ||||||||||
Main Street Fund | 121,969,857 | 9,393,514 | (9,185,625 | ) | 207,889 | |||||||||||
Disciplined Growth Fund | 443,182,757 | 23,877,605 | (28,096,724 | ) | (4,219,119 | ) | ||||||||||
Small Cap Opportunities Fund | 159,808,421 | 16,677,479 | (13,933,057 | ) | 2,744,422 | |||||||||||
Global Fund | 272,632,344 | 113,168,763 | (14,080,058 | ) | 99,088,705 | |||||||||||
International Equity Fund | 525,086,436 | 55,977,740 | (51,082,781 | ) | 4,894,959 | |||||||||||
Strategic Emerging Markets Fund | 180,117,038 | 7,102,365 | (36,929,099 | ) | (29,826,734 | ) |
Note: The aggregate cost for investments for the Money Market Fund at September 30, 2015, 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, 2015, the following Fund(s) had available, for federal income tax purposes, pre-enactment unused capital losses:
Expiring 2016 | Expiring 2017 | |||||||
Money Market Fund | $ | 815,168 | $ | - | ||||
Value Fund | - | 32,671,219 |
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At September 30, 2015, 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 | $ | 208,718 | $ | 2,502,761 | ||||
High Yield Fund | 191,695 | - | ||||||
Strategic Emerging Markets Fund | 2,203,409 | 2,503,818 |
Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.
The following Fund(s) elected to defer to the fiscal year beginning October 1, 2015, post-October capital losses:
Post-October Loss | ||||
Short-Duration Bond Fund | $ | 1,441,561 | ||
High Yield Fund | 7,454,105 | |||
Strategic Emerging Markets Fund | 9,789,896 |
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, 2015, was as follows:
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
Money Market Fund | $ | 21,751 | $ | - | $ | - | ||||||
Short-Duration Bond Fund | 13,112,744 | - | - | |||||||||
Inflation-Protected and Income Fund | 8,026,311 | - | - | |||||||||
Core Bond Fund | 43,089,362 | 1,123,333 | - | |||||||||
Diversified Bond Fund | 3,134,906 | - | - | |||||||||
High Yield Fund | 19,489,380 | 3,576,643 | - | |||||||||
Balanced Fund | 9,477,666 | 6,771,653 | - | |||||||||
Value Fund | 1,507,623 | - | - | |||||||||
Disciplined Value Fund | 5,842,446 | - | - | |||||||||
Main Street Fund | 1,627,208 | 4,282,870 | - | |||||||||
Disciplined Growth Fund | 31,936,491 | 25,208,104 | - | |||||||||
Small Cap Opportunities Fund | 4,414,401 | 22,478,814 | - | |||||||||
Global Fund | 4,038,986 | 18,548,575 | - | |||||||||
International Equity Fund | 6,038,494 | 79,441,597 | - | |||||||||
Strategic Emerging Markets Fund | 1,830,788 | - | - |
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 | - |
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Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
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 | - | |||||||||
Strategic Emerging Markets Fund | 1,581,131 | - | - |
The following Fund(s) have elected to pass through the foreign tax credit for the year ended September 30, 2015:
Amount | ||||
Global Fund | $ | 307,202 | ||
International Equity Fund | 530,403 | |||
Strategic Emerging Markets Fund | 239,711 |
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, 2015, 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, partnership basis adjustment, non-taxable dividends, the deferral of wash sale losses, and deferred Trustee compensation.
At September 30, 2015, 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 | $ | 11,964 | $ | (815,168 | ) | $ | (97,563 | ) | $ | - | ||||||
Short-Duration Bond Fund | 10,216,945 | - | (1,527,122 | ) | (7,550,585 | |||||||||||
Inflation-Protected and Income Fund | 3,666,654 | (2,711,479 | ) | (46,378 | ) | (10,725,681 | ) | |||||||||
Core Bond Fund | 40,308,410 | 7,553,632 | (260,219 | ) | (11,014,340 | ) | ||||||||||
Diversified Bond Fund | 3,940,669 | - | (52,360 | ) | (2,299,508 | ) | ||||||||||
High Yield Fund | 12,690,320 | (191,695 | ) | (7,485,934 | ) | (15,019,089 | ) | |||||||||
Balanced Fund | 2,899,155 | 8,256,123 | (30,206 | ) | (4,504,413 | ) | ||||||||||
Value Fund | 742,341 | (32,671,219 | ) | (54,231 | ) | 103,985 | ||||||||||
Disciplined Value Fund | 4,443,245 | 5,750,025 | (46,906 | ) | (16,348,290 | ) | ||||||||||
Main Street Fund | 3,683,208 | 37,844,624 | (27,588 | ) | 207,374 | |||||||||||
Disciplined Growth Fund | 7,809,663 | 29,074,304 | (44,149 | ) | (4,219,119 | ) | ||||||||||
Small Cap Opportunities Fund | 724,909 | 15,547,797 | (40,499 | ) | 2,744,422 | |||||||||||
Global Fund | 2,636,067 | 27,793,133 | (60,399 | ) | 98,979,619 | |||||||||||
International Equity Fund | 5,186,951 | 17,496,662 | (109,666 | ) | 4,714,095 | |||||||||||
Strategic Emerging Markets Fund | 1,131,580 | (4,707,227 | ) | (9,808,498 | ) | (30,394,747 | ) |
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During the year ended September 30, 2015, 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 | $ | 481 | $ | (3,289 | ) | $ | 2,808 | |||||
Short-Duration Bond Fund | 365 | (3,654,114 | ) | 3,653,749 | ||||||||
Inflation-Protected and Income Fund | 186 | (2,138,686 | ) | 2,138,500 | ||||||||
Core Bond Fund | 1,150 | (2,106,836 | ) | 2,105,686 | ||||||||
Diversified Bond Fund | 150 | (230,045 | ) | 229,895 | ||||||||
High Yield Fund | (122 | ) | (602,460 | ) | 602,582 | |||||||
Balanced Fund | 146 | (50,322 | ) | 50,176 | ||||||||
Value Fund | 318 | 61,128 | (61,446 | ) | ||||||||
Disciplined Value Fund | 191 | 61,501 | (61,692 | ) | ||||||||
Main Street Fund | 115 | 21,811 | (21,926 | ) | ||||||||
Disciplined Growth Fund | 159 | 123,690 | (123,849 | ) | ||||||||
Small Cap Opportunities Fund | 159,135 | (188,733 | ) | 29,598 | ||||||||
Global Fund | 254 | 300,141 | (300,395 | ) | ||||||||
International Equity Fund | 537 | 258,914 | (259,451 | ) | ||||||||
Strategic Emerging Markets Fund | 71 | (38,158 | ) | 38,087 |
The Funds did not have any unrecognized tax benefits at September 30, 2015, 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, 2015, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
7. | Investment in Affiliated Issuers |
A summary of the Funds’ transactions in the securities of affiliated issuers during the year ended September 30, 2015, was as follows:
Number of Shares Held as of 9/30/14 | Purchases | Sales | Number of Shares Held as of 9/30/15 | Value as of 9/30/15 | Dividend Income | Net Realized Gain (Loss) | ||||||||||||||||||||||
Global Fund | ||||||||||||||||||||||||||||
Oppenheimer Institutional Money Market Fund Class E* | 4,937,438 | 69,561,123 | 69,475,514 | 5,023,047 | $ | 5,023,047 | $ | 9,255 | $ | - | ||||||||||||||||||
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International Equity Fund | ||||||||||||||||||||||||||||
Oppenheimer Institutional Money Market Fund Class E* | 14,748,135 | 118,509,725 | 127,301,438 | 5,956,422 | $ | 5,956,422 | $ | 16,704 | $ | - | ||||||||||||||||||
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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
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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 |
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 March 15, 2015. Management is currently evaluating the implications of these changes and their impact on the financial statements.
In May 2015, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2015-07, Fair Value Measurement (Topic 820): “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)” (“ASU 2015-07”) to address the diversity in practice of how investments measured at net asset value with redemption dates in the future (including periodic redemption dates) are categorized within the fair value hierarchy. ASU 2015-07 is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2015. Management is currently evaluating the implications of these changes and their impact to 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.
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, 2015, 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.
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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, 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, 2015, 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 statements 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, 2015, 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, 2015, the results of their operations for the year 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 24, 2015
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Trustees and Officers (Unaudited)
The following table lists the Trust’s Trustees and Officers as of September 30, 2015; 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 06082-1981, 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: 72 | Chairman
Trustee | Since
Since | Retired. | 92 | 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: 67 | Trustee | Since 2012 | Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts; President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation. | 92 | 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: 57 | Trustee
Chairman | Since 2003
(2006- 2012) | Chairman (since 2011), Academy of Executive Education, LLC; Consultant (2010-2011); Senior Associate Dean for External Relations (2009-2010), Thomas Henry Carroll Ford Foundation Adjunct Professor of Business Administration (2009-2010), Harvard Business School. | 92 | Director (2011-2015), Argo Group International Holdings, Ltd.; 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: 61 | Trustee | Since 2004 | Retired. | 92 | 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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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: 68 | Trustee | Since 2012 | Retired. | 92 | 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: 73 | Trustee | Since 2012 | Retired. | 130*** | 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: 64 | Trustee | Since 2004 | Retired; President and Chief Executive Officer (2012-2014), PathoGenetix; Senior Vice President, Genzyme Business Excellence Initiative (2009-2011), Genzyme Corporation. | 92 | Director (since 2014), Flexion Therapeutics; Director (since 2014), InVivo Therapeutics; 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: 63 | 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). | 94^ | 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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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: 70 | Trustee | Since 2012 | Retired. | 94^ | Director (since 2013), Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc.; Director (2006-2014), Jefferies Group LLC (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: 60 | Trustee Vice Chairperson | Since (2011-2012) | Executive Vice President (since 2008), MassMutual Retirement Services Division, MassMutual; Chairman (since 2013), President, Chairman & CEO (2012-2013), Chairman & CEO (2008-2012), President & CEO (2006-2008), MassMutual International, LLC. | 92 | 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: 51 | Vice President | Since 2009 | Head of Investments and portfolio manager (since 2014), MML Advisers; Vice President (since 2008), MassMutual; 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). | 92 | ||||
Andrew M. Goldberg Age: 49 | 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). | 92 |
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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: 55 | 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). | 92 | ||||
Nicholas H. Palmerino Age: 50 | 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). | 92 | ||||
Philip S. Wellman Age: 51 | 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), 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). | 92 | ||||
Eric H. Wietsma Age: 49 | President
Vice President | Since 2008
(2006- | Director and President (since 2013), MML Advisers; Senior Vice President (since 2010), Corporate Vice President (2007-2010), MassMutual; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); Vice President (since 2006), MML Series Investment Fund (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company). | 92 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981. |
** | Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-two years. Such an exception was made for any Trustee who attained 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 Leucadia National Corporation, which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion. |
^^^ | 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, 2015, qualified for the dividends received deduction, as follows:
Dividends Received Deductions | ||||
Core Bond Fund | 0.19 | % | ||
Balanced Fund | 22.18 | % | ||
Value Fund | 97.11 | % | ||
Disciplined Value Fund | 100.00 | % | ||
Main Street Fund | 90.68 | % | ||
Disciplined Growth Fund | 20.67 | % | ||
Small Cap Opportunities Fund | 84.46 | % | ||
Global Fund | 60.84 | % |
For the year ended September 30, 2015, the following Fund(s) earned the following foreign sources of income:
Amount | ||||
Global Fund | $ | 5,906,850 | ||
International Equity Fund | 9,503,660 | |||
Strategic Emerging Markets Fund | 2,888,267 |
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, 2015:
Qualified Dividend Income | ||||
Short-Duration Bond Fund | 84,801 | |||
Core Bond Fund | 406,888 | |||
Diversified Bond Fund | 40,345 | |||
Balanced Fund | 1,925,031 | |||
Value Fund | 1,526,972 | |||
Disciplined Value Fund | 7,324,098 | |||
Main Street Fund | 2,835,151 | |||
Disciplined Growth Fund | 7,613,668 | |||
Small Cap Opportunities Fund | 1,669,315 | |||
Global Fund | 5,706,697 | |||
International Equity Fund | 9,003,654 | |||
Strategic Emerging Markets Fund | 1,783,608 |
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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 2015, 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, 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.
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, 2014. 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 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 High Yield Fund, Disciplined Value Fund, Disciplined Growth Fund, and Small Cap Opportunities Fund. The Committee also considered that the Core Bond Fund and Value Fund, each had expenses in the first or second quartile, and had performance that improved from the three-year period to the one-year period from the third comparative quartile to the first or second quartile. The Committee determined that further inquiry was not required in light of the improvement in each Fund’s performance. The Committee noted that the advisory fee breakpoints of each of the High Yield Fund, Disciplined Value Fund, Disciplined Growth Fund, and Core Bond Fund had been revised in the past year.
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 voluntarily waiving its fee in recent years to maintain a positive yield. The Committee considered that the Fund’s total gross expense ratio is below the Fund’s peer group median, and that the Fund’s advisory fee is at the peer group median. |
• | Diversified Bond Fund – The Committee considered MML Advisers’ statements that the Fund has achieved favorable long-term comparative performance and that, although the Fund’s total net expenses were 8 basis points above the Fund’s peer group median, the Fund’s advisory fee was in the first quartile. MML Advisers noted in its discussion that scale continues to be an issue affecting the Fund’s expense ratio. The Committee also considered that the Fund’s advisory fee breakpoints had been revised in the past year. |
• | Inflation-Protected and Income Fund – The Committee considered that the Fund achieved quite favorable performance for the one- and three-year periods. The Committee considered MML Advisers’ statements that the range of total net expense ratios among the Fund’s peers is quite limited, and that, although the Fund’s total net expense ratio is the highest within its peer group, it exceeded the peer median by only 8 basis points. The Committee also considered that the Fund’s advisory fee is only one basis point above the peer group median and that the Fund’s advisory fee breakpoints had been revised in the past year. |
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 one- and three-year performance in the third comparative quartile (54th and 52nd percentiles, respectively), and MML Advisers’ statement that despite the Fund’s recent underperformance, the Fund has a strong long-term record (performance for three of the past five years has been in the top half of the category) and MML Advisers has a high degree of confidence in the subadviser. |
• | Main Street Fund – The Committee noted that the Fund had experienced one- and three-year performance in the third and second comparative quartiles (73rd and 62nd percentiles, respectively). The Committee considered MML Advisers’ statements that the subadviser has produced solid long-term returns, and that the Fund’s recent underperformance is largely due to the high-quality orientation of the Fund, which has been out of favor in recent periods. The Committee noted that the Fund’s advisory fee breakpoints had been revised in the past year. |
• | Global Fund – The Committee considered that, although the Fund has achieved high (favorable) second-quartile comparative performance for the three-year period (26th percentile), its one-year performance was in the 60th percentile. The Committee considered MML Advisers’ statement that the underperformance in 2014 was the result of an underweight to U.S. stocks, and that MML Advisers remains highly satisfied with the subadviser’s long-term track record. The Committee noted that the Fund’s advisory fee breakpoints had been revised in the past year. |
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Other Information (Unaudited) (Continued)
• | International Equity Fund – The Committee noted that, although the Fund had achieved 1st percentile comparative performance for the three-year period, it had experienced fourth-quartile performance for the one-year period (86th percentile). The Committee considered MML Advisers’ statement that the subadviser’s strategy results in a portfolio that is highly differentiated from the Fund’s benchmark index and most of the Fund’s peers, and that this differentiation can lead to underperformance in any given year. The Committee considered that MML Advisers remains highly confident in the subadviser. |
• | Strategic Emerging Markets Fund – The Committee considered that the Fund has experienced fourth-quartile comparative performance for the one- and three-year periods (80th and 92nd percentiles, respectively). The Committee noted that 2014 was just the first full calendar year of performance for the Fund’s new portfolio manager and that MML Advisers continues to have a high degree of confidence in the Fund’s subadviser. The Committee also noted that the Fund’s advisory fee breakpoints had been revised in the past year. |
The Committee considered information regarding the Short-Duration Bond Fund, which had underperformed in recent periods compared to its peers, and had expenses in the third comparative quartile. The Committee considered that, although the Fund’s performance for the three-year period was in the third comparative quartile (65th percentile), its performance for the one-year period had improved to the 43rd percentile. The Committee noted that the Fund’s total net expense ratio was only one basis point above the peer median, and that its advisory fee was below the peer median. The Committee also noted that the Fund’s advisory fee breakpoints had been revised in the past year.
At the May meeting, MML Advisers also proposed new management fee breakpoints for the Money Market Fund.
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.
The amendment to the advisory agreement for the Money Market Fund became effective on June 1, 2015.
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Other Information (Unaudited) (Continued)
Fund Expenses September 30, 2015
Expense Examples:
The following information is in regards to expenses for the six months ended September 30, 2015:
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, 2015.
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 | 0.14 | % | $ | 1,000.00 | $ | 0.70 | $ | 1,024.40 | $ | 0.71 | ||||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.41 | % | 1,003.80 | 2.06 | 1,023.00 | 2.08 | |||||||||||||||||
Class R5 | 1,000 | 0.51 | % | 1,003.80 | 2.56 | 1,022.50 | 2.59 | |||||||||||||||||
Service Class | 1,000 | 0.61 | % | 1,003.90 | 3.06 | 1,022.00 | 3.09 | |||||||||||||||||
Administrative Class | 1,000 | 0.71 | % | 1,001.90 | 3.56 | 1,021.50 | 3.60 | |||||||||||||||||
Class A | 1,000 | 0.96 | % | 1,001.00 | 4.82 | 1,020.30 | 4.86 | |||||||||||||||||
Class R4 | 1,000 | 0.85 | % | 1,001.90 | 4.27 | 1,020.80 | 4.31 | |||||||||||||||||
Class R3 | 1,000 | 1.11 | % | 1,001.00 | 5.57 | 1,019.50 | 5.62 |
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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 | 0.48 | % | $ | 977.00 | $ | 2.38 | $ | 1,022.70 | $ | 2.43 | ||||||||||||
Class R5 | 1,000 | 0.58 | % | 976.10 | 2.87 | 1,022.20 | 2.94 | |||||||||||||||||
Service Class | 1,000 | 0.68 | % | 976.00 | 3.37 | 1,021.70 | 3.45 | |||||||||||||||||
Administrative Class | 1,000 | 0.78 | % | 976.20 | 3.86 | 1,021.20 | 3.95 | |||||||||||||||||
Class A | 1,000 | 1.03 | % | 973.70 | 5.10 | 1,019.90 | 5.22 | |||||||||||||||||
Class R4 | 1,000 | 0.93 | % | 975.60 | 4.61 | 1,020.40 | 4.71 | |||||||||||||||||
Class R3 | 1,000 | 1.20 | % | 973.70 | 5.94 | 1,019.10 | 6.07 | |||||||||||||||||
Core Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.42 | % | 984.30 | 2.09 | 1,023.00 | 2.13 | |||||||||||||||||
Class R5 | 1,000 | 0.52 | % | 984.30 | 2.59 | 1,022.50 | 2.64 | |||||||||||||||||
Service Class | 1,000 | 0.62 | % | 983.40 | 3.08 | 1,022.00 | 3.14 | |||||||||||||||||
Administrative Class | 1,000 | 0.72 | % | 983.30 | 3.58 | 1,021.50 | 3.65 | |||||||||||||||||
Class A | 1,000 | 0.97 | % | 981.30 | 4.82 | 1,020.20 | 4.91 | |||||||||||||||||
Class R4 | 1,000 | 0.87 | % | 982.20 | 4.32 | 1,020.70 | 4.41 | |||||||||||||||||
Class R3 | 1,000 | 1.12 | % | 980.80 | 5.56 | 1,019.50 | 5.67 | |||||||||||||||||
Diversified Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.52 | % | 980.80 | 2.58 | 1,022.50 | 2.64 | |||||||||||||||||
Class R5 | 1,000 | 0.62 | % | 979.40 | 3.08 | 1,022.00 | 3.14 | |||||||||||||||||
Service Class | 1,000 | 0.72 | % | 978.70 | 3.57 | 1,021.50 | 3.65 | |||||||||||||||||
Administrative Class | 1,000 | 0.82 | % | 978.60 | 4.07 | 1,021.00 | 4.15 | |||||||||||||||||
Class A | 1,000 | 1.07 | % | 976.60 | 5.30 | 1,019.70 | 5.42 | |||||||||||||||||
Class R4 | 1,000 | 0.97 | % | 978.50 | 4.81 | 1,020.20 | 4.91 | |||||||||||||||||
Class R3 | 1,000 | 1.22 | % | 976.50 | 6.04 | 1,019.00 | 6.17 | |||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.55 | % | 977.10 | 2.73 | 1,022.30 | 2.79 | |||||||||||||||||
Class R5 | 1,000 | 0.65 | % | 977.20 | 3.22 | 1,021.80 | 3.29 | |||||||||||||||||
Service Class | 1,000 | 0.75 | % | 976.20 | 3.72 | 1,021.30 | 3.80 | |||||||||||||||||
Administrative Class | 1,000 | 0.85 | % | 974.80 | 4.21 | 1,020.80 | 4.31 | |||||||||||||||||
Class A | 1,000 | 1.10 | % | 973.60 | 5.44 | 1,019.60 | 5.57 | |||||||||||||||||
Class R4 | 1,000 | 1.00 | % | 974.60 | 4.95 | 1,020.10 | 5.06 | |||||||||||||||||
Class R3 | 1,000 | 1.25 | % | 974.10 | 6.19 | 1,018.80 | 6.33 | |||||||||||||||||
Balanced Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.60 | % | 944.90 | 2.93 | 1,022.10 | 3.04 | |||||||||||||||||
Class R5 | 1,000 | 0.70 | % | 944.10 | 3.41 | 1,021.60 | 3.55 | |||||||||||||||||
Service Class | 1,000 | 0.80 | % | 943.90 | 3.90 | 1,021.10 | 4.05 | |||||||||||||||||
Administrative Class | 1,000 | 0.90 | % | 943.40 | 4.38 | 1,020.60 | 4.56 | |||||||||||||||||
Class A | 1,000 | 1.15 | % | 942.10 | 5.60 | 1,019.30 | 5.82 | |||||||||||||||||
Class R4 | 1,000 | 1.05 | % | 942.00 | 5.11 | 1,019.80 | 5.32 | |||||||||||||||||
Class R3 | 1,000 | 1.30 | % | 941.10 | 6.33 | 1,018.60 | 6.58 | |||||||||||||||||
Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.60 | % | 931.70 | 2.91 | 1,022.10 | 3.04 | |||||||||||||||||
Class R5 | 1,000 | 0.70 | % | 931.20 | 3.39 | 1,021.60 | 3.55 | |||||||||||||||||
Service Class | 1,000 | 0.80 | % | 931.00 | 3.87 | 1,021.10 | 4.05 | |||||||||||||||||
Administrative Class | 1,000 | 0.90 | % | 930.50 | 4.36 | 1,020.60 | 4.56 | |||||||||||||||||
Class A | 1,000 | 1.15 | % | 929.10 | 5.56 | 1,019.30 | 5.82 | |||||||||||||||||
Class R4 | 1,000 | 1.05 | % | 929.40 | 5.08 | 1,019.80 | 5.32 | |||||||||||||||||
Class R3 | 1,000 | 1.30 | % | 928.20 | 6.28 | 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 | 0.53 | % | $ | 920.70 | $ | 2.55 | $ | 1,022.40 | $ | 2.69 | ||||||||||||
Class R5 | 1,000 | 0.63 | % | 920.20 | 3.03 | 1,021.90 | 3.19 | |||||||||||||||||
Service Class | 1,000 | 0.73 | % | 919.70 | 3.51 | 1,021.40 | 3.70 | |||||||||||||||||
Administrative Class | 1,000 | 0.83 | % | 919.10 | 3.99 | 1,020.90 | 4.20 | |||||||||||||||||
Class A | 1,000 | 1.08 | % | 918.50 | 5.19 | 1,019.70 | 5.47 | |||||||||||||||||
Class R4 | 1,000 | 0.98 | % | 918.40 | 4.71 | 1,020.20 | 4.96 | |||||||||||||||||
Class R3 | 1,000 | 1.23 | % | 917.80 | 5.91 | 1,018.90 | 6.23 | |||||||||||||||||
Main Street Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.67 | % | 949.60 | 3.27 | 1,021.70 | 3.40 | |||||||||||||||||
Class R5 | 1,000 | 0.78 | % | 948.90 | 3.81 | 1,021.20 | 3.95 | |||||||||||||||||
Service Class | 1,000 | 0.88 | % | 948.80 | 4.30 | 1,020.70 | 4.46 | |||||||||||||||||
Administrative Class | 1,000 | 0.98 | % | 948.10 | 4.79 | 1,020.20 | 4.96 | |||||||||||||||||
Class A | 1,000 | 1.23 | % | 947.00 | 6.00 | 1,018.90 | 6.23 | |||||||||||||||||
Class R4 | 1,000 | 1.13 | % | 947.00 | 5.52 | 1,019.40 | 5.72 | |||||||||||||||||
Class R3 | 1,000 | 1.37 | % | 946.60 | 6.69 | 1,018.20 | 6.93 | |||||||||||||||||
Disciplined Growth Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.50 | % | 936.60 | 2.43 | 1,022.60 | 2.54 | |||||||||||||||||
Class R5 | 1,000 | 0.60 | % | 936.60 | 2.91 | 1,022.10 | 3.04 | |||||||||||||||||
Service Class | 1,000 | 0.70 | % | 936.70 | 3.40 | 1,021.60 | 3.55 | |||||||||||||||||
Administrative Class | 1,000 | 0.80 | % | 935.60 | 3.88 | 1,021.10 | 4.05 | |||||||||||||||||
Class A | 1,000 | 1.05 | % | 934.30 | 5.09 | 1,019.80 | 5.32 | |||||||||||||||||
Class R4 | 1,000 | 0.95 | % | 935.10 | 4.61 | 1,020.30 | 4.81 | |||||||||||||||||
Class R3 | 1,000 | 1.20 | % | 934.20 | 5.82 | 1,019.10 | 6.07 | |||||||||||||||||
Small Cap Opportunities Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.69 | % | 886.00 | 3.26 | 1,021.60 | 3.50 | |||||||||||||||||
Class R5 | 1,000 | 0.80 | % | 884.80 | 3.78 | 1,021.10 | 4.05 | |||||||||||||||||
Service Class | 1,000 | 0.90 | % | 884.70 | 4.25 | 1,020.60 | 4.56 | |||||||||||||||||
Administrative Class | 1,000 | 1.00 | % | 884.00 | 4.72 | 1,020.10 | 5.06 | |||||||||||||||||
Class A | 1,000 | 1.25 | % | 882.90 | 5.90 | 1,018.80 | 6.33 | |||||||||||||||||
Class R4 | 1,000 | 1.15 | % | 883.90 | 5.43 | 1,019.30 | 5.82 | |||||||||||||||||
Class R3 | 1,000 | 1.39 | % | 882.60 | 6.56 | 1,018.10 | 7.03 | |||||||||||||||||
Global Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.84 | % | 915.30 | 4.03 | 1,020.90 | 4.26 | |||||||||||||||||
Class R5 | 1,000 | 0.95 | % | 914.60 | 4.56 | 1,020.30 | 4.81 | |||||||||||||||||
Service Class | 1,000 | 1.04 | % | 914.70 | 4.99 | 1,019.90 | 5.27 | |||||||||||||||||
Administrative Class | 1,000 | 1.15 | % | 913.90 | 5.52 | 1,019.30 | 5.82 | |||||||||||||||||
Class A | 1,000 | 1.40 | % | 913.10 | 6.71 | 1,018.00 | 7.08 | |||||||||||||||||
Class R4 | 1,000 | 1.29 | % | 913.00 | 6.19 | 1,018.60 | 6.53 | |||||||||||||||||
Class R3 | 1,000 | 1.54 | % | 912.00 | 7.38 | 1,017.30 | 7.79 | |||||||||||||||||
International Equity Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.96 | % | 942.10 | 4.67 | 1,020.30 | 4.86 | |||||||||||||||||
Class R5 | 1,000 | 1.05 | % | 941.30 | 5.11 | 1,019.80 | 5.32 | |||||||||||||||||
Service Class | 1,000 | 1.15 | % | 941.10 | 5.60 | 1,019.30 | 5.82 | |||||||||||||||||
Administrative Class | 1,000 | 1.25 | % | 940.80 | 6.08 | 1,018.80 | 6.33 | |||||||||||||||||
Class A | 1,000 | 1.50 | % | 940.00 | 7.29 | 1,017.50 | 7.59 | |||||||||||||||||
Class R4 | 1,000 | 1.41 | % | 939.90 | 6.86 | 1,018.00 | 7.13 | |||||||||||||||||
Class R3 | 1,000 | 1.66 | % | 938.20 | 8.07 | 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* | |||||||||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 1.05 | % | $ | 833.20 | $ | 4.83 | $ | 1,019.80 | $ | 5.32 | ||||||||||||
Class R5 | 1,000 | 1.15 | % | 833.30 | 5.29 | 1,019.30 | 5.82 | |||||||||||||||||
Service Class | 1,000 | 1.25 | % | 833.00 | 5.74 | 1,018.80 | 6.33 | |||||||||||||||||
Administrative Class | 1,000 | 1.35 | % | 832.30 | 6.20 | 1,018.30 | 6.83 | |||||||||||||||||
Class A | 1,000 | 1.60 | % | 831.50 | 7.35 | 1,017.00 | 8.09 | |||||||||||||||||
Class R4 | 1,000 | 1.50 | % | 831.70 | 6.89 | 1,017.50 | 7.59 | |||||||||||||||||
Class R3 | 1,000 | 1.75 | % | 831.50 | 8.03 | 1,016.30 | 8.85 |
* | Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2015, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 365 days in the year, unless stated otherwise. |
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Underwriter:
MML Distributors, LLC
100 Bright Meadow Blvd.
Enfield, CT 06082-1981
©2015 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-38080-00 |
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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
“In our view, the market environment during the past year underscores the importance of taking a long-term perspective and avoiding reacting to current events or short-term market changes.”
September 30, 2015
The return of market volatility challenges retirement investors
Welcome to the MassMutual Barings Dynamic Allocation Fund Annual Report, covering the year ended September 30, 2015 (the “fiscal year”). U.S. stocks outperformed international shares across the board during the fiscal year, as continued growth here contrasted with weakness in many of the world’s other large economies, including Europe and China. The economic difficulties elsewhere, which were exacerbated by low oil prices, created a challenging investing environment that left some major U.S. and international stock indexes in negative territory for the fiscal year. While the market volatility that re-emerged in this 12-month period in general – and the final quarter in particular – presented a significant challenge, it can serve to remind investors that market conditions are cyclical and subject to change at any time.
In our view, the market environment during the past year underscores the importance of taking a long-term perspective and avoiding reacting to current events or short-term market changes. We also believe retirement investors are wise to maintain a plan that focuses on their goals, how long they have to invest, and how comfortable they are with the ups and downs of the market.
Suggestions for retirement investors under any market conditions
• | You are likely in it for the long run. Investing for retirement is not something that happens overnight. Many people save and invest for retirement throughout their working years. It may help you to keep in mind that, although the financial markets will go up and down over time, taking a long-term approach to investing gives you more time to ride out the downturns as you work toward your long-term investment goals. |
• | Keep investing. Of course, you can’t control the performance of your investments. What you can control, however, is how often and how much you save. Contributing to your retirement account on a regular basis and increasing your contribution level as often possible can help you boost your retirement savings.* |
• | Monitor your asset allocation and diversify. Stocks, bonds, and short-term/money market investments are asset classes that tend to behave differently, depending upon the economic and market environment. Those broad asset classes contain an even greater array of asset sub-categories (such as small-cap stocks, international stocks, and high-yield bonds). Most financial professionals agree that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing asset types by selecting a number of investments that represent a mix of asset classes and sub-categories.* |
Who and what matter most
We believe “Who Matters Most to You Says the Most About You.” Helping our customers prepare for the kind of financial future they see for themselves matters most to us. That’s why we encourage you to maintain perspective when it comes to retirement investing, despite short-term changes in the markets or day-to-day events that may seem unsettling. Our view is that changing market conditions have the potential to reward patient investors. 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 continued confidence and trust in us.
Sincerely,
Eric Wietsma
President
* | Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels. |
The information provided is the opinion of MassMutual Retirement Services Investments Marketing as of 10/1/15 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, 2015
Stocks mixed in a year of economic weakness abroad and low oil prices
Major U.S. stock indexes had mixed results in a volatile environment for the year ended September 30, 2015 (the “fiscal year”), with small-company and technology stocks edging out blue-chip and large-company stocks on investor concerns about the impact of the substantial economic weakness in foreign markets critical to many large U.S. companies. High-quality U.S. bonds advanced for the year and outperformed some of the main broad stock indexes, as many investors sought cover in the traditionally safer investments amid the market choppiness. Foreign stocks, particularly those from emerging markets, fell substantially due to economic events and issues in Europe and China, dramatically lower oil prices, and the strength of the U.S. dollar versus other benchmark currencies.
The Federal Reserve (the “Fed”) made the last monthly purchases related to the Quantitative Easing program (QE) in October 2014, and Fed watchers ramped up speculation about when the central bank would see the U.S. economy as strong enough to begin increasing the federal funds rate. (The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight.) Investors drove market volatility in reaction to economic data and statements by the Fed that possibly offered clues about when increases might start. The U.S. economy continued to show improvement in key measures, including in unemployment and some price categories; but the threat to U.S. growth represented by the nearly worldwide economic slowdown and unsettling news from China contributed to the Fed’s decision to delay increasing interest rates before the end of the fiscal year. As a result, short-term interest rates continued at historically low levels, with the Fed maintaining the federal funds rate at 0.0% to 0.25% – the level the rate has occupied since December 2008.
The price of crude oil had already fallen from a high of more than $106 per barrel in early summer 2014 to $90.74 on October 1, 2014, the start of the fiscal year. Slowing economic growth and falling demand in foreign markets combined with an overabundant supply drove investor concerns about oil, which lost about half its value over the next six months before finally hitting a low of $43.39 in mid-March 2015. Oil rallied as high as $61.36 in June, but eventually dropped to $38.22 in the late-August market turmoil and finished the fiscal year, on September 30, at $45.06. U.S. retail gasoline prices drove a similar road and gave drivers the lowest gas prices in nearly five years. Gold prices peaked in late January 2015 at $1,295.75 per ounce then lost luster for much of the rest of the fiscal year and finished at $1,114.00.
Market performance
Despite results that landed some of the more well-known U.S. equity benchmarks in negative territory for the fiscal year, U.S. stocks outperformed international shares across the board. The technology-focused NASDAQ Composite® Index rose 4.00% and the Russell 2000® Index of small-capitalization stocks advanced 1.25%. Conversely, the S&P 500® Index of large-capitalization U.S. stocks lost 0.61% and the blue-chip Dow Jones Industrial AverageSM shed 2.11%, as the strong U.S. dollar made American goods more expensive in foreign markets and the nearly worldwide economic slowdown reduced demand. The impact of the slowdown was even more pronounced in international markets, with the MSCI EAFE® Index, a barometer for foreign stocks in developed markets, falling 8.66%, and the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, declining 19.28%.*
Bonds rewarded investors during the fiscal year, with the Barclays U.S. Aggregate Bond Index, a broad measure of U.S. investment-grade bond performance, rising 2.94%. The performance of shorter-term debt investments reflected the unrelenting low interest rate environment, and the Barclays U.S. 1-3 Year Government Bond Index, which measures the performance of short-term U.S. government bonds, returned just 1.20%. Treasury bills, as measured by the Citigroup 3-Month Treasury Bill Index, gained only 0.02%. The impact of lower oil prices on energy companies during the fiscal year worked against high-yield bonds, as many issuers of such bonds are energy companies. In this environment, the Barclays U.S. Corporate High-Yield Index, a measure of the performance of fixed-rate, non-investment-grade debt from corporate sectors, dropped 3.43% for the year.*
* | 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)
Q4 2014: Volatility increases, but U.S. stocks advance
Investors shook off numerous concerns to drive U.S. stocks to healthy gains in the fourth quarter of 2014. Plunging crude oil prices and disappointing economic data from Europe and China were a couple of the factors that kept investors on edge and contributed to two short sell-offs during the quarter. In November, the market reacted positively to the results of the U.S. midterm elections, but the impact was muted, as investors had anticipated Republicans would take control of the U.S. Senate for weeks prior to the elections.
Oil’s decline – partly a result of increasing supply from North American shale beds – accelerated in late November after the Organization of Petroleum Exporting Countries (OPEC) announced its decision not to cut production. Good news on the U.S. economy was a major factor that lifted share prices. Gross domestic product (GDP), a measure of all final goods and services produced in the nation, expanded by an upwardly revised 5.0% in the third quarter of 2014, its fastest pace since the third quarter of 2003. This strong performance stood in stark contrast to near-recessionary conditions afflicting most other key developed nations. Notably, the 18-member euro zone barely managed positive economic growth during the third quarter and rose just 0.2%. Foreign markets underperformed, as the U.S. dollar rose against other major currencies driven by U.S. economic strength and declining oil prices.
Q1 2015: Market momentum cools amid increasing talk of Fed rate hikes
In the first quarter of 2015, U.S. stocks declined in January and March, but produced strong gains in February. When the dust settled at the end of March, some key market benchmarks were not far from where they started the quarter. Much of the downside volatility in January was due to further weakness in crude oil prices. A surging U.S. dollar also fueled concern about multinational companies that derive a significant portion of their profits from overseas, especially Europe.
February brought renewed optimism among stock investors amid some stabilization in oil’s price and favorable corporate earnings reports. However, stocks surrendered some of those gains in March, as a better-than-expected February employment report raised the possibility that the Fed might speed up its timetable for raising short-term interest rates. Other reports offered a mixed picture of the U.S. economy, however. According to data released in the first quarter, GDP expanded by a relatively modest 2.2% in the fourth quarter of 2014, which also included weak durable goods orders and retail sales.
The possibility of Greece defaulting on its debt following the January election of Prime Minister Alexis Tsipras (who had run a campaign against austerity), air strikes in Yemen by Saudi Arabia, and concern about the upcoming second-quarter earnings season were other factors unsettling the market as the first quarter wound to a close.
Q2 2015: Greek debt crisis drives increased volatility
U.S. stocks were choppy in the second quarter of 2015, and most indexes made little headway in either direction. Investors sought clarity on a number of issues, including the debt problems of Greece, the sustainability of the U.S. economic recovery following a weak first quarter, when the Fed’s first interest-rate hike since mid-2006 could occur, and the near-term path of crude oil and the U.S. dollar.
Despite repeated efforts to forge an agreement with other countries in the European Union to reschedule its debt, Greece was unable to make a loan payment to the International Monetary Fund of €1.6 billion (euro), or roughly $1.8 billion, by a June 30 deadline. The default resulted in Greek banks and markets closing the week of June 29 through July 3. Global stock markets fell sharply in response on Monday, June 29, but stabilized on the final day of the quarter.
On the U.S. economic front, the news was somewhat encouraging – but still mixed. First-quarter GDP had originally been reported at -0.7% but underwent an upward revision to -0.2%. Nonfarm payrolls bounced back nicely in April and May after falling well short of estimates in March; however, industrial production remained weak amid challenges from lower oil prices and the stronger dollar.
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Table of Contents
MassMutual Barings Dynamic Allocation Fund – Economic and Market Overview (Unaudited) (Continued)
The Fed’s Open Market Committee met in April and June, deciding both times to leave short-term interest rates unchanged. Crude oil, the focus of so much attention in prior quarters due to its steep decline, receded from the limelight in the second quarter when prices for the commodity rose.
Q3 2015: China’s economic slowdown sinks stocks worldwide; Fed leaves rates unchanged
U.S. stocks struggled in the third quarter of 2015, as concerns about China and fresh weakness in commodity prices prompted nervous investors to sell stocks and seek safer ground. A string of disappointing reports on China’s economy, coupled with that nation’s decision to devalue its currency on August 11 and another freefall in its share prices, contributed to the risk-sensitive environment.
The extreme volatility in Chinese stocks – partly a result of local investors buying on margin – had little effect on U.S. securities markets for much of 2015, but that changed in August, as the Shanghai Stock Exchange Composite Index plunged 43% following its mid-June peak. Most major U.S. stock benchmarks had their worst quarter since 2011 after U.S. stocks dropped roughly 10% in a decline that mostly occurred in just a handful of days in the second half of August. Crude oil prices had recovered somewhat starting in early spring, but again came under pressure during the August stock decline before regaining some ground by the end of the quarter. Following its mid-September meeting, the Fed provided few clues to investors about when the central bank would start increasing interest rates, and the lack of guidance roiled markets in the immediate aftermath.
Despite the market jitters, most data indicated the U.S. economy was expanding at a reasonably healthy rate, even if the progress was subpar compared with most other post-World War II recoveries. Following a slow first quarter attributed to extreme weather, the final revised estimate for U.S. second-quarter growth came in at a fairly robust 3.9% annual rate, and overall expectations for 2015 were about in line with 2014’s annual growth of 2.4%. In August, the U.S. unemployment rate fell from 5.3% to 5.1%, the lowest level in seven years.
As the third quarter of 2015 (and the fiscal year) drew to a close, the low price of oil, the timetable for Fed interest rate increases and the potential actions of other central banks around the world, and the ongoing impact of the economic malaise of China, Europe, and the emerging markets on the investing environment were among the topics on the minds of many investors as they focused on the factors likely to impact the markets in the year ahead.
The information provided is the opinion of MassMutual Retirement Services Investment Services as of 10/1/15 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 – 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, 2015?
The Fund’s Class R5 shares returned -2.30%, outperforming the -5.09% return of the MSCI World Index (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’ -2.30% return underperformed the -0.04% 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, 2015, please see the Economic and Market Review, beginning on page 2.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2015, the Fund’s exposure to equities and bonds was the primary driver of its negative absolute performance. The Fund’s equity investments lost ground over the period, although the Fund did outperform the benchmark. The Fund’s limited exposure to emerging markets, positive sector selection, and, most importantly, foreign currency hedges helped drive much of the Fund’s outperformance, relative to the benchmark. During the year, the U.S. dollar strengthened significantly against most major currencies, both in developed as well as in emerging markets. Weaker currencies versus the dollar supported equity markets throughout Europe and Japan, where the Fund was heavily weighted. Fund holdings in growth-oriented sectors, such as information technology and health care, proved beneficial, but lack of positioning in the energy and materials sectors also benefited relative performance. Overall, the Fund’s holdings of emerging-market equities detracted from performance, but management’s timely sale of a China exchange-traded fund (ETF) locked in a gain for Chinese equities for the Fund for the year.
Overall, the Fund’s fixed-income holdings detracted slightly from performance. Tactical allocation decisions within the U.S. Treasury market aided performance. Interestingly, throughout the late summer’s equity market sell-off, U.S. Treasuries failed to offer investors the diversification benefits they have traditionally provided. More to the point, U.S. Treasuries offered little additional return over cash holdings. In addition, the Fund’s exposure to emerging-market debt and the resulting currency exposure weighed on the Fund’s returns within the fixed-income allocation during the year. In aggregate, the Fund’s investments in global high-yield bonds detracted slightly from performance as well.
Subadviser outlook
The Fund’s positioning at year-end reflects Fund management’s still-positive outlook on risk assets, such as equities and corporate bonds, but with a more selective approach to risk-taking than a year ago. From an equity outlook, we currently favor developed markets over emerging markets for the Fund, with particular emphasis on economies where growth should be domestically driven, such as Europe and the U.S. Our view is that increased bank lending, lower energy prices, and recovering housing markets are examples of the drivers of consumer spending in Europe and the U.S. In addition, we believe domestic-oriented growth is less reliant on emerging-market demand growth, which may be struggling for the next year. Our rather pessimistic outlook on the overall emerging-market environment has also led the Fund to avoid commodities like crude oil and industrial metals. In addition to potential demand weakness, we believe that the supply side of the oil market appears unwilling to cut production in order to avoid losing market share to marginal producers.
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Table of Contents
MassMutual Barings Dynamic Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
Within fixed income, we feel that much of the outlook for bonds hinges on when the Federal Reserve will begin hiking rates – and why. Our view is that the circumstances surrounding the first rate hike could have major implications for global bond yields as well as currencies. Currently, the Fund is tactically allocating to cash as opposed to developed-market government bonds, reflecting our view that such bonds are expensive currently.
MassMutual Barings Dynamic Allocation Fund Portfolio Characteristics (% of Net Assets) on 9/30/15 | ||||
Mutual Funds* | 83.1 | % | ||
|
| |||
Total Long-Term Investments | 83.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | 16.9 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
*Category includes ETFs.
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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 10/1/14 - | Since Average 11/28/11 - | ||||||
Class I | -2.27% | 5.21% | ||||||
Class R5 | -2.30% | 5.13% | ||||||
Service Class | -2.55% | 4.98% | ||||||
Administrative Class | -2.64% | 4.87% | ||||||
Class A | -2.81% | 4.64% | ||||||
Class A (sales load deducted)* | -8.40% | 3.04% | ||||||
MSCI World Index# | -5.09% | 12.29% | ||||||
CPI-U | -0.04% | 1.33%+ |
Hypothetical Investments in MassMutual Barings Dynamic Allocation Fund Class R4, Class R3, the MSCI World Index, and the CPI-U.
TOTAL RETURN | One Year 10/1/14 - | Since Average 4/1/14 - | ||||||
Class R4 | -2.67% | 0.13% | ||||||
Class R3 | -2.98% | -0.14% | ||||||
MSCI World Index# | -5.09% | -1.76% | ||||||
CPI-U | -0.04% | 0.47% |
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.
7
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MassMutual Barings Dynamic Allocation Fund – Consolidated Portfolio of Investments
September 30, 2015
Number of Shares | Value | |||||||
MUTUAL FUNDS — 83.1% | ||||||||
Diversified Financial — 83.1% | ||||||||
iShares Global Consumer Discretionary ETF | 7,361 | $ | 628,262 | |||||
iShares Global ex USD High Yield Corporate Bond ETF | 15,842 | 725,722 | ||||||
iShares Global Telecom ETF | 5,534 | 313,944 | ||||||
iShares MSCI Japan Index Fund | 126,419 | 1,444,969 | ||||||
iShares S&P Global Healthcare Sector Index Fund | 6,354 | 625,678 | ||||||
iShares US Regional Banks ETF | 24,791 | 836,200 | ||||||
SPDR S&P 500 ETF Trust | 6,306 | 1,208,419 | ||||||
Vanguard Financials ETF | 3,257 | 150,767 | ||||||
Vanguard FTSE Europe ETF | 48,850 | 2,402,443 | ||||||
Vanguard Global ex-U.S. Real Estate ETF | 14,695 | 749,004 | ||||||
Vanguard Information Technology ETF | 1,983 | 198,300 | ||||||
|
| |||||||
9,283,708 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $9,818,608) | 9,283,708 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $9,818,608) | 9,283,708 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 16.6% | ||||||||
Repurchase Agreement — 0.7% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/15, 0.010%, due 10/01/15 (a) | $ | 82,205 | 82,205 | |||||
|
| |||||||
Time Deposits — 1.0% | ||||||||
Euro Time Deposit (b) | 105,450 | 105,450 | ||||||
|
| |||||||
U.S. Treasury Bills — 14.9% | ||||||||
U.S. Treasury Bill | 1,665,100 | 1,661,923 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,849,578) | 1,849,578 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.7% (Cost $11,668,186) (c) | 11,133,286 | |||||||
Other Assets/(Liabilities) — 0.3% | 37,184 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 11,170,470 | ||||||
|
|
Notes to Consolidated Portfolio of Investments
Percentages are stated as a percent of net assets.
ETF | Exchange-Traded Fund |
(a) | Maturity value of $82,205. Collateralized by U.S. Government Agency obligations with a rate of 1.750%, maturity date of 9/30/22, and an aggregate market value, including accrued interest, of $84,681. |
(b) | All or a portion of this security is held by a wholly owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly owned subsidiary. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the consolidated financial statements.
8
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Consolidated Financial Statements
Consolidated Statement of Assets and Liabilities
September 30, 2015
Assets: | ||||
Investments, at value (Note 2) (a) | $ | 9,283,708 | ||
Short-term investments, at value (Note 2) (b) | 1,849,578 | |||
|
| |||
Total investments | 11,133,286 | |||
|
| |||
Receivables from: | ||||
Investment adviser (Note 3) | 21,520 | |||
Interest and dividends | 25,403 | |||
Prepaid expenses | 29,265 | |||
Other assets | 14,281 | |||
|
| |||
Total assets | 11,223,755 | |||
|
| |||
Liabilities: | ||||
Payables for: | ||||
Open forward foreign currency contracts (Note 2) | 33,419 | |||
Fund shares repurchased | 1,309 | |||
Trustees’ fees and expenses (Note 3) | 1,732 | |||
Affiliates (Note 3): | ||||
Investment advisory fees | 7,437 | |||
Administration fees | 8,041 | |||
Service fees | 930 | |||
Shareholder service fees | 349 | |||
Distribution fees | 68 | |||
|
| |||
Total liabilities | 53,285 | |||
|
| |||
Net assets | $ | 11,170,470 | ||
|
| |||
Net assets consist of: | ||||
Paid-in capital | $ | 11,241,238 | ||
Undistributed (accumulated) net investment income (loss) | 128,316 | |||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 369,235 | |||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | (568,319 | ) | ||
|
| |||
Net assets | $ | 11,170,470 | ||
|
| |||
(a) Cost of investments: | $ | 9,818,608 | ||
(b) Cost of short-term investments: | $ | 1,849,578 |
The accompanying notes are an integral part of the consolidated financial statements.
9
Table of Contents
MassMutual Barings Dynamic Allocation Fund – Consolidated Financial Statements (Continued)
Consolidated Statement of Assets and Liabilities
September 30, 2015
Class I shares: | ||||
Net assets | $ | 3,129,326 | ||
|
| |||
Shares outstanding (a) | 350,014 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 8.94 | ||
|
| |||
Class R5 shares: | ||||
Net assets | $ | 4,239,546 | ||
|
| |||
Shares outstanding (a) | 474,987 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 8.93 | ||
|
| |||
Service Class shares: | ||||
Net assets | $ | 1,206,091 | ||
|
| |||
Shares outstanding (a) | 134,690 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 8.95 | ||
|
| |||
Administrative Class shares: | ||||
Net assets | $ | 1,201,387 | ||
|
| |||
Shares outstanding (a) | 134,793 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 8.91 | ||
|
| |||
Class A shares: | ||||
Net assets | $ | 1,190,688 | ||
|
| |||
Shares outstanding (a) | 133,920 | |||
|
| |||
Net asset value and redemption price per share | $ | 8.89 | ||
|
| |||
Offering price per share (100/[100-maximum sales charge] of net asset value) | $ | 9.43 | ||
|
| |||
Class R4 shares: | ||||
Net assets | $ | 100,342 | ||
|
| |||
Shares outstanding (a) | 11,305 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 8.88 | ||
|
| |||
Class R3 shares: | ||||
Net assets | $ | 103,090 | ||
|
| |||
Shares outstanding (a) | 11,636 | |||
|
| |||
Net asset value, offering price and redemption price per share | $ | 8.86 | ||
|
|
(a) | Authorized unlimited number of shares with no par value. |
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 Operations
For the Year Ended September 30, 2015
Investment income (Note 2): | ||||
Dividends | $ | 226,730 | ||
Interest | 82,288 | |||
|
| |||
Total investment income | 309,018 | |||
|
| |||
Expenses (Note 3): | ||||
Investment advisory fees | 96,624 | |||
Custody fees | 5,254 | |||
Audit fees | 63,405 | |||
Legal fees | 7,510 | |||
Accounting & Administration fees | 86,583 | |||
Proxy fees | 1,033 | |||
Shareholder reporting fees | 17,253 | |||
Trustees’ fees | 745 | |||
Registration and filing fees | 65,283 | |||
Transfer agent fees | 3,000 | |||
|
| |||
346,690 | ||||
Administration fees: | ||||
Class R5 | 4,523 | |||
Service Class | 1,933 | |||
Administrative Class | 1,924 | |||
Class A | 1,913 | |||
Class R4 | 214 | |||
Class R3 | 215 | |||
Distribution fees: | ||||
Class R3 | 269 | |||
Service fees: | ||||
Class A | 3,188 | |||
Class R4 | 268 | |||
Class R3 | �� | 269 | ||
Shareholder service fees: | ||||
Service Class | 644 | |||
Administrative Class | 1,924 | |||
Class A | 1,913 | |||
|
| |||
Total expenses | 365,887 | |||
Expenses waived (Note 3): | ||||
Class I fees reimbursed by adviser | (64,544 | ) | ||
Class R5 fees reimbursed by adviser | (83,749 | ) | ||
Service Class fees reimbursed by adviser | (23,862 | ) | ||
Administrative Class fees reimbursed by adviser | (23,754 | ) | ||
Class A fees reimbursed by adviser | (23,609 | ) | ||
Class R4 fees reimbursed by adviser | (1,983 | ) | ||
Class R3 fees reimbursed by adviser | (1,994 | ) | ||
|
| |||
Net expenses | 142,392 | |||
|
| |||
Net investment income (loss) | 166,626 | |||
|
| |||
Realized and unrealized gain (loss): | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 269,010 | |||
Foreign currency transactions | 236,963 | |||
|
| |||
Net realized gain (loss) | 505,973 | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investment transactions | (842,573 | ) | ||
Translation of assets and liabilities in foreign currencies | (105,507 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) | (948,080 | ) | ||
|
| |||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | (442,107 | ) | ||
|
| |||
Net increase (decrease) in net assets resulting from operations | $ | (275,481 | ) | |
|
|
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 Statements of Changes in Net Assets
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 166,626 | $ | 328,756 | ||||
Net realized gain (loss) on investment transactions | 505,973 | 1,960,835 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (948,080 | ) | (428,504 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (275,481 | ) | 1,861,087 | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (212,316 | ) | (154,810 | ) | ||||
Class R5 | (233,711 | ) | (58,658 | ) | ||||
Service Class | (59,771 | ) | (56,701 | ) | ||||
Administrative Class | (62,736 | ) | (20,152 | ) | ||||
Class A | (60,821 | ) | (11,974 | ) | ||||
Class R4* | (5,434 | ) | - | |||||
Class R3* | (5,236 | ) | - | |||||
|
|
|
| |||||
Total distributions from net investment income | (640,025 | ) | (302,295 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (517,119 | ) | (650,910 | ) | ||||
Class R5 | (572,200 | ) | (261,550 | ) | ||||
Service Class | (164,152 | ) | (270,944 | ) | ||||
Administrative Class | (162,877 | ) | (106,883 | ) | ||||
Class A | (162,031 | ) | (75,009 | ) | ||||
Class R4* | (13,617 | ) | - | |||||
Class R3* | (13,604 | ) | - | |||||
|
|
|
| |||||
Total distributions from net realized gains | (1,605,600 | ) | (1,365,296 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 23 | (7,615,138 | ) | |||||
Class R5 | 805,911 | 320,208 | ||||||
Service Class | 217,554 | (2,946,446 | ) | |||||
Administrative Class | 225,613 | (415,087 | ) | |||||
Class A | 212,109 | 96,983 | ||||||
Class R4* | 19,251 | 100,000 | ||||||
Class R3* | 22,358 | 100,000 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 1,502,819 | (10,359,480 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (1,018,287 | ) | (10,165,984 | ) | ||||
Net assets | ||||||||
Beginning of year | 12,188,757 | 22,354,741 | ||||||
|
|
|
| |||||
End of year | $ | 11,170,470 | $ | 12,188,757 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 128,316 | $ | 416,438 | ||||
|
|
|
|
* | 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 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.22 | $ | 0.15 | $ | (0.34 | ) | $ | (0.19 | ) | $ | (0.61 | ) | $ | (1.48 | ) | $ | (2.09 | ) | $ | 8.94 | (2.27% | ) | $ | 3,129 | 2.87% | 1.02% | 1.53% | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.21 | $ | 0.14 | $ | (0.34 | ) | $ | (0.20 | ) | $ | (0.60 | ) | $ | (1.48 | ) | $ | (2.08 | ) | $ | 8.93 | (2.30% | ) | $ | 4,240 | 2.97% | 1.12% | 1.44% | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.19 | $ | 0.13 | $ | (0.35 | ) | $ | (0.22 | ) | $ | (0.54 | ) | $ | (1.48 | ) | $ | (2.02 | ) | $ | 8.95 | (2.55% | ) | $ | 1,206 | 3.07% | 1.22% | 1.34% | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.19 | $ | 0.12 | $ | (0.35 | ) | $ | (0.23 | ) | $ | (0.57 | ) | $ | (1.48 | ) | $ | (2.05 | ) | $ | 8.91 | (2.64% | ) | $ | 1,201 | 3.17% | 1.32% | 1.24% | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.17 | $ | 0.10 | $ | (0.35 | ) | $ | (0.25 | ) | $ | (0.55 | ) | $ | (1.48 | ) | $ | (2.03 | ) | $ | 8.89 | (2.81% | ) | $ | 1,191 | 3.42% | 1.57% | 0.99% | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.18 | $ | 0.11 | $ | (0.34 | ) | $ | (0.23 | ) | $ | (0.59 | ) | $ | (1.48 | ) | $ | (2.07 | ) | $ | 8.88 | (2.67% | ) | $ | 100 | 3.32% | 1.47% | 1.09% | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
09/30/15 | $ | 11.17 | $ | 0.08 | $ | (0.34 | ) | $ | (0.26 | ) | $ | (0.57 | ) | $ | (1.48 | ) | $ | (2.05 | ) | $ | 8.86 | (2.98% | ) | $ | 103 | 3.57% | 1.72% | 0.83% | ||||||||||||||||||||||||
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 | |||||||||||||||
2015 | 2014 | 2013 | ||||||||||||||
Portfolio turnover rate | 168 | % | 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.
13
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, 2015, the Fund’s net assets were $11,170,470, of which $87,129 or 0.78%, was the Subsidiary’s net assets.
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, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System, 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 are valued at amortized cost or a price 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.
14
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, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the 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 significant 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. |
15
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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 significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The following is the aggregate value by input level, as of September 30, 2015, for the Fund’s investments:
Asset Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 9,283,708 | $ | - | $ | - | $ | 9,283,708 | ||||||||
Short-Term Investments | - | 1,849,578 | - | 1,849,578 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 9,283,708 | $ | 1,849,578 | $ | - | $ | 11,133,286 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (33,419 | ) | $ | - | $ | (33,419 | ) | ||||||
|
|
|
|
|
|
|
|
The Fund had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the year ended September 30, 2015. The Fund recognizes transfers between the Levels as of the beginning of the year.
16
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Notes to Consolidated Financial Statements (Continued)
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Gains or losses from derivatives can be substantially greater than the derivatives original cost and can sometimes be unlimited. 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, 2015. 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, 2015, 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 | |||||||
Liability Derivatives | ||||||||
Forward Contracts^ | $ | (33,419 | ) | $ | (33,419 | ) | ||
|
|
|
| |||||
Realized Gain (Loss)# | ||||||||
Forward Contracts | $ | 197,831 | $ | 197,831 | ||||
|
|
|
| |||||
Change in Appreciation (Depreciation)## | ||||||||
Forward Contracts | $ | (105,740 | ) | $ | (105,740 | ) | ||
|
|
|
| |||||
Number of Contracts, Notional Amounts or Shares/Units† | ||||||||
Forward Contracts | $ | 4,048,117 | $ | 4,048,117 | ||||
|
|
|
|
^ | 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, 2015. |
Further details regarding the derivatives and other investments held by the Fund during the year ended September 30, 2015, are discussed below.
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
17
Table of Contents
Notes to Consolidated Financial Statements (Continued)
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, 2015. The Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
Counterparty | Settlement Date | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contract to Buy | ||||||||||||||||||
JPY | 40,650,000 | Goldman Sachs International | 11/25/15 | $ | 341,835 | $ | (2,766 | ) | ||||||||||
|
|
|
| |||||||||||||||
Contracts to Deliver | ||||||||||||||||||
EUR | 358,000 | HSBC Bank PLC | 10/29/15 | $ | 398,390 | $ | (1,801 | ) | ||||||||||
EUR | 649,000 | JP Morgan Chase Bank | 10/29/15 | 712,751 | (12,734 | ) | ||||||||||||
JPY | 255,040,000 | JP Morgan Chase Bank | 11/25/15 | 2,111,220 | (16,118 | ) | ||||||||||||
|
|
|
| |||||||||||||||
$ | 3,222,361 | $ | (30,653 | ) | ||||||||||||||
|
|
|
|
EUR | Euro |
JPY | Japanese Yen |
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.
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
18
Table of Contents
Notes to Consolidated Financial Statements (Continued)
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 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 daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets.
Foreign Securities
The 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.
19
Table of Contents
Notes to Consolidated Financial Statements (Continued)
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 and Investment Subadviser
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% on the first $300 million; and 0.78% on any excess over $300 million. Prior to June 1, 2015, the investment advisory fee was 0.80%.
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 to the Fund. The amount of the fee payable by MML Advisers to Baring in respect to 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 to any period is also reduced by the amount of the advisory fee payable by the Subsidiary to Baring in respect to that period. The amount of the reduction to the Fund’s advisory fee is reflected within expenses waived 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% |
The Subsidiary also pays certain other expenses, including administrative, accounting services, custodian, and transfer agent fees. In respect to 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 within expenses waived on the Consolidated Statement of Operations.
20
Table of Contents
Notes to Consolidated Financial Statements (Continued)
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 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 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
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 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. |
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, 2015 was 100.0%.
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, 2015, 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 | |||||||||||
$ | 2,245,069 | $ | 14,990,926 | $ | 3,800,158 | $ | 14,183,828 |
21
Table of Contents
Notes to Consolidated Financial Statements (Continued)
5. Capital Share Transactions
Changes in shares outstanding for the Fund were as follows:
Year Ended September 30, 2015 | Year Ended September 30, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class I | ||||||||||||||||
Sold | - | $ | - | 12,505 | $ | 137,100 | ||||||||||
Issued as reinvestment of dividends | 3 | 23 | 43,996 | 472,519 | ||||||||||||
Redeemed | - | - | (722,936 | ) | (8,224,757 | ) | ||||||||||
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|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 3 | $ | 23 | (666,435 | ) | $ | (7,615,138 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Sold | - | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends | 87,694 | 805,911 | 29,814 | 320,208 | ||||||||||||
Redeemed | - | - | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 87,694 | $ | 805,911 | 29,814 | $ | 320,208 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Service Class | ||||||||||||||||
Sold | - | $ | - | 31,816 | $ | 356,365 | ||||||||||
Issued as reinvestment of dividends | 24,261 | 223,923 | 30,535 | 327,645 | ||||||||||||
Redeemed | (677 | ) | (6,369 | ) | (321,563 | ) | (3,630,456 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,584 | $ | 217,554 | (259,212 | ) | $ | (2,946,446 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Administrative Class | ||||||||||||||||
Sold | - | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends | 24,550 | 225,613 | 11,839 | 127,035 | ||||||||||||
Redeemed | - | - | (47,680 | ) | (542,122 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 24,550 | $ | 225,613 | (35,841 | ) | $ | (415,087 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Sold | - | $ | - | 880 | $ | 10,000 | ||||||||||
Issued as reinvestment of dividends | 24,249 | 222,852 | 8,099 | 86,983 | ||||||||||||
Redeemed | (949 | ) | (10,743 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,300 | $ | 212,109 | 8,979 | $ | 96,983 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4* | ||||||||||||||||
Sold | 19 | $ | 200 | 9,208 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 2,078 | 19,051 | - | - | ||||||||||||
Redeemed | - | - | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,097 | $ | 19,251 | 9,208 | $ | 100,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3* | ||||||||||||||||
Sold | 374 | $ | 3,518 | 9,208 | $ | 100,000 | ||||||||||
Issued as reinvestment of dividends | 2,054 | 18,840 | - | - | ||||||||||||
Redeemed | - | - | - | - | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,428 | $ | 22,358 | 9,208 | $ | 100,000 | ||||||||||
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|
|
|
|
|
|
* | Class commenced operations on April 1, 2014. |
22
Table of Contents
Notes to Consolidated Financial Statements (Continued)
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, 2015, 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, 2015.
6. Federal Income Tax Information
At September 30, 2015, 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 Basis | Tax Basis | Net Unrealized | |||
$11,669,620 | $63,500 | $(599,834) | $(536,334) |
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, 2015, was as follows:
Ordinary | Long Term Capital Gain | Return of Capital | ||
$1,216,533 | $1,029,092 | $ - |
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 | Return of | ||
$1,258,820 | $408,771 | $ - |
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, 2015, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, the deferral of wash sale losses, and deferred Trustee compensation.
At September 30, 2015, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Other | Unrealized | |||
$96,547 | $370,668 | $(1,649) | $(536,334) |
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Notes to Consolidated Financial Statements (Continued)
During the year ended September 30, 2015, the following amounts were reclassified due to permanent differences between book and tax accounting:
Paid-in | Accumulated | Undistributed | ||
$(54,340) | $(130,937) | $185,277 |
The Fund did not have any unrecognized tax benefits at September 30, 2015, 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, 2015, 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
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 March 15, 2015. Management is currently evaluating the implications of these changes and their impact on the consolidated financial statements.
In May 2015, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2015-07, Fair Value Measurement (Topic 820): “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)” (“ASU 2015-07”) to address the diversity in practice of how investments measured at net asset value with redemption dates in the future (including periodic redemption dates) are categorized within the fair value hierarchy. ASU 2015-07 is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2015. Management is currently evaluating the implications of these changes and their impact to the financial statements.
9. Subsequent Events
In preparation of these consolidated financial statements, management has evaluated the events and transactions subsequent to September 30, 2015, 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.
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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, 2015, 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 consolidated financial statements and consolidated financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated 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 consolidated financial statements and consolidated 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, 2015, 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, 2015, the results of their operations for the year 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, 2015
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Trustees and Officers (Unaudited)
The following table lists the Trust’s Trustees and Officers as of September 30, 2015; 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 06082-1981, 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: 72 | Chairman
Trustee | Since
Since | Retired. | 92 | 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: 67 | Trustee | Since 2012 | Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts; President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation. | 92 | 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: 57 | Trustee
Chairman | Since 2003
(2006- 2012) | Chairman (since 2011), Academy of Executive Education, LLC; Consultant (2010-2011); Senior Associate Dean for External Relations (2009-2010), Thomas Henry Carroll Ford Foundation Adjunct Professor of Business Administration (2009-2010), Harvard Business School. | 92 | Director (2011-2015), Argo Group International Holdings, Ltd.; 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: 61 | Trustee | Since 2004 | Retired. | 92 | 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) (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: 68 | Trustee | Since 2012 | Retired. | 92 | 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: 73 | Trustee | Since 2012 | Retired. | 130*** | 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: 64 | Trustee | Since 2004 | Retired; President and Chief Executive Officer (2012-2014), PathoGenetix; Senior Vice President, Genzyme Business Excellence Initiative (2009-2011), Genzyme Corporation. | 92 | Director (since 2014), Flexion Therapeutics; Director (since 2014), InVivo Therapeutics; 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: 63 | 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). | 94^ | 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: 70 | Trustee | Since 2012 | Retired. | 94^ | Director (since 2013), Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc.; Director (2006-2014), Jefferies Group LLC (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: 60 | Trustee Vice Chairperson | Since (2011-2012) | Executive Vice President (since 2008), MassMutual Retirement Services Division, MassMutual; Chairman (since 2013), President, Chairman & CEO (2012-2013), Chairman & CEO (2008-2012), President & CEO (2006-2008), MassMutual International, LLC. | 92 | 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: 51 | Vice President | Since 2009 | Head of Investments and portfolio manager (since 2014), MML Advisers; Vice President (since 2008), MassMutual; 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). | 92 | ||||
Andrew M. Goldberg Age: 49 | 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). | 92 |
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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: 55 | 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). | 92 | ||||
Nicholas H. Palmerino Age: 50 | 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). | 92 | ||||
Philip S. Wellman Age: 51 | 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), 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). | 92 | ||||
Eric H. Wietsma Age: 49 | President
Vice President | Since 2008
(2006- | Director and President (since 2013), MML Advisers; Senior Vice President (since 2010), Corporate Vice President (2007-2010), MassMutual; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); Vice President (since 2006), MML Series Investment Fund (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company). | 92 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981. |
** | Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-two years. Such an exception was made for any Trustee who attained 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 Leucadia National Corporation, which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion. |
^^^ | 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, 4.26% of the ordinary dividends paid during the Fund’s period ended September 30, 2015, qualified for the dividends received deduction.
Under Section 854(b)(2) of the Code, the Fund hereby designates $223,849 as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the period ended September 30, 2015.
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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 2015, 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 adviser 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.
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 various time periods 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 providing 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- and three-year period below are to periods ended December 31, 2014. 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 favorable performance since its inception. The Committee considered MML Advisers’ statements that the Fund’s high relative total net expense ratio was the result, in substantial part, of its investments in ETFs and the expenses associated with its short-sale activities and the Subsidiary. The Committee considered that the Fund’s advisory fee was significantly below the peer group median. A discussion followed regarding the continued viability of the Fund in light of its small size.
At the May meeting, MML Advisers also proposed new management fee breakpoints for the Fund.
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 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 are fair and reasonable with respect to the Fund and are 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.
The amendment to the advisory agreement for the Fund became effective on June 1, 2015.
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Other Information (Unaudited) (Continued)
Fund Expenses September 30, 2015
Expense Examples:
The following information is in regards to expenses for the six months ended September 30, 2015:
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, 2015.
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 | % | $ | 921.60 | $ | 4.91 | $ | 1,020.00 | $ | 5.17 | ||||||||||||
Class R5 | 1,000 | 1.12 | % | 921.60 | 5.40 | 1,019.50 | 5.67 | |||||||||||||||||
Service Class | 1,000 | 1.22 | % | 919.80 | 5.87 | 1,019.00 | 6.17 | |||||||||||||||||
Administrative Class | 1,000 | 1.32 | % | 920.50 | 6.36 | 1,018.50 | 6.68 | |||||||||||||||||
Class A | 1,000 | 1.57 | % | 919.30 | 7.55 | 1,017.20 | 7.94 | |||||||||||||||||
Class R4 | 1,000 | 1.47 | % | 920.20 | 7.08 | 1,017.70 | 7.44 | |||||||||||||||||
Class R3 | 1,000 | 1.72 | % | 918.10 | 8.27 | 1,016.40 | 8.69 |
* | Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2015, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 365 days in the year, unless stated otherwise. |
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Underwriter:
MML Distributors, LLC
100 Bright Meadow Blvd.
Enfield, CT 06082-1981
©2015 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-38081-00 |
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Item 2. Code of Ethics.
As of September 30, 2015, 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, 2015, there were no reportable amendments to a provision of the Code of Ethics. A copy of its Code of Ethics is filed with this Form N-CSR under Item 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 2015 and 2014 were $585,135 and $468,155, respectively. |
(b) | AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2015 and 2014. 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 2015 and 2014. |
(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 2015 and 2014 were $123,781 and $148,440, 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 2015 and 2014. |
(d) | ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2015 and 2014. 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 2015 and 2014. |
(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 2015 and 2014 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 2015 and 2014 were $1,338,894 and $1,785,951, 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 11/24/15 |
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 11/24/15 | ||
By (Signature and Title) | /s/ Nicholas H. Palmerino | |
Nicholas H. Palmerino, Treasurer and Principal Financial Officer | ||
Date 11/24/15 |